AMERICAN BAR ASSOCIATION MEMBERS STATE STREET COLLECTIVE TR - S-1 - 20020322 - FINANCIAL_STATEMENTS
Index to Financial Statements
Page
----
Report of Independent Accountants...... F-3
Financial Statements:
Aggressive Equity Fund
Statement of Assets and Liabilities. F-4
Statement of Operations............. F-5
Statement of Changes in Net Assets.. F-6
Financial Highlights................ F-7
Schedule of Investments............. F-8
Balanced Fund
Statement of Assets and Liabilities. F-21
Statement of Operations............. F-22
Statement of Changes in Net Assets.. F-23
Financial Highlights................ F-24
Schedule of Investments............. F-25
Growth Equity Fund
Statement of Assets and Liabilities. F-40
Statement of Operations............. F-41
Statement of Changes in Net Assets.. F-42
Financial Highlights................ F-43
Schedule of Investments............. F-44
Index Equity Fund
Statement of Assets and Liabilities. F-64
Statement of Operations............. F-65
Statement of Changes in Net Assets.. F-66
Financial Highlights................ F-67
Intermediate Bond Fund
Statement of Assets and Liabilities. F-68
Statement of Operations............. F-69
Statement of Changes in Net Assets.. F-70
Financial Highlights................ F-71
International Equity Fund
Statement of Assets and Liabilities. F-72
Statement of Operations............. F-73
Statement of Changes in Net Assets.. F-74
Financial Highlights................ F-75
Schedule of Investments............. F-76
Stable Asset Return Fund
Statement of Assets and Liabilities. F-80
Statement of Operations............. F-81
Statement of Changes in Net Assets.. F-82
Financial Highlights................ F-83
Schedule of Investments............. F-84
F-1
Page
-----
Value Equity Fund
Statement of Assets and Liabilities.... F-89
Statement of Operations................ F-90
Statement of Changes in Net Assets..... F-91
Financial Highlights................... F-92
Schedule of Investments................ F-93
Conservative Structured Portfolio Service
Statement of Assets and Liabilities.... F-101
Statement of Operations................ F-102
Statement of Changes in Net Assets..... F-103
Financial Highlights................... F-104
Moderate Structured Portfolio Service
Statement of Assets and Liabilities.... F-105
Statement of Operations................ F-106
Statement of Changes in Net Assets..... F-107
Financial Highlights................... F-108
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities.... F-109
Statement of Operations................ F-110
Statement of Changes in Net Assets..... F-111
Financial Highlights................... F-112
Notes to Financial Statements............. F-113
F-2
Report of Independent Accountants
To the Trustee and Unitholders of the
American Bar Association Members/
State Street Collective Trust:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Aggressive
Equity Fund, Balanced Fund, Growth Equity Fund, Index Equity Fund, Intermediate
Bond Fund, International Equity Fund, Stable Asset Return Fund, Value Equity
Fund, Conservative Structured Portfolio Service, Moderate Structured Portfolio
Service and Aggressive Structured Portfolio Service constituting the American
Bar Association Members/State Street Collective Trust (hereafter referred to as
the "Trust") at December 31, 2001, and the results of each of their operations,
the changes in each of their net assets and the financial highlights for the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and the financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 2001 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
March 13, 2002
F-3
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
Investments, at value (cost $333,840,582)...................................... $330,912,729
Cash........................................................................... 1,563
Receivable for investments sold................................................ 3,023,060
Dividends and interest receivable.............................................. 205,274
Other receivables.............................................................. 235
------------
Total assets................................................................ 334,142,861
------------
LIABILITIES
Payable for investments purchased.............................................. 1,232,836
Payable for fund units redeemed................................................ 1,171,236
Investment advisory fee payable................................................ 356,071
State Street Bank and Trust Company--program fee payable....................... 76,600
Trustee, management and administration fees payable............................ 22,293
American Bar Retirement Association--program fee payable....................... 12,774
Other accruals................................................................. 12,591
------------
Total liabilities........................................................... 2,884,401
------------
Net assets (equivalent to $59.70 per unit based on 5,548,719 units outstanding) $331,258,460
============
The accompanying notes are an integral part of these financial statements.
F-4
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment Income
Dividends (net of foreign tax expense of $809).......... $ 1,747,628
Interest................................................ 781,234
------------
Total investment income............................. 2,528,862
------------
Expenses
Investment advisory fee................................. 1,495,402
State Street Bank and Trust Company--program fee........ 985,237
Trustee, management and administration fees............. 272,187
American Bar Retirement Association--program fee........ 157,845
Reports to unitholders.................................. 45,515
Legal and audit fees.................................... 63,133
Registration fees....................................... 38,174
------------
Total expenses...................................... 3,057,493
------------
Net investment loss........................................ (528,631)
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss....................................... (49,410,289)
Change in net unrealized appreciation................... (28,186,069)
------------
Net realized and unrealized loss on investments..... (77,596,358)
------------
Net decrease in net assets resulting from operations....... $(78,124,989)
============
The accompanying notes are an integral part of these financial statements.
F-5
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Statements of Changes in Net Assets
For the year ended
December 31,
---------------------------
2000 2001
------------- ------------
From operations
Net investment loss.......................................... $ (178,512) $ (528,631)
Net realized gain (loss) on investments...................... 67,785,921 (49,410,289)
Net change in unrealized appreciation on investments......... (128,049,833) (28,186,069)
------------- ------------
Net increase (decrease) in net assets resulting
from operations........................................ (60,442,424) (78,124,989)
------------- ------------
From unitholder transactions
Proceeds from units issued................................... 91,847,844 20,692,673
Cost of units redeemed....................................... (41,943,602) (32,778,911)
------------- ------------
Net increase (decrease) in net assets resulting from
unitholder transactions................................ 49,904,242 (12,086,238)
------------- ------------
Net increase (decrease) in net assets.................... (10,538,182) (90,211,227)
Net Assets
Beginning of year............................................ 432,007,869 421,469,687
------------- ------------
End of year.................................................. $421,469,687 $331,258,460
============= ============
Number of units
Outstanding--beginning of year............................... 5,222,531 5,764,134
Sold..................................................... 1,022,094 336,141
Redeemed................................................. (480,491) (551,556)
------------- ------------
Outstanding--end of year..................................... 5,764,134 5,548,719
============= ============
The accompanying notes are an integral part of these financial statements.
F-6
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
----------------------------------------------------
1997 1998 1999 2000 2001
-------- -------- -------- -------- --------
Investment income*..................... $ .39 $ .35 $ .40 $ .68 $ .45
Net expenses*.......................... (.45) (.46) (.47) (.72) (.54)
-------- -------- -------- -------- --------
Net investment income (loss)........... (.06) (.11) (.07) (.04) (.09)
Net realized and unrealized gain (loss)
on investments....................... 7.64 2.99 31.32 (9.56) (13.33)
-------- -------- -------- -------- --------
Net increase (decrease) in unit value.. 7.58 2.88 31.25 (9.60) (13.42)
Net asset value at beginning of period. 41.01 48.59 51.47 82.72 73.12
-------- -------- -------- -------- --------
Net asset value at end of period....... $ 48.59 $ 51.47 $ 82.72 $ 73.12 $ 59.70
======== ======== ======== ======== ========
Ratio of net expenses to average net
assets............................... .98 % .93 % .80 % .81 % .88 %
Ratio of net investment income (loss)
to average net assets................ (.11)% (.21)% (.11)% (.04)% (.15)%
Portfolio turnover..................... 36 % 55 % 59 % 52 % 48 %
Total return........................... 18.48 % 5.93 % 60.71 % (11.61)% (18.35)%
Net assets at end of period
(in thousands)....................... $331,940 $298,855 $432,008 $421,470 $331,258
* Calculations prepared using the average number of units outstanding during
the period.
The accompanying notes are an integral part of these financial statements.
F-7
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- -----------
COMMON STOCKS--92.7%
BASIC INDUSTRIES--5.8%
Aluminum--0.1%
Kaiser Aluminum Corp. *.............. 130,000 $ 210,600
-----------
Building Construction--0.3%
York International Corp.............. 26,000 991,380
-----------
Chemicals--1.9%
Ferro Corp........................... 70,600 1,821,480
Lyondell Petrochemical Co............ 31,500 451,395
OM Group Inc......................... 7,500 496,425
Scotts Co. *......................... 32,000 1,523,200
Spartech Corp........................ 6,900 141,795
Valence Technology Inc. *............ 82,100 276,677
Waters Corp. *....................... 41,500 1,608,125
-----------
6,319,097
-----------
Communication Services--1.2%
JDS Uniphase Corporation *........... 234,000 2,031,120
Mediacom Communications Corporation * 67,400 1,230,724
NDS Group PLC * ADR.................. 3,900 78,195
Regent Communications Incorporated *. 102,000 688,500
-----------
4,028,539
-----------
Containers & Glass--0.4%
Aptargroup Inc....................... 43,200 1,513,296
-----------
-----------
Mining--0.6%
Dynegy Incorporated.................. 21,000 535,500
UCAR International Inc. *............ 36,100 386,270
Weatherford International Inc *...... 28,050 1,045,143
-----------
1,966,913
-----------
Paper--0.8%
Pentair Inc.......................... 52,200 1,905,822
Potlatch Corp........................ 21,000 615,720
-----------
2,521,542
-----------
Plastics--0.5%
Advanced Energy Industries Inc. *.... 65,800 1,752,912
-----------
19,304,279
-----------
The accompanying notes are an integral part of these financial statements.
F-8
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- -----------
COMMON STOCKS (Continued)
CAPITAL GOODS--5.2%
Air Travel--0.2%
America West Holding Corp.*.......... 18,300 $ 64,050
Skywest Inc.......................... 25,900 659,155
-----------
723,205
-----------
Construction & Mining Equipment--0.3%
Quanta Services Incorporated*........ 62,600 965,918
-----------
Construction Materials--0.3%
Columbus McKinnon Corp............... 55,000 563,750
Zygo Corp. *......................... 23,900 380,010
-----------
943,760
-----------
Electrical Equipment--1.4%
Jabil Circuit Inc. *................. 86,500 1,965,280
Kulicke & Soffa Industries Inc. *.... 104,800 1,797,320
Power One Incorporated*.............. 84,000 874,440
-----------
4,637,040
-----------
Industrial Machinery--2.8%
Astec Industries Inc.*............... 40,600 587,076
Briggs & Stratton Corp............... 33,300 1,421,910
Cummins Engine Co., Inc.............. 13,000 501,020
Danaher Corp......................... 48,000 2,894,880
Donaldson Co., Inc................... 15,400 598,136
Gardner Denver Machinery Inc.*....... 33,800 754,416
Hydril Company*...................... 20,000 352,600
ITT Industries Inc................... 28,150 1,421,575
Oshkosh Truck Corp................... 13,300 648,375
-----------
9,179,988
-----------
Railroads & Equipment--0.2%
Swift Transportation Co., Inc. *..... 30,240 650,463
-----------
17,100,374
-----------
The accompanying notes are an integral part of these financial statements.
F-9
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- ----------
COMMON STOCKS (Continued)
CONSUMER BASICS--17.1%
Drugs & Health Care--15.1%
3 Dimensional Pharmaceutical *......... 30,000 $ 254,700
Allergan Inc........................... 30,500 2,289,025
American Pharmaceutical Participating * 3,500 72,800
Amerisourcebergen Corporation.......... 13,600 864,280
Antigenics Incorporated *.............. 41,100 674,040
Aspect Med Systems Incorporated *...... 51,600 516,000
Aviron *............................... 25,000 1,243,250
Biogen Inc. *.......................... 55,700 3,194,395
Biomet Inc............................. 37,500 1,158,750
Corporate Therapeutics Inc. *.......... 40,400 966,772
Diversa Corporation *.................. 27,900 394,785
Durect Corporation Incorporated *...... 20,000 231,800
Elan PLC * ADR......................... 104,500 4,708,770
Express Scripts Inc. *................. 17,300 808,948
Gene Logic *........................... 35,300 665,052
Genzyme Corp. *........................ 65,500 3,920,830
Gilead Sciences Inc. *................. 5,500 361,460
Human Genome Sciences Inc. *........... 49,200 1,659,024
IDEC Pharmaceuticals Corp. *........... 67,000 4,618,310
Illumina Incorporated *................ 15,000 176,400
Kendle International Inc *............. 50,000 1,008,000
Lifepoint Hospitals Incorporated *..... 35,000 1,191,400
Mckesson Hboc Inc...................... 21,000 785,400
Medimmune Inc. *....................... 34,500 1,599,075
Orthodontic Centres of America Inc. *.. 25,000 762,500
Oxford Health Plans Inc. *............. 11,700 352,638
Protein Design Inc. *.................. 13,400 439,520
Scios Nova Inc. *...................... 31,200 741,624
Sepracor Inc. *........................ 36,000 2,054,160
Sicor Incorporated *................... 15,900 249,312
Sonosite Incorporated *................ 24,700 634,543
Tanox Incorporated *................... 25,700 475,514
Tenet Healthcare Corp. *............... 53,150 3,120,968
Triad Hospitals Incorporated *......... 26,300 771,905
The accompanying notes are an integral part of these financial statements.
F-10
Shares Value
------- -----------
COMMON STOCKS (Continued)
CONSUMER BASICS (Continued)
Drugs & Health Care (Continued)
Trigon Healthcare Inc. *..................... 20,000 $ 1,389,000
Unilab Corporation New *..................... 28,000 702,800
Vical Inc. *................................. 7,200 88,128
Wellpoint Health Networks Inc. *............. 26,500 3,096,525
Wilson Greatbatch Technology Incorporated *.. 31,000 1,119,100
Wright Medical Group Incorporated *.......... 29,300 524,470
-----------
49,885,973
-----------
Food & Beverages--1.8%
Adolph Coors Co.............................. 14,000 747,600
Corn Products International Inc.............. 57,800 2,037,450
Dreyers Grand Ice Cream Inc.................. 68,000 2,618,680
Flowers Foods Incorporated *................. 2,900 115,768
Hain Celestial Group Incorporated *.......... 15,800 433,868
Suprema Specialties Incorporated *........... 4,400 57,200
-----------
6,010,566
-----------
Retail Trade--0.2%
Factory 2 U Inc. *........................... 31,300 627,252
-----------
56,523,791
-----------
CONSUMER DURABLE GOODS--4.2%
Automobiles--0.9%
Harley Davidson Inc.......................... 51,000 2,769,810
-----------
Communication Services--2.3%
Advo Inc. *.................................. 17,200 739,600
Emmis Broadcasting Corp...................... 28,600 676,104
Entercom Communications Corp. *.............. 16,900 845,000
Lamar Advertising Co. *...................... 64,700 2,739,398
McGraw-Hill Inc.............................. 32,500 1,981,850
Penton Media Inc............................. 34,300 214,718
Primedia Inc *............................... 117,981 513,217
-----------
7,709,887
-----------
Household Appliances & Home Furnishings--0.6%
American Greetings Corp...................... 13,000 179,140
Libbey Inc................................... 55,600 1,815,340
-----------
1,994,480
-----------
The accompanying notes are an integral part of these financial statements.
F-11
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------ -----------
COMMON STOCKS (Continued)
CONSUMER DURABLE GOODS (Continued)
Tires & Rubber--0.4%
Bandag Inc.............................. 39,000 $ 1,355,640
-----------
13,829,817
-----------
CONSUMER NON-DURABLES--8.4%
Apparel & Textiles--0.7%
American Eagle Outfitters Incorporated * 44,800 1,172,416
Galyans Trading Incorporated *.......... 7,600 108,224
Novel Denim Holdings Limited............ 58,000 678,600
Stride Rite Corp........................ 67,100 439,505
-----------
2,398,745
-----------
Liquor--0.2%
Robert Mondavi Corp..................... 19,600 744,800
-----------
Retail Grocery--0.4%
Tootsie Roll Industries Inc............. 26,522 1,036,480
-----------
Retail Trade--7.1%
Autozone Inc. *......................... 21,650 1,554,470
Bed Bath & Beyond Inc. *................ 70,000 2,373,000
Best Buy Co., Inc.*..................... 33,600 2,502,528
Charlotte Russe Holding Incorporated *.. 36,100 671,821
Costco Wholesale Corporation *.......... 36,700 1,628,746
CSK Auto Corp. *........................ 79,000 786,050
Dollar Tree Stores Inc. *............... 86,100 2,661,351
Family Dollar Stores Inc................ 16,100 482,678
Gaiam Incorporated *.................... 3,300 71,940
Genesco Inc. *.......................... 34,600 718,296
Kohls Corp. *........................... 66,500 4,684,260
Lithia Motors Incorporated *............ 30,500 631,350
Martha Stewart Living Incorporated *.... 15,000 246,750
School Specialty Inc *.................. 26,000 594,880
Tefron Limited.......................... 80,500 148,925
TJX Cos., Inc........................... 40,000 1,594,400
Williams Sonoma Inc. *.................. 50,000 2,145,000
-----------
23,496,445
-----------
27,676,470
-----------
The accompanying notes are an integral part of these financial statements.
F-12
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- -----------
COMMON STOCKS (Continued)
CONSUMER SERVICES--3.2%
Communication Services--0.6%
Entravision.com Corporation *................. 50,000 $ 597,500
Radio One Incorporated Class A *.............. 11,000 203,170
Radio One Incorporated *...................... 67,000 1,206,670
-----------
2,007,340
-----------
Hotels & Restaurants--1.1%
California Pizza Kitchen Incorporated *....... 47,500 1,175,625
CEC Entertainment Inc. *...................... 17,000 737,630
Ruby Tuesday Inc.............................. 86,900 1,792,747
-----------
3,706,002
-----------
Leisure Time--1.5%
Acclaim Entertainment Inc. *.................. 106,700 565,510
International Speedway Corp................... 8,000 312,800
Pinnacle Systems Inc. *....................... 100,000 794,000
Speedway Motorsport *......................... 50,000 1,264,000
Steiner Leisure Limited....................... 38,200 811,750
Westwood One Inc. *........................... 30,200 907,510
World Wrestling Federation Enmt Incorporated * 31,800 418,170
-----------
5,073,740
-----------
10,787,082
-----------
ENERGY--2.6%
Coal--0.2%
Consol Energy Inc............................. 28,000 695,520
-----------
Construction & Mining Equipment--0.4%
Helmerich & Payne Inc......................... 23,100 771,078
Newpark Resources Inc. *...................... 52,000 410,800
-----------
1,181,878
-----------
Domestic Oil--1.5%
Devon Energy Corporation...................... 66,500 2,570,225
Insignia Financial Group Inc. *............... 75,000 810,000
Newfield Exploration Co. *.................... 16,300 578,813
Pennzoil Quaker Str Co........................ 53,000 765,850
Pioneer Natural Resources Co. *............... 9,500 182,970
-----------
4,907,858
-----------
The accompanying notes are an integral part of these financial statements.
F-13
American Bar Association Members/State Street Collective Trust
The accompanying notes are an integral part of these financial statements.
F-18
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------ ------------
COMMON STOCKS (Continued)
TECHNOLOGY (Continued)
Software (Continued)
Informax Incorporated*................ 14,000 $ 41,300
Matrixone Incorporated*............... 29,100 378,009
Microstrategy Incorporated*........... 40,000 154,000
NetIQ Corp*........................... 54,026 1,904,957
Numerical Technologies Incorporated*.. 23,000 809,600
Nvidia Corporation*................... 48,100 3,217,890
PeopleSoft Inc.*...................... 73,000 2,934,600
Quest Software Incorporated*.......... 30,100 665,511
Saba Software Incorporated*........... 32,300 168,606
Selectica Incorporated *.............. 46,900 283,745
Sungard Data Systems Inc.*............ 58,500 1,692,405
Witness Systems Incorporated*......... 46,100 614,052
------------
23,313,712
------------
88,343,415
------------
TRANSPORTATION--1.2%
Trucking & Freight Forwarding--1.2%
Hub Group Inc.*....................... 37,600 394,048
Polaris Industries Inc................ 39,400 2,275,350
US Xpress Enterprises Inc*............ 45,000 407,700
Werner Enterprises Inc................ 33,200 806,760
------------
3,883,858
------------
UTILITIES--1.4%
Gas & Pipeline Utilities--1.4%
New Jersey Resources Corp............. 26,100 1,221,481
Nova Chemicals Corp................... 67,100 1,293,017
South Jersey Industries Inc........... 30,300 987,780
Southwest Gas Corp.................... 12,800 286,080
WGL Holdings Incorporated............. 31,400 912,798
------------
4,701,156
------------
TOTAL COMMON STOCK (cost $309,934,039) 307,006,186
------------
The accompanying notes are an integral part of these financial statements.
F-19
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 2001
Units
----------
SHORT TERM INVESTMENTS--7.2%
State Street Bank Yield Enhanced Short Term Investment Fund **
(cost $23,906,543).......................................... 23,906,543 $ 23,906,543
------------
TOTAL INVESTMENTS--99.9% (cost $333,840,582).................. 330,912,729
Assets in excess of liabilities--0.1%......................... 345,731
------------
NET ASSETS--100.0%............................................ $331,258,460
============
* Non-income producing security.
** Collective investment fund advised by State Street Global Advisors, a
division of State Street Bank and Trust Company.
ADR An American Depositary Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described.
The accompanying notes are an integral part of these financial statements.
F-20
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Assets and Liabilities
December 31,
2001
ASSETS
Investments, at value (cost $482,533,239)...................................... $515,342,155
Receivable for investments sold................................................ 17,329,476
Dividends and interest receivable.............................................. 1,798,879
--------------
Total assets................................................................ 534,470,510
--------------
LIABILITIES
Payable for investments purchased.............................................. 73,989,714
Payable for fund units redeemed................................................ 1,887,560
Payable due to custodian....................................................... 32,229
Investment advisory fee payable................................................ 229,860
State Street Bank and Trust Company--program fee payable....................... 107,874
Trustee, management and administration fees payable............................ 31,205
American Bar Retirement Association--program fee payable....................... 17,895
Other accruals................................................................. 17,590
--------------
Total liabilities........................................................... 76,313,927
--------------
Net assets (equivalent to $65.49 per unit based on 6,995,400 units outstanding) $458,156,583
==============
The accompanying notes are an integral part of these financial statements.
F-21
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment Income
Dividends (net of foreign tax expense of $26,881)....... $ 3,095,823
Interest................................................ 11,517,407
------------
Total investment income............................. 14,613,230
------------
Expenses
Investment advisory fee................................. 1,026,165
State Street Bank and Trust Company--program fee........ 1,308,968
Trustee, management and administration fees............. 360,047
American Bar Retirement Association--program fee........ 208,545
Reports to unitholders.................................. 60,482
Legal and audit fees.................................... 83,894
Registration fees....................................... 50,727
------------
Total expenses...................................... 3,098,828
------------
Net investment income...................................... 11,514,402
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain....................................... 10,261,925
Change in net unrealized appreciation................... (13,526,632)
------------
Net realized and unrealized loss on investments..... (3,264,707)
------------
Net increase in net assets resulting from operations....... $ 8,249,695
============
The accompanying notes are an integral part of these financial statements.
F-22
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Changes in Net Assets
For the year ended
December 31,
--------------------------
2000 2001
------------ ------------
From operations
Net investment income........................................ $ 13,431,784 $ 11,514,402
Net realized gain on investments............................. 26,608,771 10,261,925
Net change in unrealized appreciation on investments......... (18,102,658) (13,526,632)
------------ ------------
Net increase in net assets resulting from operations..... 21,937,897 8,249,695
------------ ------------
From unitholder transactions
Proceeds from units issued................................... 19,953,526 31,049,747
Cost of units redeemed....................................... (45,826,559) (37,535,789)
------------ ------------
Net decrease in net assets resulting from unitholder
transactions........................................... (25,873,033) (6,486,042)
------------ ------------
Net increase (decrease) in net assets.................... (3,935,136) 1,763,653
Net Assets
Beginning of year............................................ 460,328,066 456,392,930
------------ ------------
End of year.................................................. $456,392,930 $458,156,583
============ ============
Number of units
Outstanding--beginning of year............................... 7,520,223 7,102,636
Sold..................................................... 317,317 482,672
Redeemed................................................. (734,904) (589,908)
------------ ------------
Outstanding--end of year..................................... 7,102,636 6,995,400
============ ============
The accompanying notes are an integral part of these financial statements.
F-23
American Bar Association Members/State Street Collective Trust
Balanced Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
------------------------------------------------
1997 1998 1999 2000 2001
-------- -------- -------- -------- --------
Investment income*................... $ 1.42 $ 1.68 $ 1.82 $ 2.22 $ 2.07**
Net expenses*........................ (.35) (.35) (.34) (.37) (.44)
-------- -------- -------- -------- --------
Net investment income................ 1.07 1.33 1.48 1.85 1.63
Net realized and unrealized gain
(loss) on investments.............. 6.59 7.44 6.54 1.20 (.40)
-------- -------- -------- -------- --------
Net increase (decrease) in unit value 7.66 8.77 8.02 3.05 1.23
Net asset value at beginning of
period............................. 36.76 44.42 53.19 61.21 64.26
-------- -------- -------- -------- --------
Net asset value at end of period..... $ 44.42 $ 53.19 $ 61.21 $ 64.26 $ 65.49
======== ======== ======== ======== ========
Ratio of net expenses to average net
assets............................. .84% .72% .60% .59% .68%
Ratio of net investment income to
average net assets................. 2.62% 2.72% 2.57% 2.94% 2.52%
Portfolio turnover................... 122% 209% 229% 207% 232%
Total return......................... 20.84% 19.74% 15.08% 4.98% 1.91%
Net assets at end of period
(in thousands)..................... $358,503 $414,662 $460,328 $456,393 $458,157
* Calculations prepared using the average number of units outstanding during
the period.
** As described further in Note 6, the Fund began amortizing premium/discount
on all debt securities effective January 1, 2001. Had the change in
accounting policy not been adopted, the per unit investment income for the
year ended December 31, 2001 would have been $2.23.
The accompanying notes are an integral part of these financial statements.
F-24
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Principal
Amount Value
----------- -----------
FHLMC--Federal Home Loan Mortgage Corporation--4.6%
Federal Home Loan Mortgage Corporation 6.00% 1/1/2016. $ 6,925,000 $ 6,946,641
Federal Home Loan Mortgage Corporation 7.50% 1/1/2031. 6,900,000 7,113,472
Federal Home Loan Mortgage Corporation 8.00% 8/1/2030. 229,878 241,085
Federal Home Loan Mortgage Corporation 8.00% 12/1/2030 419,176 439,611
Federal Home Loan Mortgage Corporation 8.00% 12/1/2030 63,884 66,998
Federal Home Loan Mortgage Corporation 8.00% 3/1/2031. 982,494 1,030,391
Federal Home Loan Mortgage Corporation 8.00% 5/1/2031. 348,720 365,720
Federal Home Loan Mortgage Corporation 8.00% 6/1/2031. 773,166 810,857
Federal Home Loan Mortgage Corporation 8.00% 6/1/2031. 798,209 837,121
Federal Home Loan Mortgage Corporation 8.00% 7/1/2031. 930,803 976,180
Federal Home Loan Mortgage Corporation 8.50% 3/1/2030. 233,688 248,438
Federal Home Loan Mortgage Corporation 8.50% 8/1/2030. 282,937 300,796
Federal Home Loan Mortgage Corporation 8.50% 10/1/2030 578,407 614,916
Federal Home Loan Mortgage Corporation 8.50% 10/1/2030 179,731 191,076
Federal Home Loan Mortgage Pc 11.00% 9/1/2020......... 35,584 40,755
Federal Home Loan Pc 8.00% 11/1/2029.................. 67,815 71,121
Federal Home Loan Mortgage Pc 9.50% 4/15/2020......... 58,766 62,291
Federal Home Loan Mortgage Pc 10.00% 9/1/2017......... 115,018 128,289
Federal Home Loan Mortgage Pc 10.00% 5/15/2020........ 93,028 99,336
Federal Home Loan Mortgage Pc 10.00% 6/15/2020........ 67,007 71,320
Federal Home Loan Mortgage Pc 10.00% 11/1/2020........ 90,626 101,666
Federal Home Loan Mortgage Pc 10.50% 4/1/2016......... 38,424 42,361
Federal Home Loan Mortgage Pc 10.50% 8/1/2019......... 13,854 15,025
Federal Home Loan Mortgage Pc 10.50% 12/1/2020........ 95,821 108,158
Federal Home Loan Mortgage Pc 10.50% 2/1/2021......... 33,218 36,343
-----------
TOTAL FHLMC (cost $20,938,575)........................ 20,959,967
-----------
GNMA - Government National Mortgage Association--5.6%
GNMA 6.38% 3/20/2025 (A).............................. 283,912 288,438
GNMA 6.38% 2/20/2025 (A).............................. 151,203 153,636
GNMA 6.38% 4/20/2025 (A).............................. 50,097 51,060
GNMA 6.38% 4/20/2025 (A).............................. 219,615 223,836
GNMA 6.38% 5/20/2025 (A).............................. 59,317 60,457
GNMA 6.38% 5/20/2025 (A).............................. 258,061 263,021
GNMA 6.38% 7/20/2025 (A).............................. 75,698 77,165
GNMA 6.75% 7/20/2025 (A).............................. 229,594 235,765
GNMA 6.75% 9/20/2027 (A).............................. 655,493 673,211
GNMA 6.75% 9/20/2027.................................. 172,279 180,650
GNMA 7.00% 1/15/2031 TBA.............................. 14,900,000 15,216,625
GNMA 7.00% 7/15/2031.................................. 722,992 738,355
GNMA 7.00% 9/15/2031.................................. 1,469,962 1,501,198
The accompanying notes are an integral part of these financial statements.
F-25
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
The accompanying notes are an integral part of these financial statements.
F-27
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Principal
Amount Value
---------- ----------
AUTO RECEIVABLE--1.8%
Arcadia Automobile Receivables 6.20% 5/15/2003..... $ 22,646 $ 22,689
Associates Auto Receivables Trust 7.30% 1/15/2004.. 1,481,411 1,524,921
BMW Vehicle Lease Trust 6.65% 2/25/2003............ 546,670 550,410
Chase Manhattan Auto Owner Trust 2.44% 6/15/2004... 1,300,000 1,295,815
First Security Auto Owner Trust 7.30% 7/15/2004.... 1,407,145 1,440,495
Honda Auto Receivables 2001 3 2.76% 2/18/2004...... 1,200,000 1,201,507
Honda Auto Receivables Owner Trust 6.62% 7/15/2004. 910,000 937,582
Nissan Auto Receivables 01 C O 4.80% 2/15/2007..... 525,000 530,413
Nissan Auto Receivables Owner Trust 6.71% 3/17/2003 396,567 399,045
Nissan Auto Recreation 2000 7.15% 12/16/2002....... 155,559 156,045
----------
TOTAL AUTO RECEIVABLE (cost $7,944,133)............ 8,058,922
----------
ASSET BACKED--2.3%
Credit Issuance--1.3%
Citibank Credit Card Issuance Trust 7.45% 9/17/2007 525,000 555,513
Chase Credit Card Master Trust 5.50% 11/17/08...... 870,000 882,418
CPS Auto Grantor Trust 6.65% 10/15/2002............ 6,459 6,468
Daimler Chrysler Auto Trust 6.21% 12/8/2003........ 620,645 630,147
First Security Auto Grantor Trust 5.97% 4/15/2004.. 81,362 82,429
MBNA Master Credit Card Trust II 6.90% 1/15/2008... 505,000 540,188
MBNA Master Credit Card Trust II 7.35% 7/16/2007... 855,000 921,528
MBNA Master Credit Card Trust II 7.80% 10/15/2012.. 375,000 421,286
MMCA Automobile Trust 7.00% 6/15/2004.............. 1,070,000 1,096,408
Mid Str Trust II 9.63% 4/1/2003.................... 150,000 152,152
Peco Energy Transport Trust 7.63% 3/1/2010......... 825,000 904,780
----------
6,193,317
----------
Finance & Banking--0.1%
Creekwood Capital Corporation 8.47% 3/16/2015 **... 223,521 243,117
----------
Industrials--0.5%
America West Airls Pass Through 7.10% 4/2/2021..... 745,693 722,353
Continental Airls Pass Through Trust 6.55% 2/2/2019 210,456 182,762
Oil Purchase Company 7.10% 4/30/2002 **............ 54,751 54,445
Southwest Airlines Company 5.50% 11/1/2006......... 190,000 185,999
Systems 2001 A T LLC 6.66% 9/15/2013............... 1,221,701 1,255,273
----------
2,400,832
----------
Other--0.3%
Detroit Edison Securitization 6.42% 3/1/2015....... 670,000 685,283
Prudential Holdings LLC 8.70% 12/18/2023........... 360,000 371,797
PSE&G Transition Funding LLC 6.61% 6/15/2015....... 425,000 436,951
----------
1,494,031
----------
The accompanying notes are an integral part of these financial statements.
F-28
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Principal
Amount Value
---------- -----------
ASSET BACKED (Continued)
Air Travel--0.1%
US Airways 8.11% 2/20/2017................................. $ 307,751 $ 312,324
-----------
TOTAL ASSET BACKED (cost $10,371,518)...................... 10,643,621
-----------
GOVERNMENT AND AGENCIES--2.4%
U.S. Government Securities--2.4%
United States Treasury Bonds 8.13% 8/15/2021............... 3,450,000 4,406,306
United States Treasury Notes 6.75% 5/15/2005............... 6,000,000 6,523,140
-----------
TOTAL GOVERNMENT AND AGENCIES (cost $10,917,237)........... 10,929,446
-----------
CORPORATE BONDS--11.4%
CONSUMER SERVICES--0.3%
Leisure Time--0.3%
Walt Disney Company 7.30% 2/8/2005......................... 1,090,000 1,161,896
-----------
CORPORATE--11.1%
Asset Backed--0.3%
Chevy Chase Auto Receivables 6.25% 6/15/2004............... 47,557 47,829
World Financial Properties Tower B 6.91% 9/1/2013.......... 1,099,966 1,109,591
-----------
1,157,420
-----------
Electric Utilities--0.6%
Consolidated Natural Gas Company 6.25% 11/1/2011........... 205,000 199,281
Detroit Edison Company 6.13% 10/1/2010..................... 95,000 92,997
DTE Energy Company 7.05% 6/1/2011.......................... 265,000 272,470
Niagara Mohawk Power Corporation 7.38% 7/1/2003............ 775,000 807,217
Nisource Finance Corporation 7.88% 11/15/2010.............. 690,000 713,605
Williams Cos Incorporated 7.50% 1/15/2031.................. 605,000 585,846
-----------
2,671,416
-----------
Finance & Banking--3.7%
Aetna Incorporated 7.88% 3/1/2011.......................... 705,000 692,937
Ahold Finance USA Incorporated 6.88% 5/1/2029.............. 255,000 247,340
Ahold Finance USA 8.25% 7/15/2010.......................... 210,000 233,174
AIG Sunamerica Global Financing Vi 6.30% 5/10/2011......... 1,010,000 1,021,191
American General Corporation 7.50% 7/15/2025............... 120,000 130,159
American General Finance Corporation Medium Term Note 5.88%
7/14/2006................................................ 480,000 496,176
Anthem Insurance Cos Incorporated Discount Commercial
9.00% 4/15/2027 **....................................... 465,000 463,791
Beverly Finance 8.36% 7/15/2004............................ 250,000 270,520
The accompanying notes are an integral part of these financial statements.
F-29
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Principal
Amount Value
---------- -----------
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Finance & Banking (Continued)
Chase Manhattan Corp. 7.00% 11/15/2009........................ $ 100,000 $ 104,021
Cigna Corporation 6.38% 10/15/2011............................ 200,000 197,606
Cigna Corporation 7.00% 1/15/2011............................. 245,000 248,276
Citicorp 6.38% 11/15/2008..................................... 905,000 926,946
EOP Operating Limited Partnership 7.25% 6/15/2028............. 150,000 138,947
EOP Operating Limited Partnership 6.76% 6/15/2007............. 140,000 142,660
EOP Operating Limited Partnership 7.50% 4/19/2029............. 280,000 266,664
Equitable Cos Incorporated 6.50% 4/1/2008..................... 650,000 663,319
Farmers Exchange Capital 7.05% 7/15/2028**.................... 335,000 277,407
Farmers Insurance Exch 8.63% 5/1/2024**....................... 625,000 618,844
Ford Motor Credit Company 7.25% 10/25/2011.................... 100,000 97,392
Ford Motor Credit Company 7.38% 10/28/2009.................... 150,000 148,092
General Motors Acceptance Corporation 6.88% 9/15/2011......... 385,000 376,549
General Motors Acceptance Corporation 8.00% 11/1/2031......... 380,000 384,442
Goldman Sachs Group Incorporated 6.88% 1/15/2011.............. 910,000 937,955
Hancock John Global Funding II 7.90% 7/2/2010................. 725,000 800,879
Hartford Financial Services Group Incorporated 7.75% 6/15/2005 310,000 331,288
Hartford Life Incorporated 7.65% 6/15/2027.................... 350,000 371,424
Household Finance Corp 6.40% 6/17/2008........................ 205,000 204,693
Household Finance Corporation 6.75% 5/15/2011................. 175,000 174,136
Household Finance Corporation 8.00% 7/15/2010................. 490,000 532,106
Hutchison Whampoa Fin C I Ltd 7.45% 8/1/2017**................ 440,000 436,687
J.P. Morgan Chase & Co 6.00% 2/15/2009*....................... 420,000 417,207
MBNA America Bank National Association 6.50% 6/20/2006........ 385,000 381,724
Metropolitan Life Insurance Company 7.45% 11/1/2023**......... 500,000 509,490
Metropolitan Life Insurance Company 7.80% 11/1/2025**......... 250,000 261,835
Nationwide Mutual Insurance Company 8.25% 12/1/2031........... 100,000 99,724
Nationwide Mutual Life 7.50% 2/15/2024**...................... 750,000 674,033
Prime Property Funding II Incorporated 7.00% 8/15/2004**...... 495,000 525,497
Prudential Holdings 7.25% 12/18/2023.......................... 1,390,000 1,411,267
Prudential Holdings 8.70% 12/18/2023.......................... 335,000 345,978
Simon Property Group L P 6.38% 11/15/2007..................... 335,000 331,563
-----------
16,893,939
-----------
Industrials--5.6%
American Home Products Corporation 6.70% 3/15/2011............ 750,000 774,818
AOL Time Warner Incorporated 6.75% 4/15/2011.................. 840,000 857,951
AOL Time Warner Incorporated 7.63% 4/15/2031.................. 90,000 95,246
AT&T Wireless Services Incorporated 7.88% 3/1/2011............ 500,000 532,950
The accompanying notes are an integral part of these financial statements.
F-30
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Principal
Amount Value
---------- ----------
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Industrials (Continued)
Boeing Capital Corporation 6.50% 2/15/2012.............. $ 495,000 $ 492,010
Bristol Myers Squibb Company 5.75% 10/1/2011............ 1,415,000 1,395,742
Centex Corporation 7.88% 2/1/2011....................... 370,000 377,981
Clear Channel Communications 7.65% 9/15/2010............ 570,000 588,468
CMS Panhandle Holding Company 6.50% 7/15/2009........... 670,000 624,996
Comcast Cable Communications 6.75% 1/30/2011............ 290,000 291,131
Conoco Incorporated 6.95% 4/15/2029..................... 1,005,000 1,022,819
Continental Airls Pass Through 6.65% 9/15/2017.......... 448,993 398,185
Cox Communications Incorporated 7.75% 11/1/2010 *....... 445,000 478,646
CVS Corporation 5.63% 3/15/2006......................... 755,000 760,028
Daimlerchrysler North America Holding 6.40% 5/15/2006... 715,000 714,042
Dayton Hudson Corporation 6.65% 8/1/2028................ 170,000 169,903
Dayton Hudson Corporation 6.75% 1/1/2028................ 440,000 438,658
Delphi Automotive Systems Corporation 7.13% 5/1/2029.... 200,000 177,490
Deutsche Telekom International 8.00% 6/15/2010.......... 440,000 479,644
Federated Department Stores Incorporated 6.90% 4/1/2029. 445,000 409,075
Federated Department Stores Incorporated 7.00% 2/15/2028 200,000 186,332
Florida Residential Property Casualty 7.38% 7/1/2003 **. 525,000 554,451
Florida Windstorm Underwriting 7.13% 2/25/2019 **....... 600,000 588,378
Ford Motor Company 6.63% 10/1/2028...................... 1,255,000 1,044,750
Honeywell International Incorporated 6.13% 11/1/2011.... 595,000 587,247
Hyatt Equities LLC 9.25% 5/15/2005...................... 545,000 565,238
Jet Equipment Test 10.00% 6/15/2012 **.................. 350,000 238,000
Kroger Company 6.80% 4/1/2011........................... 165,000 168,193
Kroger Company 7.63% 9/15/2006.......................... 160,000 173,376
Kroger Co 7.70% 6/1/2029................................ 560,000 596,809
Lockheed Martin Corp. 7.75% 5/1/2026.................... 325,000 354,250
Lowes Cos Incorporated 6.50% 3/15/2029.................. 255,000 242,370
Lowes Cos Incorporated 6.88% 2/15/2028.................. 620,000 617,700
Marriott International 7.00% 1/15/2008.................. 295,000 295,684
Marriott International Incorporated 8.13% 4/1/2005...... 440,000 459,448
May Department Stores Company 6.70% 9/15/2028........... 335,000 323,292
May Department Stores Company 7.88% 3/1/2030............ 575,000 638,279
News America Holdings Incorporated 7.75% 1/20/2024...... 100,000 98,233
News America Holdings Incorporated 7.75% 2/1/2024....... 170,000 168,637
News America Holdings Incorporated 8.88% 4/26/2023...... 645,000 707,655
Northrop Grumman Corporation 7.75% 2/15/2031............ 210,000 225,968
Oil Enterprises Limited 6.24% 6/30/2008 **.............. 488,302 496,677
Pccw Hktc Cap Ltd 7.75% 11/15/2011...................... 505,000 500,141
The accompanying notes are an integral part of these financial statements.
F-31
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Principal
Amount Value
----------- -----------
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Industrials (Continued)
Qwest Capital Funding Incorporated 7.75% 8/15/2006.... $ 870,000 $ 888,983
Raytheon Company 8.20% 3/1/2006....................... 345,000 374,729
Raytheon Company 8.30% 3/1/2010....................... 340,000 379,148
Reed Elsevier Capital Incorporated 6.75% 8/1/2011..... 100,000 101,819
Safeway Incorporated 6.50% 3/1/2011................... 95,000 96,808
Safeway Incorporated 7.50% 9/15/2009.................. 260,000 282,646
Sun Microsystems Incorporated 7.65% 8/15/2009 *....... 455,000 464,359
TCI Communications Incorporated 7.88% 2/15/2026....... 255,000 270,736
Telus Corp 8.00% 6/1/2011............................. 135,000 142,360
Tenet Healthcare Corporation 6.88% 11/15/2031......... 570,000 526,431
Time Warner Inc 6.63% 5/15/2029....................... 95,000 88,765
TRW Incorporated 7.63% 3/15/2006...................... 60,000 62,704
Tyco International Group S A 6.75% 2/15/2011.......... 500,000 503,635
Tyco International Group S A 6.88% 1/15/2029.......... 135,000 129,059
Tyco International Group SA 7.00% 6/15/2028........... 75,000 72,923
Wellpoint Health Networks Incorporated 6.38% 6/15/2006 265,000 271,479
-----------
25,567,475
-----------
Non-Asset Backed--0.1%
Vodafone Group PLC 7.75% 2/15/2010.................... 565,000 618,579
-----------
Telephone--0.7%
AT&T Corporation 7.30% 11/15/2011..................... 95,000 97,619
AT&T Corporation 8.00% 11/15/2031..................... 660,000 690,433
Comcast Cable Communications 8.38% 5/1/2007........... 310,000 343,914
GTE Corporation 6.94% 4/15/2028....................... 980,000 981,627
Intermedia Communications Inc. 1.00% 3/1/2009......... 700,000 623,875
Worldcom Inc. 6.95% 8/15/2028 *....................... 730,000 662,628
-----------
3,400,096
-----------
Utilities--0.1%
Ras Laffan Liquefied Natural Gas 8.29% 3/15/2014 **... 520,000 535,964
-----------
50,844,889
-----------
TOTAL CORPORATE BONDS (cost $51,335,412).............. 52,006,785
-----------
Shares
-----------
COMMON STOCK--58.5%
BASIC INDUSTRIES--1.2%
Chemicals--0.5%
Air Products & Chemicals Inc.......................... 27,000 1,266,570
The accompanying notes are an integral part of these financial statements.
F-32
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Shares Value
------- -----------
COMMON STOCK (Continued)
BASIC INDUSTRIES (Continued)
Chemicals (Continued)
Dow Chemical Co...................... 27,382 $ 924,964
-----------
2,191,534
-----------
Paper--0.1%
Kimberly-Clark Corp.................. 12,100 723,580
-----------
Plastics--0.6%
Illinois Tool Works Inc.............. 38,400 2,600,448
-----------
5,515,562
-----------
CAPITAL GOODS--5.3%
Business Services--1.3%
Checkfree Corporation *.............. 76,300 1,373,400
Fluor Corporation *.................. 68,300 2,554,420
Robert Half International Inc. *..... 43,400 1,158,780
Sabre Group Holdings Inc............. 25,000 1,058,750
-----------
6,145,350
-----------
Conglomerates--0.9%
General Electric Co.................. 99,700 3,995,976
-----------
Construction & Mining Equipment--0.4%
Dover Corp........................... 46,700 1,731,169
-----------
Electrical Equipment--1.5%
Emerson Electric Co.................. 42,400 2,421,040
Tyco International Ltd............... 75,000 4,417,500
-----------
6,838,540
-----------
Industrial Machinery--1.2%
AES Corp. *.......................... 212,100 3,467,835
Ingersoll Rand Co.................... 20,400 852,924
Navistar International Corp.......... 37,300 1,473,350
-----------
5,794,109
-----------
24,505,144
-----------
CONSUMER BASICS--11.9%
Cosmetics & Toiletries--0.2%
Avon Products Inc.................... 18,500 860,250
-----------
The accompanying notes are an integral part of these financial statements.
F-33
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Shares Value
------- -----------
COMMON STOCK (Continued)
CONSUMER BASICS (Continued)
Drugs & Health Care--8.2%
Applera Corporation Applied Biosystems * 110,200 $ 4,327,554
Astrazeneca Plc ADR..................... 177,053 8,250,670
Becton Dickinson & Co................... 44,300 1,468,545
Eli Lilly & Co.......................... 8,600 675,444
Forest Laboratories Inc. *.............. 54,600 4,474,470
Guidant Corp. *......................... 99,456 4,952,909
Medtronic Inc........................... 51,400 2,632,194
Millennium Pharmaceuticals *............ 14,500 355,395
Pacificare Health Systems *............. 33,830 541,280
Pfizer Inc.............................. 213,500 8,507,975
Quintiles Transnational Corp. *......... 81,200 1,303,260
-----------
37,489,696
-----------
Food & Beverages--3.1%
Campbell Soup Co........................ 130,000 3,883,100
General Mills Inc....................... 35,800 1,861,958
H.J. Heinz Co........................... 52,000 2,138,240
Kellogg Co.............................. 130,500 3,928,050
Kraft Foods Incorporated................ 22,100 752,063
PepsiCo Inc............................. 37,300 1,816,137
-----------
14,379,548
-----------
Tobacco--0.4%
Philip Morris Cos., Inc................. 40,000 1,834,000
-----------
54,563,494
-----------
CONSUMER DURABLE GOODS--3.4%
Communication Services--2.9%
AOL Time Warner Incorporated............ 89,900 2,885,790
Cablevision Systems Corporation......... 66,550 1,643,785
Cox Communications Inc.................. 42,700 1,789,557
Gannett Co., Inc........................ 14,000 941,220
General Motors--H Class *............... 86,200 1,331,790
Liberty Media Corporation New........... 257,000 3,598,000
Walt Disney Co.......................... 54,400 1,127,168
-----------
13,317,310
-----------
The accompanying notes are an integral part of these financial statements.
F-34
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
The accompanying notes are an integral part of these financial statements.
F-35
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Shares Value
-------- -----------
COMMON STOCKS (Continued)
ENERGY (Continued)
Domestic Oil (Continued)
Royal Dutch Petroleum Co. ADR.... 39,800 $ 1,950,996
Unocal Corp...................... 51,400 1,853,998
-----------
7,953,738
-----------
International Oil--0.7%
Shell Transport Trading Plc ADR.. 68,200 2,826,890
-----------
Petroleum Services--1.5%
Baker Hughes Inc................. 101,040 3,684,929
Schlumberger Ltd. ADR............ 21,246 1,167,468
Transocean Sedco Forex Inc.*..... 24,000 811,680
Weatherford International Inc*... 34,000 1,266,840
-----------
6,930,917
-----------
18,308,625
-----------
FINANCE--10.2%
Banks--1.8%
Bank of America Corp............. 37,537 2,362,954
Bank One Corp.................... 151,100 5,900,455
-----------
8,263,409
-----------
Financial Services--4.6%
Americredit Corp.*............... 15,000 473,250
Citigroup Inc.................... 43,829 2,212,488
Goldman Sachs Group Incorporated. 11,200 1,038,800
Hartford Financial Services Group 19,200 1,206,336
Household International Inc...... 21,500 1,245,710
J P Morgan Chase & Company....... 69,800 2,537,230
USA Education Incorporated....... 112,760 9,474,095
Wells Fargo & Company............ 69,476 3,018,732
-----------
21,206,641
-----------
Insurance--2.4%
Ace Ltd.......................... 4,100 164,615
Allstate Corp.................... 49,300 1,661,410
Berkshire Hathaway Inc.*......... 31 2,343,600
Cincinnati Financial Corp........ 35,200 1,342,880
PMI Group Inc.................... 21,500 1,440,715
Principal Financial Group........ 13,200 316,800
XL Capital Limited............... 39,600 3,617,856
-----------
10,887,876
-----------
The accompanying notes are an integral part of these financial statements
.
F-36
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Shares Value
- ------- -----------
Savings And Loan--1.4%
Washington Mutual Inc....................... 189,736 $ 6,204,367
-----------
46,562,293
-----------
GENERAL BUSINESS--4.4%
Broadcasting--1.9%
Cablevision Systems Corp.*.................. 72,500 3,440,125
USA Networks Inc*........................... 107,600 2,938,556
Viacom Inc. Class A*........................ 53,000 2,345,250
-----------
8,723,931
-----------
Business Services--2.3%
Autonation Incorporated*.................... 72,200 890,226
Doubleclick Inc*............................ 65,200 739,368
Ecolab Inc.................................. 17,500 704,375
JDS Uniphase Corporation*................... 57,000 494,760
Nokia Corp ADR.............................. 251,600 6,171,748
TMP Worldwide Inc.*......................... 30,700 1,317,030
-----------
10,317,507
-----------
Communication Services--0.2%
AT&T Corp.*................................. 61,858 1,122,104
-----------
20,163,542
-----------
TECHNOLOGY--10.6%
Aerospace--0.9%
United Technologies Corp.................... 61,000 3,942,430
-----------
Communication Services--0.3%
Applied Micro Circuits Corp.*............... 74,100 838,812
Vivendi Universal SA ADR.................... 7,500 403,425
-----------
1,242,237
-----------
Computers & Business Equipment--3.0%
Agere Systems Incorporated.................. 38,000 216,220
Broadcom Corp*.............................. 21,300 870,531
Brocade Communications Systems Incorporated* 20,500 678,960
Cadence Design Systems Inc.*................ 35,600 780,352
Cisco Systems Inc.*......................... 223,500 4,047,585
Compaq Computer Corp........................ 84,200 821,792
Corning Inc................................. 85,500 762,660
Hewlett Packard Co.......................... 58,000 1,191,320
IBM Corp.................................... 8,500 1,028,160
The accompanying notes are an integral part of these financial statements.
F-37
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Shares Value
-------- -----------
Computers & Business Equipment--(Continued)
Linear Technology Corp..................... 20,000 $ 780,800
Nortel Networks Corporation*............... 214,600 1,609,500
Xilinx Inc................................. 19,000 741,950
-----------
13,529,830
-----------
Electronics--5.1%
Agilent Technologies Incorporated*......... 80,432 2,293,116
Altera Corp.*.............................. 39,700 842,434
Applied Materials Inc.*.................... 147,700 5,922,770
ASM Lithography Holdings NV* ADR........... 92,400 1,575,420
Credence Systems Corp.*.................... 23,000 427,110
Intel Corp................................. 43,800 1,377,510
KLA Instruments Corp.*..................... 71,200 3,528,672
Lam Research Corp.*........................ 22,500 522,450
Novellus Systems Inc.*..................... 21,800 860,010
PMC Sierra Inc.*........................... 65,700 1,396,782
Teradyne Inc.*............................. 106,800 3,218,952
Texas Instruments Inc...................... 52,460 1,468,880
-----------
23,434,106
-----------
Software--1.3%
Macromedia Inc............................. 48,400 861,520
Microsoft Corp.*........................... 45,900 3,040,875
Verisign Inc.*............................. 60,200 2,290,008
-----------
6,192,403
-----------
48,341,006
-----------
UTILITIES--3.2%
Electric Utilities--1.3%
Cinergy Corp............................... 27,400 915,982
Edison International....................... 165,400 2,497,540
Kinder Morgan Management LLC............... 31,099 1,178,652
NRG Energy Incorporated.................... 73,800 1,143,900
-----------
5,736,074
-----------
Gas & Pipeline Utilities--0.9%
Nisource Incorporated...................... 38,000 876,280
Williams Cos., Inc......................... 134,100 3,422,232
-----------
4,298,512
-----------
The accompanying notes are an integral part of these financial statements.
F-38
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 2001
Shares Value
---------- ------------
Telephone--1.0%...............................................
SBC Communications Inc........................................ 30,200 $ 1,182,934
Sprint Corp. *................................................ 134,900 3,292,909
------------
4,475,843
------------
14,510,429
------------
TOTAL COMMON STOCK (cost $236,388,729)........................ 267,840,189
------------
PREFERRED STOCK--0.2%.........................................
Home Ownership Funding ** (cost $1,254,307)................... 1,250 859,199
------------
TOTAL DEBT AND EQUITY INVESTMENT SECURITIES (cost
$422,042,314) 454,721,089
------------
Units
----------
SHORT TERM INVESTMENTS--13.1%
State Street Bank Yield Enhanced Short Term Investment Fund*** 60,621,066 60,621,066
------------
TOTAL INVESTMENTS--112.5% (cost $482,533,239)................. 515,342,155
Liabilities in excess of other assets--(12.5)%................ (57,185,572)
------------
NET ASSETS--100.00%........................................... $458,156,583
============
(A) Variable rate security. The rate shown reflects that currently in effect.
ADR An American Depositary Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to recieve securities of the foreign issuer
described.
TBA To be announced (TBA) securities are purchased (sold) on a forward
commitment basis with an approximate principal amount and no definite
maturity. The actual principal amount and maturity date will be
determined upon settlement.
* Non-income producing security.
** Security is exempt from registration under Rule 144A of the Securities Act
of 1933.
These securities may be resold in transactions exempt from registration,
normally to qualified institutional investors.
*** Collective investment fund advised by State Street Global Advisors.
The accompanying notes are an integral part of these financial statements.
F-39
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Assets and Liabilities
December 31,
2001
--------------
ASSETS
Investments, at value (cost $985,364,262)....................................... $1,020,840,454
Cash............................................................................ 22,475
Receivable for investments sold................................................. 4,185,359
Receivable for fund units sold.................................................. 189,563
Dividends and interest receivable............................................... 794,003
--------------
Total assets................................................................. 1,026,031,854
--------------
LIABILITIES
Payable for investments purchased............................................... 3,490,498
Payable for fund units redeemed................................................. 3,326,382
Investment advisory fee payable................................................. 533,254
State Street Bank and Trust Company--program fee payable........................ 239,154
Trustee, management and administration fees payable............................. 69,942
American Bar Retirement Association--program fee payable........................ 40,065
Futures margin payable.......................................................... 27,775
Other accruals.................................................................. 39,064
--------------
Total liabilities............................................................ 7,766,134
--------------
Net assets (equivalent to $45.53 per unit based on 22,363,376 units outstanding) $1,018,265,720
==============
The accompanying notes are an integral part of these financial statements.
F-40
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Operations
For the
year ended
December 31,
2001
-------------
Investment Income
Dividends (net of foreign tax expense of $53,544).. $ 8,476,217
Interest........................................... 855,303
-------------
Total investment income........................ 9,331,520
-------------
Expenses
Investment advisory fee............................ 2,408,831
State Street Bank and Trust Company--program fee... 3,186,869
Trustee, management and administration fees........ 880,452
American Bar Retirement Association--program fee... 510,561
Reports to unitholders............................. 204,142
Legal and audit fees............................... 123,435
Registration fees.................................. 147,172
-------------
Total expenses................................. 7,461,462
-------------
Net investment income................................. 1,870,058
-------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss):
Investments.................................... (68,912,880)
Foreign currency............................... (84)
Future contracts............................... (545,124)
-------------
(69,458,088)
-------------
Change in net unrealized appreciation:
Investments.................................... (195,420,239)
Future contracts............................... 156,763
-------------
(195,263,476)
-------------
Net realized and unrealized loss on investments....... (264,721,564)
-------------
Net decrease in net assets resulting from operations.. $(262,851,506)
=============
The accompanying notes are an integral part of these financial statements.
F-41
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Changes in Net Assets
For the year ended
December 31,
------------------------------
2000 2001
- -------------- --------------
From operations
Net investment income........................................ $ 1,800,460 $ 1,870,058
Net realized (loss) gain on investments...................... 189,873,611 (69,458,088)
Net change in unrealized appreciation on investments......... (442,353,446) (195,263,476)
-------------- --------------
Net increase (decrease) in net assets resulting from
operations............................................. (250,679,375) (262,851,506)
-------------- --------------
From unitholder transactions
Proceeds from units issued................................... 69,284,650 30,203,462
Cost of units redeemed....................................... (144,865,077) (133,435,778)
-------------- --------------
Net decrease in net assets resulting from unitholder
transactions........................................... (75,580,427) (103,232,316)
-------------- --------------
Net increase (decrease) in net assets.................... (326,259,802) (366,083,822)
Net Assets
Beginning of year............................................ 1,710,609,344 1,384,349,542
-------------- --------------
End of year.................................................. $1,384,349,542 $1,018,265,720
============== ==============
Number of units
Outstanding--beginning of year............................... 25,758,745 24,594,014
Sold..................................................... 1,041,204 498,540
Redeemed................................................. (2,205,935) (2,729,178)
-------------- --------------
Outstanding--end of year..................................... 24,594,014 22,363,376
============== ==============
The accompanying notes are an integral part of these financial statements.
F-42
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
---------------------------------------------------------
1997 1998 1999 2000 2001
-------- ---------- ---------- ---------- ----------
Investment income*.................... $ .41 $ .43 $ .47 $ .46 $ .40
Net expenses*......................... (.26) (.30) (.33) (.39) (.32)
-------- ---------- ---------- ---------- ----------
Net investment income................. .15 .13 .14 .07 .08
Net realized and unrealized gain on
investments......................... 8.00 13.63 16.53 (10.19) (10.84)
-------- ---------- ---------- ---------- ----------
Net increase (decrease) in unit value. 8.15 13.76 16.67 (10.12) (10.76)
Net asset value at beginning of period 27.83 35.98 49.74 66.41 56.29
-------- ---------- ---------- ---------- ----------
Net asset value at end of period...... $ 35.98 $ 49.74 $ 66.41 $ 56.29 $ 45.53
======== ========== ========== ========== ==========
Ratio of net expenses to average net
assets.............................. .80% .71% .59% .58% .66%
Ratio of net investment income to
average net assets.................. .48% .32% .26% .11% .17%
Portfolio turnover.................... 88% 46% 46% 49% 43%
Total return.......................... 29.31% 38.24% 33.51% (15.24)% (19.12)%
Net assets at end of period (in
thousands).......................... $967,854 $1,297,827 $1,710,609 $1,384,350 $1,018,266
* Calculations prepared using the average number of units outstanding during
the period.
Note: The units of the Growth Equity Fund were split 10 for 1 effective
February 2, 2001. The per-unit data for all periods shown have been
restated to reflect the split.
The accompanying notes are an integral part of these financial statements.
F-43
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- --------------
COMMON STOCK--99.4%
BASIC INDUSTRIES--1.1%
Chemicals--0.7%
Air Products & Chemicals Inc....... 34,700 $ 1,627,777
Dow Chemical Co.................... 35,500 1,199,190
Waters Corp.*...................... 94,900 3,677,375
--------------
6,504,342
--------------
Construction Materials--0.0%
Vulcan Materials Co................ 100 4,794
--------------
Gold--0.0%
Freeport-McMoran Copper & Gold Inc. 8,100 108,459
--------------
Mining--0.0%
Arch Coal Inc...................... 1,700 38,590
Consol Energy Inc.................. 1,600 39,744
Peabody Energy Corporation......... 500 14,095
The Shaw Group Inc................. 3,100 72,850
--------------
165,279
--------------
Paper--0.1%
Kimberly-Clark Corp................ 19,700 1,178,060
Willamette Industries Inc.......... 1,000 52,120
--------------
1,230,180
--------------
Plastics--0.3%
Illinois Tool Works Inc............ 48,500 3,284,420
--------------
11,297,474
--------------
CAPITAL GOODS--9.8%
Air Travel--0.0%
Skywest Inc........................ 2,500 63,625
--------------
Building Construction--0.0%
American Standard Cos., Inc........ 3,000 204,690
--------------
Business Services--0.6%
Apollo Group Incorporated.......... 1,300 42,367
Certegy Incorporated............... 5,000 171,100
Checkfree Corporation*............. 106,700 1,920,600
Choicepoint Inc.*.................. 3,250 164,743
The accompanying notes are an integral part of these financial statements.
F-44
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
--------- --------------
COMMON STOCKS (Continued)
CAPITAL GOODS (Continued)
Business Services (Continued)
Fluor Corporation*................... 90,600 $ 3,388,440
Imagistics International Incorporated 208 2,569
--------------
5,689,819
--------------
Conglomerates--0.1%
Minnesota Mining & Manufacturing Co.. 8,200 969,322
--------------
Construction & Mining Equipment--0.2%
Dover Corp........................... 59,700 2,213,079
Jacobs Engineering Group Inc......... 600 39,600
Quanta Services Incorporated*........ 1,000 15,430
--------------
2,268,109
--------------
Electrical Equipment--7.6%
Atmel Corp.*......................... 10,800 79,596
Capstone Turbine Corporation*........ 3,800 20,558
Dentsply International Inc........... 1,200 60,240
Emerson Electric Co.................. 53,100 3,032,010
General Electric Co.................. 1,306,600 52,368,528
Jabil Circuit Inc.*.................. 8,800 199,936
Millipore Corp....................... 3,500 212,450
Plug Power Incorporated*............. 400 3,496
Power One Incorporated*.............. 5,000 52,050
Sanmina Corp.*....................... 24,496 487,470
Tyco International Ltd............... 360,400 21,227,560
--------------
77,743,894
--------------
Industrial Machinery--0.8%
AES Corp.*........................... 292,600 4,784,010
Eaton Corp........................... 1,300 96,733
Ingersoll Rand Co.................... 26,000 1,087,060
Navistar International Corp.......... 48,400 1,911,800
--------------
7,879,603
--------------
Pollution Control--0.0%
Allied Waste Industries Inc.*........ 4,400 61,864
--------------
Railroads & Equipment--0.0%
CH Robinson Worldwide................ 3,800 109,877
--------------
The accompanying notes are an integral part of these financial statements.
F-45
American Bar Association Members/State Street Collective Trust
The accompanying notes are an integral part of these financial statements.
F-61
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- ------------
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Software (Continued)
Nvidia Corporation*......................... 6,200 $ 414,780
Openwave Systems Incorporated*.............. 5,037 49,312
Oracle Corp.*............................... 413,100 5,704,911
Parametric Technology Corp.*................ 16,500 128,865
PeopleSoft Inc.*............................ 16,500 663,300
Peregrine Systems Inc*...................... 10,100 149,783
Priority Healthcare Corp.................... 2,200 77,418
Quest Software Incorporated*................ 1,300 28,743
Retek Incorporated.......................... 3,500 104,545
RSA Security Incorporated*.................. 3,050 53,253
Solectron Corp.*............................ 31,500 355,320
Storage Networks Incorporated............... 5,900 36,462
Sybase Inc.................................. 4,700 74,072
Sycamore Networks Incorporated*............. 2,500 13,400
Synopsys Inc.*.............................. 4,100 242,187
Tibco Software Incorporated*................ 2,500 37,325
Total System Services Inc................... 1,400 29,652
Travelocity.com Incorporated................ 1,200 34,452
WebMD Corporation*.......................... 10,400 73,424
Wind River Systems Inc.*.................... 2,800 50,147
------------
57,096,858
------------
234,964,457
------------
TRANSPORTATION--0.0%
Air Travel--0.0%
Northwest Airlines Inc.*.................... 2,000 31,400
------------
Miscellaneous--0.0%
Expeditores International of Washington Inc. 3,600 205,020
------------
236,420
------------
UTILITIES--2.2%
Electric Utilities--0.7%
Cinergy Corp................................ 34,300 1,146,649
Edison International........................ 205,700 3,106,070
Kinder Morgan Management Llc................ 38,718 1,467,412
Mirant Corporation.......................... 13,700 219,474
NRG Energy Incorporated..................... 97,300 1,508,150
------------
7,447,755
------------
The accompanying notes are an integral part of these financial statements.
F-62
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
--------- --------------
COMMON STOCKS (Continued)
UTILITIES (Continued)
Gas & Pipeline Utilities--0.6%
Aquila Incorporated........................................... 1,600 $ 27,360
Dynegy Incorporated........................................... 13,500 344,250
El Paso Corporation........................................... 6,700 298,887
Kinder Morgan Incorporated Kansas............................. 2,400 133,656
Nisource Incorporated......................................... 48,000 1,106,880
Williams Cos., Inc............................................ 170,590 4,353,457
--------------
6,264,490
--------------
Telephone--0.9%
Allegiance Telecom Incorporated*.............................. 4,900 40,621
American Tower Corp.*......................................... 6,000 56,820
Global Telesystems Group Inc.*................................ 15,300 93
SBC Communications Inc........................................ 86,200 3,376,454
Sprint Corp.*................................................. 209,100 5,104,131
Triton PCS Holdings Incorporated*............................. 1,600 46,960
US Cellular Corp.*............................................ 500 22,625
Western Wireless Corp......................................... 4,700 132,774
--------------
8,780,478
--------------
22,492,723
--------------
TOTAL COMMON STOCK (cost $976,276,213)........................ 1,011,752,235
--------------
GOVERNMENT AND AGENCIES--0.1%
Principal
Amount
---------
United States Treasury Bills 2.15% 1/17/2002 (cost $499,522)** 500,000 499,522
--------------
SHORT TERM INVESTMENTS--0.8%
Units
---------
State Street Bank Yield Enhanced Short Term Investment Fund*** 8,588,527 8,588,697
--------------
TOTAL INVESTMENTS--100.3% (cost $985,364,432)................. 1,020,840,454
Liabilities in excess of other assets--0.3%................... (2,574,734)
--------------
NET ASSETS--100.0%............................................
$1,018,265,720
==============
* Non-income producing security.
** Collateral for margin requirements on open futures contracts.
*** Collective investment fund advised by State Street Global Advisors, a
division of State Street Bank and Trust Company.
ADR An American Depositary receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described.
The accompanying notes are an integral part of these financial statements.
F-63
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
Investments, at value:
State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund
(cost $315,853,248 and units 31,065,982)..................................... $263,532,727
Receivable for fund units sold.................................................... 308,412
------------
Total assets................................................................... 263,841,139
------------
LIABILITIES
Payable for fund units redeemed................................................... 256,076
Payable for investments purchased................................................. 308,412
State Street Bank and Trust Company--program fee payable.......................... 61,433
Trustee, management and administration fees payable............................... 17,804
American Bar Retirement Association--program fee payable.......................... 10,210
Other accruals.................................................................... 9,980
------------
Total liabilities.............................................................. 663,915
------------
Net assets (equivalent to $26.63 per unit based on 9,881,870 units outstanding)... $263,177,224
============
The accompanying notes are an integral part of these financial statements.
F-64
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Operations
For the year
ended
December 31,
2001
------------
Investment Income
Securities lending income received from underlying fund. $ 39,233
------------
Expenses
State Street Bank and Trust Company--program fee........ 758,728
Trustee, management and administration fees............. 208,981
American Bar Retirement Association--program fee........ 121,083
Legal and audit fees.................................... 48,627
Reports to unitholders.................................. 35,057
Registration fees....................................... 29,402
------------
Total expenses...................................... 1,201,878
------------
Net investment loss........................................ (1,162,645)
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss....................................... (3,758,383)
Change in net unrealized appreciation on investments.... (29,226,768)
------------
Net realized and unrealized loss on investments..... (32,985,151)
------------
Net decrease in net assets resulting from operations....... $(34,147,796)
============
The accompanying notes are an integral part of these financial statements.
F-65
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Changes in Net Assets
For the year ended
December 31,
--------------------------
2000 2001
------------ ------------
From operations
Net investment loss.......................................... $ (1,090,909) $ (1,162,645)
Net realized gain (loss) on investments...................... 51,554,089 (3,758,383)
Net change in unrealized appreciation on investments......... (77,895,539) (29,226,768)
------------ ------------
Net increase (decrease) in net assets resulting from
operations............................................. (27,432,359) (34,147,796)
------------ ------------
From unitholder transactions
Proceeds from units sold..................................... 46,126,145 23,187,464
Cost of units redeemed....................................... (26,797,617) (10,827,842)
------------ ------------
Net increase in net assets resulting from unitholder
transactions........................................... 19,328,528 12,359,622
------------ ------------
Net increase (decrease) in net assets.................... (8,103,831) (21,788,174)
Net assets
Beginning of year............................................ 293,069,229 284,965,398
------------ ------------
End of year.................................................. $284,965,398 $263,177,224
============ ============
Number of units
Outstanding--beginning of year............................... 8,828,173 9,434,744
Sold..................................................... 1,419,809 852,480
Redeemed................................................. (813,238) (405,354)
------------ ------------
Outstanding--end of year..................................... 9,434,744 9,881,870
============ ============
The accompanying notes are an integral part of these financial statements.
F-66
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)
For the year ended December 31,
----------------------------------------------------
1997 1998 1999 2000 2001
-------- -------- -------- -------- --------
Investment income*...................... $ .08 $ .09 $ .00** $ -- $ .00**
Net expenses*........................... (.12) (.14) (.11) (.12) (.12)
-------- -------- -------- -------- --------
Net investment income (loss)............ (.04) (.05) (.11) (.12) (.12)
Net realized and unrealized gain (loss)
on investments........................ 5.23 5.15 6.16 (2.88) (3.45)
-------- -------- -------- -------- --------
Net increase (decrease) in unit value... 5.19 5.10 6.05 (3.00) (3.57)
Net asset value at beginning of period.. 16.86 22.05 27.15 33.20 30.20
-------- -------- -------- -------- --------
Net asset value at end of period........ $ 22.05 $ 27.15 $ 33.20 $ 30.20 $ 26.63
======== ======== ======== ======== ========
Ratio of net expenses to average net
assets................................ .62 % .57 % .37 % .37 % .45 %
Ratio of net investment income (loss) to
average net assets.................... (.22)% (.20)% (.37)% (.37)% (.44)%
Portfolio turnover***................... 11 % 94 % 112 % 217 % 7 %
Total return............................ 30.78 % 23.13 % 22.28 % (9.04)% (11.82)%
Net assets at end of period (in
thousands)............................ $153,709 $210,324 $293,069 $284,965 $263,177
* Calculations prepared using the average number of units outstanding during
the period. The calculation includes only those expenses charged directly
to the Fund, and does not include expenses charged to the funds in which
the Fund invests.
** Amounts less than .005 per unit are rounded to zero.
*** Reflects purchases and sales of units of the collective investment fund in
which the Fund invests rather than the turnover of the underlying portfolio
of such collective investments fund.
The accompanying notes are an integral part of these financial statements.
F-67
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
Investment, at value:
PIMCO Total Return Fund (cost $172,415,251 and shares 16,877,775). $176,492,230
Income receivable.................................................... 708,204
------------
Total assets...................................................... 177,200,434
------------
LIABILITIES
Payable for investments purchased............................................... 615,068
Payable for fund units redeemed................................................. 93,136
State Street Bank and Trust Company--program fee payable........................ 41,444
Trustee, management and administration fees payable............................. 11,914
American Bar Retirement Association--program fee payable........................ 6,835
Other accruals.................................................................. 6,783
------------
Total liabilities............................................................ 775,180
------------
Net assets (equivalent to $15.58 per unit based on 11,324,956 units outstanding) $176,425,254
============
The accompanying notes are an integral part of these financial statements.
F-68
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment Income
Dividends............................................... $12,679,010
-----------
Expenses
State Street Bank and Trust Company--program fee........ 471,006
Trustee, management and administrative fees............. 129,183
American Bar Retirement Association--program fee........ 74,769
Reports to unitholders.................................. 21,786
Legal and audit fees.................................... 30,219
Registration fees....................................... 18,272
-----------
Total expenses...................................... 745,235
-----------
Net investment income...................................... 11,933,775
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss....................................... 884,785
Change in net unrealized appreciation................... 1,008,258
-----------
Net realized and unrealized gain on investments..... 1,893,043
-----------
Net increase in net assets resulting from operations....... $13,826,818
===========
The accompanying notes are an integral part of these financial statements.
F-69
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Changes in Net Assets
For the year ended
December 31,
--------------------------
2000 2001
- ------------ ------------
From operations
Net investment income........................................ $ 8,148,391 $ 11,933,775
Net realized gain (loss) on investments...................... (4,395,963) 884,785
Net change in unrealized appreciation on investments......... 11,201,314 1,008,258
------------ ------------
Net increase in net assets resulting from operations..... 14,953,742 13,826,818
------------ ------------
From unitholder transactions
Proceeds from units issued................................... 56,618,640 31,559,803
Cost of units redeemed....................................... (58,311,902) (13,304,648)
------------ ------------
Net increase (decrease) in net assets resulting from
unitholder transactions................................ (1,693,262) 18,255,155
------------ ------------
Net increase in net assets............................... 13,260,480 32,081,973
Net Assets
Beginning of year............................................ 131,082,801 144,343,281
------------ ------------
End of year.................................................. $144,343,281 $176,425,254
============ ============
Number of units
Outstanding--beginning of year............................... 10,239,307 10,100,741
Sold..................................................... 4,447,566 2,111,906
Redeemed................................................. (4,586,132) (887,691)
------------ ------------
Outstanding--end of year..................................... 10,100,741 11,324,956
============ ============
The accompanying notes are an integral part of these financial statements.
F-70
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
---------------------------------------------------
1997 1998 1999 2000 2001
------- -------- -------- -------- --------
Investment income*.................. $ .97 $ 1.12 $ .78 $ .86 $ 1.18
Net expenses+ *..................... (.07) (.06) (.05) (.05) (.07)
------- -------- -------- -------- --------
Net investment income............... .90 1.06 .73 .81 1.11
Net realized and unrealized gain
(loss) on investments .12 .02 (.92) .68 .18
------- -------- -------- -------- --------
Net increase (decrease) in unit
value............................. 1.02 1.08 (.19) 1.49 1.29
Net asset value at beginning of
period............................ 10.89 11.91 12.99 12.80 14.29
------- -------- -------- -------- --------
Net asset value at end of period.... $ 11.91 $ 12.99 $ 12.80 $ 14.29 $ 15.58
======= ======== ======== ======== ========
Ratio of net expenses to average net
assets+........................... .57 % .52 % .37 % .36 % .46 %
Ratio of net investment income to
average net assets 7.93 % 8.50 % 5.71 % 6.07 % 7.29 %
Portfolio turnover **............... 14 % 17 % 22 % 54 % 19 %
Total return........................ 9.37 % 9.07 % (1.46)% 11.64 % 9.03 %
Net assets at end of period
(in thousands)..................... $82,734 $127,867 $131,083 $144,343 $176,425
* Calculations prepared using the average number of units outstanding during
the period. The calculation includes only those expenses charged directly to
the Fund, and does not include expenses charged to the funds in which the
Fund invests.
** Reflects purchases and sales of shares of the registered investment
companies in which the Fund invests rather then the turnover of the
underlying portfolios of such registered investment companies.
+/ The registered investment company in which the Fund invests pays asset
management and administration fees to investment advisors. These fees are
not included in per-unit net expenses or the ratio of net expenses to
average net assets. /
The accompanying notes are an integral part of these financial statements.
F-71
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
Investments, at value (cost $94,541,327)....................................... $88,439,370
Cash........................................................................... 468
Foreign currency, at value (cost $628,806)..................................... 625,297
Receivable for investments sold................................................ 202,184
Receivable for foreign currency sold........................................... 76,724
Receivable for fund shares sold................................................ 25,731
Dividends receivable........................................................... 25,882
Tax reclaims receivable........................................................ 23,674
-----------
Total assets................................................................ 89,419,330
-----------
LIABILITIES
Payable for foreign currency purchased......................................... 76,978
Payable for fund units sold.................................................... 275,633
Investment advisory fee payable................................................ 42,736
State Street Bank and Trust Company--program fee payable....................... 10,403
Trustee, management and administration fees payable............................ 6,012
American Bar Retirement Association--program fee payable....................... 3,456
Other accruals................................................................. 3,394
-----------
Total liabilities........................................................... 418,612
-----------
Net assets (equivalent to $17.04 per unit based on 5,223,849 units outstanding) $89,000,718
===========
The accompanying notes are an integral part of these financial statements.
F-72
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment Income
Dividends (net of tax expense of $60,994)................. $ 1,940,540
Interest.................................................. 89,825
------------
Total investment income............................... 2,030,365
------------
Expenses
State Street Bank and Trust Company--program fee.......... 274,210
Investment advisory fee................................... 187,472
Trustee, management and administration fees............... 75,670
American Bar Retirement Association--program fee.......... 43,860
Reports to unitholders.................................... 12,658
Legal and audit fees...................................... 17,557
Registration fees......................................... 10,616
------------
Total expenses........................................ 622,043
------------
Fee reimbursements:
Investment management fee............................... (48,658)
------------
Net expenses.......................................... 573,385
------------
Net investment income..................................... 1,456,980
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss on investments.......................... (27,936,196)
Net realized loss on foreign currency..................... (279,559)
Change in net unrealized depreciation on investments...... (1,613,889)
Change in net unrealized depreciation on foreign currency. (6,737)
------------
Net realized and unrealized loss on investments....... (29,836,381)
------------
Net decrease in net assets resulting from operations......... $(28,379,401)
============
The accompanying notes are an integral part of these financial statements.
F-73
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Changes in Net Assets
For the year ended
December 31,
----------------------------
2000 2001
------------- -------------
From operations
Net investment income........................................ $ 4,428,270 $ 1,456,980
Net realized (loss) on investments and foreign currency...... (9,118,879) (28,215,755)
Net change in unrealized depreciation on investments......... (17,394,250) (1,620,626)
------------- -------------
Net increase (decrease) in net assets resulting from
operations............................................. (22,084,859) (28,379,401)
------------- -------------
From unitholder transactions
Proceeds from units issued................................... 340,451,657 231,319,759
Cost of units redeemed....................................... (315,932,713) (222,566,751)
------------- -------------
Net increase in net assets resulting from unitholder
transactions........................................... 24,518,944 8,753,008
------------- -------------
Net increase (decrease) in net assets.................... 2,434,085 (19,626,393)
Net Assets
Beginning of year............................................ 106,193,026 108,627,111
------------- -------------
End of year.................................................. $ 108,627,111 $ 89,000,718
============= =============
Number of units
Outstanding--beginning of year............................... 3,756,167 4,729,562
Sold..................................................... 13,313,441 11,670,513
Redeemed................................................. (12,340,046) (11,176,226)
------------- -------------
Outstanding--end of year..................................... 4,729,562 5,223,849
============= =============
The accompanying notes are an integral part of these financial statements.
F-74
American Bar Association Members/State Street Collective Trust
International Equity Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
-------------------------------------------------
1997 1998 1999 2000 2001
------- ------- -------- -------- -------
Investment income*..................... $ 1.11 $ .80 $ 1.52 $ 1.10 $ .41
Net expenses+ *........................ (.09) (.08) (.06) (.11) (.12)
------- ------- -------- -------- -------
Net investment income.................. 1.02 .72 1.46 .99 .29
Net realized and unrealized gain (loss)
on investments....................... (.61) 2.14 5.74 (6.29) (6.22)
------- ------- -------- -------- -------
Net increase (decrease) in unit value.. .41 2.86 7.20 (5.30) (5.93)
Net asset value at beginning of period. 17.80 18.21 21.07 28.27 22.97
------- ------- -------- -------- -------
Net asset value at end of period....... $ 18.21 $ 21.07 $ 28.27 $ 22.97 $ 17.04
======= ======= ======== ======== =======
Ratio of net expenses to average net
assets +............................. .47 % .38 % .27 % .42 % .60 %
Ratio of net investment income to
average net assets................... 5.41 % 3.63 % 6.47 % 3.86 % 1.51 %
Portfolio turnover **.................. 101 % 122 % 199 % 251 % 201 %
Total return........................... 2.30 % 15.71 % 34.17 % (18.75)% (25.82)%
Net assets at end of period (in
thousands)........................... $58,997 $69,575 $106,193 $108,627 $89,001
* Calculations prepared using the average number of units outstanding during
the period. The calculation includes only those expenses charged directly to
the Fund, and does not include expenses charged to the funds in which the
Fund invests.
** Reflects purchases and sales of shares of the registered investment
company in which the Fund invests rather then the turnover of the
underlying portfolio of the registered investment company.
+/ The registered investment company in which the Fund invests pays asset
management and administration fees to its advisor. This fee is not included
in per-unit net expenses or the ratio of net expenses to average net assets.
/
The accompanying notes are an integral part of these financial statements.
F-75
American Bar Association Members/State Street Collective Trust
The accompanying notes are an integral part of these financial statements.
F-78
American Bar Association Members/State Street Collective Trust
International Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
--------- -----------
COMMON STOCK (Continued)
United Kingdom--10.6%
Barclays PLC............................................... 14,500 $ 479,572
BP Amoco................................................... 103,000 799,619
British Sky Broadcast*..................................... 9,000 98,917
Capita Group PLC........................................... 38,800 276,537
Celltech Group PLC*........................................ 16,020 203,553
Compass Group.............................................. 41,800 312,959
ED&F Man Group............................................. 1,500 25,994
GlaxoSmithKline PLC........................................ 47,371 1,186,594
Reckitt & Colman........................................... 54,400 790,867
Royal Bank of Scotland Group PLC........................... 38,000 923,686
Safeway PLC................................................ 83,000 386,129
Shire Pharma Group*........................................ 27,500 343,823
Shire Pharmaceuticals Group Place ADR...................... 2,600 95,160
Tesco PLC.................................................. 288,927 1,045,904
Vodafone Group PLC......................................... 732,000 1,912,865
WPP Group PLC.............................................. 10,350 114,356
Zeneca Group............................................... 10,970 494,074
-----------
9,490,609
-----------
Other--0.5%
Amdocs Limited*............................................ 6,000 203,820
Flextronics International Limited*......................... 9,076 217,733
-----------
421,553
-----------
TOTAL COMMON STOCK (cost $43,757,856)...................... 41,440,415
-----------
REGISTERED INVESTMENT COMPANY--51.9%
T. Rowe Price International Stock Fund (cost $49,961,307).. 4,201,710 46,176,791
-----------
TOTAL EQUITY INVESTMENT SECURITIES (cost $93,719,163)...... 87,617,206
-----------
Units
---------
SHORT TERM INVESTMENTS--0.9%
State Street Bank Yield Enhanced Short-Term Investment Fund
(cost $822,164).......................................... 822,164 822,164
-----------
TOTAL INVESTMENTS--(cost $94,541,327)--99.4%............... 88,439,370
Other assets less liabilities--0.6%........................ 561,348
-----------
NET ASSETS--100.0%......................................... $89,000,718
===========
* Non-income producing security.
ADR An American Depositary receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described.
The accompanying notes are an integral part of these financial statements.
F-79
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
Investments, at value (cost $801,341,778)....................................... $801,341,778
------------
Total assets................................................................. 801,341,778
------------
LIABILITIES
Payable for fund units sold..................................................... 3,174,478
State Street Bank and Trust Company--program fee payable........................ 189,594
Trustee, management and administration fees payable............................. 54,704
American Bar Retirement Association--program fee payable........................ 31,842
Other accruals.................................................................. 31,396
------------
Total liabilities............................................................ 3,482,014
------------
Net assets (equivalent to $1.00 per unit based on 797,859,764 units outstanding) $797,859,764
============
The accompanying notes are an integral part of these financial statements.
F-80
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment Income
Interest................................................................... $45,706,924
-----------
Expenses
State Street Bank and Trust Company--program fee........................... 2,246,194
Trustee, management and administration fees................................ 616,374
American Bar Retirement Association--program fee........................... 356,765
Reports to unitholders..................................................... 103,794
Legal and audit fees....................................................... 143,973
Registration fees.......................................................... 87,053
-----------
Total expenses......................................................... 3,554,153
-----------
Net investment income and net increase in net assets resulting from operations $42,152,771
===========
The accompanying notes are an integral part of these financial statements.
F-81
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Changes in Net Assets
For the year ended
December 31,
----------------------------
2000 2001
------------- -------------
From operations
Net investment income and net increase in net assets resulting
from operations.............................................. $ 43,017,296 $ 42,152,771
------------- -------------
Distributions of net investment income............................ (43,017,296) (42,152,771)
From unitholder transactions (at $1.00 per unit):
Proceeds from units issued..................................... 359,396,469 314,378,973
Units issued in connection with reinvestment of net investment
income....................................................... 43,017,296 42,152,771
Cost of units redeemed......................................... (385,492,367) (285,109,162)
------------- -------------
Net increase (decrease) in net assets resulting from unitholder
transactions.................................................... (26,095,898) 29,269,811
------------- -------------
Net increase in net assets................................. 16,921,398 71,422,582
Net Assets
Beginning of year.............................................. 709,515,784 726,437,182
------------- -------------
End of year.................................................... $ 726,437,182 $ 797,859,764
============= =============
The accompanying notes are an integral part of these financial statements.
F-82
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
------------------------------------------------
1997 1998 1999 2000 2001
-------- -------- -------- -------- --------
Investment income*......................... $ .061 $ .061 $ .059 $ .064 $ .058
Net expenses*.............................. (.007) (.006) (.004) (.004) (.005)
-------- -------- -------- -------- --------
Net investment income...................... .054 .055 .055 .060 .053
Reinvestment of net investment income...... (.054) (.055) (.055) (.060) (.053)
-------- -------- -------- -------- --------
Net asset value at beginning and end of
period................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Ratio of net expenses to average net assets .68% .61% .37% .37% .45%
Ratio of net investment income to average
net assets............................... 5.38% 5.44% 5.50% 6.07% 5.39%
Total return............................... 5.52% 5.59% 5.64% 6.27% 5.56%
Net assets at end of period (in thousands). $634,565 $679,991 $709,516 $726,437 $797,860
* Calculations prepared using the average number of units outstanding during
the period.
The accompanying notes are an integral part of these financial statements.
F-83
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 2001
UNITS OF COLLECTIVE INVESTMENT FUND
State Street Bank ABA Member/Pooled Stable Asset Fund Trust ("SAFT")
(Unit 801,341,778) ** (a)......................................... $801,341,778
------------
TOTAL INVESTMENTS (Cost $801,341,778) (100.4%)...................... 801,341,778
LIABILITIES IN EXCESS OF OTHER ASSETS (.4%)......................... (3,482,014)
------------
NET ASSETS (100.0%)................................................. $797,859,764
============
(a) Stable Asset Return Fund holds 99.04% of SAFT which holds the
following investments:
Effective annual
percentage rate Investments at
2001 Contract Value
---------------- --------------
Investment Contracts (44.09%)
Continental Assurance Company
2 Investment Contracts
(Maturities ranging from May 31, 2002 to December 31, 2002)........ 6.65-6.81% $ 4,037,968
GE Capital Assurance
3 Investment Contracts
(Maturities ranging from March 17, 2003 to May 16, 2005)........... 6.01-7.05 31,654,702
GE Life & Annuity Company
5 Investment Contracts
(Maturities ranging from April 1, 2002 to February 28, 2003)....... 5.64-6.55 19,094,800
Hartford Life Insurance Company
3 Investment Contracts
(Maturities ranging from June 15, 2004 to March 22, 2006).......... 5.77-6.80 31,576,111
Jackson National Life Insurance Company
1 Investment Contract
(Maturities ranging from May 17, 2004 to December 15, 2004)........ 7.71 11,191,031
John Hancock Mutual Life Insurance Company
4 Investment Contracts
(Maturities ranging from April 30, 2002 to January 18, 2005)....... 6.48-7.50 15,961,489
Metropolitan Life Insurance Company
4 Investment Contracts
(Maturities ranging from May 12, 2002 to June 15, 2006)............ 4.70-5.94 44,317,710
Monumental Life Insurance Company
5 Investment Contracts
(Maturities ranging from March 31, 2002 to July 17, 2006).......... 4.39-7.65 38,656,765
New York Life Asset Management
6 Investment Contracts
(Maturities ranging from January 15, 2002 to October 17, 2005)..... 5.31-6.79 30,439,727
Pacific Mutual Life Insurance Company
1 Investment Contract
(Matures January 1, 2002).......................................... 6.91 7,153,450
The accompanying notes are an integral part of these financial statements.
F-84
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 2001
Effective annual Investments at
percentage rate Contract Value
2001 (Note 2)
---------------- --------------
Investment Contracts (Continued)
Principal Mutual Life Insurance Company
8 Investment Contracts
(Maturities ranging from January 15, 2002 to April 15, 2004)..... 5.73-8.08% $ 43,200,976
Protective Life Insurance Company
3 Investment Contracts
(Maturities ranging from February 28, 2002 to August 2, 2004).... 5.42-6.10 13,992,976
Transamerica Asset Management
2 Investment Contracts
(Maturities ranging from July 1, 2002 to September 30, 2002)..... 6.91-7.24 11,531,299
Travelers Insurance Company
7 Investment Contracts
(Maturities ranging from January 31, 2002 to December 15, 2004).. 5.78-7.55 53,895,301
------------
Total Investment Contracts (Cost $356,704,305).................... $356,704,305
============
Synthetic Investment Contracts (23.07%)*
Bank of America
1 Investment Contract
(Maturities ranging from January 17, 2002 to September 15, 2003). 3.92-7.45 $ 402,743
Underlying Security
GMAC Commercial Mtg Securities, 6.79%, 9/15/03
Principal $401,975
Value of underlying security $403,861
Value of Investment Contract ($1,118)
CDC Investment Management
5 Investment Contracts
(Maturities ranging from January 7, 2002 to March 17, 2009)...... 5.36-7.69 42,484,503
Underlying Securities:
Bank of New York Cash Reserve
Units 382,030, Value $382,030
Arcadia Automobile Receivables, 7.20%, 6/15/07
Principal $7,249,687
Value $7,610,201
Residential Funding Mortgage Securities II Inc, 7.79%, 1/25/14
Principal $2,800,000
Value $2,895,764
FHLMC, 5.88%, 6/1/20
Principal $640,333
Value $649,138
FNMA Pool, 6.35%, 6/2/27
Principal $684,861
Value $683,718
The accompanying notes are an integral part of these financial statements.
F-85
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 2001
Effective annual Investments at
percentage rate Contract Value
2001 (Note 2)
---------------- --------------
Synthetic Investment Contracts (Continued)
State Street Bank Mortgage Backed Index Fund**
Units 10,531,683, Value $10,473,752
Daimler Chrysler Auto Trust, 5.32%, 9/6/06
Principal $10,000,000
Value $10,300,800
Sears Credit Account Master Trust II, 5.65%, 3/17/09
Principal $10,000,000
Value $10,411,000
Total value of underlying securities $43,406,403
Value of Investment Contracts ($921,900)
JP Morgan Chase
7 Investment Contracts
(Maturities ranging from January 15, 2002 to April 15, 2010). 3.93-7.35% $27,428,569
Underlying Securities:
Ford Cr. Auto Owner Trust, 6.40%, 10/15/02
Principal $329,988
Value $331,483
American Express Master Trust, 5.90%, 4/15/04
Principal $3,500,000
Value $3,636,150
GMAC 2000-C3 A1, 6.65%, 4/15/10
Principal $8,742,564
Value $9,155,038
Sears Credit Account Master Trust II, 7.25%, 11/15/07
Principal $9,570,000
Value $10,125,251
Honda Auto Receivables 2001-3, 3.96%, 2/19/07
Principal $5,000,000
Value $4,969,550
Total value of underlying securities $28,217,472
Value of Investment Contracts ($ 788,903)
Monumental Life Insurance Company
3 Investment Contracts
(Maturities ranging from January 6, 2002 to January 15, 2009) 5.30-6.95 23,721,417
Underlying Securities:
Daimler Chrysler Auto Trust, 6.82%, 9/6/04
Principal $5,768,000
Value $6,002,758
The accompanying notes are an integral part of these financial statements.
F-86
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 2001
Effective annual Investments at
percentage rate Contract Value
2001 (Note 2)
---------------- --------------
Synthetic Investment Contracts (Continued)
Ford Cr Auto Owner Trust, 6.74%, 6/15/04
Principal $10,000,000
Value $10,361,500
Harley-Davidson Motorcycle Trust, 5.10%, 1/15/09
Principal $7,880,000
Value $8,145,398
Total value of underlying securities $24,509,656
Value of Investment Contracts $(788,239)
Rabobank Nederland NV
3 Investment Contracts
(Maturities ranging from January 8, 2002 to September 12, 2008) 5.13 -7.07% $43,272,228
Underlying Securities:
State Street Bank Asset Backed Index Fund**
Units 1,653,532, Value $24,505,345
Daimler Chrysler Auto Trust, 6.85%, 11/6/05
Principal $10,000,000
Value $10,641,200
PNC Mtg Accep Corp, 7.05%, 9/15/08
Principal $9,455,152
Value $10,056,594
Total value of underlying securities $ 45,203,139
Value of Investment Contracts (1,930,911)
Union Bank of Switzerland
5 Investment Contracts
(Maturities ranging from January 15, 2002 to October 17, 2011). 3.75-7.39 40,097,627
Underlying Securities:
Advanta Credit Card Master Trust, 6.00%, 11/15/05
Principal $11,350,000
Value $11,741,575
Distribution Financial Services Trust, 5.84%, 10/17/11
Principal $5,000,000
Value $5,158,900
Fleet Credit Card Master Trust, 6.90%, 4/16/07
Principal $4,225,000
Value $4,523,919
Ford Motor Credit Auto Owner Trust, 7.00%, 4/2/08
Principal $9,698,884
Value $10,020,111
John Deere Owner Trust, 3.90%, 9/15/08
Principal $9,800,000
Value $9,549,022
The accompanying notes are an integral part of these financial statements.
F-87
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 2001
Effective annual Investments at
percentage rate Contract Value
2001 (Note 2)
---------------- ---------------
Synthetic Investment Contracts (Continued)
Total value of underlying securities $40,993,527
Value of Investment Contracts $(895,900)
Westdeutsche Lbank
2 Investment Contracts
(Maturities ranging from January 17, 2002 to January 15, 2008) 5.97 -7.20% $ 9,221,198
Underlying Securities:
Prudential Secs Secd Fing Corp, 6.07%, 1/15/08
Principal $3,660,117
Value $3,771,640
Citibank Credit Card Master Trust, 5.50%, 2/15/06
Principal $5,595,000
Value $5,797,819
Total value of underlying securities $9,569,459
Value of Investment Contracts (348,261)
------------
Total Synthetic Investment Contracts (Cost $186,628,285)....... 186,628,285
Units Amortized Value
---------------- ---------------
Short-Term Investments (32.84%)
State Street Bank Yield Enhanced
Short-Term Investment Fund**
$265,750,879 cost............................................. 265,750,879 265,750,879
------------
Total Investments of SAFT (Cost $809,083,469).................. $809,083,469
============
* Synthetic investment contracts represent individual assets placed in a trust
with ownership by the Fund and a third party issues a wrapper contract that
provides that holders can, and must, execute transactions at contract value.
Individual assets of the synthetic contracts are valued at representative
quoted market prices. The wrapper is valued as the difference between the
fair value of the assets and contract value of the investment contract.
** Collective investment fund advised by State Street Global Advisors.
The accompanying notes are an integral part of these financial statements.
F-88
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
Investments, at value (cost $ 216,973,714)...................................... $223,098,228
Cash............................................................................ 113
Dividends receivable............................................................ 300,183
Receivable for investments sold................................................. 380,276
------------
Total assets................................................................. 223,778,800
------------
LIABILITIES
Payable for investments purchased............................................... 1,306,999
Payable for fund units redeemed................................................. 948,701
Investment advisory fee payable................................................. 42,938
State Street Bank and Trust Company--program fee payable........................ 51,102
Trustee, management and administration fees payable............................. 14,707
American Bar Retirement Association--program fee payable........................ 8,433
Other accruals.................................................................. 8,277
------------
Total liabilities............................................................ 2,381,157
------------
Net assets (equivalent to $ 26.61 per unit based on 8,321,228 units outstanding) $221,397,643
============
The accompanying notes are an integral part of these financial statements.
F-89
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Operations
For the year
ended
December 31,
2001
------------
Investment Income
Dividends (net of foreign tax expense of $1,702)........ $ 3,552,464
Interest................................................ 198,558
Securities lending income received from underlying fund. 4,706
-----------
Total investment income............................. 3,755,728
-----------
Expenses
Investment advisory fee................................. 479,226
State Street Bank and Trust Company--program fee........ 584,984
Trustee, management and administration fees............. 160,642
American Bar Retirement Association--program fee........ 93,003
Reports to unitholders.................................. 27,047
Legal and audit fees.................................... 37,517
Registration fees....................................... 22,684
-----------
Total expenses.......................................... 1,405,103
-----------
Net investment income...................................... 2,350,625
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain....................................... 7,766,519
Change in net unrealized appreciation................... (9,420,196)
-----------
Net realized and unrealized loss on investments..... (1,653,677)
-----------
Net increase in net assets resulting from operations....... $ 696,948
===========
The accompanying notes are an integral part of these financial statements.
F-90
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Changes in Net Assets
For the year ended
December 31,
--------------------------
2000 2001
------------ ------------
From operations
Net investment income........................................ $ 2,443,640 $ 2,350,625
Net realized gain on investments............................. 17,182,644 7,766,519
Net change in unrealized appreciation on investments......... (12,215,261) (9,420,196)
------------ ------------
Net increase in net assets resulting from operations..... 7,411,023 696,948
------------ ------------
From unitholder transactions
Proceeds from sales of units................................. 68,457,333 73,057,957
Cost of units redeemed....................................... (67,325,502) (39,779,672)
------------ ------------
Net increase in net assets resulting from unitholder
transactions........................................... 1,131,831 33,278,285
------------ ------------
Net increase in net assets............................... 8,542,854 33,975,233
Net assets
Beginning of year............................................ 178,879,556 187,422,410
------------ ------------
End of year.................................................. $187,422,410 $221,397,643
============ ============
Number of units
Outstanding--beginning of year............................... 7,011,036 7,069,321
Sold..................................................... 2,760,541 2,823,267
Redeemed................................................. (2,702,256) (1,571,360)
------------ ------------
Outstanding--end of year..................................... 7,069,321 8,321,228
============ ============
The accompanying notes are an integral part of these financial statements.
F-91
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
-------------------------------------------------
1997 1998 1999 2000 2001
-------- -------- -------- -------- --------
Investment income*..................... $ .47 $ .47 $ .51 $ .50 $ .49
Net expenses**......................... (.17) (.17) (.17) (.16) (.18)
-------- -------- -------- -------- --------
Net investment income.................. .30 .30 .34 .34 .31
Net realized and unrealized gain (loss)
on investments........................ 4.08 3.12 1.64 .66 (.21)
-------- -------- -------- -------- --------
Net increase in unit value............. 4.38 3.42 1.98 1.00 .10
Net asset value at beginning of period. 15.73 20.11 23.53 25.51 26.51
-------- -------- -------- -------- --------
Net asset value at end of period....... $ 20.11 $ 23.53 $ 25.51 $ 26.51 $ 26.61
======== ======== ======== ======== ========
Ratio of net expenses to average
net assets........................... .90% .80% .68% .63% .69%
Ratio of net investment income
to average net assets................ 1.61% 1.39% 1.36% 1.39% 1.15%
Portfolio turnover..................... 13% 27% 27% 41%+ 33%+
Total return........................... 27.84% 17.01% 8.41% 3.92% .38%
Net assets at end of period............ $113,103 $150,783 $178,880 $187,422 $221,398
* Calculations prepared using the average number of units outstanding during
the period.
** The calculation includes only those expenses charged directly to the Fund,
and does not include expenses charged to the funds in which the Fund
invests.
+ With respect to the portion of the Fund's assets invested in a collective
fund in 2000 and 2001, reflects purchases and sales of units of the
collective investment fund rather than the turnover of the underlying
portfolio of such collective investment fund.
The accompanying notes are an integral part of these financial statements.
F-92
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 2001
The accompanying notes are an integral part of these financial statements.
F-96
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- ------------
COMMON STOCK (Continued)
ENERGY (Continued)
Petroleum--1.7%
Ashland Inc.......................... 21,000 $ 967,680
Occidental Petroleum Corp............ 48,300 1,281,399
Phillips Petroleum Co................ 23,900 1,440,214
------------
3,689,293
------------
17,022,246
------------
FINANCE--23.6%
Banks--10.7%
AmSouth Bancorp...................... 49,200 929,880
Bank of America Corp................. 62,337 3,924,114
Bank One Corp........................ 43,612 1,703,049
Charter One Financial Inc............ 30,156 818,735
Fleet Boston Corp.................... 55,033 2,008,705
Golden West Financial Corp........... 15,100 888,635
Huntington Bancshares Inc............ 53,200 914,508
Keycorp.............................. 53,200 1,294,888
National City Corp................... 48,900 1,429,836
Regions Financial Corp............... 45,600 1,365,264
Union Planters Corp.................. 22,500 1,015,425
UnionBanCal Corp..................... 24,200 919,600
U.S. Bancorp......................... 103,800 2,172,534
Wachovia Corporation 2nd New......... 67,500 2,116,800
Wells Fargo & Company................ 49,200 2,137,740
------------
23,639,713
------------
Financial Services--6.9%
American Express Corp................ 14,200 506,798
Bear Stearns & Cos., Inc............. 16,200 949,968
Citigroup Inc........................ 115,302 5,820,445
Countrywide Credit Industries Inc.... 16,100 659,617
Federal Home Loan Mortgage Corp...... 20,100 1,314,540
Federal National Mortgage Association 24,100 1,915,950
J P Morgan Chase & Company........... 38,450 1,397,657
Lehman Brothers Holdings Inc......... 19,600 1,309,280
Merrill Lynch & Co., Inc............. 9,200 479,504
Morgan Stanley Dean Witter & Co...... 16,900 945,386
------------
15,299,145
------------
The accompanying notes are an integral part of these financial statements.
F-97
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------- ------------
COMMON STOCK (Continued)
FINANCE (Continued)
Insurance--5.2%
Aetna Incorporated*................. 9,600 $ 316,704
Allstate Corp....................... 33,000 1,112,100
American International Group Inc.... 10,600 841,640
Chubb Corp.......................... 12,900 890,100
CIGNA Corp.......................... 11,100 1,028,415
MBIA Inc............................ 22,800 1,222,764
Metlife Incorporated................ 36,900 1,168,992
MGIC Investment Corp................ 17,100 1,055,412
SAFECO Corp......................... 27,700 862,855
St. Paul Cos. Inc................... 19,600 861,812
Torchmark Corp...................... 30,200 1,187,766
XL Capital Ltd...................... 11,400 1,041,504
------------
11,590,064
------------
Savings And Loan--0.8%
Washington Mutual Inc............... 54,050 1,767,435
------------
52,296,357
------------
GENERAL BUSINESS--1.8%
Communication Services--1.8%
AT&T Corp.*......................... 63,000 1,142,820
Sprint Corp......................... 44,000 883,520
Worldcom Incorporated*.............. 145,900 2,054,272
------------
4,080,612
------------
TECHNOLOGY--4.6%
Aerospace--0.9%
Goodrich Co......................... 37,300 992,926
Lockheed Martin Corp................ 22,700 1,059,409
------------
2,052,335
------------
Computers & Business Equipment--2.1%
Hewlett Packard Co.................. 57,250 1,175,915
IBM Corp............................ 8,000 967,680
Ingram Micro Inc.*.................. 59,700 1,034,004
Motorola Inc........................ 15,500 232,810
Quantum Corporation*................ 56,200 553,570
Tech Data Corp.*.................... 17,800 770,384
------------
4,734,363
------------
The accompanying notes are an integral part of these financial statements.
F-98
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
------ ------------
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Electronics--1.1%
Adaptec Inc.*...................... 23,400 $ 339,300
Avnet Inc.......................... 39,800 1,013,706
Solectron Corp.*................... 58,090 655,255
Thomas & Betts Corp................ 22,200 469,530
------------
2,477,791
------------
Software--0.5%
Electronic Data Systems Corp....... 14,700 1,007,685
------------
10,272,174
------------
TRANSPORTATION--2.5%
Railroads & Equipment--2.3%
Burlington Northern Santa Fe Inc... 38,300 1,092,699
CSX Corp........................... 39,300 1,377,465
Norfolk Southern Corp.............. 57,300 1,050,309
Union Pacific Corp................. 26,100 1,487,700
------------
5,008,173
------------
Trucking & Freight Forwarding--0.2%
Ryder Systems Inc.................. 16,300 361,045
------------
5,369,218
------------
UTILITIES--7.7%
Electric Utilities--4.3%
Allegheny Energy Inc............... 23,000 833,060
Ameren Corp........................ 20,000 846,000
American Electric Power Co., Inc... 34,960 1,521,809
Cinergy Corp....................... 35,400 1,183,422
CMS Energy Corp.................... 26,200 629,586
Consolidated Edison Inc............ 23,200 936,352
Entergy Corp....................... 6,000 234,660
PG&E Corp.......................... 40,700 783,068
Potomac Electric Power Co.......... 33,500 756,095
Wisconsin Energy Corp.............. 24,000 541,440
Xcel Energy Incorporated*.......... 40,455 1,122,221
------------
9,387,713
------------
The accompanying notes are an integral part of these financial statements.
F-99
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 2001
Shares Value
--------- ------------
COMMON STOCK (Continued)
UTILITIES (Continued)
Gas & Pipeline Utilities--0.4%
FirstEnergy Corp..................................................... 15,300 $ 535,194
Western Resources Inc................................................ 26,100 448,920
------------
984,114
------------
Telephone--3.0%
Bellsouth Corp....................................................... 34,300 1,308,545
SBC Communications Inc............................................... 57,400 2,248,358
Verizon Communications............................................... 63,532 3,015,229
------------
6,572,132
------------
16,943,959
------------
TOTAL COMMON STOCK (cost $157,322,075)............................... 163,106,763
------------
INVESTMENT FUNDS--23.7%
State Street Bank and Trust Company
Russell 1000 Value Index Securities Lending Fund** (cost $52,204,139) 1,849,879 52,543,965
------------
TOTAL EQUITY INVESTMENT SECURITIES (cost $209,526,214)............... 215,650,728
------------
Units
---------
SHORT TERM INVESTMENTS--3.4%
State Street Bank Yield Enhanced Short Term Investment Fund**
(cost $7,447,500).................................................. 7,447,500 7,447,500
------------
TOTAL INVESTMENTS--100.8% (cost $216,973,714)........................ 223,098,228
Liabilities in excess of other assets--(0.8)%........................ (1,700,585)
------------
NET ASSETS--100.0%................................................... $221,397,643
============
* Non-income producing security.
** Collective investment fund advised by State Street Global Advisors, a
division of State Street Bank and Trust Company.
The accompanying notes are an integral part of these financial statements.
F-100
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
State Street Bank collective investment funds, at value:
Stable Asset Return Fund (cost of $ 9,402,727 and units of 9,402,727)....... $ 9,402,727
Intermediate Bond Fund (cost of $ 9,694,804 and units of 704,168)........... 10,969,848
Value Equity Fund (cost of $ 2,057,031 and units of 82,460)................. 2,193,970
Growth Equity Fund (cost of $1,359,230 and units of 48,184)................. 2,193,970
Index Equity Fund (cost of $ 4,826,259 and units of 164,760)................ 4,387,939
International Equity Fund (cost of $ 2,790,291 and units of 128,774)........ 2,193,970
Receivable for investments sold................................................ 108,572
Receivable for fund units sold................................................. 30,108
-----------
Total assets............................................................ 31,481,104
-----------
LIABILITIES
Payable for investments purchased.............................................. 138,680
-----------
Total liabilities....................................................... 138,680
-----------
Net assets (equivalent to $16.44 per unit based on 1,906,106 units outstanding) $31,342,424
===========
The accompanying notes are an integral part of these financial statements.
F-101
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment income.......................................... --
---------
Net Realized and Unrealized Gain on Investments
Net realized loss on investments........................ (216,686)
Change in net unrealized appreciation................... 183,363
---------
Net realized and unrealized gain on investments..... (33,323)
---------
Net decrease in net assets resulting from operations....... $ (33,323)
=========
The accompanying notes are an integral part of these financial statements.
F-102
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Changes in Net Assets
For the year ended
December 31,
------------------------
2000 2001
----------- -----------
From operations
Net investment income................................................... $ -- --
Net realized gain (loss) on investments................................. 1,419,483 (216,686)
Net change in unrealized appreciation on investments.................... (740,248) 183,363
----------- -----------
Net increase (decrease) in net assets resulting from operations..... 679,235 (33,323)
----------- -----------
From unitholder transactions
Proceeds from sales of units............................................ 8,705,954 8,547,324
Cost of units redeemed.................................................. (4,947,141) (7,429,283)
----------- -----------
Net increase in net assets resulting from unitholder
transactions...................................................... 3,758,813 1,118,041
----------- -----------
Net increase in net assets.............................................. 4,438,048 1,084,718
Net assets beginning of year............................................ 25,819,658 30,257,706
----------- -----------
Net assets end of year.................................................. $30,257,706 $31,342,424
=========== ===========
Number of units
Outstanding--beginning of year............................................. 1,608,068 1,839,139
Sold.................................................................... 535,233 525,535
Redeemed................................................................ (304,162) (458,568)
----------- -----------
Outstanding--end of year................................................... 1,839,139 1,906,106
=========== ===========
The accompanying notes are an integral part of these financial statements.
F-103
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31
---------------------------------------------
1997 1998 1999 2000 2001
------- ------- ------- ------- -------
Investment income*................................ $ -- $ -- $ -- $ -- $ --
Expenses*+........................................ (.01) (.01) -- -- --
------- ------- ------- ------- -------
Net investment income (loss)...................... (.01) (.01) -- -- --
Net realized and unrealized gain on investments... 1.52 1.73 1.37 .39 (.01)
------- ------- ------- ------- -------
Net increase in unit value........................ 1.51 1.72 1.37 .39 (.01)
Net asset value at beginning of period............ 11.46 12.97 14.69 16.06 16.45
------- ------- ------- ------- -------
Net asset value at end of period.................. $ 12.97 $ 14.69 $ 16.06 $ 16.45 $ 16.44
======= ======= ======= ======= =======
Ratio of expenses to average net assets+.......... .09% .08% -- -- --
Ratio of net investment loss to average net assets (.09)% (.08)% -- -- --
Portfolio turnover**.............................. 33% 57% 46% 30% 38 %
Total return...................................... 13.18% 13.26% 9.33% 2.43% (0.06)%
Net assets at end of period (in thousands)........ $17,228 $22,731 $25,820 $30,258 $31,342
* Calculations prepared using the average number of units outstanding during
the period.
** Reflects purchases and sales of units of the funds in which the Portfolio
invests rather than turnover of such underlying funds.
+ The calculation includes only those expenses charged directly to the
Portfolio, and does not include expenses charged to the fund in which the
Portfolio invests.
The accompanying notes are an integral part of these financial statements.
F-104
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
State Street Bank collective investment funds, at value:
Stable Asset Return Fund (cost of $ 11,085,548 and units of 11,085,548)..... $ 11,085,548
Intermediate Bond Fund (cost of $ 28,873,795 and units of 2,134,785)........ 33,256,644
Value Equity Fund (cost of $ 11,294,528 and units of 458,311)............... 12,194,103
Growth Equity Fund (cost of $5,224,808 and units of 267,808)................ 12,194,103
Index Equity Fund (cost of $ 27,356,372 and units of 957,361)............... 25,496,760
International Equity Fund (cost of $ 21,372,662 and units of 975,990)....... 16,628,322
Receivable for investments sold................................................ 804,781
------------
Total assets.............................................................. 111,660,261
------------
LIABILITIES
Payable for investments purchased.............................................. 488,105
Payable for units sold......................................................... 316,676
------------
Total liabilities......................................................... 804,781
------------
Net assets (equivalent to $17.27 per unit based on 6,417,587 units outstanding) $110,855,480
============
The accompanying notes are an integral part of these financial statements.
F-105
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Operations
For the year
ended
December 31,
2001
------------
Investment income.......................................... --
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized (loss) on investments...................... (4,746,561)
Change in net unrealized appreciation................... (2,041,599)
-----------
Net realized and unrealized loss on investments..... (6,788,160)
-----------
Net decrease in net assets resulting from operations....... $(6,788,160)
===========
The accompanying notes are an integral part of these financial statements.
F-106
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Changes in Net Assets
For the year ended
December 31,
--------------------------
2000 2001
------------ ------------
From operations
Net investment income................................................... $ -- --
Net realized gain (loss) on investments................................. 9,193,982 (4,746,561)
Net change in unrealized appreciation on investments.................... (11,955,989) (2,041,599)
------------ ------------
Net (decrease) in net assets resulting from operations.............. (2,762,007) (6,788,160)
------------ ------------
From unitholder transactions
Proceeds from sales of units............................................ 27,855,875 12,954,383
Cost of units redeemed.................................................. (17,049,846) (15,698,058)
------------ ------------
Net increase (decrease) in net assets resulting from unitholder
transactions...................................................... 10,806,029 (2,743,675)
------------ ------------
Net increase (decrease) in net assets................................... 8,044,022 (9,531,835)
Net assets at beginning of year......................................... 112,343,293 120,387,315
------------ ------------
Net assets at end of year............................................... $120,387,315 $110,855,480
============ ============
Number of units
Outstanding--beginning of year.......................................... 5,999,864 6,575,412
Sold................................................................ 1,484,217 753,887
Redeemed............................................................ (908,669) (911,712)
------------ ------------
Outstanding--end of year................................................ 6,575,412 6,417,587
============ ============
The accompanying notes are an integral part of these financial statements.
F-107
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
-------------------------------------------------
1997 1998 1999 2000 2001
------- ------- -------- -------- --------
Investment income*........................ $ -- $ -- $ -- $ -- --
Expenses*+................................ (.01) (.01) -- -- --
------- ------- -------- -------- --------
Net investment income (loss).............. (.01) (.01) -- -- --
Net realized and unrealized gain (loss)
on investments........................... 2.01 2.43 2.37 (.41) (1.04)
------- ------- -------- -------- --------
Net increase (decrease) in unit value..... 2.00 2.42 2.37 (.41) (1.04)
Net asset value at beginning of period.... 11.93 13.93 16.35 18.72 18.31
------- ------- -------- -------- --------
Net asset value at end of period.......... $ 13.93 $ 16.35 $ 18.72 $ 18.31 $ 17.27
======= ======= ======== ======== ========
Ratio of expenses to average net assets... .09 % .08 % -- -- --
Ratio of net investment loss to average
net assets............................... (.09)% (.08)% -- -- --
Portfolio turnover**...................... 18 % 31 % 24% 29 % 28 %
Total return.............................. 16.76 % 17.37 % 14.50% (2.19)% (5.68)%
Net assets at end of period (in thousands) $66,095 $84,346 $112,343 $120,387 $110,855
* Calculations prepared using the average number of units outstanding during
the period.
** Reflects purchases and sales of units of the funds in which the Portfolio
invests rather than turnover of such underlying funds.
+ The calculation includes only those expenses charged directly to the
Portfolio, and does not include expenses charged to the fund in which the
Portfolio invests.
The accompanying notes are an integral part of these financial statements.
F-108
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities
December 31,
2001
------------
ASSETS
State Street Bank collective investment funds, at value:
Intermediate Bond Fund (cost of $13,066,950 and units of 954,601)........... $14,871,203
Value Equity Fund (cost of $13,856,212 and units of 558,929)................ 14,871,203
Growth Equity Fund (cost of $4,701,706 and units of 326,603)................ 14,871,203
Index Equity Fund (cost of $30,741,892 and units of 1,116,778).............. 29,742,406
International Equity Fund (cost of $25,540,620 and units of 1,163,810)...... 19,828,270
Aggressive Equity Fund (cost of $5,971,332 and units of 83,031)............. 4,957,068
Receivable for investments sold................................................ 415,881
Receivable for fund units sold................................................. 143,079
-----------
Total assets............................................................ 99,700,313
-----------
LIABILITIES
Payable for investments purchased.............................................. 558,960
-----------
Total liabilities....................................................... 558,960
-----------
Net assets (equivalent to $18.08 per unit based on 5,484,656 units outstanding) $99,141,353
===========
The accompanying notes are an integral part of these financial statements.
F-109
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Operations
For the
year ended
December 31,
2001
------------
Investment income............................................ $ --
------------
Net investment income........................................ --
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized (loss) on investments........................ (8,940,684)
Change in net unrealized appreciation..................... (3,114,697)
------------
Net realized and unrealized (loss) on investments..... (12,055,381)
------------
Net (decrease) in net assets resulting from operations....... $(12,055,381)
============
The accompanying notes are an integral part of these financial statements.
F-110
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Changes in Net Assets
For the year ended
December 31,
--------------------------
2000 2001
------------ ------------
From operations
Net investment loss.................................. $ -- $ --
Net realized gain (loss) on investments.............. 8,399,196 (8,940,684)
Net change in unrealized appreciation on investments. (16,142,907) (3,114,697)
------------ ------------
Net (decrease) in net assets resulting from
operations...................................... (7,743,711) (12,055,381)
------------ ------------
From unitholder transactions
Proceeds from sales of units......................... 26,144,151 12,595,685
Cost of units redeemed............................... (10,165,548) (6,177,309)
------------ ------------
Net increase in net assets resulting from
unitholder transactions......................... 15,978,603 6,418,376
------------ ------------
Net increase (decrease) in net assets............ 8,234,892 (5,637,005)
Net assets at beginning of year......................... 96,543,466 104,778,358
------------ ------------
Net assets at end of year............................... $104,778,358 $ 99,141,353
============ ============
Number of units
Outstanding--beginning of year....................... 4,412,326 5,142,118
Sold............................................. 1,198,539 677,750
Redeemed......................................... (468,747) (335,212)
------------ ------------
Outstanding--end of year............................. 5,142,118 5,484,656
============ ============
The accompanying notes are an integral part of these financial statements.
F-111
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Financial Highlights
(For a unit outstanding throughout the period)
For the year ended December 31,
------------------------------------------------
1997 1998 1999 2000 2001
------- ------- ------- -------- -------
Investment income*.............. $ -- $ -- $ -- $ -- $ --
Expenses*+...................... (.01) (.01) -- -- --
------- ------- ------- -------- -------
Net investment loss............. (.01) (.01) -- -- --
Net realized and unrealized gain
(loss) on investments......... 2.51 3.02 3.96 (1.50) (2.30)
------- ------- ------- -------- -------
Net increase (decrease) in unit
value......................... 2.50 3.01 3.96 (1.50) (2.30)
Net asset value at beginning of
period........................ 12.41 14.91 17.92 21.88 20.38
------- ------- ------- -------- -------
Net asset value at end of period $ 14.91 $ 17.92 $ 21.88 $ 20.38 $ 18.08
======= ======= ======= ======== =======
Ratio of expenses to average net
assets........................ .09 % .08 % -- -- --
Ratio of net investment loss to
average net assets............ (.09)% (.08)% -- -- --
Portfolio turnover**............ 18 % 26 % 22 % 25 % 20 %
Total return.................... 20.15 % 20.19 % 22.09 % (6.86)% (11.29)%
Net assets at end of period (in
thousands).................... $51,868 $66,845 $96,543 $104,778 $99,141
* Calculations prepared using the average number of units outstanding during
the period.
** Reflects purchases and sales of units of the funds in which the Portfolio
invests rather than turnover of such underlying funds.
+ The calculation includes only those expenses charged directly to the
Portfolio, and does not include expenses charged to the fund in which
the Portfolio invests.
The accompanying notes are an integral part of these financial statements.
F-112
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements
1. Description of the Trust
American Bar Association Members/State Street Collective Trust (the "Trust")
was organized on August 8, 1991 under the American Bar Association
Members/State Street Collective Declaration of Trust as amended and restated on
December 5, 1991 and as amended thereafter. State Street Bank and Trust Company
("State Street Bank") acts as trustee for the Trust. The Trust is maintained
exclusively for the collective investment monies administered on behalf of
participants in the American Bar Association Members Retirement Program. Eight
separate collective investment Funds (the "Funds") and the Structured Portfolio
Service (the "Portfolios") are established under the Trust. The Structured
Portfolio Service offers three approaches to diversifying investments by
selecting various allocations among the Funds. The Funds and Portfolios are
investment options under the American Bar Association Members Retirement
Program (the "Program") which is sponsored by the American Bar Retirement
Association ("ABRA"). The objectives and principal strategies of the Funds and
Portfolios are as follows:
Aggressive Equity Fund--long term growth of capital through investment in
common stocks of small to medium sized companies believed to have strong
appreciation potential.
Balanced Fund--current income and long-term capital appreciation through
investment in common stocks, other equity-type securities and debt
securities.
Growth Equity Fund--long term growth of capital and some dividend income
through investment in common stocks and equity-type securities of large,
well established companies.
Index Equity Fund--replication of the total return of the Russell 3000
Index. Currently invests in the State Street Bank and Trust Company Russell
3000 Index Securities Lending Fund (the "Russell Fund"), a separate State
Street Bank collective investment fund. The Russell Fund invests in
securities contained in the Russell 3000 Index. This underlying fund's
financial statements are available upon request from State Street Bank.
Intermediate Bond Fund--total return from current income and capital
appreciation through investment in debt securities. Currently invests in the
PIMCO Total Return Fund (the "Total Return Fund"), a registered investment
company. The Total Return Fund invests primarily in intermediate-term
investment grade bonds. This underlying fund's financial statements are
available upon request from State Street Bank.
International Equity Fund--long term growth of capital through investment
in common stocks and other equity securities of established non-U.S.
companies. Currently invests in international equities and the T. Rowe Price
International Stock Fund, a registered investment company, which invests
worldwide primarily in well-established, non-U.S. companies. This underlying
fund's financial statements are available upon request from State Street
Bank.
Stable Asset Return Fund ("SARF")--current income consistent with
preserving principal and maintaining liquidity through investment in high
quality money market instruments and investment contracts of insurance
companies, banks and financial institutions. Currently invests in the State
Street Bank ABA Members/Pooled Stable Asset Fund Trust ("SAFT"), a separate
State Street Bank collective investment fund. SAFT invests in investment
contracts of insurance companies, banks and financial institutions and in
the State Street Bank Yield Enhanced Short Term Investment Fund, a separate
State Street Bank collective investment fund.
Value Equity Fund--long term growth of capital and dividend income
through investment in common stocks, primarily of large capitalization
companies believed to be undervalued. Currently invests in common stocks and
the State Street Bank and Trust Company Russell 1000 Value Index Securities
Lending Fund, (the "Value Fund") a separate State Street Bank collective
investment fund. A portion of the Value Fund invests in securities contained
in the Russell 1000 Value Index. This underlying fund's financial statements
are available upon request from State Street Bank.
F-113
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Structured Portfolio Service
Conservative--higher current investment income and some capital appreciation.
Moderate--high current investment income and greater capital appreciation.
Aggressive--long term growth of capital and lower current investment income.
Each Structured Portfolio Service achieves its objective through a
pre-determined investment allocation in the Funds. See the Statement of Assets
and Liabilities of each portfolio for Fund allocation at December 31, 2001.
The Trust may offer and sell an unlimited number of units representing
interests in separate Funds and Portfolios of the Trust, each unit to be
offered and sold at the per unit net asset value of the corresponding Fund or
Portfolio.
State Street Bank has assumed responsibility for administering and providing
investment options for the Program. State Street Bank is a trust company
established under the laws of The Commonwealth of Massachusetts and is a
wholly-owned subsidiary of State Street Corporation, a Massachusetts
corporation and a holding company registered under the Federal Bank Holding
Company Act of 1956, as amended.
State Street Bank is responsible for certain recordkeeping and
administrative services required by the Program. In addition, State Street Bank
is the primary custodian, provides account and investment information to
employers and participants, receives all plan contributions, 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
trustees of such plans.
2. Summary of Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements. The
policies are in accordance with accounting principles generally accepted in the
United States and provisions of the Trust agreement:
A. Security Valuation
Stable Asset Return Fund: It is the Trust's policy to attempt to maintain a
constant price of $1.00 per unit for SARF. SARF invests in a State Street Bank
collective investment fund (SAFT) whose investments include insurance company,
bank and financial institution investment contracts and short-term investments.
Consistent with this objective, the short-term portfolio instruments of the
collective investment fund are valued on the basis of amortized cost, which
approximates fair value. 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 on the market value of the instrument. As the contracts are
benefit-responsive and the Fund's investors are participants in qualified
benefit plans, the insurance company, bank and financial institution investment
contracts are maintained at contract value (cost plus accrued interest) which
approximates fair value. The values of investments in collective investment
funds are based on the net asset value of the respective collective investment
fund.
Other Funds: Stocks listed on national securities exchanges and certain
over-the-counter issues traded on the Nasdaq National Market (NASDAQ) are
valued at the last sale price, or, if no sale, at the latest available bid
price. Other unlisted stocks reported on the NASDAQ system are valued at quoted
bid prices.
F-114
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Foreign securities not traded directly or in American Depositary Receipt
(ADR) form in the United States are valued in the local currency at the last
sale price on the respective exchange and are converted into the U.S. dollar
equivalent at current exchange rates.
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.
Fixed income investments are valued on the basis of valuations furnished by
a pricing service approved by the Trustee, which determines valuations using
methods based on market transactions for comparable securities and various
relationships between securities which are generally recognized by
institutional traders, or at fair value as determined in good faith by the
Trustee. If not valued by a pricing service, such securities are valued at
prices obtained from independent brokers. Convertible bonds and unlisted
convertible preferred stocks are valued at bid prices obtained from one or more
major dealers in such securities. Where there is a discrepancy between dealers,
values may be adjusted based on recent discount spreads to the underlying
common stock.
Investments with prices that cannot be readily obtained, if any, are carried
at fair value as determined in good faith under consistently applied procedures
established by and under the supervision of the Trustee.
The values of investments in collective investment funds and registered
investment companies are based on the net asset value of the respective
collective investment fund or registered investment company.
Futures contracts are valued at the last settlement price at the end of each
day on the board of trade or exchange upon which they are traded.
The accounting records of the Funds and Portfolios are maintained in U.S.
dollars. Investment securities and other assets and liabilities denominated in
a foreign currency are translated into U.S. dollars at the prevailing rates of
exchange at period end. Purchases and sales of securities, income and expenses
are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
B. Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date (date 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 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 the Fund invests may retain investment income and net realized gains.
Accordingly, realized and unrealized gains and losses reported by the Fund may
include a component attributable to investment income of the underlying funds.
C. Foreign Currency 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
F-115
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
income accrued and the U.S. dollar amount actually received. The effects of
changes in foreign currency exchange rates on investments in securities 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 and decreases in unrealized
appreciation/depreciation on foreign currency related transactions.
D. Income Taxes
State Street Bank, on behalf of the Trust, has received a favorable
determination letter dated March 9, 1992, from the Internal Revenue Service,
which concluded that the Trust is a trust arrangement described in Rev. Rule.
81-100, 1981, C.B. 326 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.
E. Distributions to Participants
Stable Asset Return Fund: As of the close of business on each daily
valuation date, all net investment income is allocated among the unitholders in
proportion to the number of units held by each unitholder in the fund and is
reinvested on behalf of each such unitholder in new units.
All Other Funds: Pursuant to the Declaration of Trust, the Funds and
Portfolios are not required to distribute their net investment income or gains
from the sale of portfolio investments.
F. Sales and Redemptions of Units of Participation
The units offered represent interests in the Funds and Portfolios
established under the Trust. The Trust may offer and sell an unlimited number
of registered units, each unit to be offered and sold daily at the respective
Fund's and Portfolio's net asset value.
G. TBA Commitments and Roll Transactions
The Balanced 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
Balanced Fund holds, and maintains until the settlement date, cash or liquid
securities in an amount sufficient to meet the purchase price. TBA commitments
may be considered securities in themselves and involve a risk of loss if the
value of the security to be purchased declines prior to the settlement date,
and such risk is in addition to the risk of decline in the value of the
Balanced Fund's other assets. Risks may also arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts. During the period prior to settlement, the Fund will not be
entitled to accrue interest and/or receive principal payments. Unsettled TBA
commitments are valued at the current market value of the underlying
securities, generally according to the procedures under "Security Valuation"
above. The Balanced Fund may dispose of a commitment prior to settlement if the
Balanced Fund's advisor deems it appropriate to do so. Upon settlement date,
the Balanced Fund may take delivery of the securities or defer (roll) the
delivery to the next month.
F-116
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
H. Futures Contracts
The index portion of the Growth Equity Fund may use, on a limited basis,
futures contracts to manage exposure to the equity market and as a substitute
for comparable market positions in the securities 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 if there is an illiquid 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.
A summary of obligations under these financial instruments at December 31,
2001 is as follows:
Number of Expiration Futures Notional Net Unrealized
Contracts Date Contracts Cost Position Appreciation
--------- ---------- --------------------- ---------- -------- --------------
11 March 2002 S&P 500 Index Futures $3,141,741 Long $18,559
At December 31, 2001, the Growth Equity Fund had assigned a U.S. Treasury
Bill, with principal of $500,000, to cover initial margin requirements on any
open futures contracts.
I. Use of Estimates
The preparation of financial statements in accordance with accounting
principles generally accepted 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.
3. Investment Advisory, Investment Management and Related Party Transactions
State Street Bank has retained the services of Capital Guardian Trust
Company, a wholly-owned subsidiary of The Capital Group Companies, Inc.,
Dresdner RCM Global Investors LLC, the institutional investment management area
of Dresdner Bank Group, Sit Investment Associates, Inc., Morgan Stanley
Investment Management, Inc. (successor to Miller Anderson and Sherrerd),
Lincoln Capital Management Company, Alliance Capital Management L.P.'s
Bernstein Investment Research and Management Unit, and Bankers Trust Company, a
wholly-owned subsidiary of Deutsche Bank AG, to advise it with respect to its
investment responsibility and has allocated the assets of certain of the Funds
among the investment advisors. Each investment advisor recommends to State
Street Bank investments and reinvestments of the assets allocated to it in
accordance with the investment policies of the respective Fund as described
above. State Street Bank exercises discretion with respect to the selection and
retention of the investment advisors and may remove, upon consultation with
ABRA, an investment advisor at any time.
F-117
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
A fee is paid to each investment advisor for certain of the Funds based on
the value of the assets allocated to that investment advisor and the respective
breakpoints agreed to in the Advisor's contract. These fees are accrued on a
daily basis and paid monthly from the assets. Actual fees paid to each
investment advisor during the year are disclosed in the prospectus. Fee rate
ranges based on the respective breakpoints are as follows:
Investment Advisor Fee Rate Range
------------------ --------------
Capital Guardian Trust Company (Growth Equity,
Aggressive Equity and Balanced)........................ .225% to .50% *
Dresdner RCM Global Investors LLC (Growth Equity)....... .25% to .70%
Dresdner RCM Global Investors LLC (International Equity) .40% to .75%
Sit Investment Associates (Aggressive Equity)........... .60% to 1.00%
Morgan Stanley Investment Management (Balanced)......... .125% to .50%
Lincoln Capital Management Company (Growth Equity)...... .15% to .4675%
Alliance Capital Management L.P. (Value Equity)......... .15% to .50%
Bankers Trust Company (Growth Equity)................... .010% to .075%
* Subject to a 5% fee reduction based on aggregate fees.
T. Rowe Price International Inc., manager of the T. Rowe Price International
Stock Fund, pays a .10% fee reimbursement based on investment value for
administrative services which is credited to the International Equity Fund. The
International Equity Fund received $48,658 relating to this fee for the year
ended December 31, 2001.
A separate program fee ("Program fee") is paid to each of State Street Bank
and ABRA. These fees are allocated to each Fund based on net asset value and
are accrued on a daily basis and paid monthly from the assets of the Funds. The
ABRA Program fee is based on the value of Program assets based on the following
annual rates:
Rate for ABRA
Year ended
December 31,
Value of Program Assets 2001
----------------------- -------------
First $500 million... .075%
Next $850 million.... .065
Next $1.15 billion... .035
Next $1.5 billion.... .025
Over $4.0 billion.... .015
ABRA received Program fees of $1,568,289 for the year ended December 31,
2001.
A portion of the State Street Bank Program fee is reimbursed or reduced each
year based on the amount of retirement plan assets held by State Street Bank on
behalf of law firm and law-related clients identified by State Street Bank and
ABRA that do not participate in the Program. The amount of the reimbursement is
equal to .02% of the first $50 million of assets in such plans during the
preceding year and .01% of any assets in excess of $50 million. The reduction
for the year ended December 31, 2001 totaled $64,429 and is allocated to each
Fund based on net asset value.
F-118
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
The State Street Program fee is calculated monthly as one-twelfth of the sum
of (a) $750,000 plus (b) $191 multiplied by the number of participants in the
Program, as further defined in the agreement. Effective July 1, 2001 the
program expense fee is calculated as follows: the monthly fee is equal to
one-twelfth of the sum of (i) $750,000 plus (ii) $201 multiplied by the number
of participants in the Program other than active participants without account
balances as of the last business day of the immediately preceding month, plus
(iii) $201 multiplied by the excess, if any, of the number of active
participants of the Program without account balances over the number of such
participants as of December 31, 1998. This fee is accrued daily and is paid
monthly. The $201 amount in the above calculation includes $10 per Participant
for the participant advisor service. See "Contributions and Investment
Selection--Participant Advisor Service."
A fee is paid to State Street Bank for its trustee, management and
administration of the assets in the Funds. This fee is accrued on a daily basis
and paid monthly from the assets of the Funds at the following annual rates:
Value of Assets in all Funds Rate
---------------------------- ----
First $1.0 billion..... .15%
Next $1.8 billion...... .058
Over $2.8 billion...... .025
State Street Bank received trustee, management and administration fees which
aggregated $2,703,538 for the year ended December 31, 2001. These fees are
allocated to each Fund based on net asset value.
The Portfolios are not charged a separate annual fee.
4. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities
excluding U.S. Government and short-term investments were as follows:
Year ended December 31, 2001
-----------------------------
Purchases Sales
-------------- --------------
Aggressive Equity Fund................... $ 165,036,776 $ 186,964,954
Balanced Fund............................ 1,059,690,981 1,047,679,356
Growth Equity Fund....................... 484,453,427 557,463,304
Stable Asset Return Fund................. -- --
Index Equity Fund........................ 29,509,395 17,303,774
Value Equity Fund........................ 100,872,401 67,353,174
International Equity Fund................ 203,940,176 193,917,072
Intermediate Bond Fund................... 62,280,190 30,678,844
Conservative Structured Portfolio Service 12,966,935 11,848,894
Moderate Structured Portfolio Service.... 31,508,737 34,252,412
Aggressive Structured Portfolio Service.. 25,853,341 19,434,964
The aggregate cost of purchases and proceeds from sales of U.S. Government
securities were as follows:
Year ended December 31, 2001
----------------------------
Purchases Sales
----------- -----------
Growth Equity $ 1,875,943 $ 1,710,000
Balanced Fund 23,904,046 11,983,533
F-119
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
5. Geographic and Industry Concentration
American Depositary Receipts ("ADR's") represent ownership of foreign
securities on deposit with a domestic custodian bank. Certain Funds maintain
investments in ADRs, which involve special risks. These securities may be
subject to foreign government taxes that reduce their attractiveness. Other
risks of investing in such securities include political or economic instability
in the country involved, the difficulty of predicting international trade
patterns and the possibility of the imposition of exchange controls. Foreign
issuers generally are not subject to uniform accounting, auditing and financial
reporting standards comparable to those applicable to domestic issuers. There
is generally less regulation of stock exchanges, brokers, banks and companies
abroad than in the United States. With respect to certain foreign countries,
there is a possibility of expropriation or diplomatic developments, which could
adversely affect investment in these countries. ADRs do not lessen the risk of
investing in foreign issuers; however, by investing in ADRs rather than
directly in foreign issuers' stock, the Funds will avoid currency risks during
the settlement period for purchases or sales. In addition, the domestic market
for ADRs may be more liquid than the foreign market for the underlying
securities.
A significant portion of the Aggressive Equity Fund's investments are in
securities of small to medium-sized companies, which typically have greater
market and financial risk than larger, more diversified companies. These
companies are often dependent on one or two products in rapidly changing
industries and may be more vulnerable to competition from larger companies with
greater resources and to economic conditions that affect their market sector.
SARF invests in a collective investment fund that maintains investments in
contracts issued by insurance companies. The issuing institution's ability to
meet its contractual obligations under the respective contracts may be affected
by future economic and regulatory developments in the insurance industry.
6. Revised AICPA Audit Guide
As required, effective January 1, 2001, the Balanced Fund has adopted the
provisions of the AICPA Audit and Accounting Guide for Investment Companies and
began amortizing discount or premium on debt securities. Prior to January 1,
2001, the Fund did not amortize premiums on all debt securities. The cumulative
effect of this accounting change had no impact on total net assets of the Fund,
but resulted in a $72,637 reduction in cost of securities and a corresponding
$72,637 increase in net unrealized appreciation (depreciation), based on
securities held by the Fund on January 1, 2001.
The effect of this change for the year ended December 31, 2001 was to
decrease net investment income by $1,103,809, increase net unrealized
appreciation (depreciation) by $72,637 and increase net realized gains (losses)
by $1,031,172.
F-120
PART II. INFORMATION NOT REQUIRED IN PROSPECTUS
Item 13. Other Expenses of Issuance and Distribution.
The expenses in connection with the issuance and distribution of the
securities being registered are set forth in the following table (all amounts
except the registration fee are estimated):
Registration fee........................................... $ 23,000
Accountant's fees and expenses............................. 227,000
Legal fees and expenses.................................... 100,000
Printing and mailing expenses.............................. 429,000
Blue Sky fees and expenses................................. 125,000
Miscellaneous.............................................. 35,000
--------
Total................................................... $939,000
========
Item 14. Indemnification of Directors and Officers.
State Street's By-Laws provide that State Street shall indemnify each person
who is or was a director, officer, employee or other agent of State Street
against all liabilities, costs and expenses, including but not limited to
amounts paid in satisfaction of judgments, in settlement or as fines and
penalties, and counsel fees and disbursements reasonably incurred by such
persons in connection with the defense or disposition of or otherwise in
connection with or resulting from any action, suit or other proceeding, whether
civil, criminal, administrative or investigative, before any court or
administrative or legislative or investigative body, in which such person may
be or may have been involved as a party or otherwise or with which such person
may be or may have been threatened, while in office or thereafter, by reason of
being or having been such a director, officer, employee, agent or trustee, or
by reason of any action taken or not taken in any such capacity, except with
respect to any matter as to which such person shall have been finally
adjudicated by a court of competent jurisdiction not to have acted in good
faith in the reasonable belief that such action was in the best interests of
State Street.
State Street Corporation, the parent company of State Street, carries
director and officer liability insurance that protects directors and officers
from losses arising out of actual or alleged negligence or imprudent acts or
omissions while they are directing or managing the affairs of State Street
Corporation.
State Street Corporation also carries bankers professional liability
insurance which protects State Street and State Street Corporation against
losses resulting from actual or alleged wrongful acts committed in connection
with rendering a professional service.
Each of the Investment Advisor Agreements between State Street and the
Investment Advisors provides that to the extent permitted by applicable law,
the Investment Advisor agrees to indemnify and hold harmless State Street for
any losses, damages or expenses resulting from (1) any recommendation of the
Investment Advisor or based on information provided by the Investment Advisor,
(2) the Investment Advisor's failure to provide correct and timely information
or to make recommendations on a timely basis as provided in the applicable
Agreement and (3) any disclosure relating to the Investment Advisor or the
services provided by the Investment Advisor with respect to a Fund which the
Investment Advisor has prepared, approved in writing or has not disapproved
within five (5) business days following transmission to a person designated by
the Investment Advisor to review such disclosure; provided, however, that the
Investment Advisor shall not be required to indemnify and hold harmless State
Street to the extent that such losses, damages or expenses result from an act
or omission of the Investment Advisor with respect to which the Investment
Advisor not only has used such care, skill, prudence and diligence as a
reasonably prudent person acting in like capacity and familiar with such
matters would use in the conduct of an enterprise of like character and with
like aims, but also has otherwise acted in accordance with the Investment
Advisor Agreement.
II-1
Item 15 Recent Sales of Unregistered Securities
Since January 1, 1999, the Collective Trust has issued an aggregate of
approximately $2,413,100,232 in unregistered Units. Such Units were offered and
sold in reliance upon the exemption from registration under Rule 180
promulgated under the Securities Act relating to exemption from registration of
interests and participations issued in connection with certain H.R. 10 plans.
Item 16. Exhibits and Financial Statement Schedules.
(a) Exhibits
Exhibit No. Description of Document
----------- -----------------------
3.1 American Bar Association Members/State Street Collective Trust,
Declaration of Trust by State Street Bank and Trust Company, amended
and restated December 5, 1991, included as Exhibit 3.1 to
Registrant's Form S-1 Registration Statement No. 33-50080 and
incorporated herein by reference thereto.
3.2 American Bar Association Members/State Street Collective Trust,
Amendment to Declaration of Trust by State Street Bank and Trust
Company dated July 31, 1995, included as Exhibit 3.2 to Registrant's
Form S-1 Registration Statement No. 33-92120 and incorporated herein
by reference thereto.
3.3 American Bar Association Members/State Street Collective Trust,
Fourth Amended Fund Declaration for the Stable Asset Return Fund,
included as Exhibit 3.3 to the Registrant's Form S-1 Registration
Statement No. 333-69427 and incorporated herein by reference thereto.
3.4 American Bar Association Members/State Street Collective Trust, Third
Amended and Restated Fund Declaration for the Intermediate Bond Fund,
included as Exhibit 3.4 to the Registrant's Form S-1 Registration
Statement No. 333-69427 and incorporated herein by reference thereto.
3.5 American Bar Association Members/State Street Collective Trust,
Fourth Amended and Restated Fund Declaration for the Balanced Fund,
included as Exhibit 3.5 to the Registrant's Form S-1 Registration
Statement No. 333-69427 and incorporated herein by reference thereto.
3.6 American Bar Association Members/State Street Collective Trust, Third
Amended and Restated Fund Declaration for the Value Equity Fund,
included as Exhibit 3.6 to the Registrant's Form S-1 Registration
Statement No. 333-69427 and incorporated herein by reference thereto.
3.7 American Bar Association Members/State Street Collective Trust, Sixth
Amended and Restated Fund Declaration for the Large-Cap Growth Equity
Fund.
3.8 American Bar Association Members/State Street Collective Trust,
Fourth Amended and Restated Fund Declaration for the Index Equity
Fund, included as Exhibit 3.8 to the Registrant's Form S-1
Registration Statement No. 333-69427 and incorporated herein by
reference thereto.
3.9* American Bar Association Members/State Street Collective Trust, Sixth
Amended and Restated Fund Declaration for the Small-Cap Equity Fund.
3.10 American Bar Association Members/State Street Collective Trust,
Fourth Amended and Restated Fund Declaration for the International
Equity Fund included as Exhibit 3.10 to the Registrant's Form S-1
Registration Statement No. 333-57252 and incorporated herein by
reference thereto.
II-2
Exhibit No. Description of Document
----------- -----------------------
3.11 American Bar Association Members/State Street Collective Trust, First
Amended and Restated Fund Declaration for the Structured Portfolio
Service, included as Exhibit 3.11 to the Registrant's Form S-1
Registration Statement No. 333-69427 and incorporated herein by
reference thereto.
3.12* American Bar Association Members/State Street Collective Trust, Fund
Declaration for the Mid-Cap Growth Equity Fund.
3.13* American Bar Association Members/State Street Collective Trust, Fund
Declaration for the Mid-Cap Value Equity Fund.
4.1 American Bar Association Members/State Street Collective Trust,
Declaration of Trust and Fund Declaration for each Fund and the
Structured Portfolio Service, included in Exhibits No. 3.1 through
3.11 above.
5.1* Opinion of Paul, Weiss, Rifkind, Wharton & Garrison regarding the
legality of the Units registered.
5.2* Opinion of Goodwin Procter LLP regarding matters of Massachusetts law.
10.1 Trust Agreement of the American Bar Association Members Retirement
Trust, amended and restated as of January 1, 1992, by and between the
American Bar Retirement Association and State Street Bank and Trust
Company, included as Exhibit 10.1 to Registrant's Form 10-K for the
year ended December 31, 1991 and incorporated herein by reference
thereto.
10.2 Trust Agreement of the American Bar Association Members Pooled Trust
for Retirement Plans, amended and restated as of January 1, 1992, by
and between the American Bar Retirement Association and State Street
Bank and Trust Company, included as Exhibit 10.2 to Registrant's Form
10-K for the year ended December 31, 1991 and incorporated herein by
reference thereto.
10.3 Amendment to the American Bar Association Members Retirement Trust
dated July 31, 1995 by and between the American Bar Retirement
Association and State Street Bank and Trust Company, included as
Exhibit 10.3 to Registrant's Form S-1 Registration Statement No.
33-92120 and incorporated herein by reference hereto.
10.4 Amendment to the American Bar Association Members Pooled Trust for
Retirement Plans dated July 31, 1995 by and between the American Bar
Retirement Association and State Street Bank and Trust Company,
included as Exhibit 10.4 to Registrant's Form S-1 Registration
Statement No. 33-92120 and incorporated herein by reference thereto.
10.5* American Bar Association Members Retirement Plan--Basic Plan Document
No. 01 as amended and related adoption agreements.
10.6* American Bar Association Members Defined Benefit Pension Plan--Basic
Plan Document No. 02 and related adoption agreements.
10.7.1 Administrative and Investment Services Agreement effective January 1,
1999, between State Street Bank and Trust Company and the American
Bar Retirement Association, included as Exhibit 10.7 to the
Registrant's Form S-1 Registration Statement No. 333-69427 and
incorporated herein by reference thereto.
10.7.2 Amendment No. 1 to the Administrative and Investment Services
Agreement between State Street Bank and Trust Company and the
American Bar Retirement Association, included as Exhibit 10.7.2 to
Registrant's Annual Report on Form 10-K for the year ended December
31, 2000 and incorporated herein by reference thereto.
10.7.3** Amendment No. 2 to the Administrative and Investment Services
Agreement between State Street Bank and Trust Company and the
American Bar Retirement Association.
II-3
Exhibit No. Description of Document
----------- -----------------------
10.8 Investment Advisor Agreement effective as of January 1, 1992 by and
between State Street Bank and Trust Company and Capital Guardian
Trust Company, included as Exhibit 10.6 to Registrant's Annual Report
on Form 10-K for the year ended December 31, 1991 and incorporated
herein by reference thereto.
10.9 Investment Advisor Agreement effective as of January 1, 1992 by and
between State Street Bank and Trust Company and RCM Capital
Management, included as Exhibit 10.8 to Registrant's Annual Report on
Form 10-K for the year ended December 31, 1991 and incorporated
herein by reference thereto.
10.10 Investment Advisor Agreement effective as of January 1, 1992 by and
between State Street Bank and Trust Company and Capital Guardian
Trust Company, included as Exhibit 10.9 to Registrant's Annual Report
on Form 10-K for the year ended December 31, 1991 and incorporated
herein by reference thereto.
10.11 Investment Advisor Agreement effective as of January 1, 1992 by and
between State Street Bank and Trust Company and Sit Investment
Associates, Inc., included as Exhibit 10.10 to Registrant's Annual
Report on Form 10-K for the year December 31, 1991 and incorporated
herein by reference thereto.
10.12 Investment Advisor Agreement effective as of October 1, 1992 by and
between State Street Bank and Trust Company and Morgan Stanley
Investment Management (as successor to Miller Anderson & Sherrerd),
included as Exhibit 10.13 to Registrant's Form S-1 Registration
Statement No. 33-50080 and incorporated herein by reference thereto.
10.13 Investment Advisor Agreement effective as of November 1, 1992 by and
between State Street Bank and Trust Company and Lincoln Capital
Management Company, included as Exhibit 10.14 to Registrant's Annual
Report on Form 10-K for the year ended December 31, 1992 and
incorporated herein by reference thereto.
10.14 Investment Advisor Agreement effective as of June 30, 1997 by and
between State Street Bank and Trust Company and Capital Guardian
Trust Company, included as Exhibit 10.1 to Registrant's Quarterly
Report on Form 10-Q for the quarter ended June 30, 1997 and
incorporated herein by reference thereto.
10.15 Investment Advisor Agreement dated July 31, 1995 by and between State
Street Bank and Trust Company and Sanford Bernstein & Co. Inc.,
included as Exhibit 10.17 to Registrant's Form S-1 Registration
Statement No. 33-92120 and incorporated herein by reference thereto.
10.16 Investment Advisor Agreement effective as of May 31, 2000 by and
between State Street Bank and Trust Company and Dresdner RCM Global
Investors LLC, included as Exhibit 10.16 to Registrant's Form S-1
Registration Statement No. 333-57252 and incorporated herein by
reference thereto.
10.17 Investor Advisor Agreement effective as of June 13, 1997 by and
between State Street Bank and Trust Company and Bankers Trust
Company, included as Exhibit 10.2 to the Registrant's Quarterly
Report on Form 10-Q for the quarter ended June 30, 1997 and
incorporated herein by reference thereto.
10.18* Investment Advisor Agreement dated July 15, 2002 by and between State
Street Bank and Trust Company and Ariel Capital Management, Inc.
10.19* Investment Advisor Agreement effective as of July 15, 2002 by and
between State Street Bank and Trust Company and Turner Investment
Partners.
II-4
Exhibit No. Description of Document
----------- -----------------------
23.1* Consent of Paul, Weiss, Rifkind, Wharton & Garrison, included in the
opinion filed as Exhibit 5.1.
23.2* Consent of Goodwin Procter LLP, included in the opinion filed as
Exhibit 5.2.
23.3** Consent of PricewaterhouseCoopers LLP.
24.1** Power of Attorney.
* To be filed by amendment.
** Filed herewith.
(b) Financial Statement Schedules and Related Reports
A Schedule of Investments for each of the Small-Cap Equity Fund, the
Balanced Fund, the Large-Cap Growth Equity Fund and the Large-Cap Value
Equity Fund is filed as part of this Registration Statement. See "Index to
Financial Statements."
All other schedules and reports are omitted because they are not applicable
or not required, or because the information required therein is included in the
financial statements or the notes thereto.
II-5
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the registrant
has duly caused this Registration Statement to be signed on its behalf by the
undersigned, thereunto duly authorized, in the City of Boston, Commonwealth of
Massachusetts, on March 22, 2002.
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
By: /S/ JAMES S. PHALEN
-----------------------------
Name: James S. Phalen
Title: President and Chief
Executive Officer
Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed by the following persons in the
capacities indicated on March 22, 2002.
Signature Title
--------- -----
/S/ JAMES S. PHALEN President and Chief Executive Officer of the
----------------------------- American Bar Association Members/State Street
James S. Phalen Collective Trust (Principal Executive Officer)
/S/ BETH M. HALBERSTADT Vice President and Chief Financial Officer of the
----------------------------- American Bar Association Members/ State Street
Beth M. Halberstadt Collective Trust (Principal Financial Officer)
/S/ SUSAN C. DANIELS Treasurer and Chief Accounting Officer of the
----------------------------- American Bar Association Members/State Street
Susan C. Daniels Collective Trust (Principal Accounting Officer)
II-6
Signature Title
--------- -----
*
-----------------------------
Tenley E. Albright, M.D. Director of State Street Bank and Trust Company
*
-----------------------------
I. MacAllister Booth Director of State Street Bank and Trust Company
-----------------------------
Truman S. Casner Director of State Street Bank and Trust Company
-----------------------------
Nader F. Darehshori Director of State Street Bank and Trust Company
*
-----------------------------
Arthur L. Goldstein Director of State Street Bank and Trust Company
*
-----------------------------
David P. Gruber Director of State Street Bank and Trust Company
*
-----------------------------
Linda A. Hill Director of State Street Bank and Trust Company
-----------------------------
John M. Kucharski Director of State Street Bank and Trust Company
*
-----------------------------
Charles R. LaMantia Director of State Street Bank and Trust Company
II-7
Signature Title
--------- -----
*
-----------------------------
Ronald E. Logue Director of State Street Bank and Trust Company
*
-----------------------------
Dennis J. Picard Director of State Street Bank and Trust Company
*
-----------------------------
Richard P. Sergel Director of State Street Bank and Trust Company
*
-----------------------------
David A. Spina Director of State Street Bank and Trust Company
*
-----------------------------
Gregory L. Summe Director of State Street Bank and Trust Company
-----------------------------
Diana Chapman Walsh Director of State Street Bank and Trust Company
*By /s/ David A. Spina
-------------------------
Name: David A. Spina
Attorney-in-Fact
*By /s/ Maureen Scannell
Bateman
-------------------------
Name: Maureen Scannell
Bateman
Attorney-in-Fact
II-8
EXHIBIT INDEX
Exhibit No. Description of Document
----------- -----------------------
3.1 American Bar Association Members/State Street Collective Trust, Declaration of Trust by
State Street Bank and Trust Company, amended and restated December 5, 1991, included as
Exhibit 3.1 to Registrant's Form S-1 Registration Statement No. 33-50080 and incorporated
herein by reference thereto.
3.2 American Bar Association Members/State Street Collective Trust, Amendment to
Declaration of Trust by State Street Bank and Trust Company dated July 31, 1995, included
as Exhibit 3.2 to Registrant's Form S-1 Registration Statement No. 33-92120 and
incorporated herein by reference thereto.
3.3 American Bar Association Members/State Street Collective Trust, Fourth Amended Fund
Declaration for the Stable Asset Return Fund, included as Exhibit 3.3 to the Registrant's
Form S-1 Registration Statement No. 333-69427 and incorporated herein by reference
thereto.
3.4 American Bar Association Members/State Street Collective Trust, Third Amended and
Restated Fund Declaration for the Intermediate Bond Fund, included as Exhibit 3.4 to the
Registrant's Form S-1 Registration Statement No. 333-69427 and incorporated herein by
reference thereto.
3.5 American Bar Association Members/State Street Collective Trust, Fourth Amended and
Restated Fund Declaration for the Balanced Fund, included as Exhibit 3.5 to the Registrant's
Form S-1 Registration Statement No. 333-69427 and incorporated herein by reference
thereto.
3.6 American Bar Association Members/State Street Collective Trust, Third Amended and
Restated Fund Declaration for the Value Equity Fund, included as Exhibit 3.6 to the
Registrant's Form S-1 Registration Statement No. 333-69427 and incorporated herein by
reference thereto.
3.7* American Bar Association Members/State Street Collective Trust, Sixth Amended and
Restated Fund Declaration for the Large-Cap Growth Equity Fund.
3.8 American Bar Association Members/State Street Collective Trust, Fourth Amended and
Restated Fund Declaration for the Index Equity Fund, included as Exhibit 3.8 to the
Registrant's Form S-1 Registration Statement No. 333-69427 and incorporated herein by
reference thereto.
3.9* American Bar Association Members/State Street Collective Trust, Sixth Amended and
Restated Fund Declaration for the Small-Cap Equity Fund.
3.10 American Bar Association Members/State Street Collective Trust, Fourth Amended and
Restated Fund Declaration for the International Equity Fund included as Exhibit 3.10 to the
Registrant's Form S-1 Registration Statement No. 333-57252 and incorporated herein by
reference thereto.
3.11 American Bar Association Members/State Street Collective Trust, First Amended and
Restated Fund Declaration for the Structured Portfolio Service, included as Exhibit 3.11 to
the Registrant's Form S-1 Registration Statement No. 333-69427 and incorporated herein by
reference thereto.
3.12* American Bar Association Members/State Street Collective Trust, Fund Declaration for the
Mid-Cap Growth Equity Fund.
Exhibit No. Description of Document
----------- -----------------------
3.13* American Bar Association Members/State Street Collective Trust, Fund Declaration for the
Mid-Cap Value Equity Fund.
4.1 American Bar Association Members/State Street Collective Trust, Declaration of Trust and
Fund Declaration for each Fund and the Structured Portfolio Service, included in Exhibits
No. 3.1 through 3.11 above.
5.1* Opinion of Paul, Weiss, Rifkind, Wharton & Garrison regarding the legality of the Units
registered.
5.2* Opinion of Goodwin Procter LLP regarding matters of Massachusetts law.
10.1 Trust Agreement of the American Bar Association Members Retirement Trust, amended and
restated as of January 1, 1992, by and between the American Bar Retirement Association and
State Street Bank and Trust Company, included as Exhibit 10.1 to Registrant's Form 10-K for
the year ended December 31, 1991 and incorporated herein by reference thereto.
10.2 Trust Agreement of the American Bar Association Members Pooled Trust for Retirement
Plans, amended and restated as of January 1, 1992, by and between the American Bar
Retirement Association and State Street Bank and Trust Company, included as Exhibit 10.2
to Registrant's Form 10-K for the year ended December 31, 1991 and incorporated herein by
reference thereto.
10.3 Amendment to the American Bar Association Members Retirement Trust dated July 31, 1995
by and between the American Bar Retirement Association and State Street Bank and Trust
Company, included as Exhibit 10.3 to Registrant's Form S-1 Registration Statement
No. 33-92120 and incorporated herein by reference hereto.
10.4 Amendment to the American Bar Association Members Pooled Trust for Retirement Plans
dated July 31, 1995 by and between the American Bar Retirement Association and State
Street Bank and Trust Company, included as Exhibit 10.4 to Registrant's Form S-1
Registration Statement No. 33-92120 and incorporated herein by reference thereto.
10.5* American Bar Association Members Retirement Plan--Basic Plan Document No. 01 as
amended and related adoption agreements.
10.6* American Bar Association Members Defined Benefit Pension Plan--Basic Plan Document
No. 02 and related adoption agreements.
10.7.1 Administrative and Investment Services Agreement effective January 1, 1999, between State
Street Bank and Trust Company and the American Bar Retirement Association, included as
Exhibit 10.7 to the Registrant's Form S-1 Registration Statement No. 333-69427 and
incorporated herein by reference thereto.
10.7.2 Amendment No. 1 to the Administrative and Investment Services Agreement between State
Street Bank and Trust Company and the American Bar Retirement Association, included as
Exhibit 10.7.2 to Registrant's Annual Report on Form 10-K for the year ended December 31,
2000 and incorporated herein by reference thereto.
10.7.3** Amendment No. 2 to the Administrative and Investment Services Agreement between State
Street Bank and Trust Company and the American Bar Retirement Association.
10.8 Investment Advisor Agreement effective as of January 1, 1992 by and between State Street
Bank and Trust Company and Capital Guardian Trust Company, included as Exhibit 10.6 to
Registrant's Annual Report on Form 10-K for the year ended December 31, 1991 and
incorporated herein by reference thereto.
Exhibit No. Description of Document
----------- -----------------------
10.9 Investment Advisor Agreement effective as of January 1, 1992 by and between State Street
Bank and Trust Company and RCM Capital Management, included as Exhibit 10.8 to
Registrant's Annual Report on Form 10-K for the year ended December 31, 1991 and
incorporated herein by reference thereto.
10.10 Investment Advisor Agreement effective as of January 1, 1992 by and between State Street
Bank and Trust Company and Capital Guardian Trust Company, included as Exhibit 10.9 to
Registrant's Annual Report on Form 10-K for the year ended December 31, 1991 and
incorporated herein by reference thereto.
10.11 Investment Advisor Agreement effective as of January 1, 1992 by and between State Street
Bank and Trust Company and Sit Investment Associates, Inc., included as Exhibit 10.10 to
Registrant's Annual Report on Form 10-K for the year December 31, 1991 and incorporated
herein by reference thereto.
10.12 Investment Advisor Agreement effective as of October 1, 1992 by and between State Street
Bank and Trust Company and Morgan Stanley Investment Management (as successor to
Miller Anderson & Sherrerd), included as Exhibit 10.13 to Registrant's Form S-1 Registration
Statement No. 33-50080 and incorporated herein by reference thereto.
10.13 Investment Advisor Agreement effective as of November 1, 1992 by and between State Street
Bank and Trust Company and Lincoln Capital Management Company, included as Exhibit
10.14 to Registrant's Annual Report on Form 10-K for the year ended December 31, 1992
and incorporated herein by reference thereto.
10.14 Investment Advisor Agreement effective as of June 30, 1997 by and between State Street Bank
and Trust Company and Capital Guardian Trust Company, included as Exhibit 10.1 to
Registrant's Quarterly Report on Form 10-Q for the quarter ended June 30, 1997 and
incorporated herein by reference thereto.
10.15 Investment Advisor Agreement dated July 31, 1995 by and between State Street Bank and
Trust Company and Sanford Bernstein & Co. Inc., included as Exhibit 10.17 to Registrant's
Form S-1 Registration Statement No. 33-92120 and incorporated herein by reference thereto.
10.16 Investment Advisor Agreement effective as of May 31, 2000 by and between State Street Bank
and Trust Company and Dresdner RCM Global Investors LLC, included as Exhibit 10.16 to
Registrant's Form S-2 Registration Statement No. 333-57252 and incorporated herein by
reference thereto.
10.17 Investor Advisor Agreement effective as of June 13, 1997 by and between State Street Bank
and Trust Company and Bankers Trust Company, included as Exhibit 10.2 to the Registrant's
Quarterly Report on Form 10-Q for the quarter ended June 30, 1997 and incorporated
herein by reference thereto.
10.18* Investment Advisor Agreement dated July 15, 2002 by and between State Street Bank and
Trust Company and Ariel Capital Management, Inc.
10.19* Investment Advisor Agreement effective as of July 15, 2002 by and between State Street Bank
and Trust Company and Turner Investment Partners.
23.1* Consent of Paul, Weiss, Rifkind, Wharton & Garrison, included in the opinion filed as
Exhibit 5.1.
23.2* Consent of Goodwin Procter LLP, included in the opinion filed as Exhibit 5.2.
23.3** Consent of PricewaterhouseCoopers LLP.
24.1** Power of Attorney.
* To be filed by amendment.
** Filed herewith.
Exhibit 10.7.3
AMENDMENT NO. 2
TO
ADMINISTRATIVE AND INVESTMENT SERVICES AGREEMENT
(As Amended and Restated)
THIS AMENDMENT NO. 2 TO THE ADMINISTRATIVE AND INVESTMENT SERVICES
AGREEMENT between STATE STREET BANK AND TRUST COMPANY ("`State Street") and the
AMERICAN BAR RETIREMENT ASSOCIATION ("ABRA") is effective as of the 2nd day of
July, 2001.
W I T N E S S E T H:
WHEREAS, State Street and ABRA have heretofore entered into an
Administrative and Investment Services Agreement dated November 9, 1998 (the
"Agreement");
WHEREAS, the parties desire to amend the Agreement to provide for the
inclusion in the Program of investment allocation advice to Program
Participants.
WHEREAS, Section 16.07 of the Agreement permits the Agreement to be
amended by a written instrument executed by ABRA and State Street.
NOW, THEREFORE, in consideration of the mutual covenants,
representations, warranties and undertakings, and subject to the terms and
conditions, hereinafter set forth, the parties hereto agree as follows:
1. All capitalized terms used but not defined herein shall have the
respective meanings assigned to such terms by the Agreement.
2. The definition of "Investment Advisor" contained in Section 1.29
of AISA is amended to read as follows:
"1.29 Investment Advisor" means any person or entity (other than
State Street) engaged by State Street pursuant to Section 2.02 to
make recommendations (i) to State Street regarding the acquisition or
disposition of assets held in a Fund, or (ii) to Participants
regarding the allocations of the assets held on their behalf under
the Trusts among the Funds."
3. Section 2.02 of AISA is amended to read as follows:
"2.02 Investment Advisors. State Street may engage one or more
Investment Advisors only in accordance with the following procedures
and subject to the provisions of Sections 2.04, 2.05, 2.06 and 2.08:
(a) With respect to Investment Advisors described in clause (i) of
Section 1.29, subject to Section 4.02:
(i) Each Investment Advisor, if any, shall be identified
in the appropriate Fund Declaration or attachment thereto;
(ii) State Street shall enter into an Investment Advisor
Agreement with each such Investment Advisor, which Investment Advisor
Agreement shall include, among other things (A) representations that
the Investment Advisor is registered or exempt under, or excluded
from, the Investment Advisors Act of 1940, as amended, and is in the
business of acting as a fiduciary with respect to assets of various
retirement plans and trusts and (B) an acknowledgment in writing that
the Investment Advisor is a fiduciary as defined in ERISA with
respect to the applicable assets of the Plans and the Trusts, and
each such agreement may include supplemental guidelines governing the
Investment Advisor's activities;
(iii) If more than one such Investment Advisor is engaged
to advise State Street with respect to a single Fund, each applicable
Investment Advisor Agreement shall designate the portion of the
assets of, contributions and transfers to, and withdrawals and
transfers from such Fund to be allocated to each Investment Advisor;
and
(iv) Such an Investment Advisor shall not be permitted to
take any action with respect to any Fund that, in the reasonable
opinion of State Street, would cause the Fund to cease to qualify as
a fund maintained by a bank within the meaning of (A) Section
3(c)(11) of the Investment Company Act of 1940, as amended, and
successor provision thereto, and (B) Section 3(a)(2) of the
Securities Act of 1933, as amended, and any successor provision
thereto."
(b) With respect to Investment Advisors described in
clause (ii) of Section 1.29, State Street shall enter into an
agreement with any such Investment Advisor, which agreement shall
include, among other things, that the Investment Advisor is an
"investment manager" as defined in section 3(37) of ERISA and is in
the business of acting as a fiduciary providing investment allocation
advice to
2
participants in various retirement plans and trusts and shall
otherwise be in a form approved by ABRA, which approval shall not be
unreasonably withheld."
4. The last sentence of Section 2.04 is amended to read as follows:
"State Street shall give full consideration, and in the case of an
Investment Advisor described in clause (ii) of Section 1.29, due
deference, to each Investment Advisor Recommendation of ABRA and
shall respond to ABRA, no later than thirty (30) days after the date
of State Street's receipt to such Investment Advisor Recommendation,
as to whether, in what manner, and on what time frame such
appointment or reallocation will be effected and the reasons for such
response."
5. The second sentence of Section 2.05 is amended to read as follows:
"State Street shall give full consideration, and in the case of an
Investment Advisor described in clause (ii) of Section 1.29, due
deference, to each Investment Advisor Removal Recommendation of ABRA
and shall respond to ABRA, no later than thirty (30) days after the
date of State Street's receipt to such Investment Advisor
Recommendation, as to whether, in what manner, and on what time frame
such action will be taken with respect to such Investment Advisor and
the reasons therefor."
6. The changes made by this Amendment No. 2 shall be effective for
the period beginning on July 2, 2001 and shall terminate upon the
termination of any Investment Advisor described in clause (ii) of
Section 1.29.
3
IN WITNESS WHEREOF, this instrument has been signed on behalf of each
of the parties hereto on this 2nd day of July 2001.
We hereby consent to the use in the Prospectus constituting part of this
Registration Statement on Form S-1 of our report dated March 13, 2002, relating
to the financial statements and financial highlights of the Aggressive Equity
Fund, Balanced Fund, Growth Equity Fund, Index Equity Fund, Intermediate Bond
Fund, International Equity Fund, Stable Asset Return Fund, Value Equity Fund,
Conservative Structured Portfolio Service, Moderate Structured Portfolio
Service and Aggressive Structured Portfolio Service, each a fund or portfolio
of the American Bar Association Members/State Street Collective Trust, which
appears in such Prospectus. We also consent to references to us under the
headings "Summary Financial Data" and "Experts" in the Prospectus.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
March 22, 2002
Exhibit 24.1
POWER OF ATTORNEY
KNOW ALL MEN BY THESE PRESENTS THAT we, the undersigned Directors of State
Street Bank and Trust Company, hereby appoint David A. Spina, Ronald E. Logue,
John R. Towers and Maureen Scannell Bateman, and each of them, as attorneys and
agents for the undersigned with full power to them, and any two of them acting
together, for and in the name, place and stead of the undersigned, until
revoked in writing, to sign and file with the Securities and Exchange
Commission (the "Commission") under the Securities Act of 1933, as amended (the
"Securities Act"), the Registration Statement on Form S-1 (the "Registration
Statement") of the American Bar Association Members/State Street Collective
Trust (the "Collective Trust"), and any and all amendments (including
post-effective amendments), applications, instruments and other documents to be
filed with the Commission pertaining to the Registration Statement, and
generally with full power and authority to do and perform any and all such acts
and things whatsoever requisite or desirable in the names and in the capacities
of the undersigned to enable State Street Bank and Trust Company and the
Collective Trust to comply with the provisions of the Securities Act. This
Power of Attorney may be executed in any number of counterparts, all of which
together shall constitute one and the same document.
Witness our hands as of March 21, 2002.
Signature Capacity
/s/ Tenley E. Albright, M.D. Director of State Street Bank and Trust Company
-----------------------------
Tenley E. Albright, M.D.
/s/ I. MacAllister Booth Director of State Street Bank and Trust Company
-----------------------------
I. MacAllister Booth
----------------------------- Director of State Street Bank and Trust Company
Truman S. Casner
----------------------------- Director of State Street Bank and Trust Company
Nader F. Darehshori
/s/ Arthur L. Goldstein Director of State Street Bank and Trust Company
-----------------------------
Arthur L. Goldstein
/s/ David P. Gruber Director of State Street Bank and Trust Company
-----------------------------
David P. Gruber
/s/ Linda A. Hill Director of State Street Bank and Trust Company
-----------------------------
Linda A. Hill
----------------------------- Director of State Street Bank and Trust Company
John M. Kucharski
/s/ Charles R. LaMantia Director of State Street Bank and Trust Company
-----------------------------
Charles R. LaMantia
Signature Capacity
--------- --------
/s/ Ronald E. Logue Director of State Street Bank and Trust Company
-----------------------------
Ronald E. Logue
/s/ Dennis J. Picard Director of State Street Bank and Trust Company
-----------------------------
Dennis J. Picard
/s/ Richard P. Sergel Director of State Street Bank and Trust Company
-----------------------------
Richard P. Sergel
/s/ David A. Spina Director of State Street Bank and Trust Company
-----------------------------
David A. Spina
/s/ Gregory L. Summe Director of State Street Bank and Trust Company
-----------------------------
Gregory L. Summe
----------------------------- Director of State Street Bank and Trust Company
Diana Chapman Walsh
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