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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
------------------------
FORM 10-Q
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the quarterly period ended March 31, 2003.
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the transition period from __________ to __________
Commission file number 333-104043
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
(Exact name of registrant as specified in its charter)
---------------
Massachusetts 04-6691601
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
225 Franklin Street 02110
Boston, Massachusetts (ZIP Code)
(Address of principal executive
offices)
Registrant's telephone number : (617) 786-3000
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act: None
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that
the registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days. Yes X No __
Indicate by check mark whether the registrant is an accelerated filer
(as defined in Rule 12b-2 of the Exchange Act) Yes X No __
TABLE OF CONTENTS
Page
----
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements (Unaudited)........................1
Balanced Fund
Statement of Assets and Liabilities .....................1
Statement of Operations .................................2
Statement of Changes in Net Assets ......................3
Per-Unit Data and Ratios ................................4
Index Equity Fund
Statement of Assets and Liabilities .....................5
Statement of Operations .................................6
Statement of Changes in Net Assets ......................7
Per-Unit Data and Ratios ................................8
Intermediate Bond Fund
Statement of Assets and Liabilities .....................9
Statement of Operations ................................10
Statement of Changes in Net Assets .....................11
Per-Unit Data and Ratios ...............................12
International Equity Fund
Statement of Assets and Liabilities ....................13
Statement of Operations ................................14
Statement of Changes in Net Assets .....................15
Per-Unit Data and Ratios ...............................16
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities ....................17
Statement of Operations ................................18
Statement of Changes in Net Assets .....................19
Per-Unit Data and Ratios ...............................20
Large-Cap Value Equity Fund
Statement of Assets and Liabilities ....................21
Statement of Operations ................................22
Statement of Changes in Net Assets .....................23
Per-Unit Data and Ratios ...............................24
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities ....................25
Statement of Operations ................................26
Statement of Changes in Net Assets .....................27
Per-Unit Data and Ratios ...............................28
Mid-Cap Value Equity Fund
Statement of Assets and Liabilities ....................29
Statement of Operations ................................30
Statement of Changes in Net Assets .....................31
Page
----
Per-Unit Data and Ratios ...............................32
Small-Cap Equity Fund
Statement of Assets and Liabilities ....................33
Statement of Operations ................................34
Statement of Changes in Net Assets .....................35
Per-Unit Data and Ratios ...............................36
Stable Asset Return Fund
Statement of Assets and Liabilities ....................37
Statement of Operations ................................38
Statement of Changes in Net Assets .....................39
Per-Unit Data and Ratios ...............................40
Structured Portfolio Service - Conservative Portfolio
Statement of Assets and Liabilities ....................41
Statement of Operations ................................42
Statement of Changes in Net Assets .....................43
Per-Unit Data and Ratios ...............................44
Structured Portfolio Service - Moderate Portfolio
Statement of Assets and Liabilities ....................45
Statement of Operations ................................46
Statement of Changes in Net Assets .....................47
Per-Unit Data and Ratios ...............................48
Structured Portfolio Service - Aggressive Portfolio
Statement of Assets and Liabilities ....................49
Statement of Operations ................................50
Statement of Changes in Net Assets .....................51
Per-Unit Data and Ratios ...............................52
Notes to Unaudited Financial Statements .......................53
Item 2. Management's Discussion and Analysis of
Financial Conditions and Results of Operations ........66
Item 4. Procedures and Controls ...............................69
PART II. OTHER INFORMATION
Item 2. Changes in Securities and Use of Proceeds .............70
Item 5. Other Information .....................................70
Item 6. Exhibits and Reports on Form 8-K ......................71
SIGNATURES ............................................................72
CERTIFICATIONS ........................................................73
PART I. FINANCIAL INFORMATION.
Item 1. FINANCIAL STATEMENTS (UNAUDITED)
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $443,746,662) $415,888,722
Cash 648,204
Receivable for investments sold 17,911,125
Receivable for fund units sold 0
Dividends and interest receivable 1,155,085
Other assets 5,599
------------------------
Total assets 435,608,735
------------------------
Liabilities
Payable for investments purchased 72,791,190
Payable for fund units purchased 2,625,984
Accrued expenses 289,219
Other liabilities 9,643
------------------------
Total liabilities 75,716,036
------------------------
Net Assets $359,892,699
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($359,892,699/ 6,240,226 units outstanding) $57.67
========================
The accompanying notes are an integral part of these financial statements.
1
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $723,278
Interest income 1,723,402
------------------------
Total investment income 2,446,680
Expenses:
Investment advisory fee 209,438
State Street Bank and Trust Company - program fee 320,020
American Bar Retirement Association - program fee 44,276
Trustee, management and administration fees 77,481
Other expenses 50,392
------------------------
Total expenses 701,607
------------------------
Net investment income 1,745,073
------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold (3,020,376)
Unrealized depreciation of investments during the period 1,510,209
------------------------
Net loss on investments (1,510,167)
------------------------
Net increase in net assets resulting from operations $234,906
========================
The accompanying notes are an integral part of these financial statements.
2
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $1,745,073
Net realized gain (loss) on investments (3,020,376)
Unrealized depreciation of investments during the period 1,510,209
------------------------
Net increase in net assets resulting from operations 234,906
------------------------
Participant transactions:
Proceeds from sales of units 4,358,970
Cost of units redeemed (14,035,359)
Net decrease in net assets resulting from participant transactions (9,676,389)
------------------------
Total decrease in net assets (9,441,483)
Net Assets:
Beginning of period 369,334,182
------------------------
End of period $359,892,699
========================
Number of units:
Outstanding-beginning of period 6,408,195
Sold 75,610
Redeemed (243,579)
Outstanding-end of period 6,240,226
========================
The accompanying notes are an integral part of these financial statements.
3
American Bar Association Members/State Street Collective Trust
Balanced Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.39
Expenses (0.11)
------------------------
Net investment income 0.28
Net realized and unrealized loss on investments (0.24)
------------------------
Net increase in unit value 0.04
Net asset value at beginning of period 57.63
------------------------
Net asset value at end of period $57.67
========================
Ratio of expenses to average net assets* 0.78%
Ratio of net investment income to average net assets* 1.94%
Portfolio turnover** 43%
Total return 0.08%
Number of units outstanding at end of period (in thousands) 6,240
- -----------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
4
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $326,089,092) $219,215,505
Cash 75,975
Receivable for investments sold 0
Receivable for fund units sold 0
Dividends and interest receivable 0
Other assets 1,319
------------------------
Total assets 219,292,799
------------------------
Liabilities
Payable for investments purchased 75,975
Payable for fund units purchased 2,007,952
Accrued expenses 103,313
Other liabilities 24
------------------------
Total liabilities 2,187,264
------------------------
Net Assets $217,105,535
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($217,105,535/10,775,845 units outstanding) $20.15
========================
The accompanying notes are an integral part of these financial statements.
5
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $0
Interest income 0
Securities Lending income 12,778
------------------------
Total investment income 12,778
Expenses:
Investment advisory fee 0
State Street Bank and Trust Company - program fee 191,420
American Bar Retirement Association - program fee 26,494
Trustee, management and administration fees 46,356
Other expenses 30,146
------------------------
Total expenses 294,416
------------------------
Net investment loss (281,638)
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (1,875,179)
Unrealized depreciation of investments during the period (5,142,910)
------------------------
Net loss on investments (7,018,089)
------------------------
Net decrease in net assets resulting from operations $(7,299,727)
========================
The accompanying notes are an integral part of these financial statements.
6
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss ($281,638)
Net realized loss on investments (1,875,179)
Unrealized depreciation of investments during the period (5,142,910)
------------------------
Net decrease in net assets resulting from operations (7,299,727)
------------------------
Participant transactions:
Proceeds from sales of units 9,159,226
Cost of units redeemed (4,376,013)
Net increase in net assets resulting from participant transactions 4,783,213
------------------------
Total decrease in net assets (2,516,514)
Net Assets:
Beginning of period 219,622,049
------------------------
End of period $217,105,535
========================
Number of units:
Outstanding-beginning of period 10,551,355
Sold 444,967
Redeemed (220,477)
Outstanding-end of period 10,775,845
========================
The accompanying notes are an integral part of these financial statements.
7
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.00
Expenses (0.03)
------------------------
Net investment income (loss) (0.03)
Net realized and unrealized gain (loss) on investments (0.63)
------------------------
Net increase (decrease) in unit value (0.66)
Net asset value at beginning of period 20.81
------------------------
Net asset value at end of period $20.15
========================
Ratio of expenses to average net assets* 0.55%
Ratio of net investment income to average net assets* (0.52%)
Portfolio turnover** 1%
Total return (3.21%)
Number of units outstanding at end of period (in thousands) 10,776
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. Reflects purchases and sales of units of the collective investment
fund in which the fund invests, rather than turnover of the underlying
portfolio of such collective investment fund.
The accompanying notes are an integral part of these financial statements.
8
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $279,360,827) $284,487,051
Cash 23,833,472
Receivable for investments sold 14,731,789
Receivable for foreign currency sold 16,867,715
Receivable for fund units sold 193,023
Dividends and interest receivable 1,278,141
Other assets 1,350
------------------------
Total assets 341,392,541
------------------------
Liabilities
Payable for investments purchased 87,440,664
Payable for foreign currency purchased 16,721,644
Payable for fund units purchased 1,453,083
Accrued expenses 176,112
Written options value (premium 213,541) 225,236
Other liabilities 0
------------------------
Total liabilities 106,016,739
------------------------
Net Assets $235,375,802
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($235,375,802/13,383,427 units outstanding) $17.59
========================
The accompanying notes are an integral part of these financial statements.
9
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $0
Interest income 2,129,343
------------------------
Total investment income 2,129,343
Expenses:
Investment advisory fee 162,893
State Street Bank and Trust Company - program fee 199,425
American Bar Retirement Association - program fee 27,550
Trustee, management and administration fees 48,209
Other expenses 31,359
------------------------
Total expenses 469,436
------------------------
Net investment income 1,659,907
------------------------
Realized and unrealized gain on investments:
Net realized gain on investments sold 378,778
Unrealized appreciation of investments during the period 1,517,225
------------------------
Net gain on investments 1,896,003
------------------------
Net increase in net assets resulting from operations $3,555,910
========================
The accompanying notes are an integral part of these financial statements.
10
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $1,659,907
Net realized gain on investments 378,778
Unrealized appreciation of investments during the period 1,517,225
------------------------
Net increase in net assets resulting from operations 3,555,910
------------------------
Participant transactions:
Proceeds from sales of units 20,498,390
Cost of units redeemed (4,606,681)
Net increase in net assets resulting from participant transactions 15,891,709
------------------------
Total increase in net assets 19,447,619
Net Assets:
Beginning of period 215,928,183
------------------------
End of period $235,375,802
========================
Number of units:
Outstanding-beginning of period 12,473,074
Sold 1,174,052
Redeemed (263,699)
Outstanding-end of period 13,383,427
========================
The accompanying notes are an integral part of these financial statements.
11
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.17
Expenses (0.04)
------------------------
Net investment income 0.13
Net realized and unrealized gain on investments 0.15
------------------------
Net increase in unit value 0.28
Net asset value at beginning of period 17.31
------------------------
Net asset value at end of period $17.59
========================
Ratio of expenses to average net assets* 0.84%
Ratio of net investment income to average net assets* 2.97%
Portfolio turnover** 134%
Total return 1.59%
Number of units outstanding at end of period (in thousands) 13,383
- -----------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
12
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $38,764,977) $34,787,054
Cash 1,227,736
Receivable for investments sold 38,734,379
Receivable for fund units sold 735,981
Dividends and interest receivable 186,957
Other assets 38,136
------------------------
Total assets 75,710,243
------------------------
Liabilities
Payable for investments purchased
Payable for fund units purchased 877,331
Accrued expenses 75,910
Other liabilities 23,796
------------------------
Total liabilities 977,037
------------------------
Net Assets $74,733,206
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($74,733,206/6,017,637 units outstanding) $12.42
========================
The accompanying notes are an integral part of these financial statements.
13
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income (net of taxes withheld $29,415) $214,485
Interest income 905
------------------------
Total investment income 215,390
Expenses:
Investment advisory fee 35,950
State Street Bank and Trust Company - program fee 67,007
American Bar Retirement Association - program fee 9,269
Trustee, management and administration fees 6,386
Other expenses 10,549
------------------------
Total expenses 129,161
------------------------
Net investment income 86,229
------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (12,955,772)
Unrealized depreciation of investments during the period 5,378,907
------------------------
Net loss on investments (7,576,865)
------------------------
Net decrease in net assets resulting from operations $(7,490,636)
========================
The accompanying notes are an integral part of these financial statements.
14
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $86,229
Net realized loss on investments (12,955,772)
Unrealized depreciation of investments during the period 5,378,907
------------------------
Net decrease in net assets resulting from operations (7,490,636)
------------------------
Participant transactions:
Proceeds from sales of units 20,096,575
Cost of units redeemed (16,112,469)
Net increase in net assets resulting from participant transactions 3,984,106
------------------------
Total decrease in net assets (3,506,530)
Net Assets:
Beginning of period 78,239,736
------------------------
End of period $74,733,206
========================
Number of units:
Outstanding-beginning of period 5,710,177
Sold 1,600,962
Redeemed (1,293,502)
Outstanding-end of period 6,017,637
========================
The accompanying notes are an integral part of these financial statements.
15
American Bar Association Members/State Street Collective Trust
International Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.04
Expenses (0.02)
------------------------
Net investment income 0.02
Net realized and unrealized loss on investments (1.30)
------------------------
Net increase (decrease) in unit value (1.28)
Net asset value at beginning of period 13.70
------------------------
Net asset value at end of period $12.42
========================
Ratio of expenses to average net assets* 0.69%
Ratio of net investment income to average net assets* 0.46%
Portfolio turnover** 27%
Total return (9.36%)
Number of units outstanding at end of period (in thousands) 6,018
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. With respect to the portion of the fund's assets invested in a registered
investment company, reflects purchases and sales of the registered investment company
in which the fund invests, rather than turnover of the underlying portfolio of such
registered investment company.
The accompanying notes are an integral part of these financial statements.
16
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $730,647,523) $653,725,400
Cash 139,174
Receivable for investments sold 581,658
Receivable for fund units sold 0
Dividends and interest receivable 453,013
Other assets 4,044
------------------------
Total assets 654,903,289
------------------------
Liabilities
Payable for investments purchased 510,389
Payable for fund units purchased 5,208,399
Accrued expenses 597,098
Other liabilities 12,653
------------------------
Total liabilities 6,328,539
------------------------
Net Assets $648,574,750
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($648,574,750/19,666,120 units outstanding) $32.98
========================
The accompanying notes are an integral part of these financial statements.
17
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $1,468,253
Interest income 13,877
Securities Lending income 1,785
Other income 29,068
------------------------
Total investment income 1,512,983
Expenses:
Investment advisory fee 303,243
State Street Bank and Trust Company - program fee 575,540
American Bar Retirement Association - program fee 79,665
Trustee, management and administration fees 139,399
Other expenses 90,652
------------------------
Total expenses 1,188,499
Net investment income 324,484
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (11,999,460)
Unrealized appreciation of investments during the period 5,806,221
------------------------
Net loss on investments (6,193,239)
------------------------
Net decrease in net assets resulting from operations ($5,868,755)
========================
The accompanying notes are an integral part of these financial statements.
18
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
-----------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $324,484
Net realized loss on investments (11,999,460)
Unrealized appreciation of investments during the period 5,806,221
-----------------------
Net decrease in net assets resulting from operations (5,868,755)
-----------------------
Participant transactions:
Proceeds from sales of units 5,657,388
Cost of units redeemed (24,293,017)
Net decrease in net assets resulting from participant transactions (18,635,629)
-----------------------
Total decrease in net assets (24,504,384)
Net Assets:
Beginning of period 673,079,134
-----------------------
End of period $648,574,750
=======================
Number of units:
Outstanding-beginning of period 20,241,073
Sold 170,257
Redeemed (745,210)
Outstanding-end of period 19,666,120
=======================
The accompanying notes are an integral part of these financial statements.
19
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
-----------------------
Investment income $0.08
Expenses (0.06)
-----------------------
Net investment income 0.02
Net realized and unrealized loss on investments (0.29)
-----------------------
Net decrease in unit value (0.27)
Net asset value at beginning of period 33.25
-----------------------
Net asset value at end of period $32.98
=======================
Ratio of expenses to average net assets* 0.73%
Ratio of net investment income to average net assets* 0.20%
Portfolio turnover** 4%
Total return (0.78%)
Number of units outstanding at end of period (in thousands) 19,666
- --------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
20
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $231,965,366) $198,098,680
Cash 552,311
Receivable for investments sold 2,436
Receivable for fund units sold 0
Dividends and interest receivable 332,706
Other assets 1,318
------------------------
Total assets 198,987,451
------------------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 1,971,268
Accrued expenses 139,349
Other liabilities 0
------------------------
Total liabilities 2,110,617
------------------------
Net Assets $196,876,834
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($196,876,834/9,005,489 units outstanding) $21.86
========================
The accompanying notes are an integral part of these financial statements.
21
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $1,105,099
Interest income 12,621
Securities Lending income 2,610
------------------------
Total investment income 1,120,330
Expenses:
Investment advisory fee 118,548
State Street Bank and Trust Company - program fee 176,526
American Bar Retirement Association - program fee 24,433
Trustee, management and administration fees 42,752
Other expenses 27,802
------------------------
Total expenses 390,061
------------------------
Net investment income 730,269
------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold (3,824,191)
Unrealized appreciation (depreciation) of investments during the period (6,405,851)
------------------------
Net gain (loss) on investments (10,230,042)
------------------------
Net increase (decrease) in net assets resulting from operations $(9,499,773)
========================
The accompanying notes are an integral part of these financial statements.
22
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $730,269
Net realized gain (loss) on investments (3,824,191)
Unrealized appreciation (depreciation) of investments during the period (6,405,851)
------------------------
Net increase (decrease) in net assets resulting from operations (9,499,773)
------------------------
Participant transactions:
Proceeds from sales of units 10,278,159
Cost of units redeemed (8,358,452)
Net increase in net assets resulting from participant transactions 1,919,707
------------------------
Total increase (decrease) in net assets (7,580,066)
Net Assets:
Beginning of period 204,456,900
------------------------
End of period $196,876,834
========================
Number of units:
Outstanding-beginning of period 8,936,013
Sold 449,151
Redeemed (379,675)
Outstanding-end of period 9,005,489
========================
The accompanying notes are an integral part of these financial statements.
23
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.12
Expenses (0.04)
------------------------
Net investment income 0.08
Net realized and unrealized gain (loss) on investments (1.10)
------------------------
Net increase (decrease) in unit value (1.02)
Net asset value at beginning of period 22.88
------------------------
Net asset value at end of period $21.86
========================
Ratio of expenses to average net assets* 0.79%
Ratio of net investment income to average net assets* 1.47%
Portfolio turnover** 4%
Total return (4.45%)
Number of units outstanding at end of period (in thousands) 9,005
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. With respect to the portion of the fund's assets invested in a registered
investment company, reflects purchases and sales of the registered investment company
in which the fund invests, rather than turnover of the underlying portfolio of such
registered investment company.
The accompanying notes are an integral part of these financial statements.
24
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
-----------------------
Assets
Investments, at value (cost $10,410,460) $10,921,836
Cash 1,362
Receivable for investments sold 216,586
Receivable for fund units sold 0
Dividends and interest receivable 989
Other assets 74
-----------------------
Total assets 11,140,847
-----------------------
Liabilities
Payable for investments purchased 181,945
Payable for fund units purchased 95,098
Accrued expenses 20,973
Other liabilities 0
-----------------------
Total liabilities 298,016
-----------------------
Net Assets $10,842,831
=======================
Net asset value, redemption price and offering price per unit of beneficial interest
($10,842,831/944,784 units outstanding) $11.48
=======================
The accompanying notes are an integral part of these financial statements.
25
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
-----------------------
Investment income:
Dividend income $3,866
Interest income 2,276
-----------------------
Total investment income 6,142
Expenses:
Investment advisory fee 15,801
State Street Bank and Trust Company - program fee 8,658
American Bar Retirement Association - program fee 1,197
Trustee, management and administration fees 2,095
Other expenses 1,362
-----------------------
Total expenses 29,113
-----------------------
Net investment loss (22,971)
-----------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (218,507)
Unrealized appreciation of investments during the period 294,559
-----------------------
Net gain on investments 76,052
-----------------------
Net increase in net assets resulting from operations $53,081
=======================
The accompanying notes are an integral part of these financial statements.
26
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
-----------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss $(22,971)
Net realized loss on investments (218,507)
Unrealized appreciation of investments during the period 294,559
-----------------------
Net increase in net assets resulting from operations 53,081
-----------------------
Participant transactions:
Proceeds from sales of units 3,236,584
Cost of units redeemed (1,013,428)
Net increase in net assets resulting from participant transactions 2,223,156
-----------------------
Total increase in net assets 2,276,237
Net Assets:
Beginning of period 8,566,594
-----------------------
End of period $10,842,831
=======================
Number of units:
Outstanding-beginning of period 753,447
Sold 280,847
Redeemed (89,510)
Outstanding-end of period 944,784
=======================
The accompanying notes are an integral part of these financial statements.
27
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
-----------------------
Investment income $0.01
Expenses (0.03)
-----------------------
Net investment income (loss) (0.02)
Net realized and unrealized gain on investments 0.13
-----------------------
Net increase in unit value 0.11
Net asset value at beginning of period 11.37
-----------------------
Net asset value at end of period $11.48
=======================
Ratio of expenses to average net assets* 1.20%
Ratio of net investment income (loss) to average net assets* (0.95)
Portfolio turnover** 37%
Total return 0.95%
Number of units outstanding at end of period (in thousands) 945
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized.
The accompanying notes are an integral part of these financial statements.
28
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $12,823,671) $12,138,600
Cash 2,226
Receivable for investments sold 176,716
Receivable for fund units sold 18,687
Dividends and interest receivable 9,803
Other assets 55
------------------------
Total assets 12,346,087
------------------------
Liabilities
Payable for investments purchased 960,806
Payable for fund units purchased 85,157
Accrued expenses 11,797
Other liabilities 0
------------------------
Total liabilities 1,057,760
------------------------
Net Assets $11,288,327
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($11,288,327/1,232,326 units outstanding) $9.16
========================
The accompanying notes are an integral part of these financial statements.
29
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $26,997
Interest income 3,809
------------------------
Total investment income 30,806
Expenses:
Investment advisory fee 17,768
State Street Bank and Trust Company - program fee 8,434
American Bar Retirement Association - program fee 1,167
Trustee, management and administration fees 2,041
Other expenses 1,328
------------------------
Total expenses 30,738
------------------------
Net investment income 68
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (80,163)
Unrealized depreciation of investments during the period (525,899)
------------------------
Net loss on investments (606,062)
------------------------
Net decrease in net assets resulting from operations ($605,994)
========================
The accompanying notes are an integral part of these financial statements.
30
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $68
Net realized loss on investments (80,163)
Unrealized depreciation of investments during the period (525,899)
------------------------
Net decrease in net assets resulting from operations (605,994)
------------------------
Participant transactions:
Proceeds from sales of units 3,418,224
Cost of units redeemed (450,248)
Net increase in net assets resulting from participant transactions 2,967,976
------------------------
Total increase in net assets 2,361,982
Net Assets:
Beginning of period 8,926,345
------------------------
End of period $11,288,327
========================
Number of units:
Outstanding-beginning of period 912,372
Sold 367,641
Redeemed (47,687)
Outstanding-end of period 1,232,326
========================
The accompanying notes are an integral part of these financial statements.
31
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.03
Expenses (0.03)
------------------------
Net investment income 0.00
Net realized and unrealized gain (loss) on investments (0.62)
------------------------
Net increase (decrease) in unit value (0.62)
Net asset value at beginning of period 9.78
------------------------
Net asset value at end of period $9.16
========================
Ratio of expenses to average net assets* 1.30%
Ratio of net investment income to average net assets* 0.00%
Portfolio turnover** 8%
Total return (6.34%)
Number of units outstanding at end of period (in thousands) 1,232
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized.
The accompanying notes are an integral part of these financial statements.
32
American Bar Association Members/State Street Collective Trust
Small-Cap Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $260,676,593) $210,909,408
Cash 515,571
Receivable for investments sold 956,867
Receivable for fund units sold 0
Dividends and interest receivable 197,912
Other assets 1,311
------------------------
Total assets 212,581,069
------------------------
Liabilities
Payable for investments purchased 423,673
Payable for fund units purchased 1,753,463
Accrued expenses 313,642
Other liabilities 0
------------------------
Total liabilities 2,490,778
------------------------
Net Assets $210,090,291
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($210,090,291/5,132,600 units outstanding) $40.93
========================
The accompanying notes are an integral part of these financial statements.
33
American Bar Association Members/State Street Collective Trust
Small-Cap Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $454,064
Interest income 42,645
Other income 38,742
------------------------
Total investment income 535,451
Expenses:
Investment advisory fee 232,286
State Street Bank and Trust Company - program fee 188,190
American Bar Retirement Association - program fee 26,051
Trustee, management and administration fees 45,594
Other expenses 29,650
------------------------
Total expenses 521,771
------------------------
Net investment income 13,680
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (10,398,471)
Unrealized depreciation of investments during the period 168,185
------------------------
Net loss on investments (10,230,286)
------------------------
Net decrease in net assets resulting from operations ($10,216,606)
========================
The accompanying notes are an integral part of these financial statements.
34
American Bar Association Members/State Street Collective Trust
Small-Cap Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $13,680
Net realized loss on investments (10,398,471)
Unrealized depreciation of investments during the period 168,185
------------------------
Net decrease in net assets resulting from operations (10,216,606)
------------------------
Participant transactions:
Proceeds from sales of units 3,783,774
Cost of units redeemed (6,777,746)
Net decrease in net assets resulting from participant transactions (2,993,972)
------------------------
Total decrease in net assets (13,210,578)
Net Assets:
Beginning of period 223,300,869
------------------------
End of period $210,090,291
========================
Number of units:
Outstanding-beginning of period 5,207,132
Sold 89,460
Redeemed (163,992)
Outstanding-end of period 5,132,600
========================
The accompanying notes are an integral part of these financial statements.
35
American Bar Association Members/State Street Collective Trust
Small-Cap Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.10
Expenses (0.10)
------------------------
Net investment income 0.00
Net realized and unrealized loss on investments (1.95)
------------------------
Net increase (decrease) in unit value (1.95)
Net asset value at beginning of period 42.88
------------------------
Net asset value at end of period $40.93
========================
Ratio of expenses to average net assets* 0.99%
Ratio of net investment income to average net assets* 0.03%
Portfolio turnover** 11%
Total return (4.55%)
Number of units outstanding at end of period (in thousands) 5,133
- -----------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
36
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $930,335,088) $930,335,088
Cash $3,007,164
Interest Receivable 0
Receivable for fund units sold 0
Other assets 5,443
------------------------
Total assets 933,347,695
------------------------
Liabilities
Payable for investments purchased 3,007,164
Payable for fund units redeemed 3,759,505
Accrued expenses 465,714
Dividends Payable 41,644
------------------------
Total liabilities 7,274,027
------------------------
Net Assets $926,073,668
========================
Net asset value, redemption price and offering price per
unit of beneficial interest
($926,073,668/33,003,819 units outstanding) 28.06
========================
The accompanying notes are an integral part of these financial statements.
37
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Interest income $8,768,773
------------------------
Expenses:
State Street Bank and Trust Company - program fee 800,178
American Bar Retirement Association - program fee 110,577
Trustee, management and administration fees 193,528
Other expenses 125,883
------------------------
Total expenses 1,230,166
------------------------
Net investment income $7,538,607
========================
The accompanying notes are an integral part of these financial statements.
38
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase in net assets from:
Operations:
Net investment income and net increase in net
assets resulting from operations 7,538,607
------------------------
Participant transactions:
Proceeds from sales of units 57,928,123
Cost of units redeemed (30,735,140)
Net increase in net assets resulting from
participant transactions 27,192,983
------------------------
Total increase in net assets 34,731,590
------------------------
Net Assets:
Beginning of period 891,342,078
------------------------
End of period $926,073,668
========================
Number of units:
Outstanding-beginning of period 32,030,109
Sold 2,073,335
Redeemed (1,099,625)
Outstanding-end of period 33,003,819
========================
The accompanying notes are an integral part of these financial statements.
39
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.27
Expenses (0.04)
------------------------
Net investment income 0.23
Net realized and unrealized gain on investments 0.00
------------------------
Net increase in unit value 0.23
Net asset value at beginning of period 27.83
------------------------
Net asset value at end of period $28.06
========================
Ratio of expenses to average net assets* .55%
Ratio of net investment income to average net assets* 3.36%
Total return 0.83%
Number of units outstanding at end of period (in thousands) 33,004
- -----------------------------------------------------------------------------------
*Annualized
The accompanying notes are an integral part of these financial statements.
40
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Conservative Portfolio
Statement of Assets and Liabilities
Unaudited
March 31, 2003
----------------------
Assets
Investments, at value (cost $39,329,010) $39,067,281
Cash 0
Receivable for investments sold 189,738
Receivable for fund units sold 0
Dividends and interest receivable 0
Other assets 0
----------------------
Total assets 39,257,019
----------------------
Liabilities
Payable for investments purchased 109,001
Payable for fund units purchased 80,737
Accrued expenses 0
Other liabilities 0
----------------------
Total liabilities 189,738
----------------------
Net Assets $39,067,281
======================
Net asset value, redemption price and offering price per unit of beneficial interest
($39,067,281/2,458,674 units outstanding) $15.89
======================
The accompanying notes are an integral part of these financial statements.
41
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Conservative Portfolio
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
----------------------
Investment income:
Dividend income $0
Interest income 0
----------------------
Total investment income 0
Expenses:
Investment advisory fee 0
State Street Bank and Trust Company - program fee 0
American Bar Retirement Association - program fee 0
Trustee, management and administration fees 0
Other expenses 0
Total expenses 0
----------------------
Net investment income 0
----------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 36,361
Unrealized depreciation of investments during the period (278,701)
----------------------
Net loss on investments (242,340)
----------------------
Net decrease in net assets resulting from operations $(242,340)
======================
The accompanying notes are an integral part of these financial statements.
42
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Conservative Portfolio
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
----------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $0
Net realized gain on investments 36,361
Unrealized depreciation of investments during the period (278,701)
----------------------
Net decrease in net assets resulting from operations (242,340)
----------------------
Participant transactions:
Proceeds from sales of units 5,535,240
Cost of units redeemed (591,064)
Net increase in net assets resulting from participant transactions 4,944,176
----------------------
Total increase in net assets 4,701,836
Net Assets:
Beginning of period 34,365,445
----------------------
End of period $39,067,281
======================
Number of units:
Outstanding-beginning of period 2,148,004
Sold 348,028
Redeemed (37,358)
Outstanding-end of period 2,458,674
======================
The accompanying notes are an integral part of these financial statements.
43
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Conservative Portfolio
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
----------------------
Investment income $0.00
Expenses 0.00
----------------------
Net investment income 0.00
Net realized and unrealized gain (loss) on investments -0.11
----------------------
Net increase (decrease) in unit value (0.11)
Net asset value at beginning of period 16.00
----------------------
Net asset value at end of period $15.89
======================
Ratio of expenses to average net assets* + 0.00%
Ratio of net investment income to average net assets* 0.00%
Portfolio turnover** 13%
Total return (0.68%)
Number of units outstanding at end of period (in thousands) 2,459
- ---------------------------------------------------------------------------
*Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which the
portfolio invests rather than the turnover of such underlying funds.
+ Expenses includes only those expenses charged directly to the Portfolio,
and does not include expenses charged to the funds in which the Portfolio invests.
The accompanying notes are an integral part of these financial statements.
44
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Moderate Portfolio
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $125,936,067) $111,885,926
Cash 0
Receivable for investments sold 560,261
Receivable for fund units sold 0
Dividends and interest receivable 0
Other assets 0
------------------------
Total assets 112,446,187
------------------------
Liabilities
Payable for investments purchased 487,948
Payable for fund units purchased 72,313
Accrued expenses 0
Other liabilities 0
------------------------
Total liabilities 560,261
------------------------
Net Assets $111,885,926
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($111,885,926/7,308,414 units outstanding) $15.31
========================
The accompanying notes are an integral part of these financial statements.
45
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Moderate Portfolio
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $0
Interest income 0
------------------------
Total investment income 0
Expenses:
Investment advisory fee 0
State Street Bank and Trust Company - program fee 0
American Bar Retirement Association - program fee 0
Trustee, management and administration fees 0
Other expenses 0
------------------------
Total expenses 0
------------------------
Net investment income 0
------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 393,289
Unrealized appreciation (depreciation) of investments during the period (2,908,761)
------------------------
Net gain (loss) on investments (2,515,472)
------------------------
Net increase (decrease) in net assets resulting from operations $(2,515,472)
========================
The accompanying notes are an integral part of these financial statements.
46
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Moderate Portfolio
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $0
Net realized gain on investments 393,289
Unrealized appreciation (depreciation) of investments during the period (2,908,761)
------------------------
Net increase (decrease) in net assets resulting from operations (2,515,472)
------------------------
Participant transactions:
Proceeds from sales of units 6,247,962
Cost of units redeemed (3,867,840)
Net increase in net assets resulting from participant transactions 2,380,122
------------------------
Total increase (decrease) in net assets (135,350)
Net Assets:
Beginning of period 112,021,276
------------------------
End of period $111,885,926
========================
Number of units:
Outstanding-beginning of period 7,156,763
Sold 404,987
Redeemed (253,336)
Outstanding-end of period 7,308,414
========================
The accompanying notes are an integral part of these financial statements.
47
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Moderate Portfolio
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.00
Expenses 0.00
------------------------
Net investment income 0.00
Net realized and unrealized gain (loss) on investments (0.34)
------------------------
Net increase (decrease) in unit value (0.34)
Net asset value at beginning of period 15.65
------------------------
Net asset value at end of period $15.31
========================
Ratio of expenses to average net assets* + 0.00%
Ratio of net investment income to average net assets* 0.00%
Portfolio turnover** 6%
Total return (2.19%)
Number of units outstanding at end of period (in thousands) 7,308
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which the
portfolio invests rather than the turnover of such underlying funds.
+ Expenses includes only those expenses charged directly to the Portfolio,
and does not include expenses charged to the funds in which the Portfolio invests.
The accompanying notes are an integral part of these financial statements.
48
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Aggressive Portfolio
Statement of Assets and Liabilities
Unaudited
March 31, 2003
-----------------------
Assets
Investments, at value (cost $101,645,687) $83,335,756
Cash 0
Receivable for investments sold 587,326
Receivable for fund units sold 0
Dividends and interest receivable 0
Other assets 0
-----------------------
Total assets 83,923,082
-----------------------
Liabilities
Payable for investments purchased 447,847
Payable for fund units purchased 139,479
Accrued expenses 0
Other liabilities 0
-----------------------
Total liabilities 587,326
-----------------------
Net Assets $83,335,756
=======================
Net asset value, redemption price and offering price per unit of beneficial interest
($83,335,756/5,744,369 units outstanding) $14.51
========================
The accompanying notes are an integral part of these financial statements.
49
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Aggressive Portfolio
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $0
Interest income 0
------------------------
0
Expenses:
Investment advisory fee 0
State Street Bank and Trust Company - program fee 0
American Bar Retirement Association - program fee 0
Trustee, management and administration fees 0
Other expenses 0
------------------------
Total expenses 0
------------------------
Net investment income 0
------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 323,844
Unrealized depreciation of investments during the period (3,394,053)
------------------------
Net loss on investments (3,070,209)
------------------------
Net decrease in net assets resulting from operations $(3,070,209)
========================
The accompanying notes are an integral part of these financial statements.
50
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Aggressive Portfolio
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
----------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $0
Net realized gain on investments 323,844
Unrealized depreciation of investments during the period (3,394,053)
----------------------
Net decrease in net assets resulting from operations (3,070,209)
----------------------
Participant transactions:
Proceeds from sales of units 3,598,664
Cost of units redeemed (1,520,778)
Net increase (decrease) in net assets resulting from participant transactions 2,077,886
----------------------
Total decrease in net assets (992,323)
Net Assets:
Beginning of period 84,328,079
----------------------
End of period $83,335,756
======================
Number of units:
Outstanding-beginning of period 5,603,154
Sold 245,204
Redeemed (103,989)
Outstanding-end of period 5,744,369
======================
The accompanying notes are an integral part of these financial statements.
51
American Bar Association Members/State Street Collective Trust
Structured Portfolio Service- Aggressive Portfolio
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
----------------------
Investment income $0.00
Expenses 0.00
----------------------
Net investment income 0.00
Net realized and unrealized loss on investments (0.54)
----------------------
Net decrease in unit value (0.54)
Net asset value at beginning of period 15.05
----------------------
Net asset value at end of period $14.51
======================
Ratio of expenses to average net assets* + 0.00%
Ratio of net investment income to average net assets* 0.00%
Portfolio turnover** 4%
Total return (3.61%)
Number of units outstanding at end of period (in thousands) 5,744
- ------------------------------------------------------------------------------------------
*Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which the
portfolio invests rather than the turnover of such underlying funds.
+ Expenses includes only those expenses charged directly to the Portfolio,
and does not include expenses charged to the funds in which the Portfolio invests.
The accompanying notes are an integral part of these financial statements.
52
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" and "Trustee") 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. Ten 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:
Balanced Fund--current income and long-term capital appreciation
through investment in common stocks, other equity-type securities and
debt securities.
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, a separate State Street Bank
collective investment fund which 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--invests primarily in debt securities of
varying maturities, with an average portfolio duration of three to six
years, with the objective of achieving a competitive total return from
current income and capital appreciation.
International Equity Fund--long term growth of capital through
investment in common stocks and other equity securities of established
non-U.S. companies.
Large-Cap 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. Currently invests in
common stocks and the State Street Bank and Trust Company Russell 1000
Growth Index Securities Lending Fund, a separate State Street Bank
collective investment fund which invests in securities contained in the
Russell 1000 Index. This underlying fund's financial statements are
available upon request from State Street Bank.
Large-Cap 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, a separate State Street Bank
collective investment fund which invests in securities contained in the
Russell 1000 Index. This underlying fund's financial statements are
available upon request from State Street Bank.
53
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Mid-Cap Growth Equity Fund--long term growth of capital through
investment in common stocks primarily of medium sized companies believed
to have strong earnings growth potential.
Mid-Cap Value Equity Fund--long term growth of capital through
investment in common stocks, primarily of medium sized companies believed
to be undervalued.
Small-Cap Equity Fund --long term growth of capital through
investment in common stocks of small companies believed to have strong
appreciation potential.
Stable Asset Return Fund ("SARF")--current income consistent with
preserving principal and maintaining liquidity through investment in high
quality short-term 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 which invests in
investment contracts of insurance companies, banks and financial
institutions, and the State Street Bank Yield Enhanced Short-Term
Investment Fund ("YES"), a separate State Street Bank collective
investment fund. State Street Yield Enhanced Short-Term Investment Fund
financial statements are available upon request.
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.
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.
54
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
2. Summary of Significant Accounting Policies
The accompanying statements of assets and liabilities and the related
statements of operations and of changes in net assets and certain financial
data have been prepared in conformity with accounting principles generally
accepted in the United States of America. Such principles were applied on a
basis consistent with those reflected in the 2002 Annual Report on Form 10-K
of the Trust as filed with the Securities and Exchange Commission. The
accompanying financial data should be read in conjunction with the notes to
the financial statements contained in the 2002 Annual Report on Form 10-K. In
the opinion of management, the accompanying unaudited financial statements
contain all adjustments (consisting solely of normal recurring accruals)
necessary to present fairly the financial position of the Balanced Fund, Index
Equity Fund, Intermediate Bond Fund, International Equity Fund, Large-Cap
Growth Equity Fund, Large-Cap Value Equity Fund, Mid-Cap Growth Equity Fund,
Mid-Cap Value Equity Fund, Small-Cap Equity Fund, Stable Asset Return Fund,
Conservative Structured Portfolio Service, Moderate Structured Portfolio
Service and Aggressive Structured Portfolio Service as of March 31, 2003 and
the results of each of their operations, the changes in each of their net
assets and certain financial data for the three month period ended March 31,
2003.
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: Formerly, it was the Trust's policy to attempt
to maintain a constant price of $1.00 per unit for SARF. Since July 15, 2002,
SARF no longer does so. The principal consequence of the change is that SARF
is no longer accounting for the distribution and reinvestment of accrued
income by issuing additional units each business day. Instead, SARF is
retaining this income as undistributed amounts which comprise an accumulating
component of the net asset value of SARF. SARF invests in SAFT, whose
investments include insurance company, bank and financial institution
investment contracts and investments in YES. 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 benefits 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 such respective collective investment funds.
Other Funds and Portfolios: Stocks listed on national securities
exchanges and certain over-the-counter issues traded on the Nasdaq National
Market (NASDAQ) are valued at the last close 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.
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. 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.
55
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
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 Funds invest may retain investment income and net realized gains.
Accordingly, realized and unrealized gains and losses reported by a 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 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.
56
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
E. Sales and Redemptions of Units of Participation and Distributions
The units offered represent interests in the Funds and Portfolios
established under the Trust. The Trust may offer and sell an unlimited number
of units. Each unit will be offered and sold daily at the respective Fund's
and Portfolio's net asset value.
All 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. TBA Commitments and Roll Transactions
The Balanced Fund and Intermediate Bond 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. These Funds hold, and maintain 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 these 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. These Funds may dispose of a commitment prior to settlement
if the Fund's advisor deems it appropriate to do so. Upon settlement date,
these Funds may take delivery of the securities or defer (roll) the delivery
to the next month.
G. Futures Contracts
The Intermediate Bond Fund may use, on a limited basis, futures contracts
to manage exposure to the bond 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
trades 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.
57
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
H. Forward Foreign Currency Contracts
The Intermediate Bond Fund and the International Equity Fund may use
forward foreign currency contracts to facilitate transactions in foreign
securities or as a hedge against the foreign currency exposure of either
specific transactions or portfolio positions. When entering into a forward
foreign currency contract, the Fund agrees to receive or deliver a fixed
quantity of foreign currency for an agreed-upon price on an agreed upon future
date. Such contracts are valued based upon the difference in the forward
exchange rates at the dates of entry into the contracts and the forward rates
at the reporting date, and any resulting unrealized gains or losses are
recorded in the Fund's financial statements. The Fund records realized gains
or losses at the time the forward contract is extinguished by entry into a
closing transaction or by delivery of the currency. Risks in foreign currency
contracts arise from the possible inability of counterparties to meet the
contracts' terms and from movements in currency values.
I. Interest Rate Swap Contracts
The Intermediate Bond Fund may invest in swap contracts. A swap is an
agreement to exchange the return generated by one instrument for the return
generated by another instrument. The Fund uses interest rate swap contracts to
manage its exposure to interest rates. Interest rate swap contracts typically
represent the exchange between the Fund and a counterparty of respective
commitments to make variable rate and fixed rate payments with respect to a
notional amount of principal. Swap contracts may have a term of one to ten
years, but typically require periodic interim settlement in cash, at which
time the specified variable interest rate is reset for the next settlement
period. During the period that the swap contract is open, the contract is
marked-to-market as the net amount due to or from the Fund in accordance with
the terms of the contract based on the closing level of the interest accrual
through valuation date. Changes in the value of swap contracts are recorded as
unrealized gains or losses. Periodic cash settlements on interest rate swaps
are recorded as adjustments to interest income.
Entering into a swap contract involves, to varying degrees, elements of
credit, market and interest rate risk in excess of the amounts reported in the
Statement of Assets and Liabilities. Notional principal amounts are used to
express the extent of involvement in the transactions, but are not delivered
under the contracts. Accordingly, credit risk is limited to any amounts
receivable from the counterparty. To reduce credit risk from potential
counterparty default, the Fund enters into swap contracts with counterparties
whose creditworthiness has been approved by the Advisor. The Fund bears the
market risk arising from any change in interest rates.
At March 31, 2003, the Intermediate Bond Fund held no interest rate swap
contracts.
J. Swaption Contracts
The Intermediate Bond Fund may purchase or write swaption contracts to
manage exposure to fluctuations in interest rates or hedge the fair value of
other Fund investments. Swaption contracts entered into by the Fund typically
represent an option that gives the purchaser the right, but not the
obligation, to enter into a swap contract on a future date. If a call swaption
is exercised, the purchaser will enter a swap to receive the fixed rate and
pay a floating rate in exchange. Exercising a put would entitle the purchaser
to pay a fixed rate and receive a floating rate.
Swaption contracts are marked-to-market as the net amount due to or from
the Fund in accordance with the terms of the contract based on the closing
level of the relevant market rate of interest. Changes in the value of the
swaption are reported as unrealized gains or losses. Gain or loss is
recognized when
58
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
the swaption contract expires or is closed. When the Fund writes a swaption,
the premium received is recorded as a liability and is subsequently adjusted
to the current fair value of the swaption written. Premiums received from
writing swaptions that expire unexercised are treated by the Fund on the
expiration date as realized gains from investments. The difference between the
premium and the amount paid on effecting a closing purchase transaction,
including brokerage commissions, is also treated as a realized gain, or if the
premium is less than the amount paid for the closing purchase, as a realized
loss.
Entering into a swaption contract involves, to varying degrees, the
elements of credit, market and interest rate risk in excess of the amounts
reported in the Statement of Assets and Liabilities, associated with both
option contracts and swap contracts. To reduce credit risk from potential
counterparty default, the Fund enters into swaption contracts with
counterparties whose creditworthiness has been approved by the Advisor. The
Fund bears the market risk arising from any change in index values or interest
rates.
A summary of the written put options for the quarter ended March 31, 2003
is as follows:
Number of
Written Put Option Contracts Contracts Premiums
- --------------------------------------------------------------------------- ---------- ----------
Outstanding, beginning of period 13,000 $ 34,970
------ --------
Options written 219,000 119,355
Options exercised -- --
Options expired -- --
Options closed -- --
------- --------
Outstanding, end of period 232,000 $154,325
------- --------
At March 31, 2003, the Fund held the following written put options contracts:
Appreciation/
Security Contracts (Depreciation)
- --------------------------------------------------------------------------- --------- --------------
Pay fixed 6.50%, receive LIBOR, commencing March 7, 2006 13,000 $ 8,254
Pay fixed 5.50%, receive LIBOR, commencing June 7, 2006 219,000 $ 98,879
Total premiums received $119,355
A summary of the written call options for the quarter ended March 31, 2003 is as follows:
Number of
Written Call Option Transactions Contracts Premiums
- --------------------------------------------------------------------------- --------- ---------
Outstanding, beginning of period 183,000 $178,571
------- --------
Options written
Options exercised -- --
Options expired -- --
Options closed -- --
------- --------
Outstanding, end of period 183,000 $178,571
------- --------
At March 31, 2003, the Fund held the following written call option contracts:
Appreciation/
Security Contracts (Depreciation)
- --------------------------------------------------------------------------- --------- --------------
Pay fixed 4.50%, receive LIBOR, commencing March 7, 2006 13,000 $ (300)
59
Pay fixed 3.00%, receive LIBOR, commencing May 14, 2004 64,000 1,581
Pay fixed 4.50%, receive LIBOR, commencing March 7, 2006 106,000 (752.60)
Total premiums received $0
60
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
K. 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 & Sherrerd);
Alliance Capital Management L.P.'s Bernstein Investment Research and
Management Unit; Pacific Investment Management Company; Ariel Capital
Management; Turner Investment Partners; and effective April 1, 2003
Philadelphia International Advisors, LP and JP Morgan Fleming Asset Management
Limited 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.
A fee is paid to each investment advisor for certain of the Funds based
on the value of the assets allocated to that investment advisor and the
respective breakpoints agreed to in the investment advisor's contract. These
fees are accrued on a daily basis and paid monthly from the assets. Fee rate
ranges based on the respective breakpoints are as follows:
Investment Advisor Fee Rate Range
- ---------------------------------------------------------------------------------------- --------------
Capital Guardian Trust Company (Large-Cap Growth Equity, Small-Cap Equity and Balanced) .225% to .50%*
Dresdner RCM Global Investors LLC (Large-Cap Growth Equity) .25% to .70%
Philadelphia International Advisors LP (International Equity) .45% to .75%
Sit Investment Associates (Small-Cap Equity) .60% to 1.00%
Morgan Stanley Investment Management (Balanced) .125% to .50%
Alliance Capital Management L.P. (Large-Cap Value Equity) .15% to .50%
JP Morgan Asset Management (International Equity) .45% to .75%
Pacific Investment Management Co. (Intermediate Bond) .25% to .50%
Ariel Capital Management (Mid-Cap Value Equity) .50% to .75%
Turner Investment Partners (Mid-Cap Growth Equity) .55% to .65%
___________
* Subject to a 5% fee reduction based on aggregate fees.
61
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Actual fees paid to each investment advisor during the quarter ended March 31,
2003 are as follows:
Investment Advisor Fees Paid
- ------------------------------------------------------- ------------
Alliance Capital Management L.P. (Large-Cap Value Equity) $ 118,548
Ariel Capital Management (Mid-Cap Value Equity) 17,768
Capital Guardian Trust Company (Balanced) 117,032
Capital Guardian Trust Company (Large-Cap Growth Equity) 130,854
Capital Guardian Trust Company (Small-Cap Equity) 60,590
Dresdner RCM Global Investors LLC (Large-Cap Growth Equity) 174,362
Dresdner RCM Global Investors LLC (International Equity)* 35,950
Morgan Stanley Investment Management (Balanced) 92,406
Pacific Investment Management Company (Intermediate Bond) 162,893
Sit Investment Associates (Small-Cap Equity) 171,696
Turner Investment Partners (Mid-Cap Growth Equity) 15,800
T. Rowe Price International (International Equity)* 87,760**
___________
* Ceased serving as an investment advisor effective March 31, 2003.
** T. Rowe Price International, Inc., manager of the T. Rowe Price
International Stock Fund, paid a .10% fee reimbursement based on investment
value for administrative services which is credited to the International
Equity Fund. The International Equity Fund received $9,836.20 relating to this
fee for the quarter ended March 31, 2003.
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 rate:
Rate for ABRA
Year ending
Value of Program Assets December 31, 2003
- ----------------------- -----------------
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 $351,439 for the quarter ended March 31,
2003.
Effective January 1, 2003 and continuing through December 31, 2006, the
Program fee payable to State Street will be computed monthly, based on the
number of participants in the Program, as follows: the monthly program expense
fee will be one-twelfth of the sum of (i) $800,000 plus (ii) $194 multiplied
by the number of participants in the Program, other than active participants
without account balances, as of the last business day of the preceding month,
plus (iii) $194 multiplied by the excess, if any, of the number of active
participants of the Program without account balances as of the last Business
Day of the preceding month over the number of such participants as of December
31, 2002. This fee will accrue daily and be payable monthly.
62
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
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 accrued reduction for the quarter ended March 31, 2003 totaled
$16,207 and is allocated to each Fund based on net asset value.
Benefit payments under the Program generally are made by check. Before
such a check becomes payable, funds for its payment are transferred from the
Collective Trust to a non-interest bearing account with State Street. No
separate fee is charged for processing benefit payments. Rather, State Street
retains any earnings attributable to outstanding benefit checks, and these
earnings have been taken into account in setting State Street's fees under the
Program. The program expense fee paid to State Street reflects a $300,000
reduction for earnings estimated to be attributable to outstanding benefit
checks for 2003.
A fee is paid to State Street Bank for its management, administration and
custody of the assets in the Investment Options (other than Self-Managed
Brokerage Accounts and Equitable Real Estate Accounts) at the following rates:
Value of Assets in all Funds 2003 Rate
- ---------------------------- ---------
First $1.0 billion .156%
Next $1.8 billion .058%
Over $2.8 billion .025%
This fee is accrued on a daily basis and paid monthly from the assets of
the Funds. The trustee, management and administrative fees attributable to the
funds held in the Structured Portfolio Service are also accrued and paid from
the funds.
State Street Bank received program, trustee, management and
administration fees which aggregated $630,381 for the quarter ended March 31,
2003. These fees are allocated to each Fund based on net asset value.
The Portfolios are not charged a separate annual fee.
63
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
4. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities
excluding U.S. Government securities and short-term investments were as
follows:
Quarter ended
March 31, 2003
-----------------------------------
Purchases Sales
---------------- ---------------
Balanced Fund $ 158,189,803 $ 162,987,295
Index Equity Fund 11,409,050 2,966,232
Intermediate Bond Fund 274,241,794 309,336,424
International Equity Fund 16,666,149 53,180,760
Large-Cap Growth Equity Fund 23,735,207 42,570,350
Large-Cap Value Equity Fund 11,635,484 9,049,859
Mid-Cap Growth Equity Fund 6,169,499 3,645,160
Mid-Cap Value Equity Fund 4,338,588 801,357
Small-Cap Equity Fund 23,245,445 28,242,182
Stable Asset Return Fund -- --
Conservative Structured Portfolio Service 6,141,650 1,197,474
Moderate Structured Portfolio Service 8,563,471 6,183,349
Aggressive Structured Portfolio Service 5,020,791 2,942,905
The aggregate cost of purchases and proceeds from sales of U.S.
Government securities and short-term investments were as follows:
Quarter ended March 31, 2003
----------------------------------
Purchases Sales
--------------- ---------------
Balanced Fund $ 90,119,222 $ 76,237,364
Intermediate Bond Fund 206,398,227 193,494,088
5. Geographic and Industry Concentration
American Depositary Receipts ("ADRs") represent ownership of foreign
securities on deposit with a domestic custodian bank. Certain Funds maintain
investments in ADRs, as well as direct investments in foreign securities,
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.
64
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Substantially all of the Small-Cap Equity Fund's investments are in
securities of small 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, banks and financial institutions.
The issuing institution's ability to meet its contractual obligations under
the respective contracts may be affected by future economic and regulatory
developments.
6. Securities Lending Income
A portion of the income generated upon investment in the State Street
Bank and Trust Company Russell 1000 Value Index Securities Lending Fund, the
State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund
and the State Street Bank and Trust Company Russell 1000 Growth Index
Securities Lending Fund is remitted to the Large Cap Value Fund, the Index
Equity Fund and the Large Cap Growth Fund while the remainder is allocated
between the Funds and State Street Bank in its capacity as lending agent.
Negotiated lenders' fees are received for those loans collateralized by
securities or letters of credit, if any. Securities lending fee income, if
any, is recorded on an accrual basis by the Fund.
65
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITIONS AND
RESULTS OF OPERATIONS.
Balanced Fund
The Balanced Fund invests in publicly traded common stocks, other
equity-type securities, long-term debt securities and money market
instruments. The Balanced Fund seeks to achieve, over an extended period of
time, total returns comparable to or superior to an appropriate combination of
broad measures of the domestic stock and bond markets.
For the quarter ended March 31, 2003, the Balanced Fund experienced a
total return, net of expenses, of 0.08%. For the same period, a combination of
the Russell 1000 Index and the Lehman Brothers Aggregate Bond Index weighted
60%/40%, respectively, produced an investment record of (1.21)%. The Russell
1000 Index and the Lehman Brothers Aggregate Bond Index do not include an
allowance for the fees that an investor would pay for investing in the
securities that comprise the indices. The largest contributor for
outperformance in the equity managed portion of the Fund was strong stock
selection within the consumer discretionary sector, in particular the home
improvement and internet - related holdings. Returns were also helped by the
portfolio's overweight position in technology and emphasis on semiconductor
equipment makers and other companies focusing on high-value -added equipment
or components within the technology chain. On the negative side, stock
selection among oil and telecom stocks hindered results. The fixed income
portion of the Fund slightly underperformed the benchmark because of below
benchmark exposure to agency issues and a lower duration than that of the
benchmark.
The most heavily weighted sectors in the equity portion of the Balanced
Fund were health care, finance and technology. Securities representing the
largest holdings based on market value in the Balanced Fund at March 31, 2003
included Pfizer Inc., Washington Mutual Inc., Astrazeneca PLC, Forest Labs
Inc. and SLM Corp. The fixed income portion was heavily invested in government
agency and mortgage related issues.
Index Equity Fund
The Index Equity Fund invests in common stocks of U.S. companies that are
included in the Russell 3000 Index, with the overall objective of achieving
long-term growth of capital. The Russell 3000 Index represents approximately
97% of the U.S. equity market based on the market capitalization of the
companies in the Russell 3000 Index.
For the quarter March 31, 2003, the Fund produced a total return, net of
expenses, of (3.21)%. By comparison, the Russell 3000 Index produced an
investment record of (3.04)% for the same period. The Russell 3000 Index does
not include any allowance for the fees that an investor would pay for
investing in the stocks that comprise the index. The performance of the Fund
was consistent with the performance of the index after taking into account
fees.
Intermediate Bond Fund
The Intermediate Bond Fund's investment objective is to achieve a total
return from current income and capital appreciation by investing primarily in
a diversified portfolio of fixed income securities. The Fund generally
maintains a portfolio duration of three to six years.
For the quarter ended March 31, 2003, the Intermediate Bond Fund
experienced a total return, net of expenses, of 1.59%. As a comparison, the
Lehman Brothers Aggregate Bond Index produced an investment record of 1.39%
for the same period. The Lehman Brothers Aggregate Bond Index does not include
an allowance for the fees that an investor would pay for investing in the
securities that comprise the index. The Fund outpaced the index for the
quarter despite volatile interest rates and heightened market uncertainty.
Strategies that rebounded in the final quarter of 2002 - select corporate
holdings and modest Eurozone exposure - continued to add value in the first
quarter of 2003. Interest rate strategies - including near-index duration and
an emphasis on short and longer maturities - had little impact on returns;
yields bounced up and down but ended the quarter near where they started. A
mortgage overweight was positive; despite volatile markets, yield premiums
tightened due to strong bank demand. A corporate underweight was negative as
corporates outperformed; this impact was offset, however, by gains from
telecom and energy pipeline issues, which benefited from improving credit
fundamentals. An allocation to real return bonds was positive as most real
yields fell amid strong demand from retail investors. Eurozone holdings
continued to add to returns, outpacing comparable Treasuries, as European
growth lagged the U.S.
International Equity Fund
The International Equity Fund's investment objective is to seek long-term
growth of capital through investing primarily in common stocks of established
non-U.S. companies. The Fund intends to diversify investments broadly among
countries of the Far East and Europe, as well as in South Africa, Australia,
Canada and other areas. The International Equity Fund will seek to achieve,
over an extended period of time, total returns comparable to or superior to
broad measures of the international (non-U.S.) stock market.
Approximately half of the assets of the International Equity Fund were
invested in a separate collective trust portfolio managed by State Street. The
66
remainder of the International Equity Fund was invested in the T. Rowe Price
International Stock Fund, an open-ended management investment company.
For the quarter ended March 31, 2003, the International Equity Fund
experienced a total return, net of expenses, of (9.36)%. For the same period,
the total return of the Morgan Stanley Capital International All-Country World
Ex-U.S. Free Index (the "MSCI AC World Ex-U.S. Index") was (7.39)%. The MSCI
AC World Ex-U.S. Index does not include an allowance for the fees that an
investor would pay for investing in the securities that comprise the index.
The portion of the Fund invested in the registered investment company
underperformed its benchmark, with country allocations and stock selection
contributing negatively to relative performance. Underweighting Australia and
overweighting South Korea and France detracted from returns, while
underweighting the weak German market was beneficial. The separately managed
portion of the Fund also underperformed the index as a result of industry
strategy. Overweights to Health Care Providers & Services and Semiconductors &
Instruments and underweights to Insurance and Automobiles & Components helped
relative returns. Overweights to Diversified Financials and Household &
Personal Products and underweight to Utilities, Food Beverage & Tobacco and
Capital Goods hurt relative returns.
Effective April 1, 2003, State Street has retained (i) JP Morgan Fleming
Asset Management (London) Limited to be an Investment Advisor for the
International Equity Fund for approximately one-half of the assets in the
International Equity Fund, and (ii) Philadelphia International Advisors, L.P.
to serve as Investment Advisor for the other one-half of the assets in the
International Equity Fund. Prior to April 1, 2003, the assets of the
International Equity Fund were allocated in two equal portions, one portion of
which was invested in the T. Rowe Price International Stock Fund, a registered
investment company managed by T. Rowe Price International, Inc., and the other
portion of which was invested in a collective trust portfolio for which advice
was obtained from Dresdner RCM Global Investors LLC.
Large-Cap Growth Equity Fund
The Large-Cap Growth Equity Fund invests primarily in common stocks and
other equity-type securities issued by large, well-established companies and
seeks to achieve long-term growth of capital through increases in the value of
the securities it holds and to realize income principally from dividends on
such securities. A portion of the Large-Cap Growth Equity Fund (approximately
33 1/3%) is invested to replicate the Russell 1000 Growth Index, which is
comprised of those Russell 1000 securities with a greater than average growth
orientation. The remainder of the Large-Cap Growth Equity Fund is actively
managed. The Large-Cap Growth Equity Fund seeks to achieve, over an extended
period of time, total returns comparable to or superior to those attained by
broad measures of the domestic stock market.
For the quarter ended March 31, 2003, the Large-Cap Growth Equity Fund
experienced a total return, net of expenses, of (0.78)%. By comparison, the
Russell 1000 Growth Index produced an investment record of (1.07)% for the
same period. The Russell 1000 Growth Index does not include an allowance for
the fees that an investor would pay for investing in the securities that
comprise the index. One separately managed portion of the Fund outperformed
the index as a result of stock selection in Consumer Durables & Apparel,
Diversified Financials, Pharmaceuticals and Hotels Restaurants & Leisure.
Additionally, stock selection in Capital Goods, Energy and Health Care
Providers & Services detracted from relative performance. The largest
contributor to out performance in the other separately managed portion of the
Fund was good stock selection within the consumer discretionary sector, in
particular, the home improvement and internet - related holdings. Returns were
also helped by the portfolio's overweight position in technology and emphasis
on semiconductor equipment makers and other companies focusing on high-value
- -added equipment or components within the technology chain. On the negative
side, stock selection among oil and telecom stocks hindered results. The
performance of the index portion of the Fund was consistent with the
performance of the index after taking into account fees.
The most heavily weighted sectors in the Large-Cap Growth Equity Fund
were health care, technology and consumer discretionary. Securities
representing the largest holdings based on market value in the Fund at March
31, 2003 included Pfizer Inc., Microsoft Corp., General Electric Co., Johnson
& Johnson Inc. and Wal Mart Stores Inc.
Large-Cap Value Equity Fund
The Fund seeks to outperform, over extended periods of time, broad
measures of the domestic stock market. The Fund invests primarily in common
stocks of companies that State Street Bank and its investment advisor consider
undervalued. A portion of the Large-Cap Value Equity Fund (approximately 25%)
is invested to replicate the Russell 1000 Value Index, which is comprised of
those Russell 1000 stocks with a greater than average value orientation. The
remainder of the Value Equity Fund is actively managed.
For the quarter ended March 31, 2003, the Large-Cap Value Equity Fund
experienced a total return, net of expenses, of (4.45)%. By comparison, the
Russell 1000 Value Index produced an investment record of (4.86)% for the same
period. The Russell 1000 Value Index does not include an allowance for the
fees that an investor would pay for investing in the securities that comprise
the index. The Fund's actively managed portion's modest outperformance of the
index was due to strong stock selection, primarily in finance and technology.
The performance of the Fund was consistent with the performance of the index
after taking into account expenses.
The most heavily weighted sectors in the Large-Cap Value Equity Fund were
finance, utilities and energy. Securities representing the largest holdings
67
in the Fund based on market value at March 31, 2003 included Exxon Mobil
Corp., Citigroup Inc., Bank of America Corp., Chevron Texaco Corp., and
Wachovia Corp.
Mid-Cap Growth Equity Fund
The Mid-Cap Growth Equity Fund invests primarily in common stocks and
other equity-type securities issued by companies with market capitalization
between $1 billion and $12 billion at the time of investment that the Fund
believes have a strong earnings growth potential. The Mid-Cap Growth Equity
Fund seeks to achieve, over an extended period of time, total returns
comparable to or superior to those attained by broad measures of the domestic
stock market.
For the quarter ended March 31, 2003, the Mid-Cap Growth Equity Fund
experienced a total return, net of expenses, of 0.95%. By comparison, the
Russell Mid-Cap Growth Index produced a return of (0.02)% for the same period.
The Russell Mid-Cap Growth Index does not include an allowance for the fees
that an investor would pay for investing in the securities that comprise the
index. The overweight in health care and consumer discretionary stocks
contributed most to the Fund outperforming the index. Holdings in energy and
financial services detracted from the Fund's performance.
The most heavily weighted sectors in the Mid-Cap Growth Equity Fund were
health care, consumer discretionary and technology. Securities representing
the largest holdings based on market value in the Fund at March 31, 2003
included Gilead Sciences Inc., Medimmune Inc., St. Jude Medical Inc., Anthem
Inc. and Laboratory Corporation of America Holdings.
Mid-Cap Value Equity Fund
The Mid-Cap Value Equity Fund invests primarily in common stocks and
other equity-type securities issued by companies with market capitalization
between $1 billion and $12 billion at the time of investment. The Fund invests
primarily in sectors and securities that State Street and its investment
advisor consider undervalued. The Mid-Cap Value Equity Fund seeks to
outperform, over extended periods of time, broad measures of the domestic
stock market.
For the quarter ended March 31, 2003, the Mid-Cap Value Equity Fund
experienced a total return, net of expenses, of (6.34)%. By comparison, the
Russell Mid-Cap Value Index produced an investment record of (4.06)% for the
same period. The Russell Mid-Cap Value Index does not include an allowance for
the fees that an investor would pay for investing in the securities that
comprise the index. The Fund's lagging the index was in part due to its
financial service holdings and a few stock specific issues. The Fund held
Interpublic Group Companies which experienced a significant decline in value
following the disclosure of accounting issues.
The most heavily weighted sectors in the separately managed portion of
the Mid-Cap Value Equity Fund were consumer discretionary, finance and
consumer staples. Securities representing the largest holdings based on market
value in the Fund at March 31, 2003 included IMS Health Inc., Northern Trust
Corp., Accenture Ltd., Cendent Corp. and Pitney Bowes Inc.
Small-Cap Equity Fund
The Small-Cap Equity Fund invests primarily in common stocks and
equity-type securities of companies with market capitalization of $2.5 billion
or less at the time of investment. It may also invest in preferred stocks and
convertible debt instruments and non-equity securities, including investment
grade bonds, debentures and high quality money market instruments when State
Street Bank and its investment advisor deem such investments to be appropriate
in light of economic and market conditions. The Fund seeks to achieve, over an
extended period of time, total returns comparable to or superior to those
attained by broad measures of the domestic stock market.
For the quarter ended March 31, 2003, the Small-Cap Equity Fund
experienced a total return, net of expenses, of (4.58)%. By comparison, the
Russell 2000 Index produced an investment record of (4.49)% for the same
period. The Russell 2000 Index does not include any allowance for the fees
that an investor would pay for investing in the stocks that comprise the
index. On the portion of the Fund's portfolio that underperformed the index,
the results were hurt by an overweight in consumer discretionary area such as
retail, media, hotels and restaurants while stock selections in financial
stocks also detracted from performance. The portion of the Fund that
outperformed the index had strong stock selection and overweight to the
technology sector.
The most heavily weighted sectors in the Small-Cap Equity Fund were
technology, consumer discretionary and finance. Securities representing the
largest holdings based on market value in the Small-Cap Equity Fund at March
31, 2003 included New York Community Bancorp Inc., Biosite Inc., Performance
Food Group, Coach Inc. and Chico's FAS Inc.
Stable Asset Return Fund
The Stable Asset Return Fund invests in investment contracts issued by
insurance companies, banks or other financial institutions. The Stable Asset
Return Fund also invests in high quality money market instruments, including
obligations of the United States government, notes, bonds and similar debt
instruments of corporations, commercial paper, certificates of deposit and
time deposits, bankers' acceptances, variable and indexed interest notes and
repurchase agreements.
For the quarter ended March 31, 2003, the Stable Asset Return Fund
produced an annualized return, net of expenses, of 3.37%. By comparison, the
Money Fund Report Money Market Fund "Tier One" Average (the "Money Fund Report
68
Average") for the same period was 0.65%. The Fund's strong performance
relative to the Money Fund Report Average is partly attributable to the longer
average maturity of the Fund's portfolio. A combination of the Ryan Labs Three
Year GIC Index and the Money Fund Report Average, weighted 70%/30%,
respectively, produced an annualized investment result of 4.18%. The Fund's
underperformance relative to this benchmark was because the Fund generally had
Short-Term Investment Products in excess of 30% of its portfolio and this
portion of the portfolio had lower returns than the portion invested in
investment contracts. Throughout the first quarter of 2003, the Federal Reserve
continued to maintain the discount rate at historically low levels and the
Fund's overall return performance trended lower.
Structured Portfolio Service
The portfolios of the Structured Portfolio Service invest in the funds
described above according to conservative, moderate and aggressive portfolio
allocations as follows:
Conservative Portfolio Allocation
- ---------------------- ----------
Stable Asset Return Fund 30%
Intermediate Bond Fund 35%
Large-Cap Value Equity Fund 7%
Large-Cap Growth Equity Fund 7%
Index Equity Fund 14%
International Equity Fund 7%
Moderate Portfolio Allocation
- ------------------ ----------
Stable Asset Return Fund 10%
Intermediate Bond Fund 30%
Large-Cap Value Equity Fund 9%
Large-Cap Growth Equity Fund 9%
Index Equity Fund 23%
Mid-Cap Value Equity Fund 2%
Mid-Cap Growth Equity Fund 2%
International Equity Fund 15%
Aggressive Portfolio Allocation
- -------------------- ----------
Intermediate Bond Fund 15%
Large-Cap Value Equity Fund 13%
Large-Cap Growth Equity Fund 13%
Index Equity Fund 30%
Mid-Cap Value Equity Fund 3%
Mid-Cap Growth Equity Fund 3%
Small-Cap Equity Fund 3%
International Equity Fund 20%
For the quarter ended March 31, 2003, the Structured Portfolio Service
experienced a total return, net of expenses, of (0.68)% for the Conservative
Portfolio, (2.19)% for the Moderate Portfolio, and (3.61)% for the Aggressive
Portfolio.
Item 4. PROCEDURES AND CONTROLS.
(a) Evaluation of Disclosure Controls and Procedures.
The Collective Trust's Chief Executive Officer and its Chief Financial
Officer, after evaluating the effectiveness of the Collective Trust's
disclosure controls and procedures (as defined in the Securities Exchange Act
of 1934 Rules 13a-14(c) and 15d-14(c)) as of a date within 90 days of the
filing date of this quarterly report on Form 10-Q (the "Evaluation Date"),
have concluded that as of the Evaluation Date, the Collective Trust's
disclosure controls and procedures were adequate and effective to ensure that
material information relating to the Collective Trust would be made known to
them, particularly during the period in which this quarterly report on Form
10-Q was being prepared.
(b) Changes in Internal Controls.
None.
69
PART II. OTHER INFORMATION.
Item 2. CHANGES IN SECURITIES AND USE OF PROCEEDS.
During the quarter ended March 31, 2003, the Collective Trust issued an
aggregate of approximately $179,080,821 in unregistered Units. Such Units
were offered and sold in reliance upon the exemption from registration under
Rule 180 promulgated under the Securities Act of 1933 relating to exemption
from registration of interests and participations issued in connection with
certain H.R. 10 plans.
Item 5. OTHER INFORMATION.
ADVISORS TO THE INTERNATIONAL EQUITY FUND.
Effective April 1, 2003, State Street retained (i) JPMorgan Fleming Asset
Management (London) Limited ("JPMFAM") to be an investment advisor for the
International Equity Fund for approximately one-half of the assets in the
International Equity Fund, and (ii) Philadelphia International Advisors, L.P.
("PIA") to serve as investment advisor for the other one-half of the assets in
the International Equity Fund. Prior to April 1, 2003, the assets of the
International Equity Fund were allocated in two equal portions, one portion of
which was invested in the T. Rowe Price International Stock Fund, a registered
investment company managed by T. Rowe Price International, Inc., and the other
portion of which was invested in a collective trust portfolio for which advice
was obtained from Dresdner RCM Global Investors LLC.
The Investment Advisor Fees payable to the investment advisors for the
International Equity Fund are at the following annual rates:
- ---------------------------------- ----------------------------------
PIA Fee JPMFAM Fee
- ---------------------------------- ----------------------------------
First $5 million in .75% First $50 million .75%
assets managed. in assets managed.
- ---------------------------------- ----------------------------------
Next $10 million in .55% Next $50 million .65%
assets managed. in assets managed.
- ---------------------------------- ----------------------------------
Over $15 million in .45% Over $100 million .45%
assets managed. in assets managed.
- ---------------------------------- ----------------------------------
TRUSTEE, MANAGEMENT AND ADMINISTRATION FEES.
Effective April 1, 2003, the fee payable to State Street for its management,
administration and custody of the assets in the Investment Options (other than
Self-Managed Accounts and Equitable Real Estate Accounts), is payable at the
annual following rates:
70
Aggregate Value of Assets in Stable Asset Return, Intermediate
Bond, Balanced, Large-Cap Value Equity, Large-Cap Growth
Equity, Index Equity, Mid-Cap Value Equity, Mid-Cap Growth,
Small-Cap Equity and International Equity Funds
---------------------------------------------------------------
Rate
First $1.0 billion............................................. .156%
Next $1.8 billion ............................................. .058%
Over $2.8 billion ............................................. .025%
The fee is accrued on a daily basis and paid monthly from the assets of the
Funds. The trustee, management and administrative fees attributable to the
Funds held in the Structured Portfolio Service are also accrued and paid from
the Funds. The other fees paid by the Program or Investors to State Street are
not changed.
ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K
a. EXHIBITS
99.1 Certification of James S. Phalen pursuant to 18 U.S.C. Section 1350,
as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
99.2 Certification of Beth M. Halberstadt pursuant to 18 U.S.C. Section
1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
2002.
b. REPORTS ON FORM 8-K
None.
71
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized as of May 15, 2003.
AMERICAN BAR ASSOCIATION MEMBERS/State STREET
COLLECTIVE TRUST
By: /s/ James S. Phalen
------------------------
Name: James S. Phalen
Title: Chief Executive Officer
By: /s/ Beth M. Halberstadt
------------------------
Name: Beth M. Halberstadt
Title: Chief Financial Officer
CERTIFICATIONS
I, James S. Phalen, as Chief Executive Officer of the American Bar Association
Members/State Street Collective Trust, certify that:
1. I have reviewed this quarterly report on Form 10-Q of the American Bar
Association Members/State Street Collective Trust;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:
a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and
c) presented in this quarterly report our conclusions about the effectiveness
of the disclosure controls and procedures based on our evaluation as of the
Evaluation Date;
5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation, to the registrant's auditors and the audit
committee of registrant's board of directors (or persons performing the
equivalent functions):
a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal controls;
and
6. The registrant's other certifying officer and I have indicated in this
quarterly report whether there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Date: May 15, 2003
/s/ James S. Phalen
Chief Executive Officer
I, Beth M. Halberstadt, as Chief Financial Officer of the American Bar
Association Members/State Street Collective Trust, certify that:
1. I have reviewed this quarterly report on Form 10-Q of the American Bar
Association Members/State Street Collective Trust;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;
3. Base on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:
a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and
c) presented in this quarterly report our conclusions about the effectiveness
of the disclosure controls and procedures based on our evaluation as of the
Evaluation Date;
5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation, to the registrant's auditors and the audit
committee of registrant's board of directors (or persons performing the
equivalent functions):
a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal controls;
and
6. The registrant's other certifying officer and I have indicated in this
quarterly report whether there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Date: May 15, 2003
/s/ Beth M. Halberstadt
Chief Financial Officer
EXHIBIT INDEX
Exhibit No. Description
- ----------- -----------
99.1 Certification of James S. Phalen pursuant to 18 U.S.C. Section
1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley
Act of 2002.
99.2 Certification of Beth M. Halberstadt pursuant to 18 U.S.C.
Section 1350, as adopted pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002.