AMERICAN BAR ASSOCIATION MEMBERS STATE STREET COLLECTIVE TR - 10-Q Quarterly Report

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2004.

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

For the transition period from to

Commission file number 333-113653

AMERICAN BAR ASSOCIATION MEMBERS/

STATE STREET COLLECTIVE TRUST

(Exact name of registrant as specified in its charter)


Massachusetts		04-6691601
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

225 Franklin Street Boston, Massachusetts		02110
(Address of principal executive offices)		(Zip Code)

(617) 786-3000

(Registrant’s telephone number, including Area Code)

Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes X No

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

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION


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


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

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

PART II. OTHER INFORMATION

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

PART I. FINANCIAL INFORMATION.

Item 1. FINANCIAL STATEMENTS (UNAUDITED).

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Assets and Liabilities

Unaudited


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

Total assets		466,494,474

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

Total liabilities		824,526

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

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

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Operations

Unaudited


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

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

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

Total expenses		797,434			1,605,086

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

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

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

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

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

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

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

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

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Changes in Net Assets

Unaudited


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

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

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

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

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

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

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

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

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

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


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

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

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

Net asset value at end of period	$	73.41		$	73.41

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

*	Annualized

**	Not annualized

†	Net expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment fund and the Intermediate Bond Fund in which the Fund invests.

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

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value:
State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund (cost of $365,706,731 and units of 39,616,492)	$	357,855,775
Cash		18,686

Total assets		357,874,461

Liabilities
Payable for investments purchased		18,686
Payable for fund units redeemed		1,568,564
State Street Bank and Trust Company—program fee payable		76,218
Trustee, management and administration fees payable		21,417
American Bar Retirement Association—program fee payable		12,291
Other accruals		15,130

Total liabilities		1,712,306

Net assets (equivalent to $ 28.01 per unit based on 12,713,376 units outstanding)	$	356,162,155

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

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Securities lending income from underlying affiliated fund	$	8,473		$	15,902

Expenses
State Street Bank and Trust Company—program fee		251,694			490,360
American Bar Retirement Association—program fee		38,912			75,898
Trustee, management and administration fees		68,074			132,756
Reports to unitholders		17,441			33,615
Legal and audit fees		21,466			41,373
Registration fees		1,342			2,586
Other fees		4,472			8,619

Total expenses		403,401			785,207

Net investment income (loss)		(394,928	)		(769,305	)

Net realized and unrealized gain (loss) on investments in affiliated fund
Net realized gain (loss)		(558,253	)		(1,702,114	)
Change in net unrealized appreciation (depreciation)		5,276,331			13,385,070

Net realized and unrealized gain (loss)		4,718,078			11,682,956

Net increase (decrease) in net assets resulting from operations	$	4,323,150		$	10,913,651

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

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	(394,928	)	$	(769,305	)
Net realized gain (loss)		(558,253	)		(1,702,114	)
Change in net unrealized appreciation (depreciation)		5,276,331			13,385,070

Net increase (decrease) in net assets resulting from operations		4,323,150			10,913,651

From unitholder transactions
Proceeds from units issued		10,832,893			34,369,771
Cost of units redeemed		(4,067,532	)		(8,000,904	)

Net increase (decrease) in net assets resulting from unitholder transactions		6,765,361			26,368,867

Net increase (decrease) in net assets		11,088,511			37,282,518

Net Assets
Beginning of period		345,073,644			318,879,637

End of period	$	356,162,155		$	356,162,155

Number of units
Outstanding-beginning of period		12,470,096			11,764,241
Issued		391,482			1,239,382
Redeemed		(148,202	)		(290,247	)

Outstanding-end of period		12,713,376			12,713,376

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

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income††	$	0.00		$	0.00
Net expenses†		(0.03	)		(0.06	)

Net investment income (loss)		(0.03	)		(0.06	)
Net realized and unrealized gain (loss)		0.37			0.96

Net increase (decrease) in unit value		0.34			0.90
Net asset value at beginning of period		27.67			27.11

Net asset value at end of period	$	28.01		$	28.01

Ratio of net expenses to average net assets*		0.46	%		0.46	%
Ratio of net investment income (loss) to average net assets*		(0.45	)%		(0.45	)%
Portfolio turnover**		1	%		3	%
Total return**		1.23	%		3.32	%
Net assets at end of period (in thousands)	$	356,162		$	356,162

*	Annualized

**	Not annualized. Portfolio turnover 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.

††	Amounts less than $0.005 per unit are rounded to zero.

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

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

American Bar Association Members/ State Street Collective Trust

Intermediate Bond Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $460,503,553)	$	460,799,745
Foreign currency, at value (cost of $674,536)		674,628
Cash		80,879
Receivable for foreign currency sold and open forward currency exchange contracts		16,367,869
Receivable for open swap contracts		296,681
Receivable for futures variation margin		378,447
Receivable for investments sold		5,771,413
Receivable for fund units issued		818,098
Interest receivable		2,833,038

Total assets		488,020,798

Liabilities
Payable for investments purchased		52,286,118
Payable for foreign currency purchased and open forward currency exchange contracts		16,185,855
Payable for open swap contracts		352,495
Payable for fund units redeemed		247,515
Option written, at value (premiums received $70,850)		19,780
Investment advisory fee payable		92,808
State Street Bank and Trust Company—program fee payable		94,412
Trustee, management and administration fees payable		26,376
American Bar Retirement Association—program fee payable		15,105
Other accruals		20,726

Total liabilities		69,341,190

Net assets (equivalent to $ 18.10 per unit based on 23,135,865 units outstanding)	$	418,679,608

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

American Bar Association Members/ State Street Collective Trust

Intermediate Bond Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Interest	$	1,390,049		$	2,414,086
Securities lending income		7,643			7,643

Total investment income		1,397,692			2,421,729

Expenses
Investment advisory fee		173,743			346,374
State Street Bank and Trust Company—program fee		172,779			344,015
American Bar Retirement Association—program fee		26,707			53,259
Trustee, management and administration fees		46,727			93,155
Reports to unitholders		11,972			23,586
Legal and audit fees		14,735			29,029
Registration fees		921			1,814
Other fees		3,070			6,047

Total expenses		450,654			897,279

Net investment income (loss)		947,038			1,524,450

Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		(1,088,777	)		329,251
Foreign currency transactions and forward currency exchange contracts		(159,370	)		57,197
Written options		322,864			322,864
Futures contracts		(2,383,631	)		80,210

Net realized gain (loss)		(3,308,914	)		789,522

Change in net unrealized appreciation (depreciation) on:
Investments		(1,867,706	)		(1,966,967	)
Foreign currency transactions and forward currency exchange contracts		45,466			419,460
Written options		42,234			30,372
Futures contracts		(1,179,745	)		(497,677	)
Swaps contracts		285,223			8,574

Change in net unrealized appreciation (depreciation)		(2,674,528	)		(2,006,238	)

Net realized and unrealized gain (loss)		(5,983,442	)		(1,216,716	)

Net increase (decrease) in net assets resulting from operations	$	(5,036,404	)	$	307,734

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

American Bar Association Members/ State Street Collective Trust

Intermediate Bond Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	947,038		$	1,524,450
Net realized gain (loss)		(3,308,914	)		789,522
Change in net unrealized appreciation (depreciation)		(2,674,528	)		(2,006,238	)

Net increase (decrease) in net assets resulting from operations		(5,036,404	)		307,734

Participant transactions
Proceeds from units issued*		184,377,857			196,544,805
Cost of units redeemed		(5,464,850	)		(14,183,492	)

Net increase (decrease) in net assets resulting from unitholder transactions		178,913,007			182,361,313

Total increase (decrease) in net assets		173,876,603			182,669,047
Net Assets
Beginning of period		244,803,005			236,010,561

End of period	$	418,679,608		$	418,679,608

Number of units
Outstanding-beginning of period		13,249,005			13,060,672
Issued*		10,189,163			10,854,435
Redeemed		(302,303	)		(779,242	)

Outstanding-end of period		23,135,865			23,135,865

*	Includes Balanced Fund transaction of $173,984,004 and 9,614,275 units issued reflecting the transfer of the fixed income receivable portion of Balanced Fund, including interest receivable, into the Fund in exchange for units of the Fund as of June 30, 2004.

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

American Bar Association Members/ State Street Collective Trust

Intermediate Bond Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.10		$	0.18
Net expenses†		(0.03	)		(0.07	)

Net investment income (loss)		0.07			0.11
Net realized and unrealized gain (loss)		(0.44	)		(0.08	)

Net increase (decrease) in unit value		(0.37	)		0.03
Net asset value at beginning of period		18.47			18.07

Net asset value at end of period	$	18.10		$	18.10

Ratio of net expenses to average net assets*		0.75	%		0.75	%
Ratio of net investment income (loss) to average net assets*		1.57	%		1.27	%
Portfolio turnover**		69	%		122	%
Total return**		(2.06	)%		0.00	%
Assets at end of period (in thousands)	$	418,680		$	418,680

*	Annualized

**	Not annualized

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

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

American Bar Association Members/ State Street Collective Trust

International Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $106,907,264)	$	132,544,581
Foreign currency, at value (cost of $529,190)		530,443
Cash		6,150
Receivable for foreign currency sold		205,703
Dividends receivable		295,274
Tax reclaims receivable		151,968

Total assets		133,734,119

Liabilities
Payable for investments purchased		543,359
Payable for fund units redeemed		609,298
Payable for foreign currency purchased		205,247
Tax withholding payable		25,904
Investment advisory fee payable		65,039
State Street Bank and Trust Company—program fee payable		29,858
Trustee, management and administration fees payable		8,330
American Bar Retirement Association—program fee payable		4,760
Other accruals		5,013

Total liabilities		1,496,808

Net assets (equivalent to $ 18.87 per unit based on 7,005,959 units outstanding)	$	132,237,311

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

American Bar Association Members/ State Street Collective Trust

International Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Dividends (net of foreign tax expense $159,937 and of $208,394, respectively)	$	1,504,280		$	2,097,936
Interest		13,341			24,761
Securities lending income		24,645			25,317

Total investment income		1,542,266			2,148,014

Expenses
Investment advisory fee		193,732			380,503
State Street Bank and Trust Company—program fee		91,857			179,697
American Bar Retirement Association—program fee		14,190			27,804
Trustee, management and administration fees		24,842			48,647
Reports to unitholders		6,360			12,314
Legal and audit fees		7,829			15,156
Registration fees		489			947
Other fees		1,631			3,158

Total expenses		340,930			668,226

Net investment income (loss)		1,201,336			1,479,788

Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investment securities		2,042,355			6,046,869
Foreign currency		(20,915	)		(31,007	)

Net realized gain (loss)		2,021,440			6,015,862

Change in net unrealized appreciation (depreciation) on:
Investment Securities		(2,294,308	)		(3,141,290	)
Foreign Currency		(2,468	)		(10,891	)

Change in net unrealized appreciation (depreciation)		(2,296,776	)		(3,152,181	)

Net realized and unrealized gain (loss)		(275,336	)		2,863,681

Net increase (decrease) in net assets resulting from operations	$	926,000		$	4,343,469

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

American Bar Association Members/ State Street Collective Trust

International Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	1,201,336		$	1,479,788
Net realized gain (loss)		2,021,440			6,015,862
Change in net unrealized appreciation (depreciation)		(2,296,776	)		(3,152,181	)

Net increase (decrease) in net assets resulting from operations		926,000			4,343,469

From unitholder transactions
Proceeds from units issued		7,590,497			28,205,077
Cost of units redeemed		(2,445,925	)		(15,677,327	)

Net increase in net assets resulting from unitholder transactions		5,144,572			12,527,750

Net increase in net assets		6,070,572			16,871,219

Net Assets
Beginning of period		126,166,739			115,366,092

End of period	$	132,237,311		$	132,237,311

Number of units
Outstanding-beginning of period		6,730,608			6,331,977
Issued		406,079			1,511,855
Redeemed		(130,728	)		(837,873	)

Outstanding-end of period		7,005,959			7,005,959

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

American Bar Association Members/ State Street Collective Trust

International Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.22		$	0.32
Net expenses†		(0.05	)		(0.10	)

Net investment income (loss)		0.17			0.22
Net realized and unrealized gain (loss)		(0.05	)		0.43

Net increase in unit value		0.12			0.65
Net asset value at beginning of period		18.75			18.22

Net asset value at end of period	$	18.87		$	18.87

Ratio of net expenses to average net assets*		1.07	%		1.07	%
Ratio of net investment income (loss) to average net assets*		3.76	%		2.36	%
Portfolio turnover**		7	%		18	%
Total return**		0.64	%		3.57	%
Net assets at end of period (in thousands)	$	132,237		$	132,237

*	Annualized

**	Not annualized.

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

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Growth Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $710,058,067)	$	845,367,255
Receivable for investments sold		973,388
Dividends and interest receivable		322,578

Total assets		846,663,221

Liabilities
Payable for investments purchased		21,717
Payable for fund units redeemed		1,166,439
Investment advisory fee payable		378,288
State Street Bank and Trust Company—program fee payable		190,599
Trustee, management and administration fees payable		53,305
American Bar Retirement Association—program fee payable		30,507
Other accruals		46,569

Total liabilities		1,887,424

Net assets (equivalent to $ 44.56 per unit based on 18,959,013 units outstanding)	$	844,775,797

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Growth Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004		For the period January 1, 2004 to June 30, 2004
Investment income
Dividends (net of foreign tax expense of $5,415 and $41,885 respectively)	$	1,555,894	$	3,229,845
Interest		22,538		46,694
Securities lending income		18,817		26,192

Total investment income		1,597,249		3,302,731

Expenses
Investment advisory fee		378,436		765,122
State Street Bank and Trust Company—program fee		599,208		1,211,760
American Bar Retirement Association—program fee		92,614		187,556
Trustee, management and administration fees		162,030		328,094
Reports to unitholders		41,509		83,040
Legal and audit fees		51,088		102,203
Registration fees		3,193		6,388
Other fees		10,643		21,292

Total expenses		1,338,721		2,705,455

Net investment income (loss)		258,528		597,276

Net Realized and unrealized gain (loss) on investments:
Net realized gain (loss)		5,707,193		14,925,089
Change in net unrealized appreciation (depreciation)		5,327,269		4,267,612

Net realized and unrealized gain (loss)		11,034,462		19,192,701

Net increase (decrease) in net assets resulting from operations	$	11,292,990	$	19,789,977

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Growth Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	258,528		$	597,276
Net realized gain (loss)		5,707,193			14,925,089
Change in net unrealized appreciation (depreciation) on investments		5,327,269			4,267,612

Net increase (decrease) in net assets resulting from operations		11,292,990			19,789,977

From unitholder transactions
Proceeds from units issued		8,682,053			22,176,278
Cost of units redeemed		(16,462,714	)		(37,283,142	)

Net increase (decrease) in net assets resulting from unitholder transactions		(7,780,661	)		(15,106,864	)

Net increase (decrease) in net assets		3,512,329			4,683,113
Net Assets
Beginning of period		841,263,468			840,092,684

End of period	$	844,775,797		$	844,775,797

Number of units
Outstanding-beginning of period		19,138,481			19,301,445
Issued		196,084			499,240
Redeemed		(375,552	)		(841,672	)

Outstanding-end of period		18,959,013			18,959,013

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Growth Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.08		$	0.17
Net expenses†		(0.07	)		(0.14	)

Net investment income (loss)		0.01			0.03
Net realized and unrealized gain (loss)		0.59			1.01

Net increase (decrease) in unit value		0.60			1.04
Net asset value at beginning of period		43.96			43.52

Net asset value at end of period	$	44.56		$	44.56

Ratio of net expenses to average net assets*		0.64	%		0.64	%
Ratio of net investment income (loss) to average net assets*		0.12	%		0.14	%
Portfolio turnover**		8	%		15	%
Total return**		1.36	%		2.39	%
Net assets at end of period (in thousands)	$	844,776		$	844,776

*	Annualized

Not annualized. With respect to the portion of the Fund’s assets invested in a collective investment fund, portfolio turnover reflects purchases and sales of the collective investment fund in which the Fund invests, rather than turnover of the underlying portfolio of such collective investment fund.

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

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Value Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $274,127,361)	$	314,961,992
Cash		35,185
Dividends and interest receivable		314,376

Total assets		315,311,553

Liabilities
Payable for investments purchased		6,856
Payable for fund units redeemed		1,386,373
Investment advisory fee payable		53,972
State Street Bank and Trust Company—program fee payable		70,471
Trustee, management and administration fees payable		19,679
American Bar Retirement Association—program fee payable		11,262
Other accruals		13,276

Total liabilities		1,561,889

Net assets (equivalent to $ 30.99 per unit based on 10,124,475 units outstanding)	$	313,749,664

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Value Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Dividends (net of taxes of $1,744 and $3,897, respectively)	$	1,292,498		$	2,548,553
Interest		22,805			43,499
Securities lending income		5,068			8,241

Total investment income		1,320,371			2,600,293

Expenses
Investment advisory fee		162,255			322,867
State Street Bank and Trust Company—program fee		219,269			433,469
American Bar Retirement Association—program fee		33,918			67,073
Trustee, management and administration fees		59,297			117,352
Reports to unitholders		15,169			29,712
Legal and audit fees		18,669			36,569
Registration fees		1,167			2,286
Other fees		3,889			7,617

Total expenses		513,633			1,016,945

Net investment income (loss)		806,738			1,583,348

Net realized and unrealized gain (loss) on investments:
Net realized gain (loss)		3,605,039			9,126,174
Change in net unrealized appreciation (depreciation)		(2,066,958	)		2,325,761

Net realized and unrealized gain (loss)		1,538,081			11,451,935

Net increase (decrease) in net assets resulting from operations	$	2,344,819		$	13,035,283

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Value Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	806,738		$	1,583,348
Net realized gain (loss)		3,605,039			9,126,174
Change in net unrealized appreciation (depreciation)		(2,066,958	)		2,325,761

Net increase (decrease) in net assets resulting from operations		2,344,819			13,035,283

From unitholder transactions
Proceeds from units issued		19,154,920			52,866,114
Cost of units redeemed		(10,267,466	)		(38,256,200	)

Net increase (decrease) in net assets resulting from unitholder transactions		8,887,454			14,609,914

Net increase (decrease) in net assets		11,232,273			27,645,197
Net assets
Beginning of period		302,517,391			286,104,467

End of period	$	313,749,664		$	313,749,664

Number of units
Outstanding-beginning of period		9,836,885			9,647,368
Issued		624,889			1,727,639
Redeemed		(337,299	)		(1,250,532	)

Outstanding-end of period		10,124,475			10,124,475

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

American Bar Association Members/ State Street Collective Trust

Large-Cap Value Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.13		$	0.26
Net expenses†		(0.05	)		(0.10	)

Net investment income (loss)		0.08			0.16
Net realized and unrealized gain (loss)		0.16			1.17

Net increase (decrease) in unit value		0.24			1.33
Net asset value at beginning of period		30.75			29.66

Net asset value at end of period	$	30.99		$	30.99

Ratio of net expenses to average net assets*		0.67	%		0.67	%
Ratio of net investment income (loss) to average net assets*		1.06	%		1.05	%
Portfolio turnover**		6	%		14	%
Total return**		0.78	%		4.48	%
Net assets at end of period (in thousands)	$	313,750		$	313,750

*	Annualized

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

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Growth Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $57,011,770)	$	63,037,607
Cash		1,035
Receivable for investments sold		1,963,431
Dividends and interest receivable		12,708

Total assets		65,014,781

Liabilities
Payable for investments purchased		1,540,419
Payable for fund units redeemed		67,120
Investment advisory fee payable		97,928
State Street Bank and Trust Company—program fee payable		13,887
Trustee, management and administration fees payable		3,874
American Bar Retirement Association—program fee payable		2,218
Other accruals		1,508

Total liabilities		1,726,954

Net assets (equivalent to $ 17.46 per unit based on 3,624,838 units outstanding)	$	63,287,827

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Growth Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Dividends	$	51,619		$	73,431
Interest		5,008			14,711
Securities lending income		4,265			5,146

Total investment income		60,892			93,288

Expenses
Investment advisory fee		97,928			189,747
State Street Bank and Trust Company—program fee		43,981			84,833
American Bar Retirement Association—program fee		6,798			13,126
Trustee, management and administration fees		11,893			22,956
Reports to unitholders		3,043			5,809
Legal and audit fees		3,744			7,149
Registration fees		234			447
Other fees		780			1,489

Total expenses		168,401			325,556

Net investment income (loss)		(107,509	)		(232,268	)

Net realized and unrealized gain (loss) on investments:
Net realized gain (loss)		560,467			1,861,443
Change in net unrealized appreciation (depreciation)		(411,481	)		(379,144	)

Net realized and unrealized gain (loss)		148,986			1,482,299

Net increase (decrease) in net assets resulting from operations	$	41,477		$	1,250,031

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Growth Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	(107,509	)	$	(232,268	)
Net realized gain (loss)		560,467			1,861,443
Change in net unrealized appreciation (depreciation)		(411,481	)		(379,144	)

Net increase (decrease) in net assets resulting from operations		41,477			1,250,031

From unitholder transactions
Proceeds from units issued		6,566,232			21,414,757
Cost of units redeemed		(4,416,658	)		(6,728,661	)

Net increase (decrease) in net assets resulting from unitholder transactions		2,149,574			14,686,096

Net increase (decrease) in net assets		2,191,051			15,936,127

Net assets
Beginning of period		61,096,776			47,351,700

End of period	$	63,287,827		$	63,287,827

Number of units
Outstanding-beginning of period		3,507,975			2,796,112
Issued		379,226			1,228,027
Redeemed		(262,363	)		(399,301	)

Outstanding-end of period		3,624,838			3,624,838

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Growth Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.02		$	0.03
Net expenses†		(0.04	)		(0.09	)

Net investment income (loss)		(0.02	)		(0.06	)
Net realized and unrealized gain (loss)		0.06			0.59

Net increase (decrease) in unit value		0.04			0.53
Net asset value at beginning of period		17.42			16.93

Net asset value at end of period	$	17.46		$	17.46

Ratio of net expenses to average net assets*		1.10	%		1.10	%
Ratio of net investment income (loss) to average net assets*		(0.70	)%		(0.79	)%
Portfolio turnover**		44	%		83	%
Total return**		0.23	%		3.13	%
Net assets at end of period (in thousands)	$	63,288		$	63,288

*	Annualized

**	Not annualized.

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

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Value Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $40,131,152)	$	46,422,375
Cash		3,211
Receivable for fund units issued		28,469
Dividends and interest receivable		32,784

Total assets		46,486,839

Liabilities
Payable for investments purchased		1,899,900
Payable for fund units redeemed		17,766
Investment advisory fee payable		21,926
State Street Bank and Trust Company—program fee payable		9,929
Trustee, management and administration fees payable		2,761
American Bar Retirement Association—program fee payable		1,574
Other accruals		1,270

Total liabilities		1,955,126

Net assets (equivalent to $ 13.25 per unit based on 3,361,920 units outstanding)	$	44,531,713

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Value Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Dividends	$	124,288		$	219,564
Interest		7,409			17,324
Securities lending income		1,187			1,528

Total investment income		132,884			238,416

Expenses
Investment advisory fee		64,181			121,755
State Street Bank and Trust Company—program fee		29,748			55,596
American Bar Retirement Association—program fee		4,594			8,599
Trustee, management and administration fees		8,049			15,053
Reports to unitholders		2,061			3,812
Legal and audit fees		2,536			4,692
Registration fees		158			293
Other fees		528			977

Total expenses		111,855			210,777

Net investment income (loss)		21,029			27,639

Net realized and unrealized gain (loss) on investments:
Net realized gain (loss)		89,675			345,063
Change in net unrealized appreciation (depreciation)		(176,072	)		879,192

Net realized and unrealized gain (loss)		(86,397	)		1,224,255

Net increase (decrease) in net assets resulting from operations	$	(65,368	)	$	1,251,894

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Value Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	21,029		$	27,639
Net realized gain (loss)		89,675			345,063
Change in net unrealized appreciation (depreciation)		(176,072	)		879,192

Net increase (decrease) in net assets resulting from operations		(65,368	)		1,251,894

From unitholder transactions
Proceeds from units issued		7,741,446			15,350,727
Cost of units redeemed		(1,910,121	)		(3,263,230	)

Net increase (decrease) in net assets resulting from unitholder transactions		5,831,325			12,087,497

Net increase (decrease) in net assets		5,765,957			13,339,391

Net assets
Beginning of period		38,765,756			31,192,322

End of period	$	44,531,713		$	44,531,713

Number of units
Outstanding-beginning of period		2,920,957			2,443,658
Issued		588,110			1,169,543
Redeemed		(147,147	)		(251,281	)

Outstanding-end of period		3,361,920			3,361,920

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

American Bar Association Members/ State Street Collective Trust

Mid-Cap Value Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.04		$	0.08
Net expenses†		(0.03	)		(0.07	)

Net investment income (loss)		0.01			0.01
Net realized and unrealized gain (loss)		(0.03	)		0.48

Net increase (decrease) in unit value		(0.02	)		0.49
Net asset value at beginning of period		13.27			12.76

Net asset value at end of period	$	13.25		$	13.25

Ratio of net expenses to average net assets^*		1.08	%		1.09	%
Ratio of net investment income (loss) to average net assets^*		0.20	%		0.14	%
Portfolio turnover^**		1	%		4	%
Total return^**		(0.15	)%		3.84	%
Net assets at end of period (in thousands)	$	44,532		$	44,532

^*	Annualized

^^	Not annualized.

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

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

American Bar Association Members/ State Street Collective Trust

Small-Cap Equity Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $283,876,141)	$	320,562,466
Cash		20,904
Receivable for investments sold		1,427,113
Dividends and interest receivable		219,112

Total assets		322,229,595

Liabilities
Payable for investments purchased		999,928
Payable for fund units redeemed		646,192
Investment advisory fee payable		333,607
State Street Bank and Trust Company—program fee payable		70,743
Trustee, management and administration fees payable		19,805
American Bar Retirement Association—program fee payable		11,325
Other accruals		13,140

Total liabilities		2,094,740

Net assets (equivalent to $ 60.21 per unit based on 5,316,626 units outstanding)	$	320,134,855

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

American Bar Association Members/ State Street Collective Trust

Small-Cap Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Dividends	$	497,228		$	1,010,898
Interest		29,140			67,880
Securities lending income		66,988			77,462

Total investment income		593,356			1,156,240

Expenses
Investment advisory fee		333,608			676,355
State Street Bank and Trust Company—program fee		225,543			458,246
American Bar Retirement Association—program fee		34,864			70,939
Trustee, management and administration fees		61,086			124,079
Reports to unitholders		15,631			27,510
Legal and audit fees		19,238			33,859
Registration fees		1,202			2,116
Other fees		4,008			7,055

Total expenses		695,180			1,400,159

Net investment income (loss)		(101,824	)		(243,919	)

Net realized and unrealized gain on investments:
Net realized gain (loss)		3,359,786			14,884,368
Change in net unrealized appreciation (depreciation)		(9,805,525	)		(11,466,318	)

Net realized and unrealized gain (loss)		(6,445,739	)		3,418,050

Net increase (decrease) in net assets resulting from operations	$	(6,547,563	)	$	3,174,131

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

American Bar Association Members/ State Street Collective Trust

Small-Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	(101,824	)	$	(243,919	)
Net realized gain (loss)		3,359,786			14,884,368
Change in net unrealized appreciation (depreciation)		(9,805,525	)		(11,466,318	)

Net increase (decrease) in net assets resulting from operations		(6,547,563	)		3,174,131

From unitholder transactions
Proceeds from units issued		6,972,962			16,212,842
Cost of units redeemed		(4,856,429	)		(13,948,377	)

Net increase (decrease) in net assets resulting from unitholder transactions		2,116,533			2,264,465

Net increase (decrease) in net assets		(4,431,030	)		5,438,596

Net Assets
Beginning of period		324,565,885			314,696,259

End of period	$	320,134,855		$	320,134,855

Number of units
Outstanding-beginning of period		5,285,581			5,285,323
Issued		114,530			263,090
Redeemed		(83,485	)		(231,787	)

Outstanding-end of period		5,316,626			5,316,626

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

American Bar Association Members/ State Street Collective Trust

Small-Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.11		$	0.22
Net expenses†		(0.13	)		(0.26	)

Net investment income (loss)		(0.02	)		(0.04	)
Net realized and unrealized gain (loss)		(1.18	)		0.71

Net increase (decrease) in unit value		(1.20	)		0.67
Net asset value at beginning of period		61.41			59.54

Net asset value at end of period	$	60.21		$	60.21

Ratio of net expenses to average net assets^*		0.89	%		0.88	%
Ratio of net investment income (loss) to average net assets^*		(0.13	)%		(0.15	)%
Portfolio turnover^**		12	%		27	%
Total return^**		(1.95	)%		1.13	%
Net assets at end of period (in thousands)	$	320,135		$	320,135

^*	Annualized

^**	Not annualized

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

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $871,313,910)	$	871,313,910
Cash		2,337,742
Receivable for fund units sold		270,719

Total assets		873,922,371

Liabilities
Payable for fund units redeemed		2,226,968
State Street Bank and Trust Company—program fee payable		198,159
Trustee, management and administration fees payable		55,379
American Bar Retirement Association—program fee payable		31,694
Other accruals		55,431

Total liabilities		2,567,631

Net assets (equivalent to $ 29.12 per unit based on 29,918,542 units outstanding)	$	871,354,740

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004		For the period January 1, 2004 to June 30, 2004
Interest income	$	7,097,657	$	14,146,102

Expenses
State Street Bank and Trust Company—program fee		619,012		1,229,734
American Bar Retirement Association—program fee		95,637		190,302
Trustee, management and administration fees		167,301		332,878
Reports to unitholders		42,791		84,286
Legal and audit fees		52,665		103,736
Registration fees		3,292		6,484
Other fees		10,972		21,611

Total expenses		991,670		1,969,030

Net interest income and net increase in net assets resulting from operations	$	6,105,987	$	12,177,072

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net interest income and net increase in net assets resulting from operations	$	6,105,987		$	12,177,072

From unitholder transactions
Proceeds from units issued		37,999,986			93,307,643
Cost of units redeemed		(33,217,195	)		(116,475,913	)

Net increase (decrease) in net assets resulting from unitholder transactions		4,782,791			(23,168,270	)

Net increase (decrease) in net assets		10,888,778			(10,991,198	)

Net assets
Beginning of period		860,465,962			882,345,939

End of period	$	871,354,740		$	871,354,741

Number of units
Outstanding-beginning of period		29,753,413			30,727,206
Issued		1,310,328			3,227,766
Redeemed		(1,145,199	)		(4,036,430	)

Outstanding-end of period		29,918,542			29,918,542

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Financial Highlights

Unaudited

(Selected data for a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Interest income	$	0.24		$	0.47
Net expenses†		(0.04	)		(0.07	)

Net interest income		0.20			0.40

Net increase in unit value		0.20			0.40
Net asset value at beginning of period		28.92			28.72

Net asset value at end of period	$	29.12		$	29.12

Ratio of net expenses to average net assets^*		0.46	%		0.46	%
Ratio of net interest income to average net assets^*		2.83	%		2.84	%
Total return^**		0.69	%		1.39	%
Net assets at end of period (in thousands)	$	871,355		$	871,355

^*	Annualized

^**	Not annualized.

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

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Conservative Portfolio

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
State Street Bank collective investment funds, at value
Stable Asset Return Fund (cost of $14,535,940 and units of 526,551)	$	15,335,390
Intermediate Bond Fund (cost of $16,679,690 and units of 988,664)		17,891,289
Large Cap Value Equity Fund (cost of $2,824,263 and units of 115,468)		3,578,258
Large Cap Growth Equity Fund (cost of $2,905,358 and units of 80,305)		3,578,258
Index Equity Fund (cost of $5,755,640 and units of 255,455)		7,156,515
International Equity Fund (cost of $2,762,756 and units of 189,577)		3,578,258
Receivable for collective investment funds sold		281,753

Total assets		51,399,721

Liabilities
Payable for collective investment funds purchased		194,403
Payable for portfolio units redeemed		87,350

Total liabilities		281,753

Net assets (equivalent to $ 18.36 per unit based on 2,784,474 units outstanding)	$	51,117,968

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Conservative Portfolio

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	—		$	—

Net realized and unrealized gain (loss) on collective investment funds:
Net realized gain (loss):		180,479			593,360
Change in net unrealized appreciation (depreciation):		(237,429	)		235,376

Net realized and unrealized gain (loss)		(56,950	)		828,736

Net increase (decrease) in net assets resulting from operations	$	(56,950	)	$	828,736

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Conservative Portfolio

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	—		$	—
Net realized gain on investments (loss)		180,479			593,360
Change in net unrealized appreciation (depreciation)		(237,429	)		235,376

Net increase (decrease) in net assets resulting from operations		(56,950	)		828,736

From unitholder transactions
Proceeds from units issued		2,400,132			5,694,349
Cost of units redeemed		(891,103	)		(3,136,301	)

Net increase (decrease) in net assets resulting from unitholder transactions		1,509,029			2,558,048

Net increase (decrease) in net assets		1,452,079			3,386,784

Net assets
Beginning of period		49,665,889			47,731,184

End of period	$	51,117,968		$	51,117,968

Number of units
Outstanding-beginning of period		2,701,593			2,644,013
Issued		131,801			311,805
Redeemed		(48,920	)		(171,344	)

Outstanding-end of period		2,784,474			2,784,474

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Conservative Portfolio

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.00		$	0.00
Net expenses†		0.00			0.00

Net investment income (loss)		0.00			0.00
Net realized and unrealized gain (loss)		(0.02	)		0.31

Net increase (decrease) in unit value		(0.02	)		0.31
Net asset value at beginning of period		18.38			18.05

Net asset value at end of period	$	18.36		$	18.36

Ratio of expenses to average net assets^*†		0.00	%		0.00	%
Ratio of net investment income to average net assets^*		0.00	%		0.00	%
Portfolio turnover^**		3	%		9	%
Total return^**		(0.11	)%		1.72	%
Net assets at end of period (in thousands)	$	51,118		$	51,118

^*	Annualized

^**	Not annualized. Portfolio turnover reflects purchases and sales of units of the collective investment funds in which the Portfolio invests rather than the turnover of such underlying collective investment funds.

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

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Moderate Portfolio

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
State Street Bank collective investment funds, at value
Stable Asset Return Fund (cost of $17,211,314 and units of 629,878)	$	18,344,710
Intermediate Bond Fund (cost of $50,442,381 and units of 3,041,160)		55,034,129
Large Cap Value Equity Fund (cost of $13,714,851 and units of 532,773)		16,510,239
Large Cap Growth Equity Fund (cost of $14,851,703 and units of 370,533)		16,510,239
Index Equity Fund (cost of $37,898,521 and units of 1,506,093)		42,192,832
International Equity Fund (cost of $23,996,448 and units of 1,457,860)		27,517,064
Mid-Cap Value Equity Fund (cost of $2,924,705 and units of 277,017)		3,668,942
Mid-Cap Growth Equity Fund (cost of $2,822,375 and units of 210,155)		3,668,942
Receivable for collective investment funds sold		808,421

Total assets		184,255,518

Liabilities
Payable for collective investment funds purchased		714,448
Payable for portfolio units redeemed		93,973

Total liabilities		808,421

Net assets (equivalent to $ 19.22 per unit based on 9,542,693 units outstanding)	$	183,447,097

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Moderate Portfolio

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004		For the period January 1, 2004 to June 30, 2004
Investment income	$	—	$	—

Net realized and unrealized gain (loss) on collective investment funds:
Net realized gain (loss):		89,825		293,148
Change in net unrealized appreciation (depreciation):		48,528		3,382,752

Net realized and unrealized gain (loss)		138,353		3,675,900

Net increase (decrease) in net assets resulting from operations	$	138,353	$	3,675,900

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Moderate Portfolio

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	—		$	—
Net realized gain on investments (loss)		89,825			293,148
Change in net unrealized appreciation (depreciation)		48,528			3,382,752

Net increase (decrease) in net assets resulting from operations		138,353			3,675,900

From unitholder transactions
Proceeds from units issued		10,863,917			26,885,335
Cost of units redeemed		(3,121,810	)		(3,960,750	)

Net increase (decrease) in net assets resulting from unitholder transactions		7,742,107			22,924,585

Net increase (decrease) in net assets		7,880,460			26,600,485
Net assets
Beginning of period		175,566,637			156,846,612

End of period	$	183,447,097		$	183,447,097

Number of units
Outstanding-beginning of period		9,135,684			8,343,573
Issued		570,651			1,406,485
Redeemed		(163,642	)		(207,365	)

Outstanding-end of period		9,542,693			9,542,693

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Moderate Portfolio

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	—		$	—

Net expenses†		0.00			0.00

Net investment income (loss)		0.00			0.00
Net realized and unrealized gain (loss)		0.00			0.42

Net increase (decrease) in unit value		0.00			0.42
Net asset value at beginning of period		19.22			18.80

Net asset value at end of period	$	19.22		$	19.22

Ratio of net expenses to average net assets^*†		0.00	%		0.00	%
Ratio of net investment income (loss) to average net assets^*		0.00	%		0.00	%
Portfolio turnover^**		3	%		4	%
Total return^**		0.00	%		2.23	%
Net assets at end of period (in thousands)	$	183,447		$	183,447

^*	Annualized

^**	Not annualized. Portfolio turnover reflects purchases and sales of units of the collective investment funds in which the Portfolio invests rather than the turnover of such underlying collective investment funds.

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

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Aggressive Portfolio

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
State Street Bank collective investment funds, at value
Intermediate Bond Fund (cost of $18,729,557 and units of 1,115,138)	$	20,180,012
Large Cap Value Equity Fund (cost of $14,458,034 and units of 564,368)		17,489,344
Large Cap Growth Equity Fund (cost of $14,289,926 and units of 392,507)		17,489,344
Index Equity Fund (cost of $39,009,152 and units of 1,440,670)		40,360,024
International Equity Fund (cost of $25,830,261 and units of 1,425,521)		26,906,682
Small Cap Equity Fund (cost of $3,486,030 and units of 67,029)		4,036,002
Mid-Cap Value Equity Fund (cost of $3,191,236 and units of 304,731)		4,036,002
Mid-Cap Growth Equity Fund (cost of $3,064,837 and units of 231,180)		4,036,002
Receivable for collective investment funds sold		321,344
Receivable for portfolio units sold		72,271

Total assets		134,927,027

Liabilities
Payable for collective investments funds purchased		393,615

Total liabilities		393,615

Net assets (equivalent to $ 19.74 per unit based on 6,813,678 units outstanding)	$	134,533,412

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Aggressive Portfolio

Statement of Operations

Unaudited


	For the period April 1, 2004 to June 30, 2004		For the period January 1, 2004 to June 30, 2004
Investment income	$	—	$	—

Net realized and unrealized gain (loss) on collective investment funds:
Net realized gain (loss)		326,649		770,124
Change in net unrealized appreciation (depreciation)		209,710		2,785,123

Net realized and unrealized gain (loss)		536,359		3,555,247

Net increase (decrease) in net assets resulting from operations	$	536,359	$	3,555,247

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Aggressive Portfolio

Statement of Changes in Net Assets

Unaudited


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	—		$	—
Net realized gain on investments (loss)		326,649			770,124
Change in net unrealized appreciation (depreciation)		209,710			2,785,123

Net increase (decrease) in net assets resulting from operations		536,359			3,555,247

From unitholder transactions
Proceeds from units issued		5,396,701			12,403,556
Cost of units redeemed		(1,498,788	)		(3,814,775	)

Net increase (decrease) in net assets resulting from unitholder transactions		3,897,913			8,588,781

Net increase (decrease) in net assets		4,434,272			12,144,028
Net assets
Beginning of period		130,099,140			122,389,384

End of period	$	134,533,412		$	134,533,412

Number of units
Outstanding-beginning of period		6,616,872			6,377,795
Issued		274,806			632,354
Redeemed		(78,000	)		(196,471	)

Outstanding-end of period		6,813,678			6,813,678

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

American Bar Association Members/ State Street Collective Trust

Structured Portfolio Service - Aggressive Portfolio

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.00		$	0.00
Net expenses†		0.00			0.00

Net investment income (loss)		0.00			0.00
Net realized and unrealized gain (loss)		0.08			0.55

Net increase (decrease) in unit value		0.08			0.55
Net asset value at beginning of period		19.66			19.19

Net asset value at end of period	$	19.74		$	19.74

Ratio of net expenses to average net assets*†		0.00	%		0.00	%
Ratio of net investment income (loss) to average net assets*		0.00	%		0.00	%
Portfolio turnover**		2	%		5	%
Total return**		0.41	%		2.87	%
Net assets at end of period (in thousands)	$	134,533		$	134,533

*	Annualized

**	Not annualized. Portfolio turnover reflects purchases and sales of units of the collective investment funds in which the Portfolio invests rather than the turnover of such underlying collective investment funds.

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

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

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements

Unaudited

1. Description of the Trust

American Bar Association Members/State Street Collective Trust (the “Trust” or the “Collective Trust”) was organized on August 8, 1991 under the American Bar Association Members/State Street Collective Declaration of Trust as amended and restated on December 5, 1991 and as amended thereafter. State Street Bank and Trust Company (“State Street Bank” or the “Trustee”) acts as trustee for the Trust. The Trust is maintained exclusively for the collective investment of monies administered on behalf of participants in the American Bar Association Members Retirement Program (“the 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 stipulating various allocations among the Funds. The Funds and Portfolios are investment options under 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. At June 30, 2004, the investments representing the debt portion of the Fund having in aggregate a value of $173,984,004 were exchanged for 9,614,275 units of the Intermediate Bond Fund.

Index Equity Fund—replication of the total return of the Russell 3000 Index. Currently invests 100% of the Fund’s net assets 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 from State Street Bank upon request.

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 Growth Index. As of June 30, 2004, 32.11% of the Fund’s net assets were invested in the State Street Bank and Trust Company Russell 1000 Growth Index Securities Lending Fund. This underlying fund’s financial statements are available from State Street Bank upon request.

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 Value Index. As of June 30, 2004, 23.30% of the Fund’s net assets were invested in the State Street Bank and Trust Company Russell 1000 Value Index Securities Lending Fund. This underlying fund’s financial statements are available from State Street Bank upon request.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

Unaudited

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 in the State Street Bank and Trust Company Yield Enhanced Short-Term Investment Fund, a separate State Street Bank collective investment fund. The financial statements of State Street and Trust Company Yield Enhanced Short-Term Investment Fund are available from State Street Bank 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.

In seeking its objective, each Structured Portfolio Service conducts a monthly pre-determined investment rebalancing in the Funds.

All the Funds may invest in the State Street and Trust Company Yield Enhanced Short-Term Investment Fund, a collective investment fund advised by State Street Global Advisors, a division of State Street Bank. The underlying collective investment fund’s financial statements are available from State Street Bank upon request. At June 30, 2004, the Intermediate Bond Fund had 14.57% of its net assets invested in the State Street and Trust Company Yield Enhanced Short-Term Investment Fund; this amount includes the assets transferred from the Balanced Fund on June 30, 2004.

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.

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

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

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

Unaudited

information to employers and participants, receives all plan contributions, effects investment and transfer transactions and distributes all benefits provided by the plans to the participants or, in the case of some individually designed plans, to the trustees of such plans.

2. Summary of Significant Accounting Policies

The 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 2003 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 2003 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 June 30, 2004 and the results of each of their operations, the changes in each of their net assets and certain financial data for the three and six month periods, ended June 30, 2004.

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: 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 values of such respective collective investment funds.

Other Funds and Portfolios: Stocks listed on the national securities 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. Securities participating in the NASDAQ Closing Cross will be valued at the NASDAQ Official Closing Price (NOCP) that results from the Closing Cross. Other unlisted stocks reported on the NASDAQ system are valued at quoted bid prices.

Foreign securities not traded directly or in the form of American Depositary Receipts (ADRs) in the United States are valued in the local currency at the last sale price on the applicable exchange, on which such securities trade and such values are converted into the U.S. dollar equivalent at current exchange rates.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

Unaudited

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

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.

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.

B. Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date on which the order to buy or sell is executed). Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Interest income is increased by accretion of discount and reduced by amortization of premium. Realized gains and losses are reported on the basis of the identified cost of securities delivered.

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

Certain collective investment funds and registered investment companies in which 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

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.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

Unaudited

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

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

D. Income Taxes

State Street Bank, on behalf of the Trust, has received a favorable determination letter dated March 9, 1992, from the Internal Revenue Service, which concluded that the Trust is a trust arrangement described in Rev. Rule. 81-100, 1981, C.B. 326 and exempt from Federal income tax pursuant to Section 501(a) of the Internal Revenue Code. Accordingly, no provision for Federal income taxes is required.

E. 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 offering Fund’s or 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 Funds’ other assets. These contracts also present a risk from the potential inability of counterparties to meet their contractual obligations. During the period prior to settlement, these Funds 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 described 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.

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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 acquiring market positions in securities comparable to those held by the Fund (with respect to the portion of its portfolio that is held in cash items). Buying futures tends to increase a fund’s exposure to the underlying instrument. Selling futures tends to decrease a fund’s exposure to the underlying instrument, or hedge other investments. Futures contracts involve, to varying degrees, credit and market risks.

The Fund enters into futures contracts only on exchanges or boards of 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 from illiquidity in the secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between a futures contract and the underlying index.

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

At June 30, 2004, the Fund held the following futures contracts:


	Number of Contracts						Unrealized
Futures Contracts	Long/(Short)		Notional Cost			Maturity Date	Gain/Loss
Euribor Futures	500,000		$	488,425		06/30/2005	$	(3,502	)
Germany Fed Rep Bonds 10 Year	5,000,000			5,623,790		09/30/2004		41,062
UK Treasury Bonds	1,125,000			1,068,149		09/15/2004		71
UK Treasury Bonds	2,900,000			3,044,377		09/28/2004		44,240
Eurodollar Futures	11,500,000			11,103,538		09/19/2005		(29,038	)
Eurodollar Futures	2,500,000			2,406,625		12/19/2005		(6,375	)
Eurodollar Futures	13,000,000			12,611,950		03/14/2005		1,950
Eurodollar Futures	30,000,000			28,418,730		06/18/2007		79,770
U.S.. Treasury Notes 10 Year	36,100,000			39,255,443		09/21/2004		212,010
U.S.. Treasury Notes 5 Year	6,600,000			7,127,734		09/21/2004		45,641
U.S.. Treasury Bonds	(4,100,000	)		(4,281,617	)	09/21/2004		(79,758	)

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

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from the possible inability of counterparties to meet the contracts’ terms and from movements in currency values. As of June 30, 2004, the Intermediate Bond Fund held the following forward foreign currency contracts.


Type	Currency	Principal Amount Covered by Contract	US Dollar Cost		Settlement Date	Unrealized Appreciation (Depreciation)
Sell	Euro	13,161,000	$	16,206,455	07/20/04	$	181,553
Sell	Pound Sterling	89,000	$	161,414	07/28/04	$	460

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 of 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 June 30, 2004, the Intermediate Bond Fund held the following interest rate swap contracts:


Notional Amount Fund/Counterparty	Expiration Date	Description	Unrealized Appreciation (Depreciation)
6,800,000	06/16/2014	Agreement with Goldman Sachs Capital Market, dated 08/07/2003, to pay the notional amount multiplied by the six-month JPY-LIBOR rate and receive the notional amount multiplied by 1.07%.	$	(236,974.	)

2,300,000	09/15/2005	Agreement with Goldman Sachs Capital Market, dated 10/30/2003, to pay the notional amount multiplied by the six-month GBP-LIBOR rate and receive the notional amount multiplied by 4.00%.		(20,270.	)

17,500,000	12/15/2014	Agreement with Goldman Sachs Capital Market, dated 05/25/2004, to pay the notional amount multiplied by the three-month LIBOR rate and receive the notional amount multiplied by 5.00%.		249,902.

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Notional Amount Fund/Counterparty	Expiration Date	Description	Unrealized Appreciation (Depreciation)
8,000,000	09/15/2005	Agreement with Goldman Sachs Capital Market, dated 11/06/2003, to pay the notional amount multiplied by the three-month LIBOR rate and receive the notional amount multiplied by 3.25%.	22,281.

6,300,000	03/17/2005	Agreement with Merrill Lynch Capital Services, dated 09/15/2003, to pay the notional amount multiplied by the six-month GBP-LIBOR rate and to receive the notional amount multiplied by 4.25%.	(51,341.	)

2,500,000 EUR	12/21/2007	Agreement with Barclays Bank PLC, dated 03/05/2004, to pay the notional amount multiplied by the six-month EURIBOR rate and receive the notional amount multiplied by 4.00%.	(18,587.	)

4,000,000	12/15/2009	Agreement with Lehman Brothers, dated 05/26/2004, to pay the notional amount multiplied by the three-month LIBOR rate and receive the notional amount multiplied by 4.00%.	24,498.

2,500,000 EUR	12/21/2007	Agreement with Goldman Sachs Capital Market, dated 03/23/2004, to pay the notional amount multiplied by the six-month EURIBOR rate and receive the notional amount multiplied by 4.00%.	(25,323.	)

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

Entering into 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

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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 period ended June 30, 2004 is as follows:


Written Put Option Contracts	Number of Contracts	Premiums
Outstanding, beginning of period	13,000	$	34,970

Options written	2,020		152,340
Options exercised	—		—
Options expired	2,020		(152,340	)
Options closed	—		—

Outstanding, end of period	13,000	$	34,970

At June 30, 2004, the Fund held the following written put options contracts:

Security

Contracts

Appreciation/

(Depreciation)

Pay fixed 6.50%, receive LIBOR, commencing March 7, 2006

13,000

24,790

Total premiums received $34,970

A summary of the written call options for the period ended June 30, 2004 is as follows:


Written Call Option Transactions	Number of Contracts	Premiums
Outstanding, beginning of period	13,000	$	35,880

Options written	2,020		170,524
Options exercised	—		—
Options expired	2,020		(170,524	)
Options closed	—		—

Outstanding, end of period	13,000	$	35,880

At June 30, 2004, the Fund held the following written call option contracts:

Security

Contracts

Appreciation/

(Depreciation)

Pay fixed 4.50%, receive LIBOR, commencing March 7, 2006

13,000

26,280

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.

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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.; RCM Capital Management LLC, the institutional investment management area of Dresdner Bank Group; Sit Investment Associates, Inc.; Morgan Stanley Investment Management, Inc. (through May 31, 2004); Alliance Capital Management L.P.’s Bernstein Investment Research and Management Unit; Pacific Investment Management Company; Ariel Capital Management; Turner Investment Partners; 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 applicable 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 the Funds based on the value of the assets allocated to that investment advisor and the respective graduated fee rates agreed to in the Advisor’s contract. These fees are accrued on a daily basis and paid either monthly or quarterly from the assets of the applicable Fund. Actual fees paid to each investment advisor during the past year are disclosed in the Trust’s prospectus. Fee rate ranges are as follows:


Investment Advisor		Fee Rate Range Highest Lowest
Capital Guardian Trust Company (Large-Cap Growth Equity, Small-Cap Equity and Balanced)		.50% to .225%*
RCM Capital Management LLC (Large-Cap Growth Equity)		.70% to .25%
Philadelphia International Advisors LP (International Equity)		.75% to .45%
Sit Investment Associates, Inc. (Small-Cap Equity)		1.00% to .60%
Morgan Stanley Investment Management (Balanced)		.125% to .50%
Alliance Capital Management L.P. (Large-Cap Value Equity)		.50% to .15%
JP Morgan Fleming Asset Management Limited (International Equity)		.75% to .60%
Pacific Investment Management Company (Intermediate Bond)		.50% to .25%
Ariel Capital Management (Mid-Cap Value Equity)		.75% to .50%
Turner Investment Partners (Mid-Cap Growth Equity)		.65% to .55%

*	Subject to a 5% fee reduction based on aggregate fees.


Investment Advisor	Six-Month Period ended June 30, 2004 Fees Paid Year to Date
Alliance Capital Management L.P. (Large-Cap Value Equity)	$	322,868
Ariel Capital Management (Mid-Cap Value Equity)		121,755
Capital Guardian Trust Company (Balanced)		338,528
Capital Guardian Trust Company (Large-Cap Growth Equity)		341,736
Capital Guardian Trust Company (Small-Cap Equity)		184,343
J.P. Morgan Fleming Asset Management Limited (International Equity)		224,435
Morgan Stanley Investment Management, Inc. (Balanced)		160,025
Pacific Investment Management Company (Intermediate Bond)		381,703
Philadelphia International Advisors LP (International Equity)		156,070
RCM Capital Management LLC (Large-Cap Growth Equity)		423,387
Sit Investment Associates, Inc (Small-Cap Equity)		492,013
Turner Investment Partners (Mid-Cap Growth Equity)		189,747

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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 daily and paid monthly from the assets of the Funds. The ABRA Program fee is based on the value of Program assets and the following annual fee rates:


Value of Program Assets	Rate for ABRA Period ended June 30, 2004
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 $ 798,597 for the six-month period ended June 30, 2004.

The State Street Bank Program fee is calculated monthly as 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 is accrued daily and paid monthly.

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 such assets in excess of $50 million. The accrued reduction for the six-month period ended June 30, 2004 totaled $35,733 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 Bank. No separate fee is charged for processing benefit payments. Rather, State Street Bank retains any earnings attributable to outstanding benefit checks, and these earnings have been taken into account in setting State Street’s fees under the Program. The Program fee paid to State Street Bank reflects a $300,000 annual reduction for earnings estimated to be attributable to outstanding benefit checks for 2004.

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	2004 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 net 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.

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State Street Bank received program fees of $5,159,044 and trustee, management and administration fees which aggregated $1,396,069 for the six-month period ended June 30, 2004. These fees are allocated to each Fund based on net asset value.

The Portfolios of the Structured Portfolio Service are not charged a separate trustee, management, administration or program fee.

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:


	Six-Month Period Ended June 30, 2004
	Purchases			Sales
Balanced Fund	$	287,804,426	*	$	215,780,459
Index Equity Fund		33,813,534			9,514,198
Intermediate Bond Fund		280,849,224			217,458,726
International Equity Fund		32,499,230			22,461,529
Large-Cap Growth Equity Fund		127,850,979			143,864,633
Large-Cap Value Equity Fund		66,313,068			42,676,636
Mid-Cap Growth Equity Fund		62,522,847			49,093,963
Mid-Cap Value Equity Fund		13,295,096			1,592,407
Small-Cap Equity Fund		87,814,102			88,289,707

Conservative Structured Portfolio Service		6,791,560			4,233,513
Moderate Structured Portfolio Service		30,339,855			7,415,271
Aggressive Structured Portfolio Service		14,459,921			5,871,140

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


	Six-Month Period Ended June 30, 2004
	Purchases		Sales
Balanced Fund	$	179,166,395	$	264,821,289
Intermediate Bond Fund		492,550,939		339,294,080

*	Includes the purchase of 9,614,275 units of the Intermediate Bond Fund valued at $173,984,004 at June 30, 2004.

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

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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.

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

The Funds in the Trust are authorized to participate in the Securities Lending Program administered by State Street Bank, under which securities held by the Funds are loaned by State Street Bank, as agent for certain brokers and other financial institutions (the “Borrowers”). The Borrowers provide cash, securities or letters of credit as collateral against loans in the amount at least equal to 100% of the market value of the loaned securities. The Borrowers are required to maintain the collateral at not less than 100% of the market value of the loaned securities.

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

Item 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Stable Asset Return Fund

The Stable Asset Return Fund invests primarily 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 notes and repurchase agreements.

For the quarter ended June 30, 2004, the Stable Asset Return Fund experienced an annualized total return, net of expenses, of 2.84%. By comparison, the Ryan Labs Three Year GIC Index and the Money Fund Report “Tier One” Money Market Fund Average, weighted 70%/30%, respectively, produced an investment record of 2.67% for the same period. For the six months ended June 30, 2004, the Fund experienced an annualized total return, net of expenses, of 2.86%, compared to an investment record of 2.71% for the combination benchmark for the same period. The combination benchmark does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the benchmark or a full allowance for fund expenses.

The Stable Asset Return Fund outperformed the combination benchmark for both the quarter and six month period ended June 30, 2004. The Fund entered into several guaranteed investment contracts during the quarter to replace maturing contracts and to maintain desired allocations among classes of permitted investments. All trades focused on the 3 to 5 year portion of the yield curve to add some incremental yield given the current steepness in the curve.

Participant cash flows were positive for the second quarter, but year-to-date were net negative $24 million. Fund assets are down a little over 1% year-to-date. During the six-months ended June 30, 2004, the Fund’s duration drifted shorter due to negative cash flow. Trades added over the six month period had a weighted average maturity of approximately 3.85 years in an attempt to add some duration while there is still an approximate 100 basis-point spread between two-year and five-year maturities on the yield curve. The Fund entered into several GIC trades during the second quarter to replace maturities and to maintain the insurance allocation. These trades focused on the 3-5 year part of the yield curve in order to add some yield and duration.

Intermediate Bond Fund

The Intermediate Bond Fund’s investment objective is to achieve a total return from current income and capital appreciation by investing in a portfolio of fixed income securities.

For the quarter ended June 30, 2004, the Intermediate Bond Fund experienced a total return, net of expenses, of (2.07)%. By comparison, the Lehman Brothers Aggregate Bond Index produced an investment record of (2.44)% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 0.14%, compared to an investment record of 0.15% for the Lehman Brothers Aggregate Bond Index for the same period. The Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The Intermediate Bond Fund, advised by Pacific Investment Management Company LLC, outperformed the Lehman Brothers Aggregate Bond Index for the quarter ended June 30, 2004 while it slightly underperformed the Lehman Brothers Aggregate Bond Index for the six month period ended June 30, 2004. Below benchmark duration was positive for returns during the second quarter as interest

rates rose sharply; however, for the year to date period, the duration position was an overall negative contributor as rates fell in the first quarter and in the final weeks of June. Emphasis on short and intermediate maturities was negative during the year to date period as the yield curve flattened in anticipation of Fed tightening. Real return bonds added to quarterly and year to date period returns because they outperformed more volatile Treasuries of like duration as rates rose. A mortgage bond underweight was slightly negative as mortgages outpaced comparable Treasuries. Security selection was positive, however, and more than offset this impact. Underweighting of corporates was slightly positive as this sector lagged Treasuries modestly on like-duration basis; however, negative security selection mitigated this effect. Municipal bonds helped returns as municipal bond yields rose less than Treasuries as rising rates caused municipal bond issuances to decline. Non-U.S. positions, mainly Eurozone issues, added value amid expectations for lower growth and inflation in Europe.

Balanced Fund

The Balanced Fund invests in publicly traded common stocks, other equity 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 June 30, 2004, the Balanced Fund experienced a total return, net of expenses, of (0.17)%. By comparison, a combination of the Russell 1000 Index and the Lehman Brothers Aggregate Bond Index, weighted 60%/40%, respectively, produced an investment record of (0.15)% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 2.02%, compared to an investment record of 2.06% for the combination benchmark for the same period. 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 indexes or for fund expenses.

The equity portion of the Balanced Fund, advised by Capital Guardian Trust Company, underperformed the Russell 1000 Index for the quarter ended June 30, 2004. The underperformance contributed to reducing the six month period performance below that of the investment record of the Index. Stock selection in the health care sector was the primary detractor from performance for the second quarter, due to the poor performance of one of the portfolio’s largest holdings, Forest Labs. Health care is also the worst performing sector year to date in the portfolio. Stock selection in information technology also hurt performance during both the second quarter and year to date, and stock selection in consumer discretionary adversely affected year to date performance. Stock selection in telecom services slightly detracted from performance during the quarter but it is the largest contributor to year to date performance. The underweight position in financials helped performance for both the second quarter and year to date and is the second largest contributor to performance.

The fixed income portion of the Balanced Fund, advised by Morgan Stanley Investment Management until May 31, 2004, and thereafter by Pacific Investment Management Company LLC, outperformed the Lehman Brothers Aggregate Bond Index for the quarter ended June 30, 2004. The Morgan Stanley Investment Management fixed income portfolio outperformed its benchmark by a wide margin during April and May; this, in turn, allowed the fixed income portfolio to outperform its benchmark on a year-to-date basis through the end of May. Second quarter relative performance through May 31 was enhanced by the portfolio’s below-benchmark interest-rate duration position, which helped preserve capital during a significant bond market sell-off. An emphasis on higher-coupon mortgage-backed and an underweight in agency debentures also had a positive impact on relative returns during the quarter. The portfolio’s corporate bond strategy did not have a major effect on relative performance during the first half of 2004, given that its sensitivity to credit spreads was near that of the benchmark.

For the month of June 2004 the fixed income portfolio outperformed the Lehman Brothers Aggregate Bond Index. The portfolio’s below-benchmark duration was neutral for performance, as intermediate maturity yields were largely unchanged, while the portfolio’s maturity structure added slightly to performance. A below-index weighting in corporates was neutral, and a mortgage sector emphasis was a strong positive for the month as mortgages outperformed amid declining volatility. Outside of these core sectors, a tactical allocation to emerging markets was positive.

Large-Cap Value Equity Fund

The Large-Cap Value Equity Fund seeks to outperform, over extended periods of time, broad measures of the domestic stock market. The Fund invests primarily in common stocks and other equity-type securities of companies with market capitalization greater than $1 billion that may be considered undervalued. A portion of the Fund (approximately 25%) is invested to replicate the Russell 1000 Value Index, which is composed of those Russell 1000 stocks with a greater than average value orientation. The remainder of the Large-Cap Value Equity Fund is actively managed.

For the quarter ended June 30, 2004, the Large-Cap Value Equity Fund experienced a total return, net of expenses, of 0.77%. By comparison, the Russell 1000 Value Index produced an investment record of 0.88% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 4.52%, compared to an investment record of 3.94% for the Russell 1000 Value Index 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 or for fund expenses.

The actively managed portion of the Large-Cap Value Equity Fund, advised by Alliance Capital Management L.P., slightly underperformed the Russell 1000 Value Index after expenses for the quarter ended June 30, 2004. The largest contributor to performance was stock selection in the capital equipment sector, bolstered by the strong performance of BF Goodrich, Tyco, Boeing, Textron and Eaton. These companies benefited from improving conditions in the U.S. capital equipment, aerospace and defense industries.

Oil prices reached record highs in the second quarter, lifting energy stocks. In this environment, individual stocks outperformed and the overweight of the sector paid off. Refining margins remained strong, rewarding companies with exposure to refining, such as ConocoPhillips, the largest refiner in the U.S.

Although utilities stocks lagged the market during the second quarter, a number of the stock selection decisions paid off. Utility company Sempra Energy, for instance, benefited from strong first quarter earnings and continued progress on a number of growth initiatives.

An emphasis on railroad stocks, which were among the market leaders during the quarter, added to performance. Holdings in Norfolk Southern, CSX and Burlington Northern, for instance, fared well.

Retailers felt the pressure of rising interest rates during the quarter. Federated Department Stores, May Department Stores and Sears all trailed the market. Importantly, however, despite the decline, Federated Department Stores continues to report strong results.

Technology stocks traded down during the second quarter, and several of the positions moved in tandem. Among them were Ingram Micro and Nortel Networks. The depreciation of the Euro during the quarter took a toll on Ingram Micro, as well as weaker demand in Europe. Meanwhile, Nortel Networks announced that the scope of its accounting review had been expanded. However, the company rebounded in June as it announced that the conclusion of its re-audit would come in July.

For the year to date period ended June 30, 2004, the actively managed portion of the Large-Cap Value Equity Fund outperformed the Russell 1000 Value Index after expenses. Stock selection in the technology sector was a big contributor to performance year-to-date. Most notable were positions in Corning, Nortel Networks and distributor Arrow.

As oil prices remained high and refining margins have been extremely strong, companies with exposure to refining, such as ConocoPhillips and refiner Valero Energy, benefited. Occidental Petroleum and Marathon Oil also fared well in this environment.

In the utilities sector, both phone and electric companies fared well. The most meaningful contribution to relative performance in this sector came from Sprint PCS, which rallied with other telecom companies after a February bid for AT&T Wireless by Cingular Wireless. The acquisition is a positive for the entire wireless industry, as it reduces the number of competitive players.

The financial sector was dragged down by lingering concerns over the effect of rising interest rates. Although these fears plagued the market, a number of holdings in insurance companies, including Oxford Health Plans and ManuLife, outperformed. Underweights of several interest rate sensitive banks also helped. On the negative side, however, the portfolio’s position in Humana detracted from performance.

Year-to-date, a number of consumer-related holdings hurt relative returns. For instance, several of the retailers fell, as did Altria in the consumer staples sector and Comcast in the consumer growth sector. Altria’s recent underperformance stemmed from negative investor reaction to two news items on the litigation front. In both instances, the rulings mean that the issues will be decided at trial. Tobacco companies had believed these cases would not go to trial, which would have removed the overhang of financial risk. However, it should be noted that the tobacco companies have significant legal precedent and rulings by higher courts in their favor in both cases. Meanwhile, cable company Comcast sank earlier this year on fears that it would have to raise its hostile takeover bid for Walt Disney Company; although Comcast eventually retracted their offer, the stock remained depressed.

Although market anxieties have begun to rise from very low levels, there appear to be limited major industrial or economic stresses creating important value themes. The sector overweights and of the actively managed portion of the portfolio underweights are accordingly smaller than usual. However, the portfolio has continued to seek opportunities within sectors from which alpha may be achieved.

The performance of the indexed portion of the Fund for both the quarterly and six month periods ended June 30, 2004 was consistent with the Russell 1000 Value Index after taking into account expenses.

Large-Cap Growth Equity Fund

The Large-Cap Growth Equity Fund invests primarily in common stocks and other equity-type securities of companies with market capitalization greater than $1 billion at the time of purchase. The Large-Cap Growth Equity Fund seeks to achieve long-term growth of capital through increases in the value of the securities its holds and to realize income principally from dividends on such securities. A portion of the Large-Cap Growth Equity Fund (approximately 33¹/3%) is invested to replicate the Russell 1000 Growth Index, which is composed 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 that are comparable to or superior to those attained by broad measures of the domestic stock market.

For the quarter ended June 30, 2004, the Large-Cap Growth Equity Fund experienced a total return, net of expenses, of 1.37%. By comparison, the Russell 1000 Growth Index produced an investment record

of 1.94% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 2.38%, compared to an investment record of 2.74% for the Russell 1000 Growth Index for the same period. The Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The actively managed portion of the Large-Cap Growth Equity Fund which is advised by Capital Guardian Trust Company underperformed the Russell 1000 Growth Index for both the quarter and six month period ended June 30, 2004. Stock selection in the health care sector was the primary detractor from performance for the second quarter, due to the poor performance of one of the largest holdings, Forest Labs. Health care is also the worst performing sector year to date in the portfolio. Stock selection in information technology also hurt performance during both the second quarter and year to date, and stock selection in consumer discretionary adversely affected year to date performance. Stock selection in telecom services slightly detracted from performance during the quarter but it is the largest contributor to year to date performance. The underweight position in financials helped performance for both the second quarter and year to date and is the second largest contributor to performance.

The actively managed portion of the Large-Cap Growth Equity Fund which is advised by RCM Capital Management LLC outperformed the Russell 1000 Growth Index for the quarter ended June 30, 2004. The outperformance was due to industry strategy. Overall stock selection cost the portfolio during the quarter. Stock selection in software, communications equipment and health care equipment & supplies hurt performance. Stock selection was positive within internet software & services and biotechnology.

Industry strategy added to performance in the second quarter. Overweights in internet software & services and software and underweights in retailing and computers & peripherals helped industry strategy. An overweight in hotels restaurants & leisure and an underweight in health care equipment & supplies hurt industry strategy.

For the first half of 2004, the portion of the Large-Cap Growth Equity Fund advised by RCM Capital Management LLC returned underperformed the investment record of the Russell 1000 Growth Index. Stock selection cost the portfolio during the first half of the year. Stock selection in software, communications equipment and diversified financials hurt performance most. Stock selection was positive within internet software & services and pharmaceuticals. Industry strategy for the first half of 2004 added to the performance of the portfolio. Overweights in internet software & services and energy, underweights in semiconductors & instruments and retailing, helped performance. Overweights in pharmaceuticals and food & drug retailing, and underweights in health care providers & services and health care equipment & supplies, hurt performance.

The performance of the indexed portion of the Fund for both the quarterly and six month periods ended June 30, 2004 was consistent with the Russell 1000 Growth Index after taking into account expenses.

Index Equity Fund

The Index Equity Fund invests in common stocks of U.S. companies which are included in the Russell 3000 Index, with the overall objective of achieving long-term growth of capital. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on market capitalization of the companies in the Russell 3000 Index.

For the quarter ended June 30, 2004, the Index Equity Fund experienced a total return, net of expenses, of 1.24%. By comparison, the Russell 3000 Index produced an investment record of 1.33% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of

expenses, of 3.35%, compared to an investment record of 3.59% for the Russell 3000 Index for the same period. The Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The performance of the Index Equity Fund for both the quarterly and six month periods ended June 30, 2004 was consistent with the Russell 3000 Index after taking into account expenses.

Mid-Cap Value Equity Fund

The Mid-Cap Value Equity Fund invests primarily in equity securities of companies with market capitalizations between $1 billion and $12 billion at the time of investment. The Fund seeks to be broadly diversified and emphasizes sectors and securities that State Street and the Fund’s Investment Advisor consider undervalued. The Mid-Cap Value 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 June 30, 2004, the Mid-Cap Value Equity Fund experienced a total return, net of expenses, of (0.20)%. By comparison, the Russell Mid-Cap Value Index produced an investment record of 1.73% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 3.77%, compared to an investment record of 7.17% for the Russell Mid-Cap Value Index 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 or for fund expenses.

The Mid-Cap Value Equity Fund, advised by Ariel Capital Management, LLC, underperformed the Russell Mid-Cap Value Index for the quarter ended June 30, 2004. Although many companies experienced earnings growth due to an improving economy, much of this growth had already been factored into the market, making it difficult for stocks to generate any lasting momentum. Against this backdrop, the portfolio lagged behind the gain of the Index. Results were adversely affected by holdings in the consumer discretionary & services and financial services sectors of the market, while health care positions contributed positively to performance.

The Mid-Cap Value Equity Fund underperformed the Russell Mid-Cap Value Index for the six-month period ended June 30, 2004. This underperformance was largely attributable to higher oil prices, which lifted the performance of companies within the integrated oils and other energy sectors in which the portfolio had no exposure. Additionally, interest rate fears caused the portfolio to lag the financial services sector, but strength was derived from the health care and consumer discretionary areas of the market.

Mid-Cap Growth Equity Fund

The Mid-Cap Growth Equity Fund invests primarily in common stocks and other equity-type securities of companies with market capitalizations between $1 billion and $12 billion at the time of investment. The Fund emphasizes sectors and securities that State Street and the Investment Advisor believe have 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 June 30, 2004, the Mid-Cap Growth Equity Fund experienced a total return, net of expenses, of 0.24%. By comparison, the Russell Mid-Cap Growth Index produced an investment record of 1.05% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 3.09%, compared to an investment record of 5.94% for the Russell Mid-Cap Growth Index for the same period. The Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The Mid-Cap Growth Equity Fund, advised by Turner Investment Partners, underperformed the Russell Mid-Cap Growth Index for the quarter ended June 30, 2004. Most of the underperformance came in the month of April as security fundamentals were overshadowed by macroeconomic factors such as high oil prices, inflation, geopolitical concerns, and the anticipated Fed rate increase which occurred on June 30. Additionally, markets were affected by low trading volumes. The consumer discretionary sector detracted the most from performance during the quarter as consumer-oriented and retail names suffered from dwindling consumer spending and sentiment. Owning companies such as Pep Boys, Sports Authority, and Pacific Sunwear detracted about 0.25% from total performance. Stocks in the materials sector detracted value as well. In the beginning of the quarter, the portfolio was overweight some of the steel and precious metals companies such as U.S. Steel and Phelps Dodge. These companies were hurt by the strengthening dollar, and were sold out of the portfolio during the quarter. Finally, in the financial services sector, names which are sensitive to an increasing interest rate environment detracted value such as Ameritrade and Knight Trading. Health care was the best performing sector during the quarter mostly due to specific situations in two biotechnology stocks. Gen Probe contributed about 0.35% to portfolio performance, as its stock continued to benefit from the release of Tigris, its new nucleic acid testing system. OSI Pharmaceuticals also contributed 0.41% to performance. OSI rose on the news that its new drug Tarceeva had exceeded survival hurdles in patients with small cell lung cancer.

During the first six months of the year, the portfolio lagged the Russell Mid Cap Growth Index by 2.93%. Technology contributed the most to the portfolio’s performance, about 0.30%, aided by superior security selection within the computer services software & systems and computer technology industries. However, an overweight of the electronics industry, specifically the portfolio’s position in Sanmina, detracted approximately 0.40% from performance. On the whole, materials and processing and producer durables were the largest detractors on a sector level, detracting more than 1.00% from performance. Examples of securities that underperformed in these broad sectors were U.S. Steel, Lam Research and Novellus Systems.

Small-Cap Equity Fund

The Small-Cap Equity Fund invests primarily in equity securities of companies with market capitalizations of $2.5 billion or less at the time of investment. These companies may include new companies and companies that may benefit from new technologies, new product or service development or management changes. The Small-Cap 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 June 30, 2004, the Small-Cap Equity Fund experienced a total return, net of expenses, of (1.94)%. By comparison, the Russell 2000 Index produced an investment record of 0.47% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 1.13%, compared to an investment record of 6.76% for the Russell 2000 Index for the same period. The Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The portion of the Small-Cap Equity Fund advised by Capital Guardian Trust Company underperformed the Russell 2000 Index for the quarter ended June 30, 2004. The combined overweight and stock selection in information technology, namely semiconductor production, hurt performance for both the second quarter and year to date. Poor stock selection in health care also hurt performance in the second quarter. The majority of the portfolio’s underperformance can be attributed to negative stock selection in this sector, namely biotechnology. The largest positive contributor during the second quarter was the materials sector where both sector and stock selection were positive. Strong stock selection was the main contributor in both the second quarter and year to date. The second largest

contributor to performance for both the second quarter and year to date was the financials sector. The portfolio has benefited from its underweight in the thrifts and mortgages industry and positive stock selection within the capital markets and consumer finance industry.

The portion of the Small-Cap Equity Fund advised by Sit Investment Associates, Inc. underperformed the Russell 2000 Index for the quarter ended June 30, 2004. The holding of cash reserves averaging slightly less than five percent was a minor factor in performance with the stock market being essentially flat during the period. The portfolio’s underperformance was due to stock selection, principally in the finance and technology services sectors. One company in the finance sector, New York Community Bancorp, accounted for the major portion of the sector’s (and the portfolio’s) weakness. The decline in its shares in the second quarter was caused by the company’s announcement that it was pursuing strategic alternatives as a result of losses in its securities portfolio. Subsequently, the company sold some securities and said it would take a charge for the losses. Despite these short-term negatives, the underlying business of the company continues to grow and the shares are being retained. In the case of technology services, there was no single company impacting results in a major way, but several firms, generally held in small weightings, experienced price declines generally related to lower-than-anticipated business development. The two stocks making the largest positive contributions to the portfolio in the quarter were Biosite (up 41%) and Quicksilver Resources (up 73%).

The reasons for year to date underperformance of the portion of the Fund advised by Sit Investment Associates, Inc. were generally the same as for the first quarter, namely stock selection in the technology services and electronic technology sectors. The weakest stocks in each of these two sectors were, respectively, Business Objects and Foundry Networks, both of which lowered earnings guidance for the second quarter. In the case of Business Objects, its earnings forecast was lowered due to currency exchange losses and integration costs of an acquisition. The company remains a leader in business intelligence products, which has excellent growth potential, and the shares are being retained. Foundry Networks, a maker of computer hardware and networking equipment, experienced softness in demand in Japan, but operations in Europe and the U.S. remain strong. The company is a strong competitor to Cisco Systems, and its shares are also being retained. There were also some very strong performers during the first half, the two companies providing the largest positive contributions to the portfolio being Biosite (up 56%) and Quicksilver Resources (86%).

International Equity Fund

The International Equity Fund’s investment objective is to seek long-term growth of capital through investment primarily in common stocks of established non-U.S. companies. The Fund 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 seeks to achieve, over an extended period of time, total returns comparable to or superior to broad measures of the international (non-U.S.) stock market.

For the quarter ended June 30, 2004, the International Equity Fund experienced a total return, net of expenses, of 0.69%. By comparison, the Morgan Stanley Capital International All-Country World Ex-U.S. Free Index (the “MSCI AC World Ex-U.S. Index”) produced an investment record of (0.90)% for the same period. For the six months ended June 30, 2004, the Fund experienced a total return, net of expenses, of 3.60%, compared to an investment record of 3.82% for the MSCI AC World Ex-U.S. Index for the same period. The Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The portion of the International Equity Fund advised by JP Morgan Fleming Asset Management (London) Limited underperformed the MSCI AC World Ex-U.S. Index for the quarter ended June 30, 2004. International equities continued to show gains, while the modest strength of the U.S. dollar

reduced returns to domestic investors. The quarter was dominated by worries about the speed of interest rate rises in the U.S., as the quarter produced the first Fed rate hike in more than four years. At the same time, corporate profitability has maintained its momentum. In Asia, Japan lagged other developed markets and emerging markets fell as investors worried about risk and a potential slowdown in China. There was a rotation within markets in the second quarter with defensive sectors such as consumer staples and health care outperforming. The energy sector benefited from higher oil prices and excess cash flow. Technology and interest rate sensitive sectors such as financials lagged the broader market. Defensive stocks such as Schering, Tesco and Reckitt Benckiser all reported positive top line growth. BMW, after a poor first quarter (in price relative terms), reiterated its volume and margin targets. Yukos has ceased to trade on fundamentals and is dependent upon the whim of the Russian government. Nokia reported poor results as competition in handsets increased. Average selling prices fell and Nokia’s market share came under pressure. Samsung gave up some of its very strong performance as emerging market stocks underperformed the broader indices.

The portion of the International Equity Fund advised by JP Morgan Fleming Asset Management (London) Limited underperformed the MSCI AC World Ex-U.S. Index for the year to date period ended June 30, 2004.

Underperformance can be attributed largely to stock selection in the consumer discretionary sector where holding BMW and Fuji Photo combined with a lack of exposure to Toyota detracted from performance. BMW shares were weak during the quarter as concerns about the weak dollar and a continued decline in German new car registrations weighed heavily on the stock. The stock bounced back in the second quarter as the German company reported strong sales figures but still closed out the six month period with a 3% loss. Shares of Fuji Photo were hit when it became apparent that the rise in sales of digital cameras was not sufficient to offset the decline in traditional film sales, and the portfolio sold the stock. Toyota (which is not held in the portfolio) racked up gains of 20% during the first half. The company overtook Ford to become the second leading automaker in the world and it continued to gain share in the US and once again topped JD Powers dependability surveys. An overweight position in Honda (up 9% for the period) helped offset some of the pain but could not do so entirely.

Overweight positions in CVRD, Vodafone and Yukos also impacted performance negatively. Brazilian iron ore producer CVRD was hit by concerns about higher U.S. interest rates and the possibility of a slowdown in China. Brazil, with its large stockpile of dollar denominated debt, is vulnerable to higher U.S. rates, while China has been the main driver behind the surge in iron ore demand. Investors were turned off by Vodafone’s (failed) attempt to acquire AT&T Wireless. Those concerns were exacerbated by the company’s ongoing problems in Japan and by the departure of two senior executives. Yukos shares took a dive in the second quarter (and are down 25% for the year to date period) as political pressures on the company resurfaced in the form of a $3.5 billion tax bill that threatened to plunge the company into possible bankruptcy.

On the positive side, stock selection in the area of consumer staples contributed positively to performance. The portfolio’s showing in the sector was spearheaded by an overweight in Reckitt Benckiser. The stock rose more than 25% during the first half as the company continued to generate outstanding sales and earnings.

The portfolio also did well in energy due to strong performance by the BG Group and ENI. Strong earnings and speculation about a possible takeover attempt drove shares of BG up 20% in the first half, while shares of ENI benefited from a continued rise in energy prices.

Other noteworthy contributors to performance included Takefuji, the Japanese consumer finance company that surged in the first half as improving economic conditions in Japan prompted a decline in personal bankruptcies and defaults. Holcim rose on expectations that cost-cutting and improved global demand would drive up profits for the construction materials producer.

The portion of the International Equity Fund advised by Philadelphia International Advisors, L.P. outperformed the MSCI AC World Ex-U.S. Index for the quarter ended June 30, 2004. The portfolio’s low relative exposure to Asian markets benefited performance, but the primary driver of the higher returns was security selection, which was favorable on both a country and sector basis. After a protracted period where investors had disfavored low P/E stocks or low risk, the investment headwinds described above led investors back toward stocks with these characteristics. The portfolio holdings outperformed their respective sectors across the board. On a country basis, the best relative returns came from strong stock selection in Germany, Sweden, and Spain. Year to date, the portfolio remains behind the Index by a modest margin due primarily to an underweight in Japanese securities and a lack of Japanese banks which heavily outperformed the Index earlier in the year.

Structured Portfolio Service

The portfolios of the Structured Portfolio Service invest in the funds described above according to conservative, moderate and aggressive allocations. Funds in the Conservative Portfolio are allocated as follows: 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%; and International Equity Fund, 7%. Funds in the Moderate Portfolio are allocated as follows: 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%; and International Equity Fund, 15%. Funds in the Aggressive Portfolio are allocated as follows: 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%; and International Equity Fund, 20%.

For the quarter ended June 30, 2004, the Structured Portfolio Service experienced a total return, net of expenses, of (0.14)% for the Conservative Portfolio, 0.03% for the Moderate Portfolio, and 0.42% for the Aggressive Portfolio.

For the six month period ended June 30, 2004, the Structured Portfolio Service experienced a total return, net of expenses, of 1.69% for the Conservative Portfolio, 2.26% for the Moderate Portfolio, and 2.89% for the Aggressive Portfolio.

A recorded message providing current values for Units in each portfolio in the Structured Portfolio Service is available at (800) 826-8905. The Structured Portfolio Service may, from time to time, report the performance of each of the portfolios in terms of total return. This reported performance will be determined based on historical results and will not be intended to indicate future performance.

Item 4. CONTROLS AND PROCEDURES.

Based on their evaluation as of the end of the period covered by this quarterly report on Form 10-Q, the Collective Trust’s Chief Executive Officer and Chief Financial Officer have concluded that the Collective Trust’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)) are effective, as of the end of such period, 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. There was no change in the Collective Trust’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act) identified in connection with the evaluation required by Rule 13a-15(d) of the Exchange Act that occurred during the period covered by this quarterly report on Form 10-Q that has materially affected, or is reasonably likely to materially affect, the Collective Trust’s internal control over financial reporting.

PART II. OTHER INFORMATION.

Item 2. CHANGES IN SECURITIES, USE OF PROCEEDS AND ISSUER PURCHASES OF EQUITY SECURITIES.

During the quarter ended June 30, 2004, the Collective Trust issued an aggregate of approximately $160,120,157 in unregistered Units. Such Units were offered and sold at their net asset value in reliance upon the exemption from registration under Rule 180 promulgated under the Securities Act of 1933 relating to exemption from registration of interests and participations issued in connection with certain H.R. 10 plans. Proceeds received by the Collective Trust from the sale or transfer of the Units are applied to the applicable Fund or portfolio of the Structured Portfolio Service.

Item 6. EXHIBITS AND REPORTS ON FORM 8-K.

a. EXHIBITS


10.1		Amendment dated July 16, 2004, to Investment Advisor Agreement, dated July 1, 2004, by and between State Street Bank and Trust Company and Pacific Investment Management Company, LLC.

10.2		Letter Agreement dated May 12, 2004 relating to Investment Advisor Agreement effective as of April 1, 2003 by and between State Street Bank and Trust Company and J.P. Morgan Fleming Asset Management.

31.1		Certification of James S. Phalen pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Beth M. Halberstadt pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of James S. Phalen pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of 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.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


	AMERICAN BAR ASSOCIATION MEMBERS / STATE STREET COLLECTIVE TRUST

August 6, 2004	By:	/s/ JAMES S. PHALEN
		Name: James S. Phalen
		Title: Chief Executive Officer

August 6, 2004	By:	/s/ BETH M. HALBERSTADT
		Name: Beth M. Halberstadt
		Title: Chief Financial Officer

EXHIBIT INDEX


Exhibit No.		Description
10.1		Amendment dated July 16, 2004, to Investment Advisor Agreement, dated July 1, 2004, by and between State Street Bank and Trust Company and Pacific Investment Management Company, LLC.

10.2		Letter Agreement dated May 12, 2004 relating to Investment Advisor Agreement effective as of April 1, 2003 by and between State Street Bank and Trust Company and J.P. Morgan Fleming Asset Management.

31.1		Certification of James S. Phalen pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Beth M. Halberstadt pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of James S. Phalen pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Beth M. Halberstadt pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.