UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-K

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

For the fiscal year ended December 31, 2006

OR

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

For the transition period from              to             

Commission file number 33-50080

AMERICAN BAR ASSOCIATION MEMBERS/

STATE STREET COLLECTIVE TRUST

(Exact name of registrant as specified in its charter)

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

20 Trafalgar Square, Suite 449 Nashua, New Hampshire	03063
(Address of principal executive offices)	(Zip Code)

Registrant’s telephone number: (603) 589-4097

Securities registered pursuant to Section 12(b) of the Act:    None

Securities registered pursuant to Section 12(g) of the Act:    None

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.     Yes  x    No  ¨

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.    Yes  ¨    No  x

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 if disclosure of delinquent filers pursuant to Item 405 of Registration S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.    x

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer” and “large accelerated filer” in Rule 12b-2 of the Exchange Act.

Large Accelerated Filer  x    Accelerated Filer  ¨    Non-Accelerated Filer   ¨

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

As of June 30, 2006, the aggregate market value of the units of beneficial interest in the various funds of the Collective Trust held by non-affiliates was approximately $3.85 billion.

TABLE OF CONTENTS

		Page
Special Note Regarding Forward-Looking Statements		1
	PART I
ITEM 1.	Business	1
	OVERVIEW	1
	THE PROGRAM	2
	DESCRIPTION OF INVESTMENT OPTIONS	2
	Stable Asset Return Fund	3
	Intermediate Bond Fund	8
	Balanced Fund	11
	Large-Cap Value Equity Fund	14
	Large-Cap Growth Equity Fund	17
	Index Equity Fund	19
	Mid-Cap Value Equity Fund	21
	Mid-Cap Growth Equity Fund	23
	Small-Cap Equity Fund	25
	International Equity Fund	29
	CERTAIN INFORMATION WITH RESPECT TO THE FUNDS	32
	DERIVATIVE INSTRUMENTS	35
	INVESTMENT ADVISORS	37
	STRUCTURED PORTFOLIO SERVICE	38
	RETIREMENT DATE FUNDS	40
	SELF-MANAGED BROKERAGE ACCOUNTS	46
	CONTRIBUTIONS AND INVESTMENT SELECTION	47
	TRANSFERS BETWEEN INVESTMENT OPTIONS AND WITHDRAWALS	47
	BENEFITS AND DISTRIBUTIONS	49
	PARTICIPANT ADVISOR SERVICE	49
	ADDITIONAL INFORMATION	50
	ADOPTION OF PROGRAM	51
	STATE STREET AND STATE STREET BANK	52
	ABA RETIREMENT FUNDS	53
	DEDUCTIONS AND FEES	54
	Program Expense Fee	54
	Trust, Management and Administration Fees	55
	Retirement Date Funds Fee	55
	Self-Managed Brokerage Account Fees	55
	Actuarial Services and Fees	55
	Investment Advisor Fee	56
	Operational and Offering Costs	58
	Fee Recipients	58
ITEM 1A.	Risk Factors	60
ITEM 1B.	Unresolved Staff Comments	60
ITEM 2.	Properties	61
ITEM 3.	Legal Proceedings	61
ITEM 4.	Submission of Matters to a Vote of Security Holders	61
	PART II
ITEM 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	61
ITEM 6.	Selected Financial Data	63

i

		Page
ITEM 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	72
ITEM 7A.	Quantitative and Qualitative Disclosures About Market Risk	84
ITEM 8.	Financial Statements and Supplementary Data	84
ITEM 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	84
ITEM 9A.	Controls and Procedures	84
ITEM 9B.	Other Information	85
	PART III
ITEM 10.	Directors, Executive Officers and Corporate Governance	85
ITEM 11.	Executive Compensation	86
ITEM 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	86
ITEM 13.	Certain Relationships and Related Transactions, and Director Independence	86
ITEM 14.	Principal Accounting Fees and Services	87
	Audit Fees	87
	Audit-Related Fees	87
	Tax Fees	87
	All Other Fees	87
	PART IV
ITEM 15.	Exhibits and Financial Statement Schedules	88
Signatures		96
Financial Statements		F-1

ii

SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS

Some of the statements in this Report, including, without limitation, those relating to the objectives and strategies of the Investment Options, constitute “Forward-Looking Statements” within the meaning of the Private Securities Litigation Reform Act of 1995 (the “Reform Act”). The Collective Trust desires to take advantage of the “safe harbor” provisions of the Reform Act and is including this special note to enable it to do so. Forward-looking statements included in this Report, or subsequently included in other publicly available documents filed with the SEC, and other publicly available statements issued or released by the Collective Trust, involve known and unknown risks, uncertainties and other factors which could cause the actual results, performance or achievements of the Investment Options to differ materially from the future results, performance or achievements expressed or implied by such forward-looking statements. For a description of these factors, see the descriptions of each of the Investment Options found in Item 1, “Business.”

PART I

ITEM 1.    Business.

OVERVIEW

The American Bar Association Members/State Street Collective Trust (the “Collective Trust”) was organized on August 8, 1991. The Collective Trust is maintained exclusively for the collective investment of monies administered on behalf of the ABA Retirement Funds program (the “Program”). As of December 31, 2006, there were ten separate collective investment funds (the “Funds”), three portfolios of a Structured Portfolio Service and five Retirement Date Funds. The current Funds are as follows: Stable Asset Return Fund, Intermediate Bond Fund, Balanced Fund, Large-Cap Value Equity Fund, Large-Cap Growth Equity Fund, Index Equity Fund, Mid-Cap Value Equity Fund, Mid-Cap Growth Equity Fund, Small-Cap Equity Fund and International Equity Fund. Assets contributed under the Program may also be invested in the portfolios of the Structured Portfolio Service, which offers conservative, moderate or aggressive allocations of assets among the Funds listed above and in the Retirement Date Funds, a group of five balanced investment funds each of which is designed to correspond to a particular time horizon to retirement. The Funds, portfolios of the Structured Portfolio Service and Retirement Date Funds are Investment Options under the Program, which is sponsored by ABA Retirement Funds (“ARF”).

The Collective Trust may offer and sell an unlimited number of units of beneficial interest (“Units”), representing interests in separate fund portfolios of the Collective Trust, each Unit to be offered and sold at the per Unit net asset value of the corresponding fund portfolio.

State Street Bank and Trust Company of New Hampshire (“State Street” or the “Trustee”), a trust company established under the laws of the state of New Hampshire and a wholly-owned subsidiary of State Street Bank and Trust Company (“State Street Bank”), serves as trustee of the Collective Trust.

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 assumed responsibility for administering and providing the Investment Options for the Program on January 1, 1992. State Street Bank served as trustee of the Collective Trust prior to December 1, 2004.

State Street Bank is responsible for certain recordkeeping and administrative services required by the Program. State Street Bank’s administrative and recordkeeping responsibilities include maintenance

1

of individual account records or accrued benefit information for participants whose employers choose to have State Street Bank maintain such account records. In addition, State Street Bank also provides account and investment information to employers and participants, receives all plan contributions, effects investment and transfer transactions and distributes benefits provided by the plans to the participants or, in the case of some individually designed plans, to the trustees of such plans.

In this Report, references to “State Street” or the “Trustee” refer, with respect to the period prior to December 1, 2004, to State Street Bank, and with respect to the period beginning December 1, 2004, to State Street. For additional information regarding the relationship between State Street and State Street Bank, see “—State Street and State Street Bank.”

THE PROGRAM

The Program is sponsored by ARF, an Illinois not-for-profit corporation organized by the ABA to sponsor retirement programs for self-employed individuals and employers who are members or associates of the ABA or other affiliated organizations. The Program is a comprehensive retirement program that provides Employers with tax-qualified employee retirement plans, a variety of Investment Options and related recordkeeping and administrative services. As of December 31, 2006, there were approximately 4,200 plans participating in the Program through which approximately 46,000 Participants participated in the Program.

As trustee of the Collective Trust, State Street is responsible for the operation and management of Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds under the Collective Trust. State Street Bank provides administrative and recordkeeping services required by the Program. State Street Bank has engaged CitiStreet to provide such recordkeeping and administrative services. State Street Bank also is the sole trustee of each of the ABA Members Trusts. For a more complete description of the relationship between State Street and State Street Bank, see “—State Street and State Street Bank.”

DESCRIPTION OF INVESTMENT OPTIONS

The Collective Trust offers ten collective investment funds, three portfolios of a Structured Portfolio Service and five Retirement Date Funds. The Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are Investment Options under the Program. It currently is anticipated, however, that the portfolios of the Structured Portfolio Service will be terminated and hence no longer available as Investment Options under the Program effective on or about January 1, 2008.

All proceeds received by the Collective Trust relating to the contribution, transfer or allocation of assets to a Fund, a portfolio of the Structured Portfolio Service or a Retirement Date Fund are applied to the purchase of Units of such Fund, portfolio of the Structured Portfolio Service or Retirement Date Fund. Assets invested through the ABA Members Plans are held under the Retirement Trust, and assets invested through individually designed plans are held under the Pooled Trust. State Street Bank is the sole trustee of each of the ABA Members Trusts.

The Stable Asset Return Fund invests in high quality short-term instruments and investment contracts. The Intermediate Bond Fund invests in debt securities of varying maturities. The Balanced Fund invests in both equity and debt securities. The Index Equity Fund invests in common stocks included in the Russell 3000 Index. The Large-Cap Value Equity Fund, Large-Cap Growth Equity Fund, Mid-Cap Value Equity Fund, Mid-Cap Growth Equity Fund, Small-Cap Equity Fund and International Equity Fund invest in equity securities of various types. Assets contributed or held under the Program may also be invested in the portfolios of the Structured Portfolio Service, which offer three approaches

2

to diversifying investments in the Program by providing the opportunity to select conservative, moderate or aggressive allocations of assets among the Program’s Funds, and in the Retirement Date Funds, which are a group of balanced investment funds each of which is designed to correspond to a particular time horizon to retirement. In addition, assets contributed under the Program may be invested in publicly traded debt and equity securities and shares of numerous mutual funds through Self-Managed Brokerage Accounts.

Interests in the respective Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are represented by Units, each of which represents an undivided pro rata share of the net assets of a Fund, a portfolio of the Structured Portfolio Service or a Retirement Date Fund. Although the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are similar in some respects to registered open-end management investment companies (commonly referred to as “mutual funds”), the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are not required to be and are not registered as investment companies under the Investment Company Act. The Units representing interests in the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are held by State Street Bank, as trustee of the ABA Members Trusts. Neither the assets of the ABA Members Trusts nor the Investment Options are subject to the claims of the creditors of State Street or State Street Bank. The Investment Options are not insured by the Federal Deposit Insurance Corporation or any governmental agency. State Street’s activities as trustee of the Collective Trust and State Street Bank’s activities as trustee of the ABA Members Trusts are subject to the requirements of ERISA. There are no voting rights connected with the ownership of Units. No officer of the Collective Trust or officer or director of State Street owns, beneficially or of record, any Units of beneficial interest in the Collective Trust. As of December 31, 2006, no person or entity vested with investment responsibility for the assets contributed to the Program owned more than 5% of the Units of beneficial interest in the Collective Trust or in any Investment Option offered thereunder, except that three Participants owned 11.01%, 7.62% and 5.78%, respectively, of the outstanding Units of the Lifetime Income Retirement Date Fund, three Participants owned 15.8%, 11.18% and 5.57%, respectively, of the outstanding Units of the 2010 Retirement Date Fund and two Participants owned 6.57% and 5.22%, respectively, of the outstanding Units of the 2020 Retirement Date Fund.

Units in the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are not “redeemable securities” within the meaning of the Investment Company Act because the holder does not have an entitlement to receive approximately the holder’s proportionate share of the Collective Trust’s current net assets or the cash equivalent thereof (or the current net assets or cash equivalent thereof of any Investment Option) upon presentation of the Units to the Collective Trust. However, each Unit entitles its holder to exercise investment rights that are substantially similar to the rights of holders of “redeemable securities” issued by a mutual fund. Units in each Fund, in each portfolio of the Structured Portfolio Service and in each Retirement Date Fund may be liquidated on each Business Day (subject to applicable restrictions under the terms of the Program) for cash equal to the per Unit net asset value of the Fund, the portfolio in the Structured Portfolio Service or the Retirement Date Fund, as applicable. In addition, transfers may be made among the Funds the portfolios in the Structured Portfolio Service and the Retirement Date Funds based on the relevant per Unit net asset values.

For purposes of the following descriptions of the Funds, investments by a Fund in collective investment funds maintained by State Street Bank, and investments by the Balanced Fund made in the Intermediate Bond Fund, are deemed to be investments in the underlying securities held by those funds.

STABLE ASSET RETURN FUND

Investment Objective. The investment objective of the Stable Asset Return Fund is to provide current income consistent with the preservation of principal and liquidity. There can be no assurance that the Stable Asset Return Fund will achieve its investment objective.

3

Strategy. The Stable Asset Return Fund invests primarily in investment contracts and high-quality short-term instruments through the State Street Bank and Trust Company ABA Members/Pooled Stable Asset Fund Trust, a collective investment fund maintained by State Street Bank, which in turn invests the high-quality short-term instruments portion of its assets in the State Street Bank and Trust Company Yield Enhanced Short-Term Investment Fund, a collective investment fund maintained by State Street Bank. The Fund invests in obligations of the United States government and its agencies and instrumentalities (referred to as “U.S. Government Obligations”) and in other high quality instruments, including notes, bonds and similar debt instruments of corporations, commercial paper, certificates of deposit and time deposits, bankers’ acceptances, supranational and sovereign debt obligations (including obligations of foreign government sub-divisions), asset-backed securities, master notes, promissory notes, funding agreements, variable and indexed interest notes and repurchase agreements (collectively, “Short-Term Investment Products”). The Stable Asset Return Fund may invest in U.S. Government Obligations and Short-Term Investment Products so long as the average weighted days to maturity of all such investments does not exceed 120 days. The Fund also invests in investment contracts, including “Synthetic GICs” issued by insurance companies, banks or other financial institutions. Synthetic GICs are arrangements comprised of an investment in one or more underlying securities and a contract issued by an insurance company, bank or other financial institution that provides for the return of principal and an agreed upon rate of interest for purposes of permitting the contract to be benefit responsive (that is, responsive to withdrawal, transfer and benefit payment requests by Program participants and beneficiaries). The underlying securities of Synthetic GICs generally consist of fixed income debt instruments. The average weighted maturity of the Fund’s Short-Term Investment Products and investment contracts may not exceed 2.25 years. As of December 31, 2006, approximately 19.68% of the Fund’s assets were invested in U.S. Government Obligations and Short-Term Investment Products and 80.32% of the Fund’s assets were invested in investment contracts. As of December 31, 2006, the duration of the Stable Asset Return Fund was 1.92 years. The Fund’s portfolio is structured to provide cash flow to assist liquidity management and to mitigate interest rate volatility while seeking to maximize rate of return.

Investment Guidelines and Restrictions and Risk Factors. The Fund may invest in a variety of U.S. Government Obligations, including bills and notes issued by the U.S. Treasury and securities issued by agencies of the U.S. government, such as the Farmers Home Administration, the Export Import Bank of the United States, the Small Business Administration, the Government National Mortgage Association, the General Services Administration and the Maritime Administration. Not all U.S. Government Obligations are backed by the full faith and credit of the United States. For example, securities issued by the Federal Farm Credit Bank or by the Federal National Mortgage Association are supported by the agency’s right to borrow money from the U.S. Treasury under certain circumstances, and securities issued by the Federal Home Loan Bank are supported only by the credit of the issuing agency. There is no guarantee that the U.S. government will support these securities, and, therefore, they involve more risk than U.S. Government Obligations that are supported by the full faith and credit of the United States.

The Stable Asset Return Fund may enter into repurchase agreements with a variety of banks and broker-dealers. In a repurchase agreement transaction, the Fund acquires securities (usually U.S. Government Obligations) for cash and obtains a simultaneous commitment from the seller to repurchase the securities at an agreed upon price and date. The resale price is in excess of the acquisition price and reflects an agreed upon market rate of interest unrelated to the coupon rate on the purchased security. The difference between the sale and the repurchase price is, in effect, interest for the period of the agreement. In such transactions, the securities purchased by the Stable Asset Return Fund will have a total value at least equal to the amount of the repurchase price and will be held by State Street Bank until repurchased. State Street Bank monitors the value of the underlying securities to verify that their value, including accrued interest, always equals or exceeds the repurchase price.

4

The Stable Asset Return Fund may invest in U.S. dollar-denominated instruments issued by foreign banks and foreign branches of U.S. banks, which may involve special risks. Foreign banks may not be required to maintain the same financial reserves or capital that are required of U.S. banks. Restrictions on loans to single borrowers, prohibitions on certain self-dealing transactions and other regulations designed to protect the safety and solvency of U.S. banks may not be applicable to foreign banks. Furthermore, investments in foreign banks may involve additional risks similar to those associated with investments in foreign securities described in the following paragraph. Foreign branches of U.S. banks generally are subject to U.S. banking laws, but obligations issued by a branch, which sometimes are payable only by the branch, may be subject to country risks relating to actions by foreign governments that may restrict or even shut down the operations of some or all the country’s banks. The Stable Asset Return Fund may also invest in U.S. dollar-denominated instruments issued by foreign governments, their political subdivisions, governmental authorities, agencies and instrumentalities and supranational organizations. A supranational organization is an entity designated or supported by the national government of one or more countries to promote economic reconstruction or development. Examples of supranational organizations include, among others, the European Investment Bank, the International Bank for Reconstruction and Development (World Bank) and the Nordic Investment Bank.

Investments in foreign securities may involve risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity in foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

The Stable Asset Return Fund may commit to purchasing securities on a “when-issued” basis, such that payment for and delivery of a security will occur after the date that the Fund commits to purchase the security. The payment obligation and the interest rate on the security are each fixed at the time of the purchase commitment. Prior to payment and delivery, however, the Stable Asset Return Fund will not receive interest on the security, and will be subject to the risk of a loss if the value of the when-issued security is less than the purchase price at the time of delivery.

The Stable Asset Return Fund is permitted to invest in asset-backed securities (including collateralized mortgage obligations (known as “CMOs”) and other derivative mortgage-backed securities), subject to the rating and quality requirements specified for the Fund. Asset-backed securities are issued by trusts and special purpose entities that securitize various types of assets, such as automobile and credit card receivables. Asset-backed securities may involve credit risks resulting primarily from the fact that asset-backed securities are issued by trusts or special purpose entities with no other assets and do not usually have the benefit of a complete security interest in the securitized assets. For example, credit card receivables generally are unsecured and the debtors are entitled to the protection of a number of state and Federal consumer credit laws, some of which may reduce the ability to obtain full payment. CMO residuals and other mortgage-related securities may be structured in classes with rights to receive varying proportions of principal and interest. The yield to maturity on an interest only class is extremely sensitive to the rate at which principal payments (including prepayments) are made on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity from these securities.

Except with respect to U.S. Government Obligations, the Stable Asset Return Fund may invest in a Short-Term Investment Product only if at the time of purchase, the instrument is (i) rated in one of the two highest rating categories applicable to corporate bonds by at least two nationally recognized statistical rating organizations, at least one of which must be Standard & Poor’s Corp. (“S&P”) or Moody’s Investors Service, Inc. (“Moody’s”), (ii) rated in the highest rating category applicable to commercial paper by at least two nationally recognized statistical rating organizations, at least one of

5

which must be S&P or Moody’s, or (iii) if unrated, issued or guaranteed by an issuer that has other comparable outstanding instruments that are so rated or is itself rated in one of the two highest rating categories by at least two nationally recognized statistical rating organizations, at least one of which must be S&P or Moody’s. For purposes of this restriction, an investment in a repurchase agreement will be considered to be an investment in the securities that are the subject of the repurchase agreement. Except with respect to U.S. Government Obligations backed by the full faith and credit of the United States, each instrument purchased will be subject to the risks of default by the issuer and the non-payment of interest or principal that are usually associated with unsecured borrowings.

The Stable Asset Return Fund may not invest in any investment contract unless, at the time of purchase, the investment contract or the issuer of the investment contract is rated in one of the two highest rating categories by at least two nationally recognized statistical rating organizations, at least one of which must be S&P or Moody’s. Although these rating standards must be satisfied at the time an investment contract is issued, the financial condition of an issuer may change prior to maturity. The Stable Asset Return Fund will generally be unable to dispose of an investment contract prior to its maturity in the event of the deterioration of the financial condition of the issuer.

Except for investment contracts and U.S. Government Obligations, the Fund may not invest more than 5% of its assets in securities of a single issuer, determined at the time of purchase. For purposes of this 5% limitation, investments in collective investment funds maintained by State Street Bank are considered to be investments in the underlying securities held by such collective investment funds, and investments in repurchase agreements are considered to be investments in the securities that are the subject of such repurchase agreements. Other than investment contracts, the Fund may not invest more than 10% of its net assets in illiquid securities, including repurchase agreements with maturities of greater than seven days or portfolio securities that are not readily marketable or redeemable, determined at the time of purchase. The proportion of the assets of the Fund invested in investment contracts of any one insurance company, bank or financial institution may generally not be greater than 15% of the aggregate value of investment contracts included in the Fund’s portfolio, and in no event greater than 20%, in each case determined at the time of purchase. To the extent that the assets of the Stable Asset Return Fund are committed to investment contracts of a single issuer, the Fund will be subject to a greater risk that a default by that issuer will have a material adverse effect on the Fund.

The Fund will utilize a tiered liquidity structure to satisfy withdrawal and transfer requests. In the unlikely event that the amount of liquid assets held by the Fund is insufficient to satisfy all withdrawal and transfer requests immediately, the Fund may limit or suspend withdrawals and transfers. For more information on these restrictions, including the priority to be given to withdrawals and transfers in such circumstances, see “—Transfers Between Investment Options and Withdrawals—Frequent Trading; Restrictions on Transfers.”

Valuation of Units. Unlike the other Funds, assets of the Stable Asset Return Fund are not valued at fair market value. The values of Short-Term Investment Products are determined according to “Amortized Cost Pricing.” Under Amortized Cost Pricing, when an instrument is acquired by the Fund, it is valued at its cost, and thereafter that value is increased or decreased by amortizing any discount or premium on a constant basis over the instrument’s remaining maturity. Investment contracts held by the Fund are benefit responsive (that is, responsive to withdrawal, transfer and benefit payment requests) and, hence, under generally accepted accounting principles applicable to employee benefit plans, are valued at their contract values (cost plus accrued interest). Any fluctuations in the market value of the Fund’s assets are not taken into account in determining the Fund’s Unit value. The Fund’s Unit value is increased each Business Day by the amount of net income accrued for that day, and such Unit value is then used to account for contributions or transfers to and withdrawals or transfers from the Fund. In accordance with accounting rules applicable to the methods used by the Fund to value its assets, no additional assets of defined benefit plans may be contributed or transferred to the Fund. However, any

6

assets of defined benefit plans invested in the Fund prior to January 15, 2006 may remain so invested, including any earnings thereon.

The methods used to value assets of the Stable Asset Return Fund provide certainty in valuation but can result in the overvaluation or undervaluation of the value of a particular instrument or investment contract when compared to its market value, and the longer the maturity of a particular instrument or investment contract, the greater the exposure to the risk of such overvaluation or undervaluation. If a holder of Units in the Stable Asset Return Fund were to receive a distribution from, or make a transfer out of, the Stable Asset Return Fund at a time when the market value of the assets of the Stable Asset Return Fund was less than the value used to compute its Unit value, the holder would be overpaid (based on market price) and the market value of the Units in the Fund held by the remaining holders of Units in the Fund would be diluted. Conversely, if a holder were to receive a distribution from, or make a transfer out of, the Stable Asset Return Fund at a time when the market value of the assets of the Stable Asset Return Fund was more than the value used to compute its Unit value, the holder would be underpaid (based on market price) and the value of interests in the Fund of the remaining holders of Units in the Fund would be increased. Along the same lines, if a purchaser of Units in the Stable Asset Return Fund were to acquire such Units at a time when the market value of the assets of the Stable Asset Return Fund was less than (more than) the value used to compute its Unit value, the purchaser would overpay (underpay) (based on market price) and the market value of the Units in the Fund held by the remaining holders of Units in the Fund would be enhanced (diluted). State Street Bank monitors the market value of the investment contracts and Short-Term Investment Products held by the Fund. If State Street Bank were to determine that the per Unit net asset value of the Stable Asset Return Fund has deviated from the net asset value determined by using available market quotations or market equivalents (market value) for investment contracts and Short-Term Investment Products to a large enough extent that it might result in a material dilution or other unfair result to holders of Units, State Street Bank might adjust the per Unit net asset value of the Fund or take other action that it deems appropriate to eliminate or reduce, to the extent reasonably practicable, the dilution or other unfair result. The Financial Accounting Standards Board has issued guidance that, effective for financial statements for annual periods ending after December 15, 2006, requires the Fund to make several modifications in its financial statement presentation and disclosure, including presentation of both the fair value and contract value of benefit-responsive investment contracts. The adoption of these changes has not impacted the use by the Fund of contract value accounting.

Performance Information. The Stable Asset Return Fund may, from time to time, report its performance in terms of its yield and effective yield. The Fund’s yield is determined based upon historical earnings and is not intended to indicate future performance. The yield of the Fund refers to the income return for a day multiplied by the number of days in a year to show the one day return on an annualized basis. The effective yield is calculated similarly but, when annualized, the income earned by an investment in the Fund is assumed to be reinvested. The effective yield will be slightly higher than the yield because of the compounding effect of this assumed reinvestment.

Investment Advisor. State Street Bank manages the Stable Asset Return Fund. State Street may, in the future, at its discretion and subject to consultation with ARF, employ other investment advisors to provide investment advice with respect to the Fund or portions thereof. The assets of the Fund are currently invested in units of the State Street Bank and Trust Company ABA Members/Pooled Stable Asset Fund Trust, a collective investment fund maintained by State Street Bank, which in turn invests the high-quality short-term instruments portion of its assets in the State Street Bank and Trust Company Yield Enhanced Short-Term Investment Fund, a collective investment fund maintained by State Street Bank.

7

INTERMEDIATE BOND FUND

Investment Objective. The investment objective of the Intermediate Bond Fund is to achieve a total return from current income and capital appreciation by investing primarily in a diversified portfolio of fixed income securities. There can be no assurance that the Intermediate Bond Fund will achieve its investment objective.

Strategy. The Intermediate Bond Fund seeks to achieve, over an extended period of time, total returns comparable or superior to broad measures of the domestic bond market. The Intermediate Bond Fund invests its assets in fixed income securities of varying maturities with a portfolio duration generally from three to six years. The level of investments in fixed income securities will vary, depending upon many factors, including economic conditions, interest rates and other relevant considerations. In selecting securities, economic forecasting, interest rate anticipation, credit and call risk analysis, foreign currency exchange rate forecasting and other security selection techniques will be taken into account.

Duration is a measure of the expected life of a fixed income security that combines a bond’s yield, coupon interest payments, final maturity and call features into one measure. Traditionally, a debt security’s “term to maturity” has been used as a reference to the sensitivity of the security’s price to changes in interest rates (which is the “interest rate risk” or “volatility” of the security). However, “term to maturity” takes into account only the time until a debt security provides its final payment, without regard to the timing and frequency of the security’s payments prior to maturity. Duration is a measure of the expected life of a fixed income security based on a present value of all the payments of the security. In general, all other things being equal, the lower the stated or coupon rate of interest of a fixed income security, the longer the duration of the security; conversely, the higher the stated or coupon rate of interest of a fixed income security, the shorter the duration of the security.

The portion of the Fund’s assets committed to investment in debt securities with particular characteristics (such as maturity, type and coupon rate) will vary based on the outlook for the United States and foreign economies, the financial markets and other factors. The portfolio holdings will be concentrated in areas of the bond market (based on quality, sector, coupon or maturity) that are believed to be relatively undervalued.

Investment Guidelines and Restrictions. The Intermediate Bond Fund will invest primarily in the following types of securities, which may be issued by domestic or foreign entities and denominated in U.S. dollars or foreign currencies (subject to a 20% limit on foreign securities): U.S. Government Obligations; corporate debt securities; corporate commercial paper; mortgage-backed securities; asset- backed securities; variable and floating rate debt securities; bank certificates of deposit, fixed time deposits and bankers’ acceptances; repurchase agreements; obligations of foreign governments or their subdivisions, agencies and instrumentalities, international agencies or supranational entities; and foreign currency denominated securities. The Intermediate Bond Fund also invests in convertible securities, preferred stock, inflation-indexed bonds issued by both governments and corporations, structured notes, including hybrid or “indexed” securities, catastrophe bonds, and loan participations, delayed funding loans and revolving credit facilities, reverse repurchase agreements, and debt securities issued by states or local governments and their agencies, authorities and other instrumentalities. The Intermediate Bond Fund may hold different percentages of the assets in these various types of securities. The Fund will seek to maintain a minimum average credit quality rating of “AA.” At least 90% of the Fund’s total fixed income portfolio will consist of bonds rated investment grade by at least one nationally recognized rating agency. No more than 1% of the fixed income portfolio’s non-investment grade investments will be securities of a single issuer, and all such non-investment grade investments will have a credit quality rating of at least “B” (or be determined by the Investment Advisor to be of comparable quality).

8

For the purpose of realizing income, the Intermediate Bond Fund may enter into repurchase agreements, but may not invest more than 15% of its total assets in repurchase agreements maturing more than seven days after purchase. In a repurchase agreement transaction, the Fund acquires securities (usually U.S. Government Obligations) for cash and obtains a simultaneous commitment from the seller to repurchase the securities at an agreed upon price and date. The resale price is in excess of the acquisition price and reflects an agreed upon market rate of interest unrelated to the coupon rate on the purchased security. The difference between the sale and the repurchase price is, in effect, interest for the period of the agreement. In such transactions, the securities purchased by the Fund will have a total value at least equal to the amount of the repurchase price and will be held by State Street until repurchased. State Street monitors the value of the underlying securities to verify that their value, including accrued interest, always equals or exceeds the repurchase price.

The Fund may invest in derivative instruments such as futures, forwards, swaps, options, collateralized mortgage obligations (CMOs) and interest-only (IO) and principal-only (PO) stripped mortgage-backed securities to the extent that they are used in a manner that does not materially increase total portfolio volatility or relate to speculative activities. The Fund may invest up to 40% of its assets in CMOs at any time. Interest-only and principal-only stripped mortgage-backed securities are mortgage-backed bonds that are separated into the interest or principal portion of a pool of mortgage-backed bonds. The Fund may invest up to 5% of the Fund’s assets in interest-only and principal-only stripped mortgage-backed securities at any time, in addition to the investments in CMOs referred to above.

The Intermediate Bond Fund will limit its foreign investments to securities of issuers based in developed countries (including newly industrialized countries, such as Taiwan, South Korea and Mexico); provided that the Intermediate Bond Fund may invest up to 10% of its total assets in securities of issuers located in countries with emerging economies, as from time to time identified by the World Bank. Currently, these countries are located primarily in the Asia Pacific Region, Eastern Europe, Central and South America and Africa.

Risk Factors. The Intermediate Bond Fund, to the extent invested in longer-term fixed-income securities, is subject to the risks associated with investing in such instruments. Fixed-income securities such as bonds are issued to evidence loans that investors make to corporations and governments, either foreign or domestic. Over time, interest rates on debt securities change. If prevailing interest rates fall, the market value of fixed-income securities that trade on a yield basis tend to rise. On the other hand, if prevailing interest rates rise, the market value of fixed-income securities generally will fall. In general, the longer the maturity of a fixed-income security, the higher its yield and greater its price volatility. Conversely, the shorter the maturity, the lower the yield but the greater the price stability. These factors may have an effect on the Unit price of the Fund. A change in the level of interest rates will tend to cause the net asset value per Unit of the Fund to change. If such interest rate changes are sustained over time, the yield of the Fund will fluctuate accordingly.

Fixed-income securities also are subject to credit risk. When a security is purchased, its anticipated yield is dependent on the timely payment by the borrower of each interest and principal installment. Credit analysis and bond ratings take into account the relative likelihood that such timely payment will result. Bonds with a lower credit rating tend to have higher yields than bonds of similar maturity with a better credit rating. Furthermore, as economic, political and business developments unfold, lower quality bonds, which possess more risk of failure of timely payment, usually exhibit more price fluctuation than do higher-quality bonds of like maturity.

The Intermediate Bond Fund may enter into “to be announced” (“TBA”) 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 at the time of commitment, the principal amount has not been finalized. However, the amount of the TBA commitment will not fluctuate more than 1.0% from the

9

principal amount. The Fund holds, and maintains until the settlement date, cash or liquid securities in an amount sufficient to meet the purchase price. TBA commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. Risks may also arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. During the period prior to settlement, the Fund will not be entitled to accrue interest or receive principal payments. Unsettled TBA commitments are valued at the current market value of the underlying securities. The Fund may dispose of a commitment prior to settlement if the Fund’s Investment Advisor deems it appropriate to do so. Upon settlement date, the Fund may take delivery of the securities or defer the delivery to the next month. The Intermediate Bond Fund may also purchase or sell securities on a when-issued or delayed delivery basis. For information regarding risks involved in these activities, see “—Stable Asset Return Fund—Investment Guidelines and Restrictions and Risk Factors.”

Mortgage-related securities include securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property, such as collateralized mortgage obligation residuals or stripped mortgage-backed securities, and may be structured in classes with rights to receive varying proportions of principal and interest. The yield to maturity on an interest-only class is extremely sensitive to the rate at which principal payments (including prepayments) are made on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on an investor’s yield to maturity from these securities. Early repayment of principal on some mortgage-related securities (arising from prepayments of principal due to the sale of the underlying property, refinancing or foreclosure, net of fees and costs which may be incurred) may expose the Fund to a lower rate of return upon reinvestment of principal.

The risk factors with respect to investing in various short-term instruments are similar to those applicable to short-term investments held by the Stable Asset Return Fund.

Investing in the securities of issuers in any foreign country involves special risks and considerations not typically associated with investing in U.S. companies. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

Political and economic structures in many emerging markets countries may be undergoing significant evolution and rapid development, and such countries may lack the social, political and economic stability characteristic of more developed countries. Governments in many emerging market countries participate to a significant degree in the countries’ economics and securities markets. As a result, the risks of investing in the securities of foreign issuers generally, including the risks of nationalization or expropriation, may be heightened. The small size and inexperience of the securities markets, and a more limited volume of trading in securities, in certain of these countries may also make the Fund’s investments in securities of issuers located in such countries illiquid and more volatile than investments in more developed countries, and the Fund may be required to establish special custody or other arrangements before making certain investments in these countries. There may be little financial or accounting information available with respect to issuers located in certain of such countries, and it may be difficult as a result to assess the value or prospects of an investment in such issuers. Emerging markets often have provided significantly higher or lower rates of return than developed markets, and significantly greater risks, to investors.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund increase, which may adversely affect the Fund’s performance. Portfolio turnover depends on the types and proportions of the Intermediate Bond Fund’s assets and may change frequently in

10

accordance with market conditions. Portfolio turnover was 389% for the twelve months ended December 31, 2006 and 458% for the twelve months ended December 31, 2005. The Fund’s portfolio turnover includes trades such as TBA rolls, futures transactions, buys/sells of commercial paper, and reverse repurchase agreements. The Fund believes that it is important to have the ability to seek higher returns using a diverse array of strategies and instruments, particularly in the highly sophisticated global market. Some of these strategies and instruments, particularly mortgages and derivatives, by their very nature necessitate a relatively high number of trades and trade entries.

Performance Information. The Fund’s total return is based on the overall dollar or percentage change in value of a hypothetical investment in the Fund. The total return produced by the Intermediate Bond Fund will consist of interest and dividends from underlying securities, as well as capital changes reflected in unrealized increases or decreases in value of portfolio securities or realized from the purchase and sale of securities and futures and options. The Fund’s yield is calculated by dividing its net investment income per Unit earned during the specified period by its net asset value per Unit on the last day of such period and annualizing the result.

Investment Advisor. State Street has retained Pacific Investment Management Company LLC (“PIMCO”) to serve as Investment Advisor to provide investment advice and arrange for the execution of purchases and sales of securities for the Intermediate Bond Fund.

PIMCO is an investment management company founded in 1971. PIMCO is registered as an investment advisor with the Securities and Exchange Commission and as a commodity trading advisor with the Commodity Futures Trading Commission. Its principal place of business is 840 Newport Center Drive, Suite 100, Newport Beach, CA 92660. PIMCO, a Delaware limited liability company, is a majority-owned subsidiary of Allianz Global Investors L.P. (“AllianzGI LP”). Allianz AG (“Allianz”) is the indirect majority owner of AllianzGI LP. Allianz is a European-based, multinational insurance and financial services holding company. Pacific Life Insurance Company holds an indirect minority interest in AllianzGI LP. PIMCO had approximately $667.8 billion in assets under management as of December 31, 2006.

BALANCED FUND

Investment Objective. The investment objective of the Balanced Fund is to achieve both current income and long-term capital appreciation. There can be no assurance that the Balanced Fund will achieve its investment objective.

Strategy. The Balanced Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of the domestic stock and bond markets. The Balanced Fund invests in publicly traded common stocks, other equity-type securities, medium- to long-term debt securities with varying maturities (including bonds, notes, debentures, equipment trust certificates, asset-backed securities and mortgage-related securities) and money market instruments. The Balanced Fund normally maintains at least 40%, but not more than 70%, of its total assets in common stocks and other equity-type instruments, including convertible securities, and at least 30%, but not more than 60%, of its total assets in nonconvertible debt securities and money market instruments. The Balanced Fund varies the portion of its assets invested in equity securities, debt securities and money market instruments to achieve the Fund’s investment objective based upon economic conditions, the general level of common stock prices, interest rates and other relevant considerations, including the risks associated with each investment medium.

Investment Guidelines and Restrictions. The Balanced Fund invests in equity securities of U.S. companies or foreign companies whose stocks are traded on U.S. stock exchanges or over-the-counter

11

markets. Many foreign securities are available through dollar-denominated American Depositary Receipts (known as “ADRs”), which are issued by domestic banks and represent interests in foreign securities. ADRs are traded on U.S. stock exchanges or over-the-counter markets. The Fund may invest in foreign securities directly or through ADRs. The Balanced Fund also invests in high quality short-term instruments. The Balanced Fund may enter into “to be announced” (“TBA”) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time.

For temporary defensive purposes, the Balanced Fund may invest without limitation in U.S. Government Obligations, commercial paper and other short-term instruments of the types purchased by the Stable Asset Return Fund. The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of bond or equity markets, an extreme financial calamity or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objective.

State Street directs the allocation of the Fund’s assets between debt and equity securities consistent with the Fund’s strategy. It obtains investment advice from separate advisors for the equity portion of the Fund and for the debt portion of the Fund. Under normal circumstances, approximately 40% of the Balanced Fund’s assets are expected to be allocated to debt securities and approximately 60% are expected to be allocated to equity securities. Contributions and transfers to, and withdrawals and transfers from, the Fund are allocated so that the percentage of debt and equity securities will be as close to approximately 40% and 60%, respectively, as may be practical, taking into account the level of contributions, transfers and withdrawals and the Fund’s percentage of debt and equity securities at the time of each contribution, transfer or withdrawal. Income and gains attributable to the assets allocated to each portion remain allocated to that portion, and could change the percentage of total assets of the Balanced Fund which are allocated to, respectively, equity and debt securities. State Street may also, in its discretion, re-allocate assets in the Balanced Fund among equity and debt securities in order to avoid excessive deviation from the targeted allocation.

Risk Factors. To the extent invested in the equity markets, the Balanced Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Balanced Fund will fluctuate, and the holders of Units in the Fund should be able to tolerate sudden, sometimes substantial, changes in the value of their investment.

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

Fixed-income securities also are subject to credit risk. When a security is purchased, its anticipated yield is dependent on the timely payment by the borrower of each interest and principal installment. Credit analysis and bond ratings take into account the relative likelihood that such timely payment will result. Bonds with a lower credit rating tend to have higher yields than bonds of similar maturity with a better credit rating. Furthermore, as economic, political and business developments unfold, lower-

12

quality bonds, which possess more risk of failure of timely payment, usually exhibit more price fluctuation than do higher-quality bonds of like maturity.

The Balanced Fund may enter into TBA 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 at the time of commitment, the principal amount has not been finalized. However, the amount of the TBA commitment will not fluctuate more than 1.0% from the principal amount. The Fund holds, and maintains until the settlement date, cash or liquid securities in an amount sufficient to meet the purchase price. TBA commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, and such risk is in addition to the risk of decline in the value of the Fund’s other assets. Risks may also arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. During the period prior to settlement, the Fund will not be entitled to accrue interest or receive principal payments. Unsettled TBA commitments are valued at the current market value of the underlying securities. The Fund may dispose of a commitment prior to settlement if the Fund’s Investment Advisor deems it appropriate to do so. Upon settlement date, the Fund may take delivery of the securities or defer the delivery to the next month. The Balanced Fund may also purchase or sell securities on a when-issued or delayed delivery basis. For information regarding risks involved in these activities, see “—Stable Asset Return Fund—Investment Guidelines and Restrictions and Risk Factors.”

Mortgage-related securities include securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property, such as collateralized mortgage obligation residuals or stripped mortgage-backed securities, and may be structured in classes with rights to receive varying proportions of principal and interest. The yield to maturity on an interest-only class is extremely sensitive to the rate at which principal payments (including prepayments) are made on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on an investor’s yield to maturity from these securities. Early repayment of principal on some mortgage-related securities (arising from prepayments of principal due to the sale of the underlying property, refinancing or foreclosure, net of fees and costs which may be incurred) may expose the Fund to a lower rate of return upon reinvestment of principal.

The risk factors with respect to investing in various short-term instruments are similar to those applicable to the Stable Asset Return Fund.

Investments by the Balanced Fund in foreign securities may involve special risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

Political and economic structures in many emerging markets countries may be undergoing significant evolution and rapid development, and such countries may lack the social, political and economic stability characteristic of more developed countries. Governments in many emerging market countries participate to a significant degree in the countries’ economies and securities markets. As a result, the risks of investing in the securities of foreign issuers generally, including the risks of nationalization or expropriation, may be heightened. The small size and inexperience of the securities markets, and a more limited volume of trading in securities, in certain of these countries may also make the Fund’s investments in securities of issuers located in such countries illiquid and more volatile than investments in more developed countries, and the Fund may be required to establish special custody or other arrangements before making certain investments in these countries. There may be little financial or accounting information available with respect to issuers located in certain of such countries, and it

13

may be difficult as a result to assess the value or prospects of an investment in such issuers. Emerging markets often have provided significantly higher or lower rates of return than developed markets, and significantly greater risks, to investors.

The Balanced Fund is also subject to the risks associated with the use of derivatives and mortgage-backed securities to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s performance. Portfolio turnover depends on the types and proportions of the Balanced Fund’s assets and may change frequently in accordance with market conditions. Portfolio turnover was 18% for the twelve months ended December 31, 2006 and 22% for the twelve months ended December 31, 2005.

Investment Advisors. State Street has retained Capital Guardian Trust Company (“Capital Guardian”) to serve as Investment Advisor to provide investment advice and arrange for the execution of purchases and sales of securities for the Balanced Fund with respect to investments in equity securities. The portion of the Balanced Fund invested in debt securities and money market instruments is invested through the Intermediate Bond Fund, with respect to which State Street has retained PIMCO to serve as Investment Advisor. For information regarding the investment objectives, guidelines and restrictions of the Intermediate Bond Fund, see “—Intermediate Bond Fund.”

Advisor to the equity portion of the Balanced Fund since June 1997, Capital Guardian, an indirect wholly-owned subsidiary of The Capital Group Companies, Inc., is a California state chartered non-depository trust company incorporated in 1968. Capital Guardian is a registered investment advisor with the SEC. Its principal place of business is 333 South Hope Street, Los Angeles, California 90071. Capital Guardian provides investment management, trust and other fiduciary services to corporate and public employee benefit accounts, nonprofit organizations and a number of high-net worth individuals. As of December 31, 2006, it had approximately $152.2 billion in assets under its management.

Advisor to the Intermediate Bond Fund, through which the debt portion of the Balanced Fund is invested, PIMCO is an investment management company founded in 1971. PIMCO is registered as an investment advisor with the Securities and Exchange Commission and as a commodity trading advisor with the Commodity Futures Trading Commission. Its principal place of business is 840 Newport Center Drive, Suite 100, Newport Beach, CA 92660. PIMCO, a Delaware limited liability company, is a majority-owned subsidiary of Allianz Global Investors L.P. (“AllianzGI LP”). Allianz AG (“Allianz”) is the indirect majority owner of AllianzGI LP. Allianz is a European-based, multinational insurance and financial services holding company. Pacific Life Insurance Company holds an indirect minority interest in AllianzGI LP. PIMCO had approximately $667.8 billion in assets under management as of December 31, 2006.

LARGE-CAP VALUE EQUITY FUND

Investment Objective. The Large-Cap Value Equity Fund’s investment objective is to achieve long-term growth of capital and dividend income. There can be no assurance that the Large-Cap Value Equity Fund will achieve its investment objective.

Strategy. 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 capitalizations, at the time of purchase, of greater than $1 billion that in the opinion of State Street and the Fund’s Investment Advisor are undervalued in the marketplace. A segment of the Large-Cap Value Equity Fund (approximately 25%) is invested to

14

replicate the Russell 1000 Value Index, which is comprised of those stocks in the Russell 1000 Index that have a greater than average value orientation. The Russell 1000 Index is comprised of the 1,000 largest companies in the Russell 3000 Index. The remainder of the Fund is actively managed. The actively managed portfolio of the Large-Cap Value Equity Fund seeks to achieve growth of capital through investing primarily in common stocks of larger capitalization companies believed to be attractively priced relative to their future earnings power. The Investment Advisor for this portion of the Fund seeks to limit the Fund’s divergence from the market’s performance over full market cycles to moderate levels. The Large-Cap Value Equity Fund is broadly diversified and emphasizes sectors and securities that State Street and the Investment Advisor for this portion of the Fund consider undervalued. Frank Russell & Company, which maintains the Russell 1000 Index, does not sponsor the Large-Cap Value Equity Fund, and is not affiliated in any way with the Large-Cap Value Equity Fund or with State Street.

Investment Guidelines and Restrictions. Although the assets of the Large-Cap Value Equity Fund are generally invested in common stocks and other equity-type securities, including convertible securities, the Fund may invest in non-equity securities, including investment grade bonds and debentures and high quality short-term instruments, when State Street and the Investment Advisor determine that such investments may contribute to the attainment of the Fund’s investment objective. The Fund will not invest more than 20% of its assets in non-equity securities or in companies that do not have large capitalizations, except for temporary defensive purposes. The Fund may invest in non-equity securities when, in light of economic conditions and the general level of stock prices, dividend rates, prices of fixed income securities and the level of interest rates, it appears that the Fund’s investment objective will not be met by buying equity securities. To the extent that the Fund’s assets are invested in non-equity securities, the Fund’s net asset value may be adversely affected by a rise in interest rates.

The Large-Cap Value Equity Fund may invest in securities of U.S. companies or foreign companies whose stocks are traded on U.S. stock exchanges or over-the-counter markets. Many foreign securities are available through dollar-denominated American Depositary Receipts (known as “ADRs”), which are issued by domestic banks and represent interests in foreign securities. ADRs are traded on U.S. stock exchanges or over-the-counter markets. The Fund may invest in foreign securities directly or through ADRs. The Fund may not make an investment if that investment would cause more than 15% of the portion of the Fund’s assets for which a particular Investment Advisor’s advice is obtained to be invested in foreign securities, including ADRs, determined at the time of purchase.

For temporary defensive purposes, the Fund may invest without limitation in U.S. Government Obligations, short-term commercial paper and other short-term instruments. The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of equity markets, an extreme financial calamity, or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objective.

Risk Factors. By investing in the U.S. equity markets, the Large-Cap Value Equity Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Large-Cap Value Equity Fund could be volatile, and holders of Units in the Fund should be able to tolerate sudden, sometimes substantial, fluctuations in the value of their investment. No assurance can be given that investors will be protected from the risks inherent in equity investing. The Fund is intended to be a long-term investment vehicle and is not designed to provide a means to speculate on short-term U.S. stock market movements.

Different types of equity securities tend to shift into and out of favor with equity market investors depending on market and economic conditions. Because the Fund focuses on equities which are

15

believed to be undervalued, at times it may underperform funds that focus on other types of equities or that have a broader investment style. Value equities may not increase in price as anticipated or may decline if other investors fail to recognize the company’s value, other investors favor investing in faster-growing companies or the factors believed to lead to an increase in price do not occur.

Investments by the Large-Cap Value Equity Fund in foreign securities may involve special risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

The Large-Cap Value Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s performance. Although the Large-Cap Value Equity Fund generally holds its investments for an extended period, it is difficult to predict the rate of portfolio turnover in view of the potential for unexpected market conditions. Portfolio turnover was 19% for the twelve months ended December 31, 2006 and 20% for the twelve months ended December 31, 2005. With respect to the indexed portion of the Fund, this turnover reflects purchases and sales by the Fund of shares of the State Street Bank and Trust Company Russell 1000 Value Index Securities Lending Fund, the collective investment fund through which the indexed portion of the Fund invests, rather than the turnover of the underlying portfolio of the collective investment fund. The portfolio turnover for the State Street Bank and Trust Company Russell 1000 Value Index Securities Lending Fund was 30% for the twelve months ended December 31, 2006 and 43% for the twelve months ended December 31, 2005. The portfolio turnover of the actively managed portion of the Large-Cap Value Equity Fund was 22% for the twelve months ended December 31, 2006 and 24% for the twelve months ended December 31, 2005.

Investment Advisor. State Street has retained AllianceBernstein L.P. (“AllianceBernstein”), acting through its Bernstein Investment Research and Management Unit, to serve as Investment Advisor to provide investment advice and arrange for the execution of purchases and sales of securities for the actively managed portion of the Large-Cap Value Equity Fund. State Street Bank manages the indexed portion of the Fund’s assets through the Fund’s investment in the State Street Bank and Trust Company Russell 1000 Value Index Securities Lending Fund, a collective investment fund maintained by State Street Bank. State Street may, in the future at its discretion and subject to consultation with ARF, employ an investment advisor to provide investment advice with respect to the indexed portion of the Fund’s assets. State Street determines the percentage of the assets of the Fund to be allocated to the actively managed and indexed portions of the Fund. Unless altered by State Street, 75% of the assets of the Fund will be allocated to the actively managed portion and 25% will be allocated to the indexed portion. Income and gains attributable to the assets allocated to each portion remain allocated to that portion unless and until re-allocated by State Street, and any differences in relative investment performance of the actively managed and indexed portions of the Fund can change the percentage of total assets of the Fund comprising each portion. State Street allocates contributions and transfers to, and withdrawals and transfers from, the Large-Cap Value Equity Fund between the actively managed and indexed portions of the Fund in a manner intended to achieve the targeted allocations of the Fund’s assets to active and indexed management. State Street may also, in its discretion, re-allocate assets in the Fund among the actively managed and indexed portions in order to avoid excessive deviation from the targeted allocations.

Advisor to the Large-Cap Value Equity Fund since September 1995, AllianceBernstein is a registered investment advisor founded in 1962. Investment management recommendations for the Large-Cap

16

Value Equity Fund are made by the investment professionals of AllianceBernstein’s Bernstein Investment Research and Management Unit (“Bernstein”). Bernstein, located at 1345 Avenue of the Americas, New York, New York 10105, carries on the former investment research and management business of Sanford C. Bernstein & Co., Inc., a registered investment advisor and broker-dealer acquired by AllianceBernstein in October 2000 that managed value oriented investment portfolios from 1967 until its acquisition by AllianceBernstein. AllianceBernstein is a leading global investment advisor supervising client accounts with assets as of December 31, 2006 totaling approximately $717 billion.

LARGE-CAP GROWTH EQUITY FUND

Investment Objective. The Large-Cap Growth Equity Fund has a primary investment objective of achieving long-term growth of capital and a secondary investment objective of realizing income. There can be no assurance that the Large-Cap Growth Equity Fund will achieve its investment objectives.

Strategy. The Large-Cap Growth Equity Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to those attained by broad measures of the domestic stock market. The Fund invests primarily in common stocks and other equity-type securities of companies with market capitalizations greater than $1 billion at the time of purchase that are believed to have strong earnings growth potential. The Fund seeks to achieve long-term growth of capital through increases in the value of the securities it holds and to realize income principally from dividends on such securities. A segment of the Fund (approximately 33 ¹/3%) is invested to replicate the Russell 1000 Growth Index, which is comprised of those stocks in the Russell 1000 Index that have a greater than average growth orientation. The Russell 1000 Index is comprised of the 1,000 companies in the Russell 3000 Index with the largest market capitalization. The remainder of the Fund is actively managed. The Fund may invest a portion of its assets in convertible securities. Convertible securities, which include convertible debt instruments and many preferred stocks, contain both debt and equity features. Convertible securities may provide some protection when stock prices generally decline, but may experience less appreciation in value when stock prices generally increase. Frank Russell & Company, which maintains the Russell 1000 Index, does not sponsor the Large-Cap Growth Equity Fund, and is not affiliated in any way with the Large-Cap Growth Equity Fund or with State Street.

Investment Guidelines and Restrictions. Although the assets of the Large-Cap Growth Equity Fund will generally be invested in equity securities, the Fund may invest in non-equity securities, including investment grade bonds and debentures and high quality short-term instruments, when State Street, with the assistance of the Investment Advisor, determines that such investments may contribute to the Fund’s investment objectives. The Fund will not invest more than 20% of its assets in non-equity securities or in companies that do not have large capitalizations, except for temporary defensive purposes. The Fund may invest in non-equity securities when, in light of economic conditions and the general level of stock prices, dividend rates, prices of fixed income securities and the level of interest rates, it appears that the Fund’s investment objectives will not be met by buying equity securities. To the extent that the Fund’s assets are invested in non-equity securities, the Fund’s net asset value may be adversely affected by a rise in interest rates.

The Large-Cap Growth Equity Fund may invest in securities of U.S. companies or foreign companies whose stocks are traded on U.S. stock exchanges or over-the-counter markets. Many foreign securities are available through dollar-denominated American Depositary Receipts (known as “ADRs”), which are issued by domestic banks and represent interests in foreign securities. ADRs are traded on U.S. stock exchanges or over-the-counter markets. The Fund may invest in foreign securities directly or through ADRs. The Fund may not make an investment if that investment would cause more than 15% of the portion of the Fund’s assets for which a particular Investment Advisor’s advice is obtained to be invested in foreign securities, including ADRs, determined at the time of purchase.

17

For temporary defensive purposes, the Fund may invest without limitation in U.S. Government Obligations, short-term commercial paper and other short-term instruments. The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of equity markets, an extreme financial calamity, or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objectives.

Risk Factors. By investing in the U.S. equity markets, the Large-Cap Growth Equity Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Large-Cap Growth Equity Fund could be volatile, and holders of Units in the Fund should be able to tolerate sudden, sometimes substantial, fluctuations in the value of their investment. No assurance can be given that investors will be protected from the risks inherent in equity investing. The Fund is intended to be long-term investment vehicle and is not designed to provide a means to speculate on short-term U.S. stock market movements.

Different types of equity securities tend to shift into and out of favor with equity market investors depending on market and economic conditions. Because the Fund focuses on equities which are believed to have a higher than average rate of growth, at times the Fund may underperform funds that focus on other types of equities or that have a broader investment style. Growth equities may not increase in price as anticipated or may decline in price if the company’s growth does not meet expectations, other investors favor investing in more value-oriented or lower-priced companies or the factors believed to sustain a high growth rate do not occur.

Investments by the Large-Cap Growth Equity Fund in foreign securities may involve special risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

The Large-Cap Growth Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s performance. Although the Large-Cap Growth Equity Fund generally holds its investments for an extended period, it is difficult to predict the rate of portfolio turnover in view of the potential for unexpected market conditions. Portfolio turnover was 53% for the twelve months ended December 31, 2006 and 36% for the twelve months ended December 31, 2005. With respect to the indexed portion of the Fund, this turnover reflects purchases and sales by the Fund of units of the State Street Bank and Trust Company Russell 1000 Growth Index Securities Lending Fund, the collective investment fund maintained by State Street Bank through which this portion of the Fund has invested since December 15, 2002, rather than the turnover of the underlying portfolio of the collective investment fund. The portfolio turnover for the State Street Bank and Trust Company Russell 1000 Growth Index Securities Lending Fund was 35% for the twelve months ended December 31, 2006 and 43% for the twelve months ended December 31, 2005. The portfolio turnover of the actively managed portions of the Large-Cap Growth Equity Fund was 76% for the twelve months ended December 31, 2006 and 52% for the twelve months ended December 31, 2005.

Investment Advisors. State Street has retained Capital Guardian and T. Rowe Price Associates, Inc. (“T. Rowe Price”) to serve as Investment Advisors to provide investment advice and arrange for the

18

execution of purchases and sales of securities for the actively managed portions of the Large-Cap Growth Equity Fund. Prior to March 1, 2006, the Investment Advisor with respect to the portion of the Large-Cap Growth Equity Fund advised by T. Rowe Price was RCM Capital Management LLC.

State Street determines the percentage of the assets of the Fund to be allocated to the actively managed and indexed portions of the Fund. Unless altered by State Street, the assets of the Fund will be allocated into three portions, two of which are actively managed portions of 33 ¹/3% each of the assets of the Fund and managed with the advice of, respectively, Capital Guardian and T. Rowe Price. The third portion consists of the remaining 33 ¹/3% of the assets of the Fund and is invested to replicate the Russell 1000 Growth Index. State Street Bank manages the indexed portion of the Fund’s assets through the Fund’s investment in the State Street Bank and Trust Company Russell 1000 Growth Index Securities Lending Fund, a collective investment fund maintained by State Street Bank. State Street may, in the future at its discretion and subject to consultation with ARF, employ an investment advisor to provide investment advice with respect to the indexed portion of the Fund’s assets. Income and gains attributable to the assets allocated to each of the three portions remain allocated to that portion unless and until re-allocated by State Street, and any differences in relative investment performance of the three portions of the Fund can change the respective percentages of total assets of the Fund allocated to the three portions of the Fund. State Street allocates contributions and transfers to, and withdrawals and transfers from, the Fund among the three portions in a manner intended to achieve the targeted allocations of the Fund’s assets. State Street may also, in its discretion, re-allocate assets among the portions in order to avoid excessive deviation from the targeted allocations.

Advisor to the Large-Cap Growth Equity Fund since January 1992, Capital Guardian, an indirect wholly-owned subsidiary of The Capital Group Companies, Inc., is a California state chartered non-depository trust company incorporated in 1968. Capital Guardian is a registered investment advisor with the SEC. Its principal place of business is 333 South Hope Street, Los Angeles, California 90071. Capital Guardian provides investment management, trust and other fiduciary services to corporate and public employee benefit accounts, nonprofit organizations and a number of high-net worth individuals. As of December 31, 2006, it had approximately $152.2 billion in assets under its management.

Advisor to the Large-Cap Growth Equity Fund since March 2006, T. Rowe Price is a Maryland corporation located at 100 East Pratt Street, Baltimore, Maryland 21202. T. Rowe Price is a wholly-owned subsidiary of T. Rowe Price Group, Inc., a publicly traded financial services holding company. Founded in 1937, the firm has been in the investment management business for over 69 years and provides investment management services to individual and institutional investor accounts, including the T. Rowe Price family of mutual funds. Together with its affiliated entities, T. Rowe Price had approximately $334.7 billion in assets under management as of December 31, 2006.

INDEX EQUITY FUND

Investment Objective. The investment objective of the Index Equity Fund is to replicate the total return of the Russell 3000 Index by investing in stocks included in the Russell 3000 Index, with the overall objective of achieving long term growth of capital. There can be no assurance that the Index Equity Fund will achieve its investment objective of replicating the total return of the Russell 3000 Index.

Strategy. The Index Equity Fund seeks to replicate the total return of the Russell 3000 Index by investing in all of the common stocks included in the Russell 3000 Index with the possible exception of the companies in the Russell 3000 Index with the smallest capitalization. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on the market capitalization of the companies in the Russell 3000 Index. As of December 31, 2006, the largest company had a market

19

capitalization of approximately $447 billion and the smallest company had a market capitalization of approximately $133 million. The Russell 3000 Index is reconstituted annually on June 30 based on index methodology and market capitalization rankings as of the preceding May 31. Frank Russell & Company, which sponsors the Russell 3000 Index, does not sponsor the Index Equity Fund, and is not affiliated in any way with the Index Equity Fund or with State Street. Deviation of the Fund’s performance from the performance of the Russell 3000 Index (known as “tracking error”) can result from various factors, including purchases and redemptions of Units of the Index Equity Fund, as well as from the expenses borne by the Index Equity Fund. Such purchases and redemptions may necessitate the purchase and sale of securities by the Index Equity Fund and the resulting transaction costs may be substantial because of the number and the characteristics of the securities held. Tracking error may also occur due to factors such as the size of the Index Equity Fund, changes made in the securities included in the Russell 3000 Index or the manner in which the performance of the Russell 3000 Index is calculated.

Investment Guidelines and Restrictions. The Index Equity Fund invests predominantly in common stocks of U.S. companies. However, the Index Equity Fund may invest temporarily and without limitation for defensive purposes in short-term fixed income securities. These securities may be used to invest uncommitted cash balances or to maintain liquidity to provide for redemptions. State Street will not cause the Index Equity Fund to make an investment if that investment would cause the Fund to purchase warrants or make any other investment that is inconsistent with the restrictions applicable to the Fund described under “—Certain Information with Respect to the Funds—Investment Prohibitions.” The Fund concentrates in particular industries to the extent the Russell 3000 Index concentrates in those industries. The Index Equity Fund will not borrow money except as a temporary measure for extraordinary or emergency purposes or to facilitate redemptions (not for leveraging or investment).

Risk Factors. By investing in the U.S. equity market, the Index Equity Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long-term growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Index Equity Fund could be volatile, and holders of Units in the Fund should be able to tolerate sudden, sometimes substantial fluctuations, in the value of their investment. No assurance can be given that investors will be protected from the risks inherent in equity investing. The Fund is intended to be a long-term investment vehicle and is not designed to provide a means to speculate on short-term U.S. stock market movements.

In addition, companies with smaller capitalizations included in the Russell indices may have limited product lines, markets or financial resources, or may be dependent upon a small management group. Therefore, their securities may be subject to more abrupt or erratic market movements than larger, more established companies, both because their securities are typically traded in lower volume and because the issuers are typically subject to a greater degree of changes in their earnings and prospects.

The Index Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. Ordinarily, an index fund will sell securities only to reflect changes in the index in which it invests or to accommodate cash flows into and out of the fund. Portfolio turnover of the Index Equity Fund was 6% for the twelve months ended December 31, 2006 and 7% for the twelve months ended December 31, 2005. This turnover reflects purchases and sales by the Fund of shares of the State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund, the collective investment fund through which the Fund invests, rather than the turnover of the underlying portfolio of the collective investment fund. The portfolio turnover for the State Street Bank and Trust Company

20

Russell 3000 Index Securities Lending Fund was 21% for the twelve months ended December 31, 2006 and 27% for the twelve months ended December 31, 2005.

Index funds seek to create a portfolio which substantially replicates the total return of the applicable index. Index funds are not managed through traditional methods of fund management, which typically involve frequent changes in a portfolio of securities on the basis of economic, financial and market analyses. Therefore, brokerage costs, transfer taxes and other transaction costs for index funds may be lower than those incurred by non-index, actively managed funds.

Investment Advisor. State Street Bank manages the Index Equity Fund through the Fund’s investment in the State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund, a collective investment fund maintained by State Street Bank. State Street may, in the future at its discretion and subject to consultation with ARF, employ investment advisors to provide investment advice with respect to the Fund or portions thereof.

Information about the Russell Indices. The criteria used by Frank Russell & Company to determine the initial list of securities eligible for inclusion in the Russell indices is total market capitalization adjusted for large private holdings and cross-ownership. Companies are not selected for inclusion in the Russell indices because they are expected to have superior stock price performance relative to the U.S. stock market in general or other stocks in particular. Frank Russell & Company makes no representation or warranty, implied or express, to any member of the public regarding the advisability of investing in the Russell 3000 Index or the ability of the Russell 3000 Index to track general market performance of large and small capitalization stocks.

“Russell 3000 Index” is a trademark of Frank Russell & Company. The Russell 3000 Index is not sponsored, endorsed, sold or promoted by Frank Russell & Company, nor does Frank Russell & Company guarantee the accuracy and/or completeness of the Russell 3000 Index or any data included therein. Frank Russell & Company makes no warranty, express or implied, as to the results to be obtained by the Fund, owners of the Fund, any person or any entity from the use of the Russell 3000 Index or any data included therein. Frank Russell & Company makes no express or implied warranties and expressly disclaims all such warranties of merchantability or fitness for a particular purpose for use with respect to the Russell 3000 Index or any data included therein.

MID-CAP VALUE EQUITY FUND

Investment Objective. The Mid-Cap Value Equity Fund’s investment objective is to achieve long-term growth of capital. There can be no assurance that the Mid-Cap Value Equity Fund will achieve its investment objective.

Strategy. The Mid-Cap Value Equity Fund seeks to outperform, over extended periods of time, broad measures of the domestic stock market. The Fund invests primarily in equity securities of companies with market capitalizations of between $1 billion and $12 billion at the time of investment. The Fund seeks to achieve growth of capital through investing primarily in common stocks of medium-sized companies believed to be attractively priced relative to their future earnings power. The Fund seeks to emphasize sectors and securities State Street and the Fund’s Investment Advisor consider undervalued.

Investment Guidelines and Restrictions. Although the assets of the Mid-Cap Value Equity Fund generally will be invested in common stocks and other equity-type securities, including convertible securities, the Fund may invest in non-equity securities, including investment grade bonds and debentures and high quality short-term instruments, when State Street and the Investment Advisor

21

determine that such investments may contribute to the attainment of the Fund’s investment objective. The Fund will not invest more than 20% of its assets in non-equity securities or in companies with capitalizations outside the mid-cap range, except for temporary defensive purposes. The Fund may invest in non-equity securities when, in light of economic conditions and the general level of stock prices, dividend rates, prices of fixed income securities and the level of interest rates, it appears that the Fund’s investment objective will not be met by buying equity securities. To the extent that the Fund’s assets are invested in non-equity securities, the Fund’s net asset value may be adversely affected by a rise in interest rates.

The Mid-Cap Value Equity Fund may invest in securities of U.S. companies or foreign companies whose stocks are traded on U.S. stock exchanges or over-the-counter markets. For many foreign securities, there are dollar-denominated ADRs, which are issued by domestic banks and represent interests in foreign securities. ADRs are traded on U.S. stock exchanges or over-the-counter markets. The Fund may invest in foreign securities directly and through ADRs. The Fund may not make an investment if that investment would cause more than 15% of the Fund’s assets to be invested in foreign securities, including ADRs, determined at the time of purchase.

For temporary defensive purposes, the Fund may invest without limitation in U.S. Government Obligations, short-term commercial paper and other short-term instruments. The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of equity markets, an extreme financial calamity, or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objective.

Risk Factors. By investing in the U.S. equity markets, the Mid-Cap Value Equity Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long-term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Mid-Cap Value Equity Fund could be volatile, and holders of Units in the Fund should be able to tolerate sudden, sometimes substantial, fluctuations in the value of their investment. No assurance can be given that investors will be protected from the risks inherent in equity investing. The Fund is intended to be a long-term investment vehicle and is not designed to provide a means to speculate on short-term U.S. stock market movements.

Different types of equity securities tend to shift into and out of favor with equity market investors depending on market and economic conditions. Because the Fund focuses on equities which are believed to be undervalued, at times it may underperform funds that focus on other types of equities or that have a broader investment style. Value equities may not increase in price as anticipated or may decline if other investors fail to recognize the company’s value, other investors favor investing in faster-growing companies or the factors believed to lead to an increase in price do not occur.

Typically, investments in medium-sized and smaller companies 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 sectors. Consistent earnings for such companies may not be as likely as they would be for more established companies. These companies may not have adequate resources to react optimally to change or to exploit opportunities. Smaller companies may also be more dependent on access to equity markets to raise capital than larger companies that have a greater ability to support relatively larger debt burdens. The securities of smaller companies may be held primarily by insiders or institutional investors, which may have an impact on their marketability. These securities may be more volatile than the overall market.

22

Relatively new companies and companies that have recently made an initial public offering may be perceived by the market as unproven.

Investments by the Mid-Cap Value Equity Fund in foreign securities may involve special risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

The Mid-Cap Value Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s performance. The Mid-Cap Value Equity Fund generally holds its investments for an extended period, and the average annual rate of portfolio turnover is expected to be under 50%. However, it is difficult to predict the rate of portfolio turnover in view of the potential for unexpected market conditions. Therefore, in any single year, the portfolio turnover rate may be either substantially less or substantially more than 50%. Portfolio turnover was 131% for the twelve months ended December 31, 2006 and 32% for the twelve months ended December 31, 2005.

Investment Advisor. State Street has retained Wellington Management Company, LLP (“Wellington Management”) to serve as Investment Advisor to provide investment advice and arrange for the execution of purchases and sales of securities for the Mid-Cap Value Equity Fund. Prior to November 1, 2006, the Investment Advisor for the Fund was Ariel Capital Management, LLC.

Advisor to the Mid-Cap Value Equity Fund since November 2006, Wellington Management traces its roots to 1928 and focuses its resources on managing investments for institutional clients. It employs a broad range of investment approaches that cover the major asset classes and a multitude of currencies. Wellington Management is an independent, private partnership, with eleven offices around the world. Its principal place of business is 75 State Street, Boston, Massachusetts 02109. As of December 31, 2006, Wellington Management had approximately $575.5 billion of client assets under management.

MID-CAP GROWTH EQUITY FUND

Investment Objective. The investment objective of the Mid-Cap Growth Equity Fund is to achieve long-term growth of capital. There can be no assurance that the Mid-Cap Growth Equity Fund will achieve its investment objective.

Strategy. 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. The Fund invests primarily in common stocks and other equity-type securities of companies with market capitalizations of between $1 billion and $12 billion at the time of investment that State Street and the Fund’s Investment Advisor believe have strong earnings growth potential. The Fund may invest a portion of its assets in convertible securities. Convertible securities, including convertible debt instruments and many preferred stocks, contain both debt and equity features. Convertible securities may provide some protection when stock prices generally decline, but may experience less appreciation in value when stock prices generally increase.

Investment Guidelines and Restrictions. Although the assets of the Mid-Cap Growth Equity Fund will generally be invested in equity securities, the Fund may invest in non-equity securities, including

23

investment grade bonds and debentures and high quality short-term instruments or in companies with capitalizations outside of the mid-cap range, when State Street and the Investment Advisor determine that such investments may contribute to the attainment of the Fund’s investment objective. The Fund will not invest more than 20% of its net assets in non-equity securities, except for temporary defensive purposes. The Fund may invest in non-equity securities when, in light of economic conditions and the general level of stock prices, dividend rates, prices of fixed income securities and the level of interest rates, it appears that the Fund’s investment objective will not be met by buying equity securities. To the extent that the Fund’s assets are invested in non-equity securities, the Fund’s net asset value may be adversely affected by a rise in interest rates.

The Mid-Cap Growth Equity Fund may invest in securities of U.S. companies or foreign companies whose stocks are traded on U.S. stock exchanges or over-the-counter markets. For many foreign securities, there are dollar-denominated ADRs, which are issued by domestic banks and represent interests in foreign securities. ADRs are traded on U.S. stock exchanges or over-the-counter markets. The Fund may invest in foreign securities directly and through ADRs. The Fund may not make an investment if that investment would cause more than 15% of the Fund’s assets to be invested in foreign securities, including ADRs, determined at the time of purchase.

For temporary defensive purposes, the Fund may invest without limitation in U.S. Government Obligations, short-term commercial paper and other short-term instruments. The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of equity markets, an extreme financial calamity, or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objective.

Risk Factors. By investing in the U.S. equity markets, the Mid-Cap Growth Equity Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Mid-Cap Growth Equity Fund could be volatile, and holders of Units in the Fund should be able to tolerate sudden, sometimes substantial, fluctuations in the value of their investment. No assurance can be given that investors will be protected from the risks inherent in equity investing. The Fund is intended to be a long-term investment vehicle and is not designed to provide a means to speculate on short-term U.S. stock market movements.

Different types of equity securities tend to shift into and out of favor with equity market investors depending on market and economic conditions. Because the Fund focuses on equities which are believed to have a higher than average rate of growth, at times it may underperform funds that focus on other types of equities or that have a broader investment style. Growth equities may not increase in price as anticipated or may decline in price if the company’s growth does not meet expectations, other investors favor investing in more value-oriented or lower-priced companies or the factors believed to sustain a high growth rate do not occur.

Typically, investments in medium-sized and smaller companies 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. Therefore, consistent earnings for such companies may not be as likely as they would be for more established companies. The smaller companies may not have adequate resources to react optimally to change or to exploit opportunities. Smaller companies may also be more dependent on access to equity markets to raise capital than larger companies that have a greater ability to support relatively larger debt burdens. The securities of smaller companies may be held primarily by insiders or institutional investors, which

24

may have an impact on their marketability. These securities may be more volatile than the overall market. Relatively new companies and companies that have recently made an initial public offering may be perceived by the market as unproven.

Investments by the Mid-Cap Growth Equity Fund in foreign securities may involve special risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

The Mid-Cap Growth Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s performance. The Mid-Cap Growth Equity Fund generally holds its investments for an extended period, and the average annual rate of portfolio turnover is expected to be under 200%. However, it is difficult to predict the rate of portfolio turnover in view of the potential for unexpected market conditions. Therefore, in any single year, the portfolio turnover rate may be either substantially less or substantially more than 200%. Portfolio turnover was 160% for the twelve months ended December 31, 2006 and 156% for the twelve months ended December 31, 2005.

Investment Advisor. State Street has retained Turner Investment Partners to serve as Investment Advisor to provide investment advice and arrange for the execution of purchases and sales of securities for the Mid-Cap Growth Equity Fund.

Advisor to the Mid-Cap Growth Equity Fund since July 2002, Turner Investment Partners was founded in 1990 and is 100% employee owned. Its principal place of business is 1250 Westlakes Drive, Suite 100, Berwyn, Pennsylvania 19312. Turner Investment Partners provides investment management to institutional tax exempt and taxable investors, mutual funds, and individual investors. As of December 31, 2006, Turner Investment Partners had discretionary management authority with respect to approximately $22.8 billion of assets.

SMALL-CAP EQUITY FUND

Investment Objective. The investment objective of the Small-Cap Equity Fund is to maximize long-term growth of capital. There can be no assurance that the Small-Cap Equity Fund will achieve its investment objective.

Strategy. 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. The 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 developments or management changes. The Fund may also invest in newly issued securities and securities of seasoned, established companies that appear to have unusual value or appreciation potential. Industry diversification is not an objective of the Small-Cap Equity Fund and the Fund may, at times, be less diversified than the other Funds. A segment of the Fund is invested to replicate the Russell 2000 Index. The Russell 2000 Index is comprised of the 2,000 companies in the Russell 3000 Index with the smallest market capitalization. The remainder of the Fund is actively managed. Frank Russell & Company, which maintains the Russell 2000 Index, does not

25

sponsor the Small-Cap Equity Fund, and is not affiliated in any way with the Small-Cap Equity Fund or with State Street.

Prior to July 1, 2002, the Fund invested in medium-sized as well as small companies. With the addition of the Mid-Cap Growth Equity Fund on July 15, 2002, the Fund has since focused on smaller capitalization companies.

Investment Guidelines and Restrictions. The Small-Cap Equity Fund invests primarily in common stocks and other equity-type securities, including convertible securities, that State Street and the Fund’s Investment Advisor believe have strong potential for appreciation.

Although the assets of the Fund will generally be invested in equity securities, the Fund may also invest in non-equity securities, including investment grade bonds and debentures and high quality short-term instruments, when State Street and the Investment Advisors to the Fund determine that in light of economic conditions and the general level of stock prices, dividend rates, prices of fixed income securities and the level of interest rates, such investments may contribute to the attainment of the Fund’s investment objective. See “—Stable Asset Return Fund.” The Fund will not invest more than 20% of its assets in non-equity securities or in companies that do not have small capitalizations, except for temporary defensive purposes. To the extent that the Fund’s assets are invested in non-equity securities, the Fund’s net asset value may be adversely affected by a rise in interest rates.

The Fund may invest in securities of U.S. companies or foreign companies whose stocks are traded on U.S. stock exchanges or over-the-counter markets. Many foreign securities are available through dollar-denominated American Depositary Receipts (known as “ADRs”), which are issued by domestic banks and represent interests in foreign securities. ADRs are traded on U.S. stock exchanges or over-the-counter markets. The Fund may invest in foreign securities directly or through ADRs. The Fund may not make an investment if that investment would cause more than 15% of the Fund’s assets to be invested in foreign securities, including ADRs, determined at the time of purchase.

For temporary defensive purposes, the Small-Cap Equity Fund may invest without limitation in U.S. Government Obligations, short-term commercial paper and other high quality instruments of the types purchased by the Stable Asset Return Fund. The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of equity markets, an extreme financial calamity, or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objective.

Risk Factors. By investing in the U.S. equity markets, the Small-Cap Equity Fund is subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. The Unit price of the Small-Cap Equity Fund could be volatile, and holders of Units in the Fund should be able to tolerate sudden, sometimes substantial, fluctuations in the value of their investment. No assurance can be given that investors will be protected from the risks inherent in equity investing. The Fund is intended to be long-term investment vehicle and is not designed to provide a means to speculate on short-term U.S. stock market movements.

Generally, the Small-Cap Equity Fund poses a greater risk to principal than the other domestic Funds. Investors should consider their investments in the Fund as relatively long-term and involving high risk to principal commensurate with potential for substantial gains. There is no certainty regarding which companies and industries will in fact experience capital growth, and such companies and industries may lose their potential for capital growth at any time.

26

Most of the Fund’s investments will be 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. Therefore, consistent earnings for such companies may not be as likely as they would be for more established companies. The smaller companies may not have adequate resources to react optimally to change or to exploit opportunities. Smaller companies may also be more dependent on access to equity markets to raise capital than larger companies that have a greater ability to support relatively larger debt burdens. The securities of small companies may be held primarily by insiders or institutional investors, which may have an impact on their marketability. These securities may be more volatile than the overall market. Relatively new companies and companies that have recently made an initial public offering may be perceived by the market as unproven. The Small-Cap Equity Fund’s focus on appreciation potential will result in an emphasis on securities of companies that may pay little or no dividends and reinvest all or a significant portion of their earnings. The low expected dividend level may also contribute to greater than average volatility.

Investments by the Small-Cap Equity Fund in foreign securities may involve special risks in addition to the risks associated with domestic securities generally. These include risks relating to political or economic conditions in foreign countries, potentially less stringent investor protection, disclosure standards and settlement procedures of foreign markets, potentially less liquidity of foreign markets, potential applicability of withholding or other taxes imposed by these countries, and currency exchange fluctuations. These factors could make foreign investments more volatile.

The Small-Cap Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s performance. Portfolio turnover of the Small-Cap Equity Fund may be high. Although it is not expected to exceed 75% per year on average, it is difficult to predict the rate of portfolio turnover in view of the potential for unexpected market conditions. Therefore, in any single year, the portfolio turnover rate may be either substantially less or substantially more than 75%. The possibility of high turnover reflects, in part, the volatility of the securities in which the Fund invests and the probability that the circumstances prompting investment in some companies may change more rapidly than in the case of larger, more diversified companies. Portfolio turnover was 79% for the twelve months ended December 31, 2006 and 103% for the twelve months ended December 31, 2005. With respect to the indexed portion of the Fund, this turnover reflects purchases and sales by the Fund of units of the State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund, the collective investment fund maintained by State Street Bank through which this portion of the Fund has invested since July 1, 2005, rather than the turnover of the underlying portfolio of the collective investment fund. The portfolio turnover for the State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund was 45% for the twelve months ended December 31, 2006 and 56% for the six months ended December 31, 2005. The portfolio turnover of the actively managed portions of the Small-Cap Equity Fund was 80% for the twelve months ended December 31, 2006 and 21% for the twelve months ended December 31, 2005.

Investment Advisors. State Street has retained Wellington Management and Smith Asset Management Group, L.P. (“Smith Group”), to serve as Investment Advisors to provide investment advice and arrange for the execution of purchases and sales of securities for the actively managed portion of the Small-Cap Equity Fund.

State Street determines the percentage of the assets in the Fund to be allocated to the actively managed and indexed portions of the Fund. Unless altered by State Street, the assets of the Small-Cap

27

Equity Fund will be allocated into three portions, two of which are actively managed with the advice of, respectively, Wellington Management and Smith Group. The third portion consists of the remainder of the Small-Cap Equity Fund’s assets and is invested to replicate the Russell 2000 Index. State Street Bank manages the indexed portion of the Small-Cap Equity Fund’s assets through its investment in the State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund, a collective investment fund maintained by State Street Bank. State Street may, in the future at its discretion and subject to consultation with ARF, employ an investment advisor to provide investment advice with respect to the indexed portion of the Fund’s assets. As of December 31, 2006, the portion invested with the advice of Wellington Management consisted of approximately $172 million; the portion invested with the advice of Smith Group consisted of approximately $123 million; and the portion invested through the State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund consisted of approximately $9 million.

As of December 31, 2006, approximately 57%, 40% and 3% of the assets of the Small-Cap Equity Fund were allocated to, respectively, Wellington Management, Smith Group and the indexed portion of the Small-Cap Equity Fund. Unless altered by State Street, net daily contributions and transfers to the Small-Cap Equity Fund and net daily withdrawals from and transfers out of the Fund will be allocated only to the indexed portion of the Fund. The portions of the Fund’s assets invested with the advice of Wellington Management and Smith Group are not expected to receive contributions and transfers to or to be the source of withdrawals from and transfers out of the Fund for the foreseeable future. Over time, the above-described treatment of the Small-Cap Equity Fund’s net daily cash flows may, depending on the respective levels of contributions or transfers to and withdrawals or transfers out of the Small-Cap Equity Fund, alter the respective proportions of the Small-Cap Equity Fund’s assets invested with the advice of Wellington Management or Smith Group and the indexed portion of the Fund. In addition, dividends, certain expenses and gains and losses attributable to the activities of each portion of the Small-Cap Equity Fund’s assets will be allocated to that portion, and any differences in relative investment performance of the two actively managed portions or the indexed portion of the Small-Cap Equity Fund’s assets will likely change the proportion of total assets of the Small-Cap Equity Fund comprising each portion. Although State Street reserves the right, in its discretion, to reallocate assets in the Small-Cap Equity Fund among the actively managed portions and/or indexed portion of the Small-Cap Equity Fund, State Street does not expect to effect any such reallocations for the foreseeable future. Thus, over time, allocations to the respective portions of the Small-Cap Equity Fund’s assets are likely to differ from those described above.

Advisor to the Small-Cap Equity Fund since December 2004, Wellington Management traces its roots to 1928 and focuses its resources on managing investments for institutional clients. It employs a broad range of investment approaches that cover the major asset classes and a multitude of currencies. Wellington Management is an independent, private partnership, with eleven offices around the world. Its principal place of business is 75 State Street, Boston, Massachusetts 02109. As of December 31, 2006, Wellington Management had approximately $575.5 billion of client assets under management.

Advisor to the Small-Cap Equity Fund since December 2004, and founded in 1995, Smith Group is a registered investment adviser specializing in equity investment management services. The firm manages assets among a diverse list of clients, which includes foundations, endowments, corporate pensions, public funds, multi-employer plans and high net worth individuals. It seeks attractively valued companies that it believes will generate earnings which exceed investor expectations. Its principal place of business is 100 Crescent Court, Suite 1150, Dallas, Texas 75201. As of December 31, 2006, Smith Group had approximately $5.2 billion of assets under management.

28

INTERNATIONAL EQUITY FUND

Investment Objective. 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 will seek to achieve growth of capital through capital appreciation, dividend income and currency gains. There can be no assurance that the International Equity Fund will achieve its investment objective.

Strategy. 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. Investing abroad increases the opportunities available to investors. Common stocks of foreign companies offer a way to seek long-term growth of capital. Many foreign countries may have greater potential for economic growth than the United States. Foreign investments also provide effective diversification for an all-U.S. portfolio, since historically their returns have not moved together with U.S. stocks over long time periods. Investing a portion of a portfolio in foreign stocks may enhance diversification while providing the potential to increase long-term capital appreciation.

The International Equity Fund seeks to diversify investments broadly among developed and emerging countries and generally to have at least three different countries represented in the portfolio. As of December 31, 2006, the International Equity Fund was invested in securities of issuers domiciled in approximately 30 countries. It may invest in countries throughout the world. Under exceptional economic or market conditions abroad, the International Equity Fund may temporarily invest all or a major portion of its assets in U.S. Government Obligations or debt obligations of U.S. companies of the type described under “—Stable Asset Return Fund.” The Fund would invoke this right only in extraordinary circumstances, such as war, the closing of equity markets, an extreme financial calamity, or the threat of any such event. If the Fund invokes this right, the Fund may be less likely to achieve its investment objective.

Investment Guidelines and Restrictions. In seeking to accomplish its objective, the International Equity Fund will invest primarily in common stocks of established foreign companies that State Street and the Fund’s Investment Advisor believe have the potential for growth of capital and in a variety of other equity-related securities, such as preferred stocks, warrants and convertible securities of such foreign companies, as well as foreign corporate and governmental debt securities (when considered consistent with its investment objective). The securities of non-U.S. companies may be held by the Fund directly or indirectly through ADRs, Global Depositary Receipts or European Depositary Receipts. The International Equity Fund may invest in fixed income securities when, in light of economic conditions and the general level of stock prices, dividend rates, prices of fixed income securities and the level of interest rates, it appears that the International Equity Fund’s investment objective will not be met by buying equity securities. Under normal conditions, the International Equity Fund’s investments in securities other than common stocks and other equity-related securities are limited to no more than 20% of total assets. Within this limitation, the Fund will also maintain a small cash reserve which will be invested in Short-Term Investment Products. See “—Stable Asset Return Fund.”

The International Equity Fund will normally conduct its foreign currency exchange transactions, if any, either on a cash basis at the spot rate prevailing in the foreign currency exchange market or through entering into forward contracts to purchase or sell foreign currencies. See “—Derivative Instruments.”

Risk Factors. The Fund’s share price can fall because of weakness in one or more of its primary equity markets, a particular industry, or specific holdings. Equity markets can decline for many reasons, including adverse political or economic developments, changes in investor psychology, or heavy institutional selling. The prospects for an industry or company may deteriorate because of a variety of

29

factors, including disappointing earnings or changes in the competitive environment. In addition, the investment assessment of companies held in the Fund may prove incorrect, resulting in losses or poor performance even in rising markets.

Currency Risk. Currency risk refers to a decline in the value of a foreign currency versus the value of the U.S. dollar, which reduces the U.S. dollar value of securities denominated in that currency. The overall impact on the Fund’s holdings can be significant, unpredictable and long-lasting, depending on the currencies represented in the Fund’s portfolio and how each one appreciates or depreciates in relation to the U.S. dollar and whether currency positions are hedged. Under normal conditions, the Fund will not engage in extensive foreign currency hedging programs. Exchange rate movements are unpredictable and it is not possible to effectively hedge the currency risks of many developing countries.

Political and Economic Factors. The economic and political structures of developing nations, in most cases, do not compare favorably with the United States or other developed countries in terms of wealth and stability and their financial markets often lack liquidity. Therefore, investments in these emerging countries are riskier, and may be subject to erratic and abrupt price movements. Even investments in countries with highly developed economies are subject to risk. For example, prices of Japanese stocks suffered a steep decline during much of the 1990s. Moreover, while some countries have made progress in economic growth, liberalization, fiscal discipline and political and social stability, there is no assurance these trends will continue. Investment in these markets is, therefore, significantly riskier than investment in other markets.

The economies of some of the countries in which the Fund may invest may rely heavily on particular industries and be more vulnerable to the ebb and flow of international trade, trade barriers and other protectionist or retaliatory measures. Some countries have legacies of hyperinflation and currency devaluations versus the U.S. dollar, particularly Russia, many Latin American nations, and more recently, several Asian countries. Investments in countries that have recently begun moving away from central planning and state-owned industries toward free markets should be regarded as speculative.

Some of the countries in which the Fund may invest have histories of instability and upheaval that could cause their governments to act in a detrimental or hostile manner toward private enterprise or foreign investment. Governmental actions such as capital or currency controls, nationalization of an industry or company, expropriation of assets, or imposition of high taxes could have an adverse effect on security prices and impair the International Equity Fund’s ability to repatriate capital or income. Significant external risks currently affect some emerging countries. Governments in many emerging market countries participate to a significant degree in the countries’ economies and securities markets.

Other Risks of Foreign Investing. Some of the countries in which the Fund may invest lack uniform accounting, auditing and financial reporting standards, have less governmental supervision of financial markets than in the United States, do not honor legal rights enjoyed in the United States and have settlement practices which may subject the International Equity Fund to risks of loss not customary in U.S. markets. In addition, securities markets in some countries have substantially lower trading volumes than U.S. markets, resulting in less liquidity and more volatility than experienced in the United States.

Pricing. Portfolio securities may be listed on foreign exchanges that are open on days (such as Saturdays or U.S. legal holidays) when the International Equity Fund does not compute its prices. As a result, the Fund’s net asset value may be significantly affected by trading on days when transactions in Units of the Fund do not occur.

Investing in International Stocks. Like U.S. stock investments, common stocks of foreign companies offer investors a way to build capital over time. Nevertheless, the long-term rise of foreign stock prices as a group has been punctuated by periodic declines. Share prices of all companies, even the best managed

30

and most profitable, whether U.S. or foreign, are subject to market risk, which means they can fluctuate widely. The volatility of emerging markets may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect stock prices and, therefore, Fund share prices. For this reason, investors in foreign stocks should have a long-term investment horizon and be willing to wait out declining markets. The International Equity Fund should not be relied upon as a complete investment program or used as a means to speculate on short-term swings in the stock or foreign exchange markets.

The values of foreign fixed income securities fluctuate in response to changes in U.S. and foreign interest rates. Income received by the International Equity Fund from sources within foreign countries may also be reduced by withholding and other taxes imposed by those countries, although tax conventions between some countries and the United States may reduce or eliminate these taxes. Any taxes paid by the International Equity Fund will reduce the net income earned by the Fund. State Street will consider available yields, net of any required taxes, in selecting foreign dividend paying securities.

In addition, short-term movements in currency exchange rates could adversely impact the availability of funds to pay for redemptions of Units of the International Equity Fund. For example, if the exchange rate for a currency declines after a security has been sold to provide funds for a redemption from the Fund but before those funds are translated into U.S. dollars, it could be necessary to liquidate additional portfolio securities in order to finance the redemption.

The International Equity Fund is also subject to the risks associated with the use of derivatives to the extent the Fund is permitted to use them.

Portfolio Turnover. As the level of portfolio turnover increases, transaction expenses incurred by the International Equity Fund, such as brokerage commissions, increase, which may adversely affect the Fund’s overall performance. Although the International Equity Fund generally will hold its investments for an extended period of time, it is difficult to predict the rate of portfolio turnover in view of the potential for unexpected market conditions, and securities may be purchased and sold without regard to the length of time held when circumstances warrant. Portfolio turnover was 30% for the twelve months ended December 31, 2006 and 35% for the twelve months ended December 31, 2005.

Investment Advisors. State Street has retained JPMorgan Asset Management (UK) Limited (“JPMAM”) to be an Investment Advisor for the International Equity Fund for approximately half of the assets in the International Equity Fund, and Philadelphia International Advisors, LP (“PIA”) to serve as Investment Advisor for the other half of the assets in the International Equity Fund.

State Street determines the portion of the International Equity Fund’s assets for which advice is obtained from each Investment Advisor. Unless altered by State Street, the assets of the International Equity Fund will be allocated equally to each of the two Investment Advisors. Income and gains attributable to the assets allocated to each portion remain allocated to that portion unless and until reallocated by State Street, and any differences in relative investment performance of the two portions of the Fund can change the percentage of total assets of the International Equity Fund for which State Street obtains investment advice from each Investment Advisor. State Street allocates contributions and transfers to, and withdrawals and transfers from, the International Equity Fund between the two portions in a manner intended to achieve the targeted allocations of the Fund’s assets. State Street may also, in its discretion, re-allocate assets in the International Equity Fund among the two portions in order to avoid excessive deviation from the targeted allocations.

Advisor to the International Equity Fund since April 1, 2003, JPMAM was founded on December 31, 2000, following the merger of J.P. Morgan & Co. Inc. and The Chase Manhattan Corporation. This followed the acquisition of Robert Fleming Holdings Limited by The Chase Manhattan Corporation in

31

August 2000. In July 2004, JPMorgan Chase & Co. merged with Bank One Corporation. As part of JPMorgan Chase, JPMAM is a global asset management firm providing investment advice to corporations, governments, institutions, endowments, foundations and individuals. The principal place of business of JPMAM is 522 Fifth Avenue, New York, New York 10036. As of December 31, 2006, JPMAM had over $1.0 trillion of assets under management.

Advisor to the International Equity Fund since April 1, 2003, PIA is an investment management firm serving primarily corporate, public and endowment/foundation markets. Founded in 2002, PIA, a limited partnership owned by Glenmede Trust Company and Glenmede’s former international investment management team, is focused solely on international equities. PIA’s principal place of business is 1650 Market Street, One Liberty Place, Suite 1400, Philadelphia, Pennsylvania 19103. As of December 31, 2006, PIA had approximately $8.4 billion in assets under its management.

Transfer Restrictions. The International Equity Fund maintains a transfer policy that restricts a Participant’s ability to make more than one transfer into the International Equity Fund within any 45 calendar day period. There is no restriction on a Participant’s ability to make transfers out of the Fund. State Street has adopted this policy for the International Equity Fund to prevent disruptions to the Fund that could potentially affect the investment performance of the Fund. For more information regarding this policy, see “—Transfers Between Investment Options and Withdrawals—Frequent Trading; Restrictions on Transfers.”

CERTAIN INFORMATION WITH RESPECT TO THE FUNDS

Investment Prohibitions.

No Fund will:

· trade in foreign currency, except for transactions incidental to the settlement of purchases or sales of securities for the Fund;

· make an investment in order to exercise control or management over a company;

· make short sales, unless the Fund has, by reason of ownership of other securities, the right to obtain securities of a kind and amount equivalent to the securities sold, which right will continue so long as the Fund is in a short position;

· issue senior securities or trade in commodities or commodity contracts, other than options or futures contracts (including options on futures contracts) with respect to securities or securities indices, except as described under “—Derivative Instruments;”

· write uncovered options;

· purchase real estate or mortgages, provided that a Fund may buy shares of real estate investment trusts listed on U.S. stock exchanges, if such purchases are consistent with the investment objective and restrictions set forth in the fund declaration for the Fund;

· invest in the securities of registered investment companies;

· invest in oil, gas or mineral leases;

· purchase any security on margin or borrow money, except for short-term credit necessary for clearance of securities transactions or, in the case of the Index Equity Fund, for redemption purposes;

32

· make loans, except by (i) the purchase of marketable bonds, debentures, commercial paper and similar marketable evidences of indebtedness, (ii) engaging in repurchase agreement transactions and (iii) making loans of portfolio securities; or

· underwrite the securities of any issuer.

State Street has directed the Investment Advisors not to recommend an investment, and State Street will not cause any Fund to make an investment:

· if that investment would cause (1) more than 5% of the portion of the Fund’s net assets allocated to the Investment Advisor to be invested in warrants generally, or more than 2% of the Fund’s net assets allocated to the Investment Advisor to be invested in warrants not listed on a nationally recognized U.S. securities exchange, or (2) more than 10% of the portion of the Fund’s net assets allocated to the Investment Advisor to be invested in illiquid securities, including repurchase agreements with maturities in excess of seven days or portfolio securities that are not readily marketable, in each case determined at the time of purchase,

· in an industry if that investment would cause more than 25% of the portion of the Fund’s net assets allocated to the Investment Advisor to be invested in that industry, determined at the time of purchase, or

· in the securities of an issuer (other than the U.S. government and its agencies and, with respect to certain Funds, other than short-term investment funds maintained by the Investment Advisor or State Street or its affiliates) if that investment would cause more than 5% of the portion of the Fund’s net assets allocated to the Investment Advisor to be invested in the securities of that issuer, determined at the time of purchase.

The foregoing restrictions with respect to industry and issuer concentration do not apply to the Index Equity Fund or the indexed portions of the Large-Cap Value Equity Fund, the Large-Cap Growth Equity Fund or Small-Cap Equity Fund (nor do they apply to the Retirement Date Funds) to the extent that the replicated index is concentrated in a specific industry or issuer.

Except as described under “—Derivative Instruments,” State Street has no present intention of causing any Fund to invest in options and financial futures contracts and other derivatives, and will not do so without prior notification to investors in the Funds.

The Funds, as well as the Retirement Date Funds, that invest in fixed income securities may also purchase such securities for future delivery on a “to be announced” or “TBA” basis where the price and coupon are determined at the time of purchase but the collateral for such securities is not determined until immediately before the securities are delivered. Investing in TBA securities carries risks similar to investing in “when-issued” securities. See “—Stable Asset Return Fund—Investment Guidelines and Restrictions and Risk Factors”, “—Intermediate Bond Fund—Risk Factors” and “—Balanced Fund—Risk Factors.”

Loans of Portfolio Securities. For the purpose of achieving income, the Funds may lend a portion of their portfolio securities to brokers, dealers and other financial institutions, provided that these activities are conducted in accordance with the applicable requirements of ERISA, including:

· the loan is secured continuously by collateral consisting of cash, U.S. government securities or irrevocable letters of credit maintained on a daily mark-to-market basis in an amount at least equal to the current market value of the securities loaned;

· the Fund may at any time call the loan and obtain the return of the securities loaned; and

· the Fund will receive any interest or dividends paid on the loaned securities.

When a Fund lends portfolio securities, its investment performance will continue to reflect changes in the value of the securities loaned, and the Fund will also receive a fee for lending its securities (which

33

may include interest on the collateral). State Street Bank administers the securities lending activities of the respective Funds. A portion of the income generated by securities lending activities (equal to an amount that is expected to offset State Street’s cost of administering these activities) will be paid to State Street Bank. The remaining amount of the income generated will be reinvested in the relevant Fund.

Valuation of Units. The following discussion relates to all the Funds other than the Stable Asset Return Fund: An investor’s interest in a Fund is represented by the value of the Units credited to the investor’s account for that Fund. The number of Units purchased with a contribution or transfer or allocation of assets to a Fund is the quotient of the amount so allocated to the Fund divided by the per Unit value of the Fund calculated as of the end of the regular trading session of the New York Stock Exchange on the Business Day the contribution is credited to the Fund by State Street Bank (normally, 4:00 p.m. Eastern time). Once a number of Units has been credited to an investor’s account, this number will not vary because of any subsequent fluctuation in the Unit value. The value of each Unit, however, will fluctuate with the investment experience of the particular Fund, which reflects the investment income and realized and unrealized capital gains and losses of that Fund. Unit values for the Funds are determined as of the close of the regular trading session of the New York Stock Exchange on each Business Day. The Unit value for each Fund is the value of all assets of the Fund, less all liabilities of the Fund, divided by the number of outstanding Units of the Fund prior to adjustment for any contributions, transfers or withdrawals with respect to the Fund. State Street has delegated to State Street Bank the responsibility to determine the value of each Fund based on the market value of each Fund’s portfolio of securities. Consistent with the SEC’s rules applicable to the periodic determination of the net asset value of redeemable securities, in the determination of Unit values for the Funds, State Street Bank reflects changes in holdings of portfolio securities no later than the first Business Day following the trade date.

State Street Bank generally values each Fund’s portfolio of securities based on closing market prices or readily available market quotations. When closing market prices or market quotations are not readily available or are considered by State Street Bank to be unreliable, the fair value of the particular securities or assets is determined in good faith by State Street. For market prices and quotations, as well as some fair value methods of pricing, State Street or State Street Bank may rely upon securities prices provided by pricing services, the Investment Advisor(s) or independent dealers.

All methods of determining the value of a security used by State Street on a basis other than market value, including those discussed below, are forms of fair value pricing. All valuations of securities on a fair value basis are made pursuant to fair value procedures adopted by State Street. The use of fair value pricing with respect to the securities of any Fund may cause the value of the Units of that Fund to differ from the Unit value that would be calculated using only market prices.

State Street, acting through a valuation committee, uses the fair value of a security, including a non-U.S. security, when State Street Bank determines that the closing market price on the primary exchange where the security is traded is not readily available or no longer accurately reflects the value of the security at the time of calculation of its net asset value. This may occur for a variety of reasons that affect either the relevant securities markets generally or the specific issuer. In making the fair value determination, State Street endeavors to value the security at the amount the owner might reasonably expect to receive upon the security’s current sale. In so doing, the valuation committee considers all factors it deems appropriate, including, if relevant, external factors such as general market developments and news events.

With respect to non-U.S. securities, if a significant event has occurred between the closing of the foreign exchange or market on which such securities trade and the calculation of net asset value, fair value pricing may be appropriate. Specifically, under appropriate circumstances, State Street will utilize a fair value model for the International Equity Fund to make fair value adjustments to the prices of

34

non-U.S. securities based on movements in the U.S. markets after the close of foreign markets. If a significant event occurs other than general movements in the U.S. markets, State Street Bank will determine whether that event might affect the value of the non-U.S. securities and whether, if so, the securities should be valued in accordance with State Street’s fair value procedures.

Certain other types of securities, including those discussed below in this paragraph, may be priced using fair value rather than market prices. For instance, State Street Bank may use a pricing matrix to determine the value of fixed income securities that do not trade daily. A pricing matrix is a means of valuing a debt security on the basis of current market prices for other debt securities and historical trading patterns in the market for fixed income securities. To the extent that a Fund invests in the shares of bank collective trust funds or of other registered open-end investment companies that are not traded on an exchange (mutual funds), such shares are valued at their net asset values per share as reported by the funds. Each of these funds may, under certain circumstances, use fair value pricing in determining their net asset values.

For a discussion of the valuation of Units in the Stable Asset Return Fund, see “—Stable Asset Return Fund—Valuation of Units.”

Transfers. Transfers to and withdrawals from any of the Funds, as well as transfers to and withdrawals from the portfolios of the Structured Portfolio Service, the Self-Managed Brokerage Accounts and the Retirement Date Funds, will be effective on the day instructions are received if such instructions are received on a Business Day prior to 4:00 p.m. Eastern time (or, if earlier, the close of regular market trading). For additional information relating to transfers to and withdrawals from the Investment Options, and special restrictions on transfers in some cases, see “—Transfers Between Investment Options and Withdrawals.” It currently is anticipated that, effective on or about January 1, 2008, the portfolios of the Structured Portfolio will be terminated and hence no longer available for transfers.

Performance Information. Each Fund may, from time to time, report its performance in terms of the Fund’s total return. A Fund’s total return is determined based on historical results and is not intended to indicate future performance. A Fund’s total return is computed by determining the average annual compound rate of return for a specified period which, when applied to a hypothetical $1,000 investment in the Fund at the beginning of the period, would produce the redeemable value of that investment at the end of the period. Each Fund may also report a total return computed in the same manner but without annualizing the result. A recorded message providing per Unit values for the Funds as of the close of business on the previous Business Day is available at (800) 826-8905.

DERIVATIVE INSTRUMENTS

The Funds will not engage in transactions in derivative instruments, except as described in this paragraph. Derivatives, which are financial instruments the value of which is derived from the value of other instruments or assets, include futures, options, swaps, swaptions, caps or floor contracts or foreign currency hedging contracts. Collateralized mortgage obligations (known as “CMOs”) and other mortgage-backed securities, as well as asset-backed securities, could be considered derivative securities because their value is derived from the cash flows from their underlying assets, such as the mortgages or accounts receivable.

· The Index Equity Fund and the indexed portions of the Large-Cap Value Equity Fund, the Large-Cap Growth Equity Fund and the Small-Cap Equity Fund may engage in limited transactions in stock index futures and options for hedging purposes and as a substitute for comparable market positions in the securities held by each such Fund (with respect to the

35

portion of its portfolio that is held in cash items—for example, pending investment or to pay for redemption requests).

· The International Equity Fund and, to a lesser extent, the other Funds that invest in securities denominated in foreign currencies may enter into foreign currency hedging transactions in connection with their purchase or sale of foreign securities as described in the second paragraph below.

· The Intermediate Bond Fund (which includes the debt portion of the Balanced Fund) may, subject to limitations, invest in futures, options, swaps, swaptions, forwards, mortgage-backed securities, including asset-backed securities, CMOs, Interest Only (IO) and Principal Only (PO) strips. Interest-only and principal-only stripped mortgage-backed securities are considered derivatives because their value is derived from that of the underlying mortgage-backed bonds.

· The Stable Asset Return Fund may invest in asset-backed securities, including CMOs and other derivative mortgage-backed securities.

The Retirement Date Funds may invest in derivative securities as described in “—Retirement Date Funds.”

All of the Funds that may invest in securities denominated in foreign currencies may enter into forward foreign currency exchange contracts to hedge against the U.S. dollar price of the security. In addition, the International Equity Fund may sell or buy a particular foreign currency (or another currency that acts as a proxy for that currency) when the Investment Advisor believes that the currency of a particular foreign country may move substantially against another currency. A forward foreign currency exchange contract involves an obligation to purchase or sell a specific amount of a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. A Fund can use such contracts to reduce its exposure to changes in the value of the currency it will deliver and increase its exposure to changes in the value of the currency into which it will be exchanged. The effect on the value of a Fund is similar to selling securities denominated in one currency and purchasing securities denominated in another. U.S. dollar-denominated American Depositary Receipts (known as “ADRs”), which are issued by domestic banks and are traded in the United States on exchanges or over-the-counter, are available with respect to many foreign securities. ADRs do not lessen the foreign exchange risk inherent in investment in the securities of foreign issuers; however, by investing in ADRs rather than directly in the foreign issuers’ stock, a Fund can avoid currency risks during the settlement period for purchases or sales without having to engage in separate foreign currency hedging transactions.

The purchase and writing of options involve risks. During the option period, a writer of a covered call option gives up, in return for the premium on the option, the opportunity to profit from a price increase in the underlying security above the exercise price but retains, as long as its obligations as a writer continues, the risk of loss should the price of the underlying security decline. The writer of an option traded on an option exchange in the United States has no control over the time when it may be required to fulfill the writer’s obligation. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. The writer of an uncovered option bears the risk of having to purchase the security subject to the option at a price higher than the exercise price of the option. As the price of a security could appreciate substantially, the option writer’s loss could be significant. If a put or call option is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the investor will lose its entire investment in the option. Also, when a put or call option on a particular security is purchased to hedge against price movements in a related security, the price of the put or call option may move more or less than the price

36

of the related security. Furthermore, there can be no assurance that a liquid market will exist when an investor seeks to close out an option position. If trading restrictions or suspensions are imposed on the options markets, an investor may be unable to close out a position.

Because swap agreements are two-party contracts and may have terms of greater than seven days, such agreements may be considered to be illiquid. Moreover, an investor bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The swaps market is a relatively new market and is largely unregulated, and it is possible that developments in the swaps market, including potential government regulation, could adversely affect an investor’s ability to terminate existing swap agreements or to realize amounts to be received under these agreements.

There are several risks associated with the use of futures and futures options. Futures and options contracts may not always be successful hedges and their prices can be highly volatile. Using these contracts could lower a fund’s total return and the potential loss from their use can exceed a fund’s initial investment in these contracts. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when an investor seeks to close out a futures contract or a futures option position. Most futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single day; once the daily limit has been reached on a particular contract, no trades may be made that day at a price beyond that limit. In addition, some of these instruments are relatively new and without significant trading history. As a result, there is no assurance that an active secondary market will develop or continue to exist. Lack of a liquid market for any reason may prevent an investor from liquidating an unfavorable position even though the investor would remain obligated to meet margin requirements until the position is closed.

INVESTMENT ADVISORS

State Street has retained the services of various persons or entities (“Investment Advisors”) to advise it on its investment responsibility with respect to several Funds. Each Investment Advisor recommends to State Street investments and reinvestments of the assets allocated to it in accordance with the investment policies of the applicable Fund or Funds. State Street exercises discretion with respect to the selection and retention of the Investment Advisors and may remove an Investment Advisor at any time upon consultation with ARF. State Street may also change at any time the allocation of assets among Investment Advisors where a Fund has more than one Investment Advisor, subject to consultation with ARF.

Recommendations to buy and sell securities for the Funds are made by each Investment Advisor in accordance with the investment policies and restrictions of the Funds and subject to monitoring and approval by State Street. Investment recommendations for the Funds are not necessarily made consistently with those of other investment accounts managed by the Investment Advisors. Occasions may arise, however, when the same investment recommendation is made for more than one client’s account. It is the practice of each Investment Advisor to allocate these purchases or sales to be executed in connection with these recommendations insofar as feasible among its several clients in a manner it deems equitable. The principal factors which the Investment Advisors consider in making these allocations are the relative investment objectives of the clients, the relative size of the portfolio holdings of the same or comparable securities and the then remaining availability in the particular account of funds for investment. Portfolio securities held by one client of an Investment Advisor may also be held by one or more of its other clients. When two or more of its clients are engaged in the simultaneous sale or

37

purchase of securities, transactions are allocated as to amount in accordance with formulas deemed to be equitable as to each client. There may be circumstances when purchases or sales of portfolio securities for one or more clients will have an adverse effect on other clients.

Transactions on stock exchanges on behalf of the Funds involve the payment of negotiated brokerage commissions. There is generally no stated commission in the case of securities traded in the over-the-counter markets, but the price of those securities includes an undisclosed commission or mark-up. The cost of securities purchased from underwriters includes an underwriting commission or concession, and the prices at which securities are purchased from and sold to dealers include a dealer’s mark-up or mark-down.

In executing portfolio transactions, the Investment Advisors seek the most favorable execution available. The agreements between State Street and the Investment Advisors provide that, in assessing the best overall terms available for any transaction, the Investment Advisor may consider factors it deems relevant, including the brokerage and research services, as those terms are defined in section 28(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), provided to the Funds, viewed in terms of either that particular transaction or the broker-dealer’s overall responsibilities to the Fund.

State Street periodically reviews the brokerage commissions paid by the Funds to determine if the commissions paid over representative periods of time were reasonable in relation to the benefits inuring to each Fund. It is possible that some of the services received from a broker or dealer in connection with the execution of transactions will primarily benefit one or more other accounts for which the Investment Advisor exercises discretion, or a Fund other than that for which the transaction was executed. Conversely, any given Fund may be the primary beneficiary of the service received as a result of portfolio transactions effected for those other accounts or Funds. The fees of the Investment Advisors are not reduced by reason of receipt of brokerage and research services.

STRUCTURED PORTFOLIO SERVICE

Investment Objective. The Structured Portfolio Service provides investment diversification by utilizing the Funds available in the Program. The Conservative, Moderate and Aggressive portfolios offer three distinct approaches to diversifying investments in the Program. Each portfolio has a different investment strategy and represents different risk and reward characteristics that reflect an investor’s tolerance for investment risk. There can be no assurance that any of the portfolios of the Structured Portfolio Service will achieve their investment objective. The portfolios collectively utilize all of the Program’s Funds other than the Balanced Fund. Fund allocations within each portfolio are established from time to time by State Street. For information regarding the investment objectives, guidelines and restrictions of each of the Funds in the respective portfolios of the Structured Portfolio Service, refer to the description of those Funds in this Report.

Strategy. The overall volatility of the three portfolios may be reduced by spreading investments over several types of assets, although there can be no guarantee that this will be the case. However, the volatility of the Aggressive Portfolio may be greater than that of the other two portfolios, and the volatility of the Moderate Portfolio may be greater than that of the Conservative Portfolio. As prices of stocks and bonds may respond differently to changes in economic conditions and interest rate levels, a rise in bond prices, for example, could help offset a fall in stock prices. Short-term securities, which are held in varying percentages by all the portfolios, have a stabilizing influence in comparison to stocks since their price fluctuations are expected to be small. In addition, the income provided by bonds and money market securities is expected to contribute positively to a portfolio’s total return, cushioning the impact of price declines or enhancing the effect of price increases.

38

The Conservative Portfolio emphasizes shorter-term and fixed income securities and is intended for investors with lower risk tolerance who seek returns based primarily on higher current investment income. Funds in the Conservative Portfolio are currently 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
International Equity Fund	7

The Moderate Portfolio takes a more balanced approach (in comparison to the Conservative Portfolio) and is intended for investors who seek returns based upon relatively stable investment income but who also desire an increased potential for growth. Funds in the Moderate Portfolio are currently 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
International Equity Fund	15

The Aggressive Portfolio emphasizes stocks and is intended for investors who have a higher degree of risk tolerance and seek capital appreciation. Funds in the Aggressive Portfolio are currently 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
International Equity Fund	20

Allocations of investor funds to the portfolios of the Structured Portfolio Service are readjusted by State Street on the first Business Day of each month to maintain the percentage allocations indicated above.

Risk Factors. For information and risk factors associated with each of the Funds utilized in the Structured Portfolio Service, refer to the descriptions in this Report for each particular Fund.

Valuation of Units. Units in the portfolios of the Structured Portfolio Service are valued based upon the aggregate values of the Units of the included Funds credited to an investor’s account in the Structured Portfolio Service.

Liquidity and Transfers. Transfers to or withdrawals from any of the three portfolios may be made on any Business Day prior to 4:00 p.m. Eastern time (or, if earlier, the close of regular market trading).

39

For additional information relating to transfers to and withdrawals from the Investment Options, and special restrictions on transfers in some cases, see “—Transfers Between Investment Options and Withdrawals.”

Investment Advisors. The portfolios of the Structured Portfolio Service utilize exclusively the other Funds in the Program (other than the Balanced Fund). Therefore, the Investment Advisors or managers of these respective portfolios correspond with those of the underlying Funds.

Performance Information. 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.

Expected Termination of Structured Portfolio Service. It currently is anticipated that the portfolios of the Structured Portfolio Service will be terminated and hence no longer available as Investment Options under the Program on or about January 1, 2008. Any assets remaining in the portfolios of the Structured Portfolio Service as of that date, to the extent not directed into other Investment Options by Participants, will be transferred to other Investment Options consistent with applicable law.

RETIREMENT DATE FUNDS

Investment Objective. The Retirement Date Funds provide a series of balanced investment funds each of which is designed by State Street Bank to correspond to a particular time horizon to retirement. The five Retirement Date Funds, designated as the Lifetime Income Retirement Date Fund, 2010 Retirement Date Fund, 2020 Retirement Date Fund, 2030 Retirement Date Fund and 2040 Retirement Date Fund, respectively, offer five separate “target retirement date” strategies, each with a distinct asset mix. With the exception of the Lifetime Income Retirement Date Fund, which is designed for those currently retired, each Retirement Date Fund’s asset mix will, over time, become progressively more conservative as the specified target retirement date draws nearer. The Retirement Date Funds utilize a broad range of asset classes and an annual rebalancing process to provide diversification of returns and risks consistent with the stated time horizon to retirement. Investment in each such asset class is obtained by investing in index strategies or other pooled strategies designed for low tracking error.

Each Retirement Date Fund has a different initial investment strategy representing different risk and reward characteristics that reflect the remaining time to the target retirement date, as stated in name of each of the Retirement Date Funds. The longer the time horizon to the year in which a Retirement Date Fund will reach its most conservative investment mix, the greater is the Retirement Date Fund’s initial risk and potential reward profile. The Lifetime Income Retirement Date Fund seeks to avoid significant loss of principal for investors who have reached retirement and is comprised primarily of bonds and cash to provide stability and income. The 2010 Retirement Date Fund currently seeks to provide a blend of capital appreciation and stability of principal for participants planning to retire in or around the year 2010. The 2020 Retirement Date Fund currently seeks to provide long-term capital appreciation and more limited stability of principal for participants planning to retire in or around the year 2020. The 2030 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2030 and is comprised mainly of stocks for higher growth potential. The 2040 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2040 and is comprised mainly of stocks for maximum growth potential. There can be no assurance that any Retirement Date Fund will achieve its investment objective.

Strategy. The Retirement Date Funds generally seek to replicate the total return of respective composite benchmarks, in percentages determined from time to time with respect to each Retirement

40

Date Fund. The benchmarks comprising the composites currently include the J.P. Morgan one month U.S. Dollar Libor Index, Three Month Treasury Bills, Standard & Poor’s 500^® Index, Standard & Poor’s MidCap^® Index, Russell 2000^® Index, Morgan Stanley Capital International (“MSCI”) Europe, Australia, and Far East^® (“EAFE”) Index and Lehman Brothers Long U.S. Government Bond Index. The Retirement Date Funds also seek to maintain a level of volatility (measured as standard deviation of returns) that approximates those of their composite benchmarks. The Retirement Date Funds seek to achieve their objectives by investing in equity, fixed income and cash-equivalent investments. Exposure to asset classes is obtained by investing indirectly in various index or other collective investment funds maintained by State Street Bank. These funds currently include, in the case of some or all of the Retirement Date Funds and in varying allocations, the following collective investment funds maintained by State Street Bank:

· S&P 500^® Flagship Securities Lending Series Fund (“S&P 500 Index Fund”);

· Daily MSCI EAFE Index Securities Lending Series Fund (“MSCI EAFE Index Fund”);

· S&P MidCap^® Index Securities Lending Series Fund (“S&P MidCap Index Fund”);

· Russell 2000^® Index Securities Lending Series Fund (“Russell 2000 Index Fund”);

· Long U.S. Government Index Securities Lending Fund (“Lehman Long Government Bond Fund”);

· Limited Duration Bond Non-Lending Fund (“Limited Duration Bond Fund”); and

· Short Term Investment Fund.

These collective investment funds, in addition to their specified equity, fixed income and/or cash-equivalent investments, may also engage in transactions in derivatives, including, but not limited to, financial futures (including interest rate futures), swap contracts and foreign currency forwards, options and futures instruments, CMO and other derivative mortgage-backed securities or other investments as State Street Bank deems appropriate under the circumstances. For the purpose of achieving income, each of these collective investment funds that includes the words “Lending Fund” in its name may lend a portion of its portfolio securities to brokers, dealers and other financial institutions, subject to the same limitations, and on the same terms, as are applicable to securities lending by the Funds as described in “--Information with Respect to the Funds—Loans of Portfolio Securities.”

The Lifetime Income Retirement Date Fund invests in a combination of U.S. stocks, non-U.S. stocks, bonds and stable value or cash-equivalent investments, and allocates its assets among these investments according to a fixed strategic asset allocation strategy. The Lifetime Income Retirement Date Fund is the most conservative strategy within the Retirement Date Funds. The Lifetime Income Retirement Date Fund is designed for investors who are currently at retirement age or otherwise are beginning to withdraw substantial portions of their investments. Funds in the Lifetime Income Retirement Date Fund are currently allocated as follows:

Equity			25.0	%
S&P 500® Index Fund	19.0	%
MSCI EAFE Index Fund	3.0
S&P MidCap Index Fund	2.0
Russell 2000 Index Fund	1.0
Fixed Income			75.0	%
Limited Duration Bond Fund	40.0	%
Lehman Long Government Bond Fund	25.0
Short Term Investment Fund	10.0

41

The 2010 Retirement Date Fund invests in a combination of U.S. stocks, non-U.S. stocks, bonds and cash-equivalent investments, and allocates its assets among these investments according to an asset allocation strategy that varies generally on a pre-determined basis. On a regular basis, as often as annually, the 2010 Retirement Date Fund automatically is rebalanced to a more conservative strategy as the year 2010 approaches. Over time, the stock allocation decreases and the bond and cash allocations increase. By the year 2010, the 2010 Retirement Date Fund will be (and will remain) invested in its most conservative mix of cash, bond and stock investments, comparable to that of the Lifetime Income Retirement Date Fund.

Funds in the 2010 Retirement Date Fund were allocated in 2006 as follows:

Equity			37.5	%
S&P 500 Index Fund	28.2	%
MSCI EAFE Index Fund	4.7
S&P MidCap Index Fund	2.8
Russell 2000 Index Fund	1.8
Fixed Income			62.5	%
Lehman Long Government Bond Fund	37.5	%
Limited Duration Bond Fund	19.2
Short Term Investment Fund	5.8

The 2020 Retirement Date Fund invests in a combination of U.S. stocks, non-U.S. stocks, bonds and cash-equivalent investments, and allocates its assets among these investments according to an asset allocation strategy that varies generally on a pre-determined basis. On a regular basis, as often as annually, the 2020 Retirement Date Fund automatically is rebalanced to a more conservative strategy as the year 2020 approaches. Over time, the stock allocation decreases and bond and cash allocations increase. By the year 2020, the 2020 Retirement Date Fund will be (and will remain) invested in its most conservative mix of cash, bond and stock investments, comparable to that of the Lifetime Income Retirement Date Fund.

Funds in the 2020 Retirement Date Fund were allocated in 2006 as follows:

Equity			62.5	%
S&P 500 Index Fund	39.0	%
MSCI EAFE Index Fund	14.0
S&P MidCap Index Fund	5.7
Russell 2000 Index Fund	3.8
Fixed Income			37.5	%
Lehman Long Government Index Fund	31.0	%
Limited Duration Bond Fund	1.5
Short Term Investment Fund	5.0

The 2030 Retirement Date Fund invests in a combination of U.S. stocks, non-U.S. stocks and bonds, and allocates its assets among these investments according to an asset allocation strategy that varies generally on a pre-determined basis. On a regular basis, as often as annually, the 2030 Retirement Date Fund automatically is rebalanced to a more conservative strategy as the year 2030 approaches. Over time, the stock allocation decreases and the bond and cash allocations increase. By the year 2030, the 2030 Retirement Date Fund will be (and will remain) invested in its most conservative mix of cash, bond and stock investments, comparable to that of the Lifetime Income Retirement Date Fund.

42

Funds in the 2030 Retirement Date Fund were allocated in 2006 as follows:

Equity			78.5	%
S&P 500 Index Fund	44.5	%
MSCI EAFE Index Fund	19.5
S&P MidCap Index Fund	7.4
Russell 2000 Index Fund	7.1
Fixed Income			21.5	%
Lehman Long Government Bond Fund	21.0	%
Limited Duration Bond Fund	0.0
Short Term Investment Fund	0.5

The 2040 Retirement Date Fund invests in a combination of U.S. stocks, non-U.S. stocks and bonds, and allocates its assets among these investments according to an asset allocation strategy that varies generally on a pre-determined basis. On a regular basis, as often as annually, the 2040 Retirement Date Fund automatically is rebalanced to a more conservative strategy as the year 2040 approaches. Over time, the stock allocation decreases and the bond and cash allocations increase. By the year 2040, the 2040 Retirement Date Fund will be (and will remain) invested in its most conservative mix of cash, bond and stock investments, comparable to that of the Lifetime Income Retirement Date Fund.

Funds in the 2040 Retirement Date Fund were allocated in 2006 as follows:

Equity			89.0	%
S&P 500 Index Fund	45.0	%
MSCI EAFE Index Fund	24.5
S&P MidCap Index Fund	9.8
Russell 2000 Index Fund	9.7
Fixed Income			11.0	%
Lehman Long Government Bond Fund	11.0	%
Limited Duration Bond Fund	0.0
Short Term Investment Fund	0.0

Allocations of the funds in the Retirement Date Funds are readjusted by State Street Bank on a quarterly basis to maintain, during the applicable period prior to rebalancing to a more conservative strategy, the percentage allocations applicable for the particular period.

Each of the Retirement Date Funds is designed to minimize volatility for a given level of expected return. The mix of asset classes is evaluated based on State Street Bank’s long-term asset class forecasts for return and risk, and takes into account various macro-economic factors affecting the long-term outlook for the capital markets. While each portfolio’s asset allocation generally changes according to a predetermined schedule, State Street Bank will periodically re-evaluate this schedule to assess whether it remains consistent with the portfolio’s objective given any secular changes to the capital market environment.

In early 2007, State Street Bank undertook a relatively comprehensive re-evaluation of the Retirement Date Funds. This re-evaluation culminated in the recommendation to make a number of significant changes to the Retirement Date Funds to address the interplay of contingencies and risks such as those associated with longer life expectancies (and in particular dual life expectancies), potential insufficient portfolio growth, inflation and wealth diminishment in down markets. As a result, a number of significant changes to the Retirement Date Funds are likely to be implemented later in 2007,

43

including (i) a deferral of the year in which each Retirement Date Fund (other than the Lifetime Income Retirement Date Fund) will reach its most conservative investment mix until five years after the target retirement date, and (ii) changes in certain of the asset classes to which the Retirement Date Funds maintain exposure and the weightings of exposures to asset classes at various time horizons to most conservative investment mix. For instance, aggregate exposure to equity asset classes would increase at any given such time horizon.

Investment Guidelines and Restrictions. The Retirement Date Funds invest in varying degrees, as described above, in U.S. stocks, non-U.S. stocks, bonds and stable value investments. However, each Retirement Date Fund may invest temporarily and without limitation for defensive purposes in short-term fixed income securities. These securities may be used to invest uncommitted cash balances or to maintain liquidity to provide for investor redemptions. State Street Bank will not cause a Retirement Date Fund to make an investment if that investment would cause that Retirement Date Fund to purchase warrants or make any other investment that is inconsistent with the investment prohibitions applicable to the Funds described under “—Certain Information with Respect to the Funds—Investment Prohibitions,” except that the prohibition with respect to short sales will not apply to the Retirement Date Funds to the extent that they may hold short positions in debt securities to reduce exposure to interest rate movements. The Retirement Date Funds will not borrow money except as a temporary measure for extraordinary or emergency purposes or to facilitate redemptions (not for leveraging or investment).

Risk Factors. To the extent invested in the equity markets, the Retirement Date Funds are subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long term-growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. In addition, investments in non-U.S. securities, including emerging markets equities, and in small capitalization and mid-capitalization equity securities, involve special risks. For risk factors associated with investing in these securities, see “—International Equity Fund—Risk Factors,” “—Small-Cap Equity Fund—Risk Factors,” “—Mid-Cap Value Equity Fund—Risk Factors” and “—Mid-Cap Growth Equity Fund—Risk Factors.” The Unit prices of the Retirement Date Funds to the extent so invested in the equity markets will fluctuate, and the holders of Units in the Retirement Date Funds should be able to tolerate changes, sometimes sudden or substantial, in the value of their investment.

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

Fixed-income securities, including corporate bonds, also are subject to credit risk. When a security is purchased, its anticipated yield is dependent on the timely payment by the borrower of each interest and principal installment. Credit analysis and bond ratings take into account the relative likelihood that such timely payment will result. Bonds with a lower credit rating tend to have higher yields than bonds of similar maturity with a better credit rating. However, to the extent the Retirement Date Funds invest in securities with medium or lower credit qualities, they are subject to a higher level of credit risk than investments that invest only in investment-grade securities. In addition, the credit quality of noninvestment-grade securities is considered speculative by recognized ratings agencies with respect to

44

the issuer’s continuing ability to pay interest and principal. Lower-grade securities may have less liquidity and a higher incidence of default than higher-grade securities. Furthermore, as economic, political and business developments unfold, lower-quality bonds, which possess lower levels of protection with respect to timely payment, usually exhibit more price fluctuation than do higher-quality bonds of like maturity.

For information and risk factors associated with investing in stable assets or cash-equivalent instruments, see “—Stable Asset Return Fund—Investment Guidelines and Restrictions and Risk Factors.”

Deviation of the performance of a Retirement Date Fund from the performance of its related composite benchmark (known as “tracking error”) can result from various factors, including purchases and redemptions of Units of the Retirement Date Fund or the Retirement Date Fund’s underlying collective investment funds, as well as from the fees and expenses borne by the Retirement Date Fund or such underlying funds. Such purchases and redemptions may necessitate the purchase or sale of securities by or on behalf of the Retirement Date Fund and the resulting transaction costs may be substantial because of the number and the characteristics of the securities held. Tracking error may also occur due to factors such as the size of the Retirement Date Fund or the Retirement Date Fund’s underlying collective investment funds, changes made in the securities included in the indices underlying the benchmarks or the manner in which the performance of the indices is calculated.

Valuation of Units. The Unit value for each Retirement Date Fund is the value of all assets of the Retirement Date Fund, less all liabilities of the Retirement Date Fund, divided by the number of outstanding Units of the Retirement Date Fund prior to adjustment for any contributions, transfers or withdrawals with respect to the Retirement Date Fund.

Liquidity and Transfers. Transfers to or withdrawals from any of the Retirement Date Funds may be made on any Business Day prior to 4:00 p.m. Eastern time (or, if earlier, the close of regular market trading). For additional information relating to transfers to and withdrawals from the Investment Options, and special restrictions on transfers in some cases, see “—Transfers Between Investment Options and Withdrawals.”

Portfolio Turnover. Ordinarily, an index fund, such as those in which the Retirement Date Funds invest a substantial portion of their assets, will sell securities only to reflect changes in the index in which it invests or to accommodate cash flows into or out of the fund. Index funds seek to create a portfolio which substantially replicates the total return of the applicable index. Index funds are not managed through traditional methods of fund management, which typically involve frequent changes in a portfolio of securities on the basis of economic, financial and market analyses. Therefore, brokerage costs, transfer taxes and other transaction costs for index funds may be lower than those incurred by non-index, actively managed funds.

Portfolio turnover in the Limited Duration Bond Fund may be higher than that of the index funds in which the Retirement Date Funds invest inasmuch as this fund employs active investment management and individual securities may be bought or sold based on their perceived individual relative valuations.

Portfolio turnover of the Retirement Date Funds from inception through December 31, 2006 was 72% for the Lifetime Income Retirement Date Fund, 21% for the 2010 Retirement Date Fund, 16% for the 2020 Retirement Date Fund, 6% for the 2030 Retirement Date Fund and 8% for the 2040 Retirement Date Fund.

Investment Advisor. State Street Bank manages each of the Retirement Date Funds. For its services, State Street Bank receives a fee payable from each Retirement Date Fund’s assets at an annual rate of 0.10% of the total assets of such Retirement Date Fund. The assets of the Lifetime Income Retirement

45

Date Fund, 2010 Retirement Date Fund, 2020 Retirement Date Fund, 2030 Retirement Date Fund and 2040 Retirement Date Fund are invested through, respectively, the SSgA Age-Based Income Securities Lending Series Fund, the SSgA Age-Based 2010 Securities Lending Series Fund, the SSgA Age-Based 2020 Securities Lending Series Fund, the SSgA Age-Based 2030 Securities Lending Series Fund and the SSgA Age-Based 2040 Securities Lending Series Fund, each of which is a collective investment fund maintained by State Street Bank under the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans. In the future State Street may employ other investment advisors for the Retirement Date Funds, at its discretion and subject to consultation with ARF.

SELF-MANAGED BROKERAGE ACCOUNTS

Self-Managed Brokerage Accounts are not included in the Collective Trust and are not registered under the Securities Act. They are described in this Report for information purposes only.

As an additional Investment Option under the Program, State Street Bank makes available a Self-Managed Brokerage Account. The Self-Managed Brokerage Account is available for all plans unless the Employer elects not to make it available for its plan. State Street and State Street Bank permit an investor whose plan includes the Self-Managed Brokerage Account as an Investment Option to authorize, at the Investor’s own cost, a third party “investment manager,” as defined in Section 3(38) of ERISA, to trade that Investor’s Self-Managed Brokerage Account. Contributions may not be allocated directly to the Self-Managed Brokerage Account, but must first be allocated to one or more of the other available Investment Options and then transferred to the Self-Managed Brokerage Account. Assets in a Self-Managed Brokerage Account may be invested in publicly traded debt and equity securities and mutual funds. Some types of investments, such as options, futures, commodities, foreign securities (other than American Depositary Receipts), initial public offerings (“IPOs”), bulletin board stocks, privately traded limited partnerships, commercial paper, bank investments and insurance investments, cannot be made in a Self-Managed Brokerage Account. Margin trading and short selling are not permitted in Self-Managed Brokerage Accounts. For more information regarding the Self-Managed Brokerage Account, please call (800) 348-2272.

The Self-Managed Brokerage Account generally is funded, in accordance with Program rules established by State Street Bank, through a “Base Plan,” which is defined as all Investment Options, but excluding the Self-Managed Brokerage Account. To establish a Self-Managed Brokerage Account, an Investor must transfer initially a minimum of $2,500 from the Investor’s Base Plan to the Self-Managed Brokerage Account, provided that the Investor must at all times maintain in the Investor’s Base Plan the greater of $1,000 and 5% of the Investor’s entire account balance (including, for purposes of the 5% calculation, the assets in the participant’s Self-Managed Brokerage Account). After the initial transfer, an Investor may make transfers of not less than $500 from the Base Plan to the Self-Managed Brokerage Account. No transfer from the Base Plan will be permitted to the extent that such transfer would cause the Investor’s Base Plan to fall below the required minimum.

Satisfaction of the requirement for maintenance of a minimum account balance of an Investor’s Base Plan will be based on the most recent valuations of the Investment Options, which are valued daily. If the value of an Investor’s Base Plan falls below the greater of $1,000 and 5% of the Investor’s aggregate account balances in all Investment Options (including, for purposes of the 5% calculation, the assets in the Participant’s Self-Managed Brokerage Account), the Investor will not be permitted to transfer assets to the Self-Managed Brokerage Account until the required minimum in the Investor’s Base Plan is again met.

At the discretion of State Street Bank, a Self-Managed Brokerage Account may be funded through in-kind transfers from other tax-qualified retirement plans. The foregoing account balance minimums and transfer restrictions with regard to the Base Plan remain in effect.

46

CONTRIBUTIONS AND INVESTMENT SELECTION

Contributions

Contributions are credited on the day of receipt if they are accompanied or preceded by proper allocation instructions and are received by 4:00 p.m. Eastern time (or, if earlier, the close of regular market trading) on a Business Day. Contributions received after that time will be credited on the following Business Day. Remittance of a contribution which State Street believes to be incorrect or failure to provide instructions as to the particular Investor account to which a contribution should be deposited may result in a delay in crediting contributions.

Contributions allocated to the Funds, to any of the portfolios of the Structured Portfolio Service and to any of the Retirement Date Funds are used to purchase Units in the Funds, the portfolios of the Structured Portfolio Service or the Retirement Date Funds at the per Unit values of the Fund, the portfolios of the Structured Portfolio Service or the Retirement Date Funds, calculated as of the close of the regular trading session of the New York Stock Exchange on the Business Day on which the contributions are credited. Contributions may not be made directly to the Self-Managed Brokerage Account.

TRANSFERS BETWEEN INVESTMENT OPTIONS AND WITHDRAWALS

Transfers between Investment Options may be authorized at any time, subject to the terms and restrictions applicable to each Investment Option as discussed below under “—Frequent Trading; Restrictions on Transfers.” A specified whole percentage or whole dollar amount or the total investment in an Investment Option may be transferred. Transfers will be made on the day State Street Bank receives properly authorized instructions from the Investor, provided that these instructions are received not later than 4:00 p.m. Eastern time (or, if earlier, the close of regular market trading) on a Business Day. Transfer requests received after that time will be made on the next Business Day. Transfers involving Funds are effected based upon the relative Unit values of the Funds, as determined at the close of the regular trading session of the New York Stock Exchange on the effective date of the transfer. There is no fee for transfers between Investment Options.

Transfer requests may be made by telephone through the Voice Response Unit or a Participant Services Representative or via the Internet Web site. Call State Street Bank at (800) 348-2272 to make telephone transfers. All telephone transfer instructions are recorded. By authorizing telephone transfers, the Investor consents to such recording. State Street Bank will accept telephone transfer instructions from any person who provides the correct identifying information. Consequently, this service may entail additional risks. State Street Bank reserves the right, subject to the approval of ARF, to cancel telephone transfer services at any time without advance notice to Investors. Transfer requests may also be made through the Program’s Internet Web site by accessing http://www.abaretirement.com. The Investor must use the correct identifying information in order to gain access to his or her account through the Internet. Transfers will be effective as of a particular Business Day if confirmed on the Internet no later than 4:00 p.m. Eastern time (or, if earlier, the close of regular market trading) on that Business Day. Transfers confirmed after that time will be made on the next Business Day. In addition, a “Transfer Between Investment Options” form may be sent to State Street Bank, ABA Retirement Funds program, P.O. Box 5142, Boston, Massachusetts 02206-5142.

Frequent Trading; Restrictions on Transfers. Short-term or other excessive trading into and out of a Fund may harm its performance by disrupting portfolio management strategies and by increasing expenses. The policy of State Street, as trustee, is to discourage such trading. The International Equity Fund has adopted a specific excessive transfer restriction with respect to an Investor’s ability to make

47

transfers into the International Equity Fund. Under this restriction, Investors may make not more than one transfer into the International Equity Fund within any 45 calendar day period. There are no restrictions on an Investor’s ability to make transfers out of the International Equity Fund on any Business Day. The International Equity Fund has adopted this restriction to reduce potential disruptions to this Fund that could potentially affect its investment performance. An Investor who is unable to make a transfer into the International Equity Fund as a result of this restriction will not achieve the investment results, whether gain or loss, that would have been achieved if the transfer were implemented. The International Equity Fund and its other Investors do not incur any gain or loss as a result of such inability to make a transfer.

State Street, as trustee, reserves the right to take such additional actions with respect to excessive trading activity in the International Equity Fund or other Investment Options, such as the rejection of transfer requests, as it may, in its discretion, deem appropriate and in the best interests of all Investors to curtail excessive trading. In addition, to discourage short-term trading, State Street Bank, as State Street’s agent, may use fair value pricing in certain circumstances, as discussed under “—Certain Information With Respect to the Funds—Valuation of Units.”

State Street reserves the right to suspend withdrawals from or transfers to any Fund, any portfolio of the Structured Portfolio Service, any Retirement Date Fund or a Self-Managed Brokerage Account at any time during which any market or stock exchange on which a significant portion of the investments of a Fund, a portfolio of the Structured Portfolio Service, a Retirement Date Fund or a Self-Managed Brokerage Account are quoted is closed or during which dealings thereon are restricted or suspended. In addition, State Street reserves the right to suspend withdrawals or transfers to or from any Fund (including indirect withdrawals or transfers by means of withdrawals or transfers to or from any portfolio of the Structured Portfolio Service) or any Retirement Date Fund at any time during which (a) there exists any state of affairs which, in the reasonable opinion of State Street, constitutes an emergency as a result of which disposition of the assets of a Fund or Retirement Date Fund would not be reasonably practicable or would be seriously prejudicial to the holders of Units of a Fund, portfolio or Retirement Date Fund, (b) there has been a breakdown in the means of communication normally employed in determining the price or value of any of the investments of a Fund, portfolio or Retirement Date Fund, or of current prices on any stock exchange on which a significant portion of the direct or indirect investments of such Fund, portfolio or Retirement Date Fund are quoted, or when for any reason the prices or values of any investments owned by such Fund cannot reasonably be promptly and accurately ascertained, or (c) the transfer of funds involved in the realization or acquisition of any investment cannot, in the reasonable opinion of State Street, be effected at normal rates of exchange. In addition, transfers and withdrawals from the Stable Asset Return Fund may be suspended or limited temporarily if the amount of liquid assets in the Stable Asset Return Fund is insufficient to satisfy all withdrawal or transfer requests.

With respect to the Stable Asset Return Fund, State Street will utilize a tiered liquidity structure in the following sequence to satisfy withdrawal and transfer requests: cash flows (contributions, transfers-in, maturities and interest); and sales of Short-Term Investment Products. In the unlikely event that the amount of liquid assets held by the Stable Asset Return Fund is insufficient to satisfy all withdrawal and transfer requests immediately, State Street may be forced to limit or suspend withdrawals and transfers from the Stable Asset Return Fund. In such cases, withdrawals by Participants from the Program because of death, disability, retirement or termination of employment will be given priority and will be honored from available liquid assets, including the benefit responsive features of the investment contracts, in the order in which withdrawal instructions were received by State Street. Subject to any applicable legal requirements, after all such withdrawals have been effected, transfers to other allowable Investment Options will be honored from available liquid assets in the order that transfer instructions were received by State Street. The length of any suspension or limitation on withdrawals or transfers could vary and would depend, on the one hand, on the aggregate amount of assets that Participants have requested to

48

withdraw or transfer and, on the other hand, on the rate at which assets become available for withdrawal or transfer through the exercise of permitted withdrawal rights under the investment contracts and through the maturity of investment contracts and the rate at which additional monies are contributed to the Stable Asset Return Fund by Participants. See “—Stable Asset Return Fund.”

Withdrawals. Withdrawals from the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds are made at such time and in such manner as is prescribed by the various plans which participate in the Program.

BENEFITS AND DISTRIBUTIONS

A Participant’s eligibility for benefits depends on the terms of the applicable plan through which he or she participates. For information regarding the terms of a plan, a Participant should contact his or her Employer.

PARTICIPANT ADVISOR SERVICE

The Program, with the approval of ARF, has engaged CitiStreet Advisors LLC (“CitiStreet Advisors”), an investment adviser registered under the Investment Advisers Act of 1940, as amended, and a subsidiary of CitiStreet LLC, to make available to Participants through its call center the services of its investment advisor representatives for the telephonic delivery of investment advice and account maintenance and an Internet-based personalized defined contribution plan asset allocation investment advisor service (the “Online Advisor Service”).

CitiStreet Advisors provides to Investors who are Participants (or beneficiaries) in the American Bar Association Members Retirement Plan (and certain individually designed defined contribution plans) individualized investment advice regarding the Investment Options under the Collective Trust over the telephone through its investment advisor representatives or via the Internet through access to the Online Advisor Service Web site. This service provides retirement forecasts and advice, utilizing the computer program of Financial Engines, Inc.^® (“FE”), to analyze market conditions and the Investment Options available under the Collective Trust, as well as information provided by the Investor through an electronic questionnaire or through discussions with an investment advisor representative over the telephone. Based on this analysis, the FE computer program will generate specific portfolio recommendations to the Investor as to the allocation of account balances among the Investment Options. The computer program is based upon the application of economic models and formulae developed by FE that are not specific to CitiStreet Advisors or its affiliated companies, or the Investment Options, but are based on generally accepted financial planning and investment principles. Hence, neither CitiStreet Advisors nor FE have any discretion regarding the allocation recommendations generated by the computer program.

The investment advice and recommendations provided to Investors by CitiStreet Advisors are required by law to be unbiased and solely in the best interest of Investors. CitiStreet Advisors’ recommendations of specific Investment Options are prepared and provided without consideration to revenues received by CitiStreet Advisors for the delivery of its services or the advisory fees it charges for the services it provides.

Investors are solely responsible for determining whether to use or follow the investment advice provided by CitiStreet Advisors. Additional information regarding this service may be obtained from State Street Bank at (800) 348-2272.

49

The fees for the Online Advisor Service are included in the program expense fee payable to State Street Bank. Because the program expense fee is charged against the Unit values of the Funds and the Retirement Date Funds, all Participants investing in the Funds and the Retirement Date Funds effectively bear the cost of the Online Advisor Service, regardless of whether they actually use the service.

An Investor who elects to receive advice through a call center investment advisor representative and to have the Investor’s account advised by CitiStreet Advisors will incur a monthly charge for this service, payable directly from the Investor’s account as of the last day of each month for which the Investor has elected to receive such advice, based upon the following fee schedule:

Advised Account Balance	Annualized Fee
First $100,000	.50	%
Next $50,000	.45	%
Next $50,000	.40	%
Next $100,000	.35	%
Amounts over $300,000	.25	%

Any Investor who has elected to use this service may elect to discontinue such use as of any month-end by making a request by telephone to a call center investment advisor representative no later than five business days prior to the applicable month-end.

In 1999, State Street Bank made a $5 million equity investment in FE, representing less than 1.3% of FE’s total equity, and entered into an agreement with FE to build a technology link (data transfer protocols and interfaces) between State Street Bank’s recordkeeping database and the FE Internet-based advisor service. Thus, any client of State Street Bank for whom State Street Bank provides recordkeeping services may select FE as a provider of its Internet-based asset allocation advisor service and State Street Bank will build a link between its recordkeeping system and the FE system. Except with respect to the Program, State Street Bank is paid a fee for such data transfer service equal to a percentage of the fees paid to FE.

ADDITIONAL INFORMATION

Persons who are Employers or who are responsible for allocating assets under a particular plan may obtain administrative, investment allocation and transfer forms or additional information by:

· calling State Street Bank at (800) 348-2272 between 8:00 a.m. and 8:00 p.m. Eastern time;

· calling the Program’s FaxBack line at (877) 202-3930; or

· accessing the Program’s Website at http://www.abaretirement.com.

A Participant may also obtain forms from his or her Employer, or by using one of the methods outlined above.

For information regarding enrollment in the Program, Eligible Employers may call State Street Bank at (800) 826-8901 between 9:00 a.m. and 5:00 p.m. Eastern time or write to State Street Bank and Trust Company, P.O. Box 5142, Boston, Massachusetts 02206-5142.

For Unit values for the current Investment Options, and for the 30-day yield of the Intermediate Bond Fund, call State Street Bank at (800) 826-8905.

For a recorded message providing current account information, call State Street at (800) 348-2272.

50

ADOPTION OF PROGRAM

Sole practitioners, partnerships (including limited liability companies) and professional corporations engaged in the practice of law may adopt the Program if they or at least one of their partners or shareholders, as the case may be, is a member or associate of the ABA or of a state or local bar association that is represented in the ABA’s House of Delegates. State or local bar associations represented in the ABA’s House of Delegates may also adopt the Program for their own employees subject to limitations imposed by the Internal Revenue Code. An organization that is not engaged in the practice of law may also be eligible to adopt the Program if it is closely associated with the legal profession, receives the approval of ARF, and has, as an owner or a member of its governing board, a member or associate of the ABA. The retirement program specialists engaged by State Street or State Street Bank are available to help individuals and organizations determine whether they are eligible to adopt the Program.

Eligible Employers which elect to participate in the Program may do so either through their own individually designed plans or by adopting one or both of the American Bar Association Members Defined Benefit Plan and the American Bar Association Members Retirement Plan, the two ABA Members Plans sponsored by ARF. The ABA Members Plans are master plans designed to qualify under section 401(a) of the Internal Revenue Code.

Under the American Bar Association Members Retirement Plan, an Eligible Employer may adopt a SIMPLE 401(k) plan, a profit sharing plan, a money purchase pension plan or a target benefit plan. The Internal Revenue Service has issued an opinion letter dated November 30, 2001, stating that the available forms of the ABA Members Plans are qualified under section 401(a) of the Internal Revenue Code for use by employers for the benefit of their employees. Since then there have been several amendments to the American Bar Association’s Members Retirement Plan. The American Bar Association Members Retirement Plan, as amended, has been submitted to the Internal Revenue Service for a determination that it continues to qualify under section 401(a) of the Internal Revenue Code.

Assets contributed under master plans are held by State Street Bank as trustee of the Retirement Trust. Assets invested through individually designed plans are held by State Street Bank as trustee of the Pooled Trust. Assets contributed to each of these trusts are invested in the Investment Options available under the Program in accordance with the instructions of the person or entity vested with responsibility for determining the investment allocation of the assets of each plan. In accordance with the plans, assets of the trusts are held for the benefit of the Participants. The Internal Revenue Service has determined each of the Retirement Trust and the Pooled Trust to be tax-exempt trusts under section 501(a) of the Internal Revenue Code.

To adopt either the American Bar Association Members Defined Benefit Plan or the American Bar Association Members Retirement Plan, an Eligible Employer must complete and execute an adoption agreement. The adoption agreement contains the basic features that must be considered in designing an appropriate master plan under the Program and effects the Eligible Employer’s adoption of the Retirement Trust to hold assets of the master plan. The retirement program specialists will assist Eligible Employers in the preparation of an adoption agreement. However, State Street Bank is not authorized to give tax or legal advice and Eligible Employers should consult with their tax advisors prior to executing an adoption agreement. Depending on the form of adoption agreement adopted by an Eligible Employer and the other retirement plans, if any, maintained by the Eligible Employer, it may be necessary for an Eligible Employer to apply to the Internal Revenue Service for a determination of the qualified status of the master plan as adopted by the Eligible Employer.

An Eligible Employer which maintains an individually designed plan that is qualified under section 401(a) of the Internal Revenue Code may also participate in the Program and make use of the

51

Investment Options, and in some cases the recordkeeping services, available under the Program by causing an adoption agreement for the Pooled Trust to be executed by the trustee of the individually designed plan. The trustee must demonstrate to State Street Bank that the participating trust is exempt from tax under section 501(a) of the Internal Revenue Code and that the related individually designed plan is qualified under section 401(a) of the Internal Revenue Code. State Street Bank’s retirement program specialists will assist in preparation of an adoption agreement. However, State Street Bank is not authorized to give tax or legal advice and Eligible Employers and the trustees of an individually designed plan should consult with their tax advisors prior to executing an adoption agreement. Only plans qualified under section 401(a) of the Internal Revenue Code may participate in the Program. Eligible Employers should note that the Internal Revenue Code and related regulations place limits on the amount of assets that may be contributed to the plans, as well as on withdrawals from the plans.

For copies of the appropriate adoption agreements and further information concerning the steps to be taken to adopt the Program, call State Street Bank at (800) 826-8901 between 9:00 a.m. and 5:00 p.m. Eastern time or write to State Street Bank and Trust Company, P.O. Box 5142, Boston, Massachusetts 02206-5142.

STATE STREET AND STATE STREET BANK

State Street is a wholly-owned subsidiary of State Street Bank, which, in turn, is a wholly owned subsidiary of State Street Corporation, a Massachusetts corporation and a bank holding company registered under the Federal Bank Holding Company Act of 1956. Effective as of December 1, 2004, State Street was substituted for State Street Bank as trustee of the Collective Trust. State Street was formed as a New Hampshire nondepository trust company as a result of a conversion of the charter of State Street Bank and Trust Company of New Hampshire, N.A. (the “National Bank”) on October 25, 2004. As part of the conversion, State Street succeeded to the assets and liabilities of the National Bank and performs the operations previously performed by the National Bank and those relating to service as trustee of the Collective Trust. State Street’s principal office is located at 20 Trafalgar Square, Suite 449, Nashua, New Hampshire 03063.

State Street Bank is a highly capitalized Massachusetts trust company and, as of December 31, 2006, had a total risk-based capital ratio of 14.1%, which is in excess of applicable minimum regulatory requirements. State Street Corporation is the world’s leading specialist in providing institutional investors with investment servicing, investment management and investment research and trading. As of December 31, 2006, State Street Bank together with its affiliates had approximately $11.9 trillion of assets under custody and had approximately $1.7 trillion of assets under management. State Street Bank together with its affiliates is the largest mutual fund custodian in the world, the largest master trust custodian bank and the largest custodian of international/global assets for U.S. pension funds. State Street Bank’s principal offices are located at One Lincoln Street, Boston, Massachusetts 02111.

State Street is responsible for all the functions formerly performed by State Street Bank as trustee of the Collective Trust. State Street Bank has guaranteed to ARF, the Collective Trust and those persons who from time to time have an interest in the Collective Trust the obligations of State Street as trustee of the Collective Trust, and the Collective Trust’s declaration of trust, as amended, provides that (i) in the event of an issuance or entry of a decree or order by an applicable state or federal bank regulator or court of competent jurisdiction declaring State Street a bankrupt or insolvent, (ii) in the event State Street is prevented from serving as trustee of the Collective Trust by regulatory order or (iii) upon the seizure of State Street or any substantial part of its property by an applicable state or federal bank regulator or pursuant to an order of a court of competent jurisdiction, State Street Bank automatically will again become the trustee of the Collective Trust.

52

State Street Bank has entered into a master services agreement with State Street pursuant to which State Street Bank provides custodial, participant recordkeeping and related services with respect to the Collective Trust and the Funds. State Street Bank serves as trustee of the Retirement Trust and the Pooled Trust and operates and administers the portfolios of the Structured Portfolio Service and the Retirement Date Funds and continues to make available the Self-Managed Brokerage Account option as described in this Report.

ABA RETIREMENT FUNDS

As sponsor of the Program, ARF is responsible for the design of the Program, the maintenance of the American Bar Association Members Defined Benefit Plan, the American Bar Association Members Retirement Plan, the Retirement Trust and the Pooled Trust, and the designation of Investment Options to be made available under the Program. ARF has engaged State Street Bank to provide administrative, communications and investment services and to make the Investment Options available under the Program. Under the current agreement between ARF and State Street Bank which went into effect January 1, 2003, as amended, ARF has engaged State Street Bank for a term ending December 31, 2008. ARF may terminate this agreement with State Street Bank prior to the end of its term upon six months’ written notice. State Street Bank may terminate this agreement prior to the end of its term in certain circumstances, including the offering to Employers by ARF of any investment product that is not offered pursuant to the terms of the agreement. Also, State Street Bank may terminate the agreement at the end of any quarter upon 12 months’ written notice. As discussed above, ARF amended such agreement to permit State Street Bank to substitute a wholly-owned subsidiary of State Street Bank as trustee of the Collective Trust, effective as of December 1, 2004, and as permitted by such amendment State Street became the trustee of the Collective Trust on such date.

Pursuant to the above-described agreement, ARF has designated State Street Bank to be the investment manager of the Stable Asset Return Fund. ARF also has approved the engagement of State Street Bank to manage the Index Equity Fund and the indexed portions of the Large-Cap Growth Equity Fund, the Large-Cap Value Equity Fund, the Small-Cap Equity Fund and the Retirement Date Funds.

ARF retains the right to make recommendations to State Street regarding the addition or deletion of Funds as Investment Options. ARF, with or without the assistance of a consultant, will monitor the performance of State Street, State Street Bank and the Investment Advisors and may make recommendations to State Street regarding the engagement and termination of Investment Advisors. State Street is required to give full good faith consideration to all such recommendations from ARF, although State Street retains exclusive management and control over the Funds and the Investment Advisors. ARF may direct State Street to establish or terminate Investment Options that are not Funds. In specified cases when State Street fails to satisfy minimum investment performance standards, ARF may discontinue a Fund as an Investment Option or direct the establishment of another Investment Option that is not a Fund.

State Street, State Street Bank and ARF have reviewed and negotiated the terms and conditions of the documents establishing the respective rights and obligations of the parties, including fees payable to State Street Bank in connection with the Program. ARF will monitor State Street’s and State Street Bank’s administration and marketing of the Program and will approve the hiring by State Street and State Street Bank of certain other major service providers, such as actuaries.

ARF has retained an investment consultant to assist with the monitoring of the performance of State Street, State Street Bank and the Investment Advisors and in making recommendations to State Street regarding the engagement and termination of Investment Advisors.

53

DEDUCTIONS AND FEES

Program Expense Fee

A program expense fee is paid to each of State Street Bank and ARF for their services in connection with the Program. For all Investment Options other than the Self-Managed Brokerage Account, the fee is paid directly from the assets of the Funds and the Retirement Date Funds. State Street does not receive any fees or payments in respect of expenses (including indemnification) from the Collective Trust, the ABA Members Trusts or ARF for services provided in connection with the Program, but is entitled to payment for such services from State Street Bank.

For the year ended December 31, 2006, the program expense fee payable to State Street Bank was $13,638,109, which included one-time project fees in the amount of $400,000 and $750,000 relating to, respectively, the establishment and offering of the Retirement Date Funds and the telephonic delivery of investment advice by CitiStreet Advisors. These fees were accrued from August through December 2006 and May through December 2006, respectively.

Since October 1, 2005, the program expense fee payable to State Street Bank (excluding one-time project fees) has been based on the total assets in the Program (other than assets in Self-Managed Brokerage Accounts) at the following annual rate:

Value of Program Assets	Rate of State Street Bank Program Expense Fee
First $2 billion	.40	%
Next $1 billion	.31
Next $1 billion	.21
Over $4 billion	.13

This program expense fee is accrued daily and paid monthly based on the level of assets in the Program as of the end of the last Business Day of the preceding month.

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

The program expense fee payable to State Street Bank is subject to reduction 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 and ARF that do not participate in the Program. For the year ended December 31, 2006, the amount of this reduction was $41,050.

The program expense fee payable to ARF is based on the total assets in the Program (other than assets in Self-Managed Brokerage Accounts) at the following annual rates:

Value of Program Assets	Rate of ARF Program Expense Fee
First $500 million	.075	%
Next $850 million	.065
Next $1.15 billion	.035
Next $1.5 billion	.025
Over $4.0 billion	.015

54

The fee is accrued daily and is paid to ARF monthly based on the level of assets in the Program as of the end of the last Business Day of the preceding month. The fee schedule set forth above may be increased only by written notification of such increase to all Employers, and shall become effective after a minimum of 60 days from such notice.

The program expense fee paid to ARF for the year ended December 31, 2006 was $1,703,052.

Trust, Management and Administration Fees

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). This fee is accrued on a daily basis and paid monthly from the assets of the Funds and the Retirement Date Funds. The trust, management and administration fees attributable to the Funds held by the Structured Portfolio Service are also accrued and paid from the Funds, and such fees attributable to the portion of the Balanced Fund invested in the Intermediate Bond Fund are accrued and paid from the Intermediate Bond Fund, not from such portion of the Balanced Fund. Since August 1, 2006, the fees have been payable at the following annual rates on the following aggregate values of assets:

Aggregate Value of Assets in Stable Asset Return, Intermediate Bond, Balanced, Large-Cap Value Equity, Large-Cap Growth Equity, Index Equity, Mid-Cap Value Equity, Mid-Cap Growth Equity, Small-Cap Equity and International Equity Funds and Retirement Date Funds	Rate
First $1.0 billion	.217	%*
Next $1.8 billion	.067
Over $2.8 billion	.029

* From October 1, 2005 to July 31, 2006, the annual fee rate on the first $1.0 billion was .211%, on the next $1.8 billion was .067% and over $2.8 billion was .029%.

The fee paid to State Street Bank for trust, management, administration and custody services for the year ended December 31, 2006 was $3,688,405.

Retirement Date Funds Fee

Effective August 1, 2006, a fee is also paid to State Street Bank for its management of the assets in the Retirement Date Funds. This fee is at the annual rate of 0.10% of the assets of the Retirement Date Funds and is accrued daily and paid monthly from the assets of the respective Retirement Date Funds. The fee paid to State Street Bank for Retirement Date Fund management for the year ended December 31, 2006 was $18,543.

Self-Managed Brokerage Account Fees

Transaction fees for the purchase or sale of securities for the Self-Managed Brokerage Account of a Participant are charged in accordance with the schedule of rates communicated from time to time to Participants with Self-Managed Brokerage Accounts. These transaction fees are paid to State Street Bank.

Actuarial and Consulting Services and Fees

State Street Bank has retained a third-party consulting firm to provide actuarial services and other services related to individually designed plan features for each Employer that adopts or has adopted the American Bar Association Members Defined Benefit Plan or any other plan requiring either actuarial or other such special plan related services. The fees and expenses of the consulting firm will be charged to

55

the Employer based on the amount of such services provided by the consulting firm. If the fee is not paid directly by the Employer, such fee, if permissible, will be deducted from the Employer’s plan’s assets.

Investment Advisor Fees

A fee is paid to each Investment Advisor based on the value of the assets allocated to that Investment Advisor, as set forth below. These fees are accrued on a daily basis and paid monthly from the assets of the respective Funds.

Value of Assets in Large-Cap Value Equity Fund Allocated to AllianceBernstein L.P.	Rate
First $10 million	.50	%
Next $10 million	.40
Next $30 million	.35
Next $50 million	.30
Next $50 million	.25
Next $50 million	.225
Next $50 million	.20
Next $50 million	.175
Over $300 million	.15

Value of Assets in Mid-Cap Value Equity Fund Allocated to Ariel Capital Management, LLC(1)	Rate
First $20 million	.75	%
Over $20 million	.50

(1) Effective November 1, 2006, Ariel Capital Management, LLC ceased to serve as Investment Advisor to the Mid-Cap Value Equity Fund.

Value of Assets in Balanced Fund and Large-Cap Growth Equity Fund Allocated to Capital Guardian Trust Company(2)	Rate
First $20 million	.50	%
Next $30 million	.35
Over $50 million	.225

(2) Investment Advisor fees payable to Capital Guardian Trust Company are subject to fee reductions estimated to be 5% of the aggregate Investment Advisor fees payable to Capital Guardian Trust Company assuming the aggregate value of assets allocated to Capital Guardian Trust Company exceeds approximately $515 million.

Value of Assets in International Equity Fund Allocated to JPMorgan Asset Management (UK) Limited	Rate
First $50 million	.75	%
Next $50 million	.65
Over $100 million	.45
Value of Assets in Intermediate Bond Fund(3) Allocated to Pacific Investment Management Company LLC	Rate
First $25 million	.50	%
Next $25 million	.375
Over $50 million	.25

56

(3) The assets of the debt portion of the Balanced Fund are invested in the Intermediate Bond Fund. Pacific Investment Management Company LLC receives an Investment Advisor fee according to this fee schedule and based on the aggregate value of all assets allocated to the Intermediate Bond Fund, including those so allocated through the debt portion of the Balanced Fund.

Value of Assets in International Equity Fund Allocated to Philadelphia International Advisors, LP	Rate
First $5 million	.75	%
Next $10 million	.55
Over $15 million	.45
Value of Assets in Large-Cap Growth Equity Fund Allocated to RCM Capital Management LLC(4)	Rate
First $10 million	.70	%
Next $10 million	.60
Next $20 million	.50
Next $20 million	.35
Next $40 million	.30
Over $100 million	.25

(4) Effective February 28, 2006, RCM Capital Management LLC ceased to serve as an Investment Advisor to the Large-Cap Growth Equity Fund.

Value of Assets in Small-Cap Equity Fund Allocated to Smith Asset Management Group, L.P.	Rate
First $50 million	.85	%
Next $50 million	.65
Over $100 million	.45
Value of Assets in Large-Cap Growth Equity Fund Allocated to T. Rowe Price Associates, Inc.	Rate
All assets (assuming all assets are in excess of $200 million)(5)	.35	%

(5) The Investment Advisor fee payable to T. Rowe Price for the portion of the Large-Cap Growth Equity Fund for which it serves as Investment Advisor is at an annual rate of .35% of the value of the assets of such Fund allocated to T. Rowe Price, so long as the value of such assets remains above $200 million (as of December 31, 2006, the value of such assets was $272 million). Should the value of the assets in the Large-Cap Growth Equity Fund allocated to T. Rowe Price fall to or below $200 million but remain above $100 million, the Investment Advisor fee payable to T. Rowe Price will change to an annual rate of .40% of such value, and should the value of such assets fall to or below $100 million, the Investment Advisor fee will change to an annual rate of .50% of the first $50 million of such value and .45% of such value in excess of $50 million (subject possibly to certain transitional credits in favor of the Large-Cap Growth Equity Fund as asset levels in the portion of such Fund allocated to T. Rowe Price approach the relevant breakpoints).

Value of Assets in Mid-Cap Growth Equity Fund Allocated to Turner Investment Partners	Rate
First $50 million	.65	%
Next $50 million	.60
Over $100 million	.55

57

Value of Assets in Mid-Cap Value Equity Fund Allocated to Wellington Management Company, LLP	Rate
First $25 million	.75	%
Next $25 million	.65
Over $50 million	.55
Value of Assets in Small-Cap Equity Fund Allocated to Wellington Management Company, LLP	Rate
First $25 million	.90	%
Next $25 million	.80
Over $50 million	.70

Operational and Offering Costs

Recurring expenses incurred in connection with operating the Collective Trust, such as printing, legal, registration, consulting and auditing expenses, are considered operational expenses and are accrued throughout the year. For the year ended December 31, 2006, these expenses totaled $3,860,000. A fee in the amount of $21,400 for the registration of $200 million of Units with the SEC was paid in March 2007 and will be an operational cost. These operational costs will be allocated to all of the Funds and the Retirement Date Funds based on net asset value and will be accrued over the year ending December 31, 2007. For purposes of this allocation, assets of the Balanced Fund invested through the Intermediate Bond Fund are included only under the Intermediate Bond Fund and not under the Balanced Fund.

Fee Recipients

The following table summarizes the fees paid to Investment Advisors for services for the year ended December 31, 2006:

Fund(1)	Advisory Fees
Balanced Fund	$	677,092
Intermediate Bond Fund		1,235,383
International Equity Fund		1,373,604
Large-Cap Growth Equity Fund		1,502,145
Large-Cap Value Equity Fund		796,879
Mid-Cap Growth Equity Fund		673,359
Mid-Cap Value Equity Fund		402,369
Small-Cap Equity Fund		2,095,065

(1) The Index Equity Fund, the Stable Asset Return Fund and the portfolios of the Structured Portfolio Service do not have applicable Investment Advisor fees.

The following information with respect to estimated fees for 2007 is based on the approximate amount of assets of the Program on December 31, 2006, which was $4,077 million.

State Street Bank, in its capacity as administrator of the Program, would receive fees of $13,260,000 on an annual basis (after fee discounts of $40,000 related to law firm and law-related client assets not invested in the Program). ARF would receive fees of $1,717,000 on an annual basis in its capacity as sponsor of the Program.

58

The following table summarizes the fees estimated to be payable to each Investment Advisor in 2007. The summary is based on the approximate allocation of the Program’s assets among the Investment Options (other than the Retirement Date Funds) as of December 31, 2006 and reflects the respective allocations of assets invested in the portfolios of the Structured Portfolio Service to the Funds as of that date:

Investment Advisor	Advisory Fees(1)
AllianceBernstein L.P.(2)	$	845,000
Capital Guardian Trust Company(3)		1,227,000
JPMorgan Asset Management (UK) Limited		849,000
Pacific Investment Management Company LLC		1,239,000
Philadelphia International Advisors, LP		660,000
Smith Asset Management Group, L.P.		854,000
T. Rowe Price Associates, Inc.		952,000
Turner Investment Partners		653,000
Wellington Management Company, LLP		1,772,000

(1) Assumes that the allocation of the assets of the Funds among the Investment Advisors is as set forth in the table below.

(2) Acting through its Bernstein Investment Research and Management Unit.

(3) After an applicable fee discount of $65,000.

The table above is based on the following approximate allocations of the Program’s assets among the Investment Options (other than the Retirement Date Funds):

Fund	Allocation as of December 31, 2006 (in millions)(1)
Stable Asset Return Fund	$	846
Intermediate Bond Fund		301
Balanced Fund		447
Large-Cap Value Equity Fund		458
Large-Cap Growth Equity Fund		754
Index Equity Fund		437
Mid-Cap Value Equity Fund		76
Mid-Cap Growth Equity Fund		105
Small-Cap Equity Fund		304
International Equity Fund		274
	$	4,002

(1) The table is based on approximate amount of assets of the Program on December 31, 2006 (other than assets held in the Retirement Date Funds), and the approximate allocations of the Program’s assets among the Investment Options (other than the Retirement Date Funds) as of December 31, 2006. For purposes of this table, the debt portion of the Balanced Fund invested through the Intermediate Bond Fund, which totaled $157 million as of December 31, 2006, is included under the Balanced Fund and not under the Intermediate Bond Fund.

59

The following table shows the amount of assets for which each Investment Advisor provided investment advice at December 31, 2006 based on the allocation of the assets of the Program as shown in the table above.

Advisor	Approximate Assets as of December 31, 2006 (in millions)(1)
AllianceBernstein L.P.(2)
Large-Cap Value Equity Fund	$	350
Capital Guardian Trust Company
Balanced Fund		290
Large-Cap Growth Equity Fund		243
JPMorgan Asset Management (UK) Limited
International Equity Fund		133
Pacific Investment Management Company LLC
Balanced Fund		157
Intermediate Bond Fund		144
Philadelphia International Advisors, LP
International Equity Fund		141
Smith Asset Management Group, L.P.
Small-Cap Equity Fund		123
T. Rowe Price Associates, Inc.
Large-Cap Value Equity Fund		272
Turner Investment Partners
Mid-Cap Growth Equity Fund		105
Wellington Management Company, LLP
Mid-Cap Value Equity Fund		76
Small-Cap Equity Fund		172

(1) The table is based on the approximate assets of the Program on December 31, 2006 (other than the Retirement Date Funds).

(2) Acting through its Bernstein Investment Research and Management Unit.

Each Employer, by electing to participate in the Program, agrees to the fees payable to State Street Bank, for itself and for further payment to State Street, and ARF as described in this Report and that such fees are reasonable compensation for the services performed by State Street Bank, State Street and ARF, respectively, for the Program.

ITEM 1A.    Risk Factors.

For a discussion of the risk factors applicable to investment in the Units of the respective Funds, please refer to page 4 (Stable Asset Return Fund), page 9 (Intermediate Bond Fund), page 12 (Balanced Fund), page 15 (Large-Cap Value Equity Fund), page 18 (Large-Cap Growth Equity Fund), page 20 (Index Equity Fund), page 22 (Mid-Cap Value Equity Fund), page 24 (Mid-Cap Growth Equity Fund), page 26 (Small-Cap Equity Fund) and page 29 (International Equity Fund) in Item 1, “Business—Description of Investment Options.” For a discussion of the risk factors applicable to investment in the Units of the respective Retirement Date Funds, please refer to page 44 in Item 1, “Business—Retirement Date Funds.”

ITEM 1B.    Unresolved Staff Comments.

None.

60

ITEM 2.    Properties.

Not applicable. The Collective Trust does not have any physical properties as contemplated by this Item.

ITEM 3.    Legal Proceedings.

None.

ITEM 4.    Submission of Matters to a Vote of Security Holders.

Not applicable.

PART II

ITEM 5.    Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

(a) Market Information.

Units of beneficial interest in the Funds, portfolios of the Structured Portfolio Service and the Retirement Date Funds are not transferable and, therefore, are not traded on any market. Participants in certain employer plans receive distributions of benefits upon retirement or disability, or upon termination of employment with a vested benefit. A participant may withdraw from the plans the contributions and earnings thereon at any age, subject to the withdrawal restrictions applicable therein. Participants in the individually designed plans receive distributions based upon the terms and provisions of the respective employer plan. Prior to distribution, assets in the various plans may be transferred among the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds, subject to the restrictions that apply to each Fund, portfolio of the Structured Portfolio Service or Retirement Date Fund, by the person or entity vested with the responsibility for determining the investment allocation of the assets of the plan.

(b) Holders.

Eligible employers which elect to participate in the Program may do so by adopting a master plan under one or both of the ABA Members Plans. The ABA Members Plans consist of the American Bar Association Members Retirement Plan, a defined contribution master plan, and the American Bar Association Members Defined Benefit Plan, a defined benefit master plan. Employers maintaining individually designed plans may also participate in some of the aspects of the Program through those individually designed plans. Assets contributed under the Program are held by State Street as trustee of the American Bar Association Members Retirement Trust and the American Bar Association Members Retirement Pooled Trust for Retirement Plans. Assets contributed under the Program are allocated among the Investment Options available under the Program in accordance with the instructions of the person or entity vested with responsibility for determining the investment allocation of the assets of a Plan held in the American Bar Association Members Retirement Trust or the American Bar Association Members Pooled Trust for Retirement Plans. Under the Program, certain participants, employers or plan trustees may also direct State Street to purchase and sell a wide variety of publicly traded debt and equity securities and shares of numerous mutual funds for the participant’s, employer’s or plan trustee’s Self-Managed Brokerage Account. The Self-Managed Brokerage Account is available only to participants in the American Bar Association Members Retirement Plan and to employers with respect to the American Bar Association Members Defined Benefit Plan, provided that in either case the employer has designed the Self-Managed Brokerage Account as an Investment Option for its plan. The Self-Managed

61

Brokerage Account is also available for participants, employers and trustees of certain individually designed plans. Assets contributed to the plans are allocated among the Funds and the portfolios in accordance with the instructions of the person or entity vested with the responsibility for determining the investment allocation of the assets of the plans held in the American Bar Association Members Retirement Trust and the American Bar Association Members Pooled Trust for Retirement Plans.

(c) Dividends.

Income or gains on contributions are automatically reinvested in the respective Funds, portfolios of the Structured Portfolio Service or Retirement Date Funds.

62

ITEM 6. Selected Financial Data.

The selected financial data below provides information with respect to income, expenses and capital changes for each Fund, each portfolio of the Structured Portfolio Service and each Retirement Date Fund attributable to each Unit outstanding for the periods indicated. The summary financial data for each of the periods ended December 31 have been derived from financial statements audited by PricewaterhouseCoopers LLP, independent registered public accounting firm. The summary financial data should be read in conjunction with the financial statements of the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds, including the related Notes thereto, which appear in Item 8 of this Report. Per Unit calculations of investment income and net expense have been prepared using the monthly average number of Units outstanding during the period.

Stable Asset Return Fund:†
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	1.24		$	1.03		$	.98		$	1.18		$	1.45
Net expenses††		(.14	)		(.14	)		(.14	)		(.16	)		(.18	)
Net investment income		1.10			.89			.84			1.02			1.27
Distributions of net investment income		(.67	)	$	—			—			—			—
Net increase in unit value	$	.43		$	.89		$	.84		$	1.02		$	1.27
Net asset value at beginning of period		27.40			27.83			28.72			29.56			30.58
Net asset value at end of period	$	27.83		$	28.72		$	29.56		$	30.58		$	31.86
Ratio of net expenses to average net assets††		.52	%		.51	%		.50	%		.52	%		.57	%
Ratio of net investment income to average net assets		4.03	%		3.14	%		2.88	%		3.42	%		4.07	%
Total return		4.12	%		3.20	%		2.92	%		3.45	%		4.19	%
Net assets at end of period (in thousands)	$	891,342		$	882,346		$	864,330		$	870,500		$	845,842
Intermediate Bond Fund:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	.68		$	.67		$	.46		$	.81		$	.96
Net expenses††		(.11	)		(.14	)		(.14	)		(.15	)		(.16	)
Net investment income		.57			.53			.32			.66			.80
Net realized and unrealized gain (loss)		1.16			.23			.40			(.29	)		(.08	)
Net increase in unit value		1.73			.76			.72			.37			.72
Net asset value at beginning of period		15.58			17.31			18.07			18.79			19.16
Net asset value at end of period	$	17.31		$	18.07		$	18.79		$	19.16		$	19.88
Ratio of net expenses to average net assets		.68	%		.80	%		.78	%		.79	%		.84	%
Ratio of net investment income to average net assets		3.47	%		2.97	%		1.71	%		3.48	%		4.14	%
Portfolio turnover**		564	%		441	%		453	%		458	%		389	%
Total return		11.10	%		4.39	%		3.98	%		1.97	%		3.76	%
Net assets at end of period (in thousands)	$	215,928		$	236,011		$	441,709		$	454,045		$	457,719

† Effective July 15, 2002, the Stable Asset Return Fund ceased maintaining a net asset value of $1.00 per unit, and the Fund commenced retaining net income and realized gains, if any. The units of the Stable Asset Return Fund were subject to a reverse split (27.4 for 1) effective July 15, 2002. The per unit data for the period prior to July 15, 2002 has been restated to reflect the reverse split.

†† 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 a portion of its assets.

* Net expenses includes only those expenses charged directly to the Fund. For periods commencing on or after July 1, 2002, net expenses does not include expenses relating to the collective investment fund in which the Fund invests a portion of its assets and for the period ended prior to July 1, 2002, net expenses does not include expenses relating to the registered investment company in which the Fund then invested a portion of its assets.

** For the period ended prior to July 1, 2002, portfolio turnover reflected purchases and sales by the Fund of shares of the registered investment company in which the Fund was then invested rather than the turnover of the underlying portfolio of such registered investment company.

63

Balanced Fund:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	1.86		$	1.60		$	1.25		$	.71		$	.84
Net expenses†		(.45	)		(.47	)		(.42	)		(.36	)		(.43	)
Net investment income		1.41			1.13			.83			.35			.41
Net realized and unrealized gain (loss)		(9.27	)		13.21			4.37			3.50			5.82
Net increase (decrease) in unit value		(7.86	)		14.34			5.20			3.85			6.23
Net asset value at beginning of period		65.49			57.63			71.97			77.17			81.02
Net asset value at end of period	$	57.63		$	71.97		$	77.17		$	81.02		$	87.25
Ratio of net expenses to average net assets†		.74	%		.74	%		.58	%		.46	%		.51	%
Ratio of net investment income to average net assets		2.33	%		1.77	%		1.13	%		.46	%		.49	%
Portfolio turnover††		221	%		122	%		47	%		22	%		18	%
Total return		(12.00	)%		24.88	%		7.23	%		4.99	%		7.69	%
Net assets at end of period (in thousands)	$	369,334		$	457,861		$	475,941		$	468,940		$	447,405
Large-Cap Value Equity Fund:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	.48		$	.49		$	.59		$	.63		$	.78
Net expenses*		(.19	)		(.19	)		(.22	)		(.25	)		(.30	)
Net investment income		.29			.30			.37			.38			.48
Net realized and unrealized gain (loss)		(4.02	)		6.48			4.11			1.83			7.44
Net increase (decrease) in unit value		(3.73	)		6.78			4.48			2.21			7.92
Net asset value at beginning of period		26.61			22.88			29.66			34.14			36.35
Net asset value at end of period	$	22.88		$	29.66		$	34.14		$	36.35		$	44.27
Ratio of net expenses to average net assets*		.75	%		.74	%		.71	%		.72	%		.76	%
Ratio of net investment income to average net assets		1.17	%		1.20	%		1.18	%		1.08	%		1.20	%
Portfolio turnover**		24	%		32	%		24	%		20	%		19	%
Total return		(14.02	)%		29.63	%		15.10	%		6.47	%		21.79	%
Net assets at end of period (in thousands)	$	204,457		$	286,104		$	360,090		$	382,772		$	457,267

† Net expenses includes only those expenses charged directly to the Fund and does not include expenses relating to the collective investment fund in which the Fund invests a portion of its assets and, with respect to periods commencing on or after July 1, 2004, does not include expenses relating to the Intermediate Bond Fund in which the Fund invests a portion of its assets.

†† With respect to the portion of the Fund’s assets invested in a collective investment fund commencing July 1, 2004, portfolio turnover reflects purchases and sales of the collective investment fund in which the Fund invests a portion of its assets 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 funds in which the Fund invests a portion of its assets.

** With respect to the portion of the Fund’s assets invested in a collective investment fund, portfolio turnover reflects purchases and sales by the Fund of units of the collective investment fund in which the Fund invests rather than the turnover of the underlying portfolio of such collective investment fund. The unaudited turnover of the separately managed portion of the Fund was 22% for the year ended December 31, 2006 and the unaudited turnover of the collective investment fund was 30% for the same period.

64

Large-Cap Growth Equity Fund:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	.40		$	.32		$	.41		$	.37		$	.44
Net expenses†		(.27	)		(.26	)		(.30	)		(.33	)		(.39	)
Net investment income		.13			.06			.11			.04			.05
Net realized and unrealized gain (loss)		(12.41	)		10.21			2.55			3.11			4.14
Net increase (decrease) in unit value		(12.28	)		10.27			2.66			3.15			4.19
Net asset value at beginning of period		45.53			33.25			43.52			46.18			49.33
Net asset value at end of period	$	33.25		$	43.52		$	46.18		$	49.33		$	53.52
Ratio of net expenses to average net assets†		.71	%		.69	%		.68	%		.71	%		.77	%
Ratio of net investment income to average net assets		.35	%		.14	%		.27	%		.10	%		.10	%
Portfolio turnover††		55	%		25	%		43	%		36	%		53	%
Total return		(26.97	)%		30.89	%		6.11	%		6.82	%		8.49	%
Net assets at end of period (in thousands)	$	673,079		$	840,093		$	831,190		$	789,626		$	754,275
Index Equity Fund:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	.00	*	$	.00	*	$	.00	*	$	.00	*	$	.00	*
Net expenses**		(.12	)		(.12	)		(.14	)		(.16	)		(.19	)
Net investment income		(.12	)		(.12	)		(.14	)		(.16	)		(.19	)
Net realized and unrealized gain (loss)		(5.70	)		6.42			3.23			1.87			5.00
Net increase (decrease) in unit value		(5.82	)		6.30			3.09			1.71			4.81
Net asset value at beginning of period		26.63			20.81			27.11			30.20			31.91
Net asset value at end of period	$	20.81		$	27.11		$	30.20		$	31.91		$	36.72
Ratio of net expenses to average net assets**		.51	%		.51	%		.50	%		.52	%		.57	%
Ratio of net investment income to average net assets		(.50	)%		(.50	)%		(.49	)%		(.51	)%		(.56	)%
Portfolio turnover***		9	%		7	%		7	%		7	%		6	%
Total return		(21.85	)%		30.27	%		11.40	%		5.66	%		15.07	%
Net assets at end of period (in thousands)	$	219,622		$	318,880		$	382,172		$	402,702		$	437,011

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

†† With respect to the portion of the Fund’s assets invested in a collective investment fund after December 15, 2002, portfolio turnover reflects purchases and sales by the Fund of units of the collective investment fund in which the Fund invests rather than the turnover of the underlying portfolio of such collective investment fund. The unaudited portfolio turnover of the separately managed portion of the portfolio was 76% for the year ended December 31, 2006 and the unaudited portfolio turnover of the collective investment fund was 35% for the same period.

* Amounts less than $.005 per unit are rounded to zero.

** Net expenses includes only those expenses charged directly to the Fund and does not include expenses relating to the collective investment fund in which the Fund invests a portion of its assets.

*** Portfolio turnover reflects purchases and sales by the Fund of units of the collective investment fund in which the Fund invests rather than the turnover of the underlying portfolio of such collective investment fund. The unaudited turnover of the collective investment fund was 21% for the year ended December 31, 2006.

65

Mid-Cap Value Equity Fund:
	For the period July 15, 2002† to December 31, 2002			Year ended December 31,
				2003			2004			2005			2006
Investment income	$	.07		$	.14		$	.17		$	.23		$	.23
Net expenses††		(.06	)		(.14	)		(.15	)		(.15	)		(.18	)
Net investment income		.01			—			.02			.07			.05
Net realized and unrealized gain (loss)		(.23	)		2.98			1.59			.38			1.77
Net increase (decrease) in unit value		(.22	)		2.98			1.61			.45			1.82
Net asset value at beginning of period		10.00			9.78			12.76			14.37			14.82
Net asset value at end of period	$	9.78		$	12.76		$	14.37		$	14.82		$	16.64
Ratio of net expenses to average net assets††		.60	%		1.22	%		1.12	%		1.10	%		1.16	%
Ratio of net investment income to average net assets		.08	%		.02	%		.18	%		.47	%		.37	%
Portfolio turnover		6	%		14	%		13	%		32	%		131	%
Total return		(2.20	)%		30.47	%		12.62	%		3.13	%		12.28	%
Net assets at end of period (in thousands)	$	8,926		$	31,192		$	53,363		$	66,141		$	75,543
Mid-Cap Growth Equity Fund:
	For the period July 15, 2002† to December 31, 2002			Year ended December 31,
				2003			2004			2005			2006
Investment income	$	.02		$	.05		$	.06		$	.12		$	.20
Net expenses**		(.06	)		(.17	)		(.19	)		(.22	)		(.26	)
Net investment loss		(.04	)		(.12	)		(.13	)		(.10	)		(.06	)
Net realized and unrealized gain (loss)		(.59	)		5.68			2.06			2.29			1.52
Net increase (decrease) in unit value		(.63	)		5.56			1.93			2.19			1.46
Net asset value at beginning of period		12.00			11.37			16.93			18.86			21.05
Net asset value at end of period	$	11.37		$	16.93		$	18.86		$	21.05		$	22.51
Ratio of net expenses to average net assets**		.55	%		1.16	%		1.14	%		1.16	%		1.19	%
Ratio of net investment loss to average net assets		(.34	)%		(.81	)%		(.77	)%		(.56	)%		(.30	)%
Portfolio turnover		99	%		130	%		169	%		156	%		160	%
Total return		(5.25	)%		48.90	%		11.40	%		11.61	%		6.94	%
Net assets at end of period (in thousands)	$	8,567		$	47,352		$	66,851		$	91,040		$	104,509

† Commencement of operations.

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

* Commencement of operations.

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

66

Small-Cap Equity Fund:†
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	.41		$	.39		$	.50		$	.50		$	.55
Net expenses††		(.47	)		(.47	)		(.54	)		(.70	)		(.87	)
Net investment loss		(.06	)		(.08	)		(.04	)		(.20	)		(.32	)
Net realized and unrealized gain (loss)		(16.76	)		16.74			4.50			4.20			6.09
Net increase (decrease) in unit value		(16.82	)		16.66			4.46			4.00			5.77
Net asset value at beginning of period		59.70			42.88			59.54			64.00			68.00
Net asset value at end of period	$	42.88		$	59.54		$	64.00		$	68.00		$	73.77
Ratio of net expenses to average net assets		.93	%		.94	%		.92	%		1.10	%		1.22	%
Ratio of net investment loss to average net assets††		(.11	)%		(.16	)%		(.08	)%		(.32	)%		(.45	)%
Portfolio turnover†††		83	%		46	%		104	%		103	%		79	%
Total return		(28.17	)%		38.85	%		7.49	%		6.25	%		8.49	%
Net assets at end of period (in thousands)	$	223,301		$	314,696		$	320,034		$	314,753		$	303,784
International Equity Fund:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	.21		$	.37		$	.51		$	.59		$	.79
Net expenses*		(.10	)		(.15	)		(.21	)		(.25	)		(.32	)
Net investment income		.11			.22			.30			.34			.47
Net realized and unrealized gain (loss)		(3.45	)		4.30			3.35			2.64			5.84
Net increase (decrease) in unit value		(3.34	)		4.52			3.65			2.98			6.31
Net asset value at beginning of period		17.04			13.70			18.22			21.87			24.85
Net asset value at end of period	$	13.70		$	18.22		$	21.87		$	24.85		$	31.16
Ratio of net expenses to average net assets(*)(**)		.66	%		1.01	%		1.10	%		1.11	%		1.14	%
Ratio of net investment income to average net assets		.72	%		1.51	%		1.59	%		1.50	%		1.69	%
Portfolio turnover***		64	%		144	%		25	%		35	%		30	%
Total return		(19.60	)%		32.99	%		20.03	%		13.63	%		25.39	%
Net assets at end of period (in thousands)	$	78,240		$	115,366		$	158,714		$	202,106		$	273,525

† With the addition of the Mid-Cap Growth Equity Fund effective July 15, 2002, the Small-Cap Equity Fund changed its investment strategy, removing medium capitalization companies from its portfolio and investing more exclusively in smaller capitalization companies.

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

††† With respect to the portion of the Fund’s assets invested in a collective investment fund since July 1, 2005, portfolio turnover reflects purchases and sales by the Fund of units of the collective investment fund in which the Fund invests rather than the turnover of the underlying portfolio of such collective investment fund. The unaudited turnover of the separately managed portions of the Fund was 80% for the year ended December 31, 2006 and the unaudited turnover of the collective investment fund was 45% for the same period.

* Net expenses includes only those expenses charged directly to the Fund. For periods commencing on or after April 1, 2003, net expenses does not include expenses charged to the collective investment fund in which the Fund invests a portion of its assets, and for periods ended on or before March 31, 2003, net expenses does not include expenses charged to the registered investment company in which the Fund then invested a portion of its assets.

** Through March 31, 2003, net expenses reflects a reduction in the Program Expense Fee payable to State Street Bank and an administrative service credit from the T. Rowe Price International Stock Fund. If the fees had not been reduced and the credit had not been made, the annualized ratio of net expenses to average net assets would have been .71% and 1.02% for the years ended December 31, 2002 and 2003, respectively.

*** Through March 31, 2003, portfolio turnover reflects purchases and sales by the Fund of shares of the registered investment company in which the Fund was then invested rather than turnover of the underlying portfolio of the registered investment company.

67

Structured Portfolio Service—Conservative Portfolio:
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income		—			—			—			—			—
Net expenses†		—			—			—			—			—
Net investment income		—			—			—			—			—
Net realized and unrealized gain (loss)		(.44	)		2.05			1.22			.86			1.70
Net increase (decrease) in unit value		(.44	)		2.05			1.22			.86			1.70
Net asset value at beginning of period		16.44			16.00			18.05			19.27			20.13
Net asset value at end of period	$	16.00		$	18.05		$	19.27		$	20.13		$	21.83
Ratio of net expenses to average net assets†		—			—			—			—			—
Ratio of net investment income to average net assets		—			—			—			—			—
Portfolio turnover*		40	%		22	%		18	%		22	%		21	%
Total return		(2.68	)%		12.81	%		6.76	%		4.46	%		8.45	%
Net assets at end of period (in thousands)	$	34,365		$	47,731		$	56,063		$	63,971		$	69,212
Structured Portfolio Service—Moderate Portfolio:**
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	—		$	—		$	—		$	—		$	—
Net expenses†		—			—			—			—			—
Net investment income		—			—			—			—			—
Net realized and unrealized gain (loss)		(1.62	)		3.15			1.78			1.20			2.57
Net increase (decrease) in unit value		(1.62	)		3.15			1.78			1.20			2.57
Net asset value at beginning of period		17.27			15.65			18.80			20.58			21.78
Net asset value at end of period	$	15.65		$	18.80		$	20.58		$	21.78		$	24.35
Ratio of net expenses to average net assets†		—			—			—			—			—
Ratio of net investment income to average net assets		—			—			—			—			—
Portfolio turnover*		31	%		17	%		12	%		20	%		16	%
Total return		(9.38	)%		20.13	%		9.47	%		5.83	%		11.80	%
Net assets at end of period (in thousands)	$	112,021		$	156,847		$	203,522		$	236,242		$	254,766

† Net expenses includes only those expenses charged directly to the Portfolio and does not include expenses relating to the Funds in which the Portfolio invests.

* Portfolio turnover reflects purchases and sales by the Portfolio of units of the Funds in which the Portfolio invests rather than the turnover of such underlying Funds.

** As a result of the addition of the Mid-Cap Value Equity Fund and the Mid-Cap Growth Equity Fund on July 15, 2002, the allocations of the Moderate Portfolio of the Structured Portfolio Service were adjusted as of that date to include these Funds. Specifically, allocations to each of the Large-Cap Value Equity Fund and the Large-Cap Growth Equity Fund were reduced from 11% to 9%, and allocations of 2% were made to each of the Mid-Cap Value Equity Fund and the Mid-Cap Growth Equity Fund.

68

Structured Portfolio Service—Aggressive Portfolio:†
	Year ended December 31,
	2002			2003			2004			2005			2006
Investment income	$	—		$	—		$	—		$	—		$	—
Net expenses††		—			—			—			—			—
Net investment income		—			—			—			—			—
Net realized and unrealized gain (loss)		(3.03	)		4.14			2.24			1.54			3.40
Net increase (decrease) in unit value		(3.03	)		4.14			2.24			1.54			3.40
Net asset value at beginning of period		18.08			15.05			19.19			21.43			22.97
Net asset value at end of period	$	15.05		$	19.19		$	21.43		$	22.97		$	26.37
Ratio of expenses to average net assets††		—			—			—			—			—
Ratio of net investment income to average net assets		—			—			—			—			—
Portfolio turnover†††		29	%		17	%		10	%		19	%		18	%
Total return		(16.76	)%		27.51	%		11.67	%		7.19	%		14.80	%
Net assets at end of period (in thousands)	$	84,328		$	122,389		$	150,752		$	168,235		$	189,319

† As a result of the addition of the Mid-Cap Value Equity Fund and the Mid-Cap Growth Equity Fund on July 15, 2002, the allocations of the Aggressive Portfolio of the Structured Portfolio Service were adjusted as of that date to include these Funds. Specifically, allocations to each of the Large-Cap Value Equity Fund and the Large-Cap Growth Equity Fund were reduced from 15% to 13%, the allocation to the Small-Cap Equity Fund was reduced from 5% to 3%, and allocations of 3% were made to each of the Mid-Cap Value Equity Fund and the Mid-Cap Growth Equity Fund.

†† Net expenses includes only those expenses charged directly to the Portfolio and does not include expenses relating to the Funds in which the Portfolio invests.

††† Portfolio turnover reflects purchases and sales of units of the Funds in which the Portfolio invests rather than turnover of such underlying Funds.

Lifetime Income Retirement Date Fund:

	For the period August 9, 2006(a) to December 31, 2006
Investment income†	$	—
Net expenses(†)††		(.03	)
Net investment income		(.03	)
Net realized and unrealized gain (loss)		.53
Net increase (decrease) in unit value		.50
Net asset value at beginning of period		10.00
Net asset value at end of period	$	10.50
Ratio of net expenses to average net assets*††		.69	%
Ratio of net investment income to average net assets*		(.69	)%
Portfolio turnover**†††		72	%
Total return**		5.00	%
Net assets at end of period (in thousands)	$	11,432

* Annualized.

** Not annualized.

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

†† Net expenses includes only those expenses charged directly to the Retirement Date Fund and does not include expenses relating to the collective investment funds in which the Retirement Date Fund invests its assets.

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

(a) Commencement of operations.

69

2010 Retirement Date Fund:

	For the period August 9, 2006(a) to December 31, 2006
Investment income†	$	—
Net expenses(†)††		(.03	)
Net investment income		(.03	)
Net realized and unrealized gain (loss)		.80
Net increase (decrease) in unit value		.77
Net asset value at beginning of period		12.00
Net asset value at end of period	$	12.77
Ratio of net expenses to average net assets*††		.69	%
Ratio of net investment income to average net assets*		(.69	)%
Portfolio turnover*†††		21	%
Total return**		6	%
Net assets at end of period (in thousands)	$	15,765

* Annualized.

** Not annualized.

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

†† Net expenses includes only those expenses charged directly to the Retirement Date Fund and does not include expenses relating to the collective investment funds in which the Retirement Date Fund invests its assets.

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

(a) Commencement of operations.

2020 Retirement Date Fund:

	For the period August 9, 2006(a) to December 31, 2006
Investment income†	$	—
Net expenses(†)††		(.04	)
Net investment income		(.04	)
Net realized and unrealized gain (loss)		1.36
Net increase (decrease) in unit value		1.32
Net asset value at beginning of period		14.00
Net asset value at end of period	$	15.32
Ratio of net expenses to average net assets*††		.69	%
Ratio of net investment income to average net assets*		(.69	)%
Portfolio turnover**†††		16	%
Total return**		9.43	%
Net assets at end of period (in thousands)	$	21,315

* Annualized.

** Not annualized.

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

†† Net expenses includes only those expenses charged directly to the Retirement Date Fund and does not include expenses relating to the collective investment funds in which the Retirement Date Fund invests its assets.

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

(a) Commencement of operations.

70

2030 Retirement Date Fund:

	For the period August 9, 2006(a) to December 31, 2006
Investment income†	$	—
Net expenses(†)††		(.05	)
Net investment income		(.05	)
Net realized and unrealized gain (loss)		1.81
Net increase (decrease) in unit value		1.76
Net asset value at beginning of period		16.00
Net asset value at end of period	$	17.76
Ratio of net expenses to average net assets*††		.69	%
Ratio of net investment income to average net assets*		.69	%
Portfolio turnover**†††		6	%
Total return**		11.00	%
Net assets at end of period (in thousands)	$	15,260

* Annualized.

** Not annualized.

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

†† Net expenses includes only those expenses charged directly to the Retirement Date Fund and does not include expenses relating to the collective investment funds in which the Retirement Date Fund invests its assets.

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

(a) Commencement of operations.

2040 Retirement Date Fund:

	For the period August 1, 2006(a) to December 31, 2006
Investment income†	$	—
Net expenses(†)††		(.06	)
Net investment income		(.06	)
Net realized and unrealized gain (loss)		2.05
Net increase (decrease) in unit value		1.99
Net asset value at beginning of period		10.00
Net asset value at end of period	$	11.99
Ratio of net expenses to average net assets*††		.69	%
Ratio of net investment income to average net assets*		(.69	)%
Portfolio turnover**†††		8	%
Total return**		11.06	%
Net assets at end of period (in thousands)	$	11,894

* Annualized.

** Not annualized.

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

†† Net expenses includes only those expenses charged directly to the Retirement Date Fund and does not include expenses relating to the collective investment funds in which the Retirement Date Fund invests its assets.

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

(a)* Commencement of operations.

71

ITEM 7.    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, either directly or indirectly through other investment funds, 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 year ended December 31, 2006, the Stable Asset Return Fund experienced a total return, net of expenses, of 4.19%. By comparison, a combination of the Ryan Labs Three Year GIC Index and the iMoneyNet MFR Prime Institutional Money Market Fund Average, weighted 70%/30%, respectively, produced an investment record of 4.07% for the same period. The Ryan Labs Three Year GIC Index portion of the combination benchmark does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that index or for fund expenses.

The Stable Asset Return Fund outperformed the combination benchmark for the year ended December 31, 2006 by nine basis points. The general level of interest rates continued to rise with short rates rising an average of approximately 80 basis points while yields between two and five years rose between 35 and 45 basis points. The yield curve began the year relatively flat and inverted over the year, but more so in during last six months of the year. Trades throughout the year consisted of buying short dated securities in the commercial mortgage-backed and asset-backed sectors. Guaranteed investment contracts offered very little value relative to other market sectors. As of year-end 2006, the Fund was positioned with much shorter duration instruments with higher yields but also with earlier maturities, allowing for reinvestment in either short-dated securities if the curve retains its inverted shape or in longer-dated instruments should a more normal yield curve environment return.

Intermediate Bond Fund

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

For the year ended December 31, 2006, the Intermediate Bond Fund experienced a total return, net of expenses, of 3.76%. By comparison, the Lehman Brothers Aggregate Bond Index produced an investment record of 4.33% for the same period. The Lehman Brothers Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the index or for fund expenses.

For the year ended December 31, 2006, the Intermediate Bond Fund, which is advised with the assistance of Pacific Investment Management Company LLC, underperformed the Lehman Brothers Aggregate Bond Index.

Fixed income assets fared well for all of 2006 as positive market conditions in the second half of the year more than offset a more difficult environment in the first half. On December 29, 2006 the benchmark ten-year Treasury yielded 4.70%, 31 basis points higher than at the start of the year. Bond markets struggled in the first and second quarters as the Federal Reserve raised the federal funds rate a total of one percent and inflation pressure mounted, led by higher oil prices.

The economic backdrop in the final two quarters was far more benign. Interest rates moved lower as the Federal Reserve held rates steady four Fed meetings in a row and oil prices reversed course, helping ease headline inflation pressure. Markets interpreted the Fed pause as the end of a protracted

72

tightening cycle in which the central bank boosted the federal funds rate 17 straight times between June 2004 and June 2006. The bond market’s second half rally came amid signs of a slowing U.S. economy and expectations that the Fed would ease to avert a recession. The strongest headwind for the economy was continued weakness in the housing sector, where price declines replaced appreciation in many markets and inventories of unsold homes remained near record levels. A dent in bond investors’ optimism at year-end was persistent strength in consumption, which created uncertainty about imminent Fed easing. Consumers drew support from lower mortgage rates, which in turn helped raise housing affordability off 20-year lows. As a result, interest rates trended upward in December, eroding gains for the calendar year.

Prudent diversification and active management in a diversified mix of high quality strategies preserved value in 2006, even as expectations of a steeper yield curve and widening risk premiums proved premature. Interest rate strategies anticipating a weaker economy and Fed easing began to pay off later in the year and positioned the Fund for anticipated slower growth in 2007. Above-benchmark duration, especially during the second half of the year, was positive for returns as rates fell on weaker economic data. An emphasis on shorter maturities detracted from returns as the yield curve flattened for the year. An overweight to mortgages, and positive security selection, benefited the Fund during the year as strong overseas purchases and low volatility supported the mortgage sector. An underweight to investment grade corporate bonds detracted from the Fund’s performance as corporate bond prices stayed strong, but security selection in the high yield sector was positive and helped to offset some of the loss from being underweight corporate securities. Small holdings of inflation-protected bonds were negative for performance as these issues lost ground to nominal bonds as investor inflation expectations decreased during the year. Additionally, a modest exposure to emerging market bonds contributed to returns as the sector experienced strong capital inflows and continued improvements in credit quality. Exposure to the yen and euro also benefited the portfolio as these currencies gained amid U.S. dollar weakness.

Balanced Fund

The Balanced Fund invests in publicly-traded common stocks, other equity-type securities, medium- to long-term debt securities with varying maturities and money market instruments. The Balanced Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of the domestic stock and bond markets.

For the year ended December 31, 2006, the Balanced Fund experienced a total return, net of expenses, of 7.69%. 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 10.93% 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 indices or for fund expenses.

For the year ended December 31, 2006, the equity segment of the Balanced Fund, which is advised with the assistance of Capital Guardian Trust Company, underperformed the Russell 1000 Index.

Stock selection in Financials was the biggest detractor, primarily the portfolio’s holding in SLM Corp. and its holdings in consumer-oriented financials rather than brokers. The portfolio’s overweight position in Information Technology also hurt returns as that sector underperformed relative to other sectors.

Strong stock selection in consumer staples, including the absence of Wal-Mart from the portfolio, benefited results, as did stock selection among health care stocks.

73

For the year ended December 31, 2006, the debt segment of the Balanced Fund, which is advised with the assistance of Pacific Investment Management Company LLC, underperformed the Lehman Brothers Aggregate Bond Index.

Fixed income assets fared well for all of 2006 as positive market conditions in the second half of the year more than offset a more difficult environment in the first half. On December 29, 2006 the benchmark ten-year Treasury yielded 4.70%, 31 basis points higher than at the start of the year. Bond markets struggled in the first and second quarters as the Federal Reserve raised the federal funds rate a total of one percent and inflation pressure mounted, led by higher oil prices.

The economic backdrop in the final two quarters was far more benign. Interest rates moved lower as the Federal Reserve held rates steady four Fed meetings in a row and oil prices reversed course, helping ease headline inflation pressure. Markets interpreted the Fed pause as the end of a protracted tightening cycle in which the central bank boosted the federal funds rate 17 straight times between June 2004 and June 2006. The bond market’s second half rally came amid signs of a slowing U.S. economy and expectations that the Fed would ease to avert a recession. The strongest headwind for the economy was continued weakness in the housing sector, where price declines replaced appreciation in many markets and inventories of unsold homes remained near record levels. A dent in bond investors’ optimism at year-end was persistent strength in consumption, which created uncertainty about imminent Fed easing. Consumers drew support from lower mortgage rates, which in turn helped raise housing affordability off 20-year lows. As a result, interest rates trended upward in December, eroding gains for the calendar year.

Prudent diversification and active management in a diversified mix of high quality strategies preserved value in 2006, even as expectations of a steeper yield curve and widening risk premiums proved premature. Interest rate strategies anticipating a weaker economy and Fed easing began to pay off later in the year and positioned the Fund for anticipated slower growth in 2007. Above-benchmark duration, especially during the second half of the year, was positive for returns as rates fell on weaker economic data. An emphasis on shorter maturities detracted from returns as the yield curve flattened for the year. An overweight to mortgages, and positive security selection, benefited the Fund during the year as strong overseas purchases and low volatility supported the mortgage sector. An underweight to investment grade corporate bonds detracted from the Fund’s performance as corporate bond prices stayed strong, but security selection in the high yield sector was positive and helped to offset some of the loss from being underweight corporate securities. Small holdings of inflation-protected bonds were negative for performance as these issues lost ground to nominal bonds as investor inflation expectations decreased during the year. Additionally, a modest exposure to emerging market bonds contributed to returns as the sector experienced strong capital inflows and continued improvements in credit quality. Exposure to the yen and euro also benefited the portfolio as these currencies gained amid U.S. dollar weakness.

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 capitalizations, at the time of purchase, of greater than $1 billion that in the opinion of State Street and the Fund’s Investment Advisor are undervalued in the marketplace. A segment of the Fund (approximately 25%) is invested to replicate the Russell 1000 Value Index, which is comprised of those stocks in the Russell 1000 Index that have a greater than average value orientation. The remainder of the Large-Cap Value Equity Fund is actively managed.

For the year ended December 31, 2006, the Large-Cap Value Equity Fund experienced a total return, net of expenses, of 21.79%. By comparison, the Russell 1000 Value Index produced an

74

investment record of 22.24% 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 that index or for fund expenses.

For the year ended December 31, 2006, the actively managed portion of the Fund, which is advised with the assistance of AllianceBernstein L.P., underperformed the Russell 1000 Value Index.

US equities extended their rally in the fourth quarter of 2006 amid a supportive economic outlook, strong corporate earnings and booming mergers and acquisitions (M&A) activity. The S&P 500 Stock Index was up 6.7% for the quarter, to finish 15.8% ahead for the year. Fourth-quarter and full-year gains were broadly based across sectors. For the year, the best-performing sectors were utilities, energy and industrial resources. Energy and basic-resource stocks were driven by robust global demand and tight capacity, as well as heightened consolidation interest. Housing-related stocks were the biggest laggards, holding flat for the year despite a fourth-quarter rebound on signs that the housing market may be stabilizing after a sharp downturn. Consumer-cyclical stocks also trailed the market, weighed down by worries about consumer spending amid a fall-off in home values and still-high energy prices. As energy and industrial-resource stocks make up a bigger portion of the Russell 1000 Value Index than the broad market and its growth counterpart, the Russell 1000 Value Index handily beat those other indices, rising 8% for the fourth quarter and 22.2% for the year. This marked the seventh consecutive year of value outperformance.

In the fourth quarter, before fees, the portfolio performed in line with its benchmark, the Russell 1000 Value. Relative returns were helped by stock selection within the consumer cyclicals sector as DaimlerChrysler benefited from strong operating margins in its Mercedes division. Other contributors to relative performance were Merrill Lynch and Entergy. Merrill Lynch benefited from stronger-than-expected results in its fixed-income business, robust merger and acquisition activity and the brightening outlook for its international operations. Entergy benefited from regulatory decisions allowing for the recovery of costs due to hurricane damage in New Orleans. In addition, Entergy’s mix of power plants gives it a cost advantage versus utilities more dependent on oil and gas prices.

Chief detractors from relative returns included Celestica, Office Depot and Flextronics. Shares of Celestica traded lower after the company experienced operational inefficiency upon expanding production to a low-cost facility in Mexico. Office Depot posted weak “black Friday” sales and lowered expectations. However, AllianceBernstein continues to find the stock attractively valued. Flextronics declined on investor concerns about the outlook for cell phone handsets that AllianceBernstein considers overblown. While handsets are an important market for Flextronics, AllianceBernstein believes the company can achieve long-term earnings expectations given its diversification and recent high-profile contract awards.

Within the U.S. equity market, valuation spreads between the most attractively priced and the most expensive stocks are unusually compressed, and the value opportunity remains below average. A central tenet underpinning AllianceBernstein’s investment process is to keep portfolio risk proportional to the value opportunity; hence, tracking error versus the broad market and the Russell 1000 Value remains low. AllianceBernstein continues to rely on its bottom-up fundamental research to uncover the value opportunities among individual stocks.

The performance of the indexed segment of the Larger-Cap Value Equity Fund for the year ended December 31, 2006 was consistent with the Russell 1000 Value Index after taking into account expenses.

75

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 capitalizations greater than $1 billion at the time of purchase that are believed to have strong earnings growth potential. 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 segment of the Large-Cap Growth Equity Fund (approximately 33 ¹/3%) is invested to replicate the Russell 1000 Growth Index, which is comprised of those stocks in the Russell 1000 Index that have a greater than average growth orientation. The remainder of the Large-Cap Growth Equity Fund is actively managed in two portions of approximately 33 ¹/3% each of the assets of the Fund subject to differences in relative performance. 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 year ended December 31, 2006, the Large-Cap Growth Equity Fund experienced a total return, net of expenses, of 8.49%. By comparison, the Russell 1000 Growth Index produced an investment record of 9.07% for the same period. The Russell 1000 Growth Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

State Street has retained Capital Guardian Trust Company and T. Rowe Price Associates, Inc. (“T. Rowe Price”) to provide investment advice with respect to the two actively managed portions of the Large-Cap Growth Equity Fund. Prior to March 1, 2006, the portion of the Large-Cap Growth Equity Fund advised by T. Rowe Price was advised by RCM Capital Management LLC.

The portion of the Large-Cap Growth Equity Fund advised with the assistance of Capital Guardian Trust Company outperformed the Russell 1000 Growth Index for the year ended December 31, 2006.

Stock selection in Financials was the biggest detractor, primarily the portfolio’s holding in SLM Corp. and its holdings in consumer-oriented financials rather than brokers. The portfolio’s overweight position in Information Technology also hurt returns as that sector underperformed relative to other sectors.

Strong stock selection in consumer staples, including the absence of Wal-Mart from the portfolio, benefited results, as did stock selection among health care stocks.

The segment of the Large-Cap Growth Equity Fund advised with the assistance of T. Rowe Price underperformed the Russell 1000 Growth Index for the period from the inception of T. Rowe Price’s advisory role with respect to this portion of the Fund through December 31, 2006.

Despite a sharp decline from mid-May through mid-June, U.S. stocks rose strongly in 2006, the market’s fourth consecutive year of gains since the end of the 2000-2002 bear market. In fact, several major indexes reached six-year highs, if not record levels. Equities were lifted by substantial merger and leveraged buyout activity, continued strong corporate earnings growth despite an economic deceleration, and declining oil prices and long-term interest rates in the second half of the year. Investors were also pleased that the Federal Reserve, which increased the federal funds target rate to 5.25% by mid-year, refrained from raising it in the last six months in anticipation that slower economic growth would allow inflation to moderate over time.

Small-cap stocks outpaced their large-cap peers over the last 12 months, while mid-cap shares lagged both segments. The small-cap Russell 2000 Index returned 18.37% versus 15.79% for the large-cap S&P

76

500 Index and 10.32% for the S&P Mid-Cap 400 Index. As measured by various Russell indexes, value stocks strongly outperformed growth across all market capitalizations, but the latter have demonstrated improving relative performance in recent months. In the large-cap universe, all major sectors advanced, with telecommunication services and energy stocks producing the strongest gains. Consumer discretionary, utilities, financials, and materials stocks also did very well, performing better than or in line with the broad market. Other sectors lagged, especially health care and information technology.

With respect to the segment of the Large-Cap Growth Equity Fund advised with the assistance of T. Rowe Price, stock selection detracted from relative performance. Information technology was the primary detractor from relative performance due to detrimental stock selection, notably in semiconductors and semiconductor equipment and Internet software and services. An overweight position in semiconductors and semiconductor equipment also had a negative impact. Stock selection in the capital markets, consumer finance and health care equipment and supplies industries also detracted from relative performance, as did an underweight position in pharmaceuticals. The primary source of value added during the period was the consumer discretionary sector, where stock selection in the household durables and hotels, restaurants and leisure industries boosted relative performance. Stock selection in the wireless telecommunication services and machinery industries also added to relative performance.

The segment of the Large-Cap Growth Equity Fund that was actively managed with the assistance of RCM Capital Management LLC from January 1, 2006 to February 28, 2006 (the date on which RCM Capital Management LLC ceased to advise this segment of the Large-Cap Growth Equity Fund), outperformed the Russell 1000 Growth Index. Outperformance for the period was due to positive stock selection.

Stock selection within the Semiconductors, Energy and Biotechnology sectors helped performance for the period, while stock selection within the Health Care Equipment, Communications Equipment and Consumer Services sectors detracted from returns. Industry strategy for the period cost. Overweight in the Diversified Financials sector and underweight in the Food Beverage & Tobacco and Computers & Peripherals sectors aided performance. Overweight in the Internet Software & Services and Semiconductors sectors and underweight in the Communications Equipment sector detracted from performance. Although holdings in the Consumer Staples sector posted weak results for the period, good stock selection in the sector drove positive results for the sector. Information technology stocks posted mixed results. Positive stock selection in the Software sector was offset by weakness in the Information Technology Services and Semiconductors and Semiconductor Equipment sectors. In the Financials sector, stock selection was negative in capital markets. Within the Health Care sector, negative stock selection in pharmaceuticals and health care equipment and supplies companies dampened relative results.

The performance of the indexed segment of the Large-Cap Growth Equity Fund for the year ended December 31, 2006 was consistent with the Russell 1000 Growth Index after taking expenses into account.

Index Equity Fund

The Index Equity Fund seeks to replicate the total return of the Russell 3000 Index by investing in stocks included in the Russell 3000 Index, with the overall objective of achieving long-term growth of capital. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on market capitalization of the companies in the Russell 3000 Index.

For the year ended December 31, 2006, the Index Equity Fund experienced a total return, net of expenses, of 15.07%. By comparison, the Russell 3000 Index produced an investment record of 15.72%

77

for the same period. The Russell 3000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the Index Equity Fund for the year ended December 31, 2006, was consistent with the Russell 3000 Index after taking expenses into account.

Mid-Cap Value Equity Fund

The Mid-Cap Value Equity Fund seeks to outperform, over extended periods of time, broad measures of the domestic stock market. The Fund invests primarily in equity securities of companies with market capitalizations of between $1 billion and $12 billion at the time of investment. The Fund seeks to achieve growth of capital through investing primarily in common stocks of medium-sized companies believed to be attractively priced relative to their future earnings power. The Fund seeks to emphasize sectors and securities State Street and the Fund’s Investment Advisor consider undervalued.

For the year ended December 31, 2006, the Mid-Cap Value Equity Fund, which was advised with the assistance of Ariel Capital Management, LLC through October 31, 2006, and since November 1, 2006 by Wellington Management Company, LLP, experienced a total return, net of expenses, of 12.28%. By comparison, the Russell Mid-Cap Value Index produced an investment record of 20.18% 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 that index or for fund expenses.

The Mid-Cap Value Equity Fund, as then advised with the assistance of Ariel Capital Management LLC, underperformed the Russell Mid-Cap Value Index for the period from January 1, 2006 through October 26, 2006.

Year-to-date performance through October 26, 2006 was a play with two parts. The first act was dominated by the financial press predicting that this time things would be different. The year’s headlines included: Get Ready For $100 Oil and $1,600 Gold; Why The Housing Bubble Won’t Burst; and Commodities Safe from Bear’s Claw. With so much momentum, the market rally—now in its fourth year and the second longest stretch since 1929—continued its upward climb largely on the back of low-quality cyclical and commodity stocks. Yet reality springs eternal and in the second act, the cyclical underpinnings of the market showed signs of strain: housing prices tumbled 9.7%—the worst drop in 35 years; oil fell back from its July high of $78 a barrel to $52; and commodities declined as evidenced by copper falling 20%. Accordingly, on August 8, the Federal Reserve finally felt the economy had decelerated enough to stop raising rates. Arial viewed the Fed pausing as a signpost that the economy had slowed and was transitioning to one that rewards the high quality issues that mark Ariel’s style of investing. Although the Fund’s +8.8% year-to-date return through October 26, 2006 finished behind the Russell Mid-Cap Value Index’s +15.8% gain and the +12.0% return of Russell Mid-Cap Index, after August 8 the portfolio outperformed its Russell benchmarks and made up significant ground.

The Mid-Cap Value Equity Fund, as advised with the assistance of Wellington Management Company, LLP, outperformed the Russell Mid-Cap Value Index for the period from November 1, 2006 through December 31, 2006.

The Fund outperformed the Index during this period by adding value in eight of ten sectors. On a relative basis, the Fund outperformed the Index in several sectors, including Materials, Information Technology, and Energy, outweighing the negative relative performance from the Health Care and Consumer Discretionary sectors. Specifically:

The Materials sector added to performance, due in part to the strong performance of Celanese, a producer and seller of industrial chemicals. Shares of Celanese rose approximately 25% during the two-month period.

78

The Information Technology sector also benefited from strong holdings like Varian Semiconductor, a semiconductor equipment manufacturer. Varian posted earnings that topped Wall Street expectations, and the company increased its stock buyback program.

Health Care holdings detracted from performance. Cooper Companies, a company involved in the development, manufacture, sale, and marketing of health-care products, declined 23% due to manufacturing related delays in its new product pipeline.

The Consumer Discretionary sector also performed poorly. The Fund held non-benchmark name Circuit City, which disappointed. Circuit City’s shares declined following its third quarter earnings announcement, where the company noted material gross margin contraction and disappointing guidance.

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 of between $1 billion and $12 billion at the time of investment that State Street and the Fund’s 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 year ended December 31, 2006, the Mid-Cap Growth Equity Fund, which is advised with the assistance of Turner Investment Partners, experienced a total return, net of expenses, of 6.94%. By comparison, the Russell Mid-Cap Growth Index produced an investment record of 10.66% for the same period. The Russell Mid-Cap Growth Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The equity market provided much excitement in 2006 as the S&P 500 Index (+15.9%) posted its fourth consecutive year of positive returns. To recap, a strong first quarter was followed by weakness in the year’s second quarter as geopolitical concerns, higher energy prices, and further rate increases by the Fed weighed on the market. The back half of the year, however, was strong as the Fed paused in its campaign to raise interest rates, energy prices retreated and corporate earnings posted double digit growth for the year. In terms of style, the market environment in the fourth quarter and throughout the year was again decidedly biased toward value stocks, with 2006 being the seventh year in succession where value trumped growth. Furthermore, the year ended 2006 also marked the seventh consecutive year where small cap stocks provided a return advantage over large caps.

Despite positive absolute performance in the fourth quarter and for the year, it has been a challenging environment for active managers to outperform their benchmarks. The Mid-Cap Growth Equity Fund was no exception as it underperformed the Russell Mid-Cap Growth Index in the fourth quarter by 1.1% and for the year by 3.1%. For the year, only 28% of all mid-cap growth managers were able to beat the Russell Mid-Cap Growth Index, with the average fund up 8.5% (compared to the Index at 10.7%). It is tough to pin-point the exact reason why the benchmark was so difficult to beat in 2006, but one key issue that would have helped managers beat their indexes was valuations, as the cheapest names typically outperformed the most expensive ones. Additionally, stocks with the highest earnings growth prospects underperformed those with lower earnings growth rates. Certainly, this mindset is counterintuitive to the way many growth managers, including Turner, approach the growth space.

When analyzing the Fund’s performance and attribution, the producer durables and materials & processing sectors contributed the most to relative outperformance versus the benchmark while the majority of the relative underperformance was attributable to the traditional growth sectors of healthcare and technology.

79

The materials and processing sector posted the highest absolute return in the Fund and generated 0.4% of excess return versus the benchmark. Precision Castparts Corp. and Allegheny Technologies Inc. were two standouts for the year. Precision Castparts manufactures metal components and products for the aerospace industry. The stock benefited from strong revenues and margins and got a lift from the acquisition of GSC Industries, a leading manufacturer of steel castings, in a move that will complement existing operations. Specialty metal producer Allegheny Technologies was up after announcing it had signed a long-term agreement with Boeing for the supply of titanium products for commercial aerospace applications.

The portfolio lost ground versus the benchmark in the technology sector (-0.8%), especially during the middle portion of the year, as investors quickly punished companies that provided a weaker than expected outlook. Rackable Systems Inc. traded down significantly after indicating that end markets were weakening and pricing pressures loomed. SiRF Technology Holdings Inc., which makes semiconductors for global positioning systems, also plummeted after the company posted second-quarter results which topped Wall Street expectations, but it also issued a disappointing forecast.

Weighing on performance for the year was security selection within the healthcare sector (-3.0% for the Fund vs. 7.4% vs. the benchmark), which represented 15% of the Fund on average. Positive contributions by Celgene, Shire, and Thermo Fisher Scientific were more than offset by weakness in a handful of stocks affected by both company specific and industry events. The most unforeseen company specific event was the announcement that Quest Diagnostics lost a contract with UnitedHealth to rival Laboratory Corp. The stock reacted negatively as that business accounted for 7% of Quest’s revenues. Pharmacy benefit managers, which includes Express Scripts, experienced pressure after Wal-Mart’s announcement of an accelerated geographic rollout of its $4 generic drug program.

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 developments 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. A segment of the Fund is invested to replicate the Russell 2000 Index, which is comprised of the 2,000 companies in the Russell 3000 Index with the smallest market capitalization. The remainder of the Fund is actively managed by Wellington Management LLP and Smith Asset Management Group, L.P.

For the year ended December 31, 2006, the Small-Cap Equity Fund experienced a total return, net of expenses, of 8.49%. By comparison, the Russell 2000 Index produced an investment record of 18.37% for the same period. The Russell 2000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The segment of the Small-Cap Equity Fund advised with the assistance of Smith Asset Management Group, L.P. underperformed the Russell 2000 Index for the year ended December 31, 2006. Full year performance for 2006 was affected by several headwinds in the market. Most notably, stocks with high expected growth rates dramatically underperformed for most of the year. This is not inconsistent with other periods where market participants have an expectation that either the economy is slowing or that the direction of the economy is uncertain. Investors tend to seek defensive positions during these periods which are usually identified as low growth, high dividend yield and low price-to-book value. The primary objective of this segment of the Fund is to make investments that have the characteristics of

80

quality, low risk and a high probability of growing earnings faster than expected. This segment was consistent in meeting this objective in 2006.

The segment of the Small-Cap Equity Fund advised with the assistance of Wellington Management Company, LLP underperformed the Russell 2000 Index for the year ended December 31, 2006. U.S. equity markets rose early in 2006 as the Federal Reserve hinted at an end to rate hikes, then sold off during the second quarter amid concerns that higher energy prices and rising U.S. interest rates would choke off economic growth. Markets regained their footing in the third quarter as investors focused on the end to interest rate hikes, falling energy prices, and continued strong corporate earnings growth. For the year, small caps, as measured by the Russell 2000 Index, outperformed large caps, as measured by the S&P 500 Index.

The bottom-up investment approach of the portion of the Fund advised by Wellington Management Company, LLP produced relative results 400 basis points below the investment record of the Russell 2000 Index during 2006, with underperformance in six of the ten broad market sectors.

Poor performance from holdings in the Materials and Consumer Discretionary sectors detracted from results relative to the Russell 2000 Index. Within the Materials sector, the portfolio’s overweight position in Cleveland-Cliffs, an iron ore pellet producer, detracted, particularly as the decrease in price of iron ore pellets negatively impacted earnings in the early part of the year.

Within the Consumer Discretionary sector, an overweight position to underperforming Journal Register detracted from returns. Journal Register, a newspaper publisher, performed poorly as advertising revenue has fallen year over year. However, in mid-December 2006, Journal Register signed on to Google’s Print Ad program, which allows Google to broker print ads in newspaper space.

The top-performing sector was Health Care. The portfolio benefited from a large overweight to Zoll Medical Corp, a medical software and technology developer, and Magellan Health Services, a provider of health benefit services to health plans, employers, and public sector payers.

The indexed segment of the Small-Cap Equity Fund for the year ended December 31, 2006 underperformed the Russell 2000 Index due to trading during the annual Index reconstitution in June.

International Equity Fund

The International Equity Fund’s investment objective is to seek long-term growth of capital through investment primarily in common stocks of established non-U.S. companies. The Fund seeks to diversify investments broadly among developed and emerging countries and generally to have at least three different countries represented in the portfolio. 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 year ended December 31, 2006, the International Equity Fund experienced a total return, net of expenses, of 25.39%. 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 26.65% for the same period. The MSCI AC World Ex-U.S. Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The segment of the International Equity Fund advised by Philadelphia International Advisors, LP outperformed the MSCI AC World Ex-U.S. Index for the year ended December 31, 2006. Global equities recovered from their mid-year 2006 swoon and staged a strong fourth quarter rally that lasted through

81

year-end. Every EAFE market rose, and with the exception of Japan, Netherlands, and Switzerland, all markets enjoyed double digit total returns. Signs of decelerating U.S. growth brought inflation expectations and bond yields lower, which fuelled optimism for a possible rate cut by the Federal Reserve in early 2007. Fortunately, the U.S. slowdown was offset by stronger growth in the Euro zone and ongoing strength in the world’s emerging economies. Despite the European Central Bank’s hawkish stance throughout the year (the refinancing rate rose 100 basis points in 2006), Europe’s economy remained robust, which helped 2006 corporate earnings increase an estimated 13% above 2005’s results. International developed country returns for all of 2006 were 26.3%, which extended the bull market run to four consecutive years. As for regional results for 2006, European equities produced the highest returns, while Japanese stocks advanced only modestly.

Overall, during 2006, strong security selection, higher exposure to Europe, and low weightings in Japan enabled the portion of the Fund advised by Philadelphia International Advisors, LP to outperform the MSCI AC World Ex-U.S. Index.

The segment of the International Equity Fund advised with the assistance of JPMorgan Asset Management (UK) Limited underperformed the MSCI AC World EX-U.S. Index for the year ended December 31, 2005. The portion of the Fund advised by JPMorgan Asset Management (UK) Limited posted strong gains in 2006 but was unable to keep pace with the benchmark.

Much of the underperformance of this portfolio for 2006 can be attributed to stock selection in Continental Europe, where mergers and acquisitions (M&A) fever was a major driving force behind the markets. Although holdings in that region generally did well, this portfolio did not (for the most part) participate in the M&A frenzy and consequently lagged the market.

In contrast, U.K. and emerging markets contributed positively to performance. Despite being underweight emerging markets, which had another outstanding year, the asset class was a net contributor to performance on the back of strong stock selection. Performance in the U.K. was spearheaded by strong showings from British Land, Tesco and Morrison Supermarkets.

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 year ended December 31, 2006, the Structured Portfolio Service experienced a total return, net of expenses, of 8.45% for the Conservative Portfolio, 11.80% for the Moderate Portfolio, and 14.80% for the Aggressive Portfolio.

82

Retirement Date Funds

The Retirement Date Funds provide a series of balanced investment funds each of which is designed to correspond to a particular time horizon to retirement. The five Retirement Date Funds, designated as the Lifetime Income Retirement Date Fund, 2010 Retirement Date Fund, 2020 Retirement Date Fund, 2030 Retirement Date Fund and 2040 Retirement Date Fund, respectively, offer five separate “target retirement date” strategies, each with a distinct asset mix. With the exception of the Lifetime Income Retirement Date Fund, which is designed for those currently retired, each Retirement Date Fund’s asset mix will, over time, become progressively more conservative as the specified target retirement date draws nearer. The Retirement Date Funds utilize a broad range of asset classes and an annual rebalancing process to provide diversification of returns and risks consistent with the stated time period to retirement. Investment in each such asset class is obtained by investing in index strategies or other pooled strategies designed for low tracking error.

Each Retirement Date Fund has a different initial investment strategy representing different risk and reward characteristics that reflect a participant’s anticipated time to expected retirement. The longer the time period to expected retirement, the greater is the Retirement Date Fund’s initial risk and potential reward profile. The Lifetime Income Retirement Date Fund seeks to avoid significant loss of principal for investors who are approaching or are beyond their retirement date and, effective April 30, 2007, will be comprised primarily of bonds, investment contracts and high-quality short-term debt instruments (such as those in which the Stable Asset Return Fund invests), and U.S. Treasury Inflation Protected Securities (“U.S. TIPS”), to provide stability, income and inflation protection, although this Retirement Date Fund also includes 35% equity exposure. The 2010 Retirement Date Fund currently seeks to provide a blend of capital appreciation and stability of principal for participants planning to retire in or around the year 2010. The 2020 Retirement Date Fund currently seeks to provide long-term capital appreciation and more-limited stability of principal for participants planning to retire in or around the year 2020. The 2030 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2030 and is comprised mainly of stocks for higher growth potential. The 2040 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2040 and is comprised mainly of stocks for maximum growth potential.

The Retirement Date Funds seek to achieve their objectives by investing in various index or other collective investment funds maintained by State Street Bank. During the period from August 9, 2006 through December 31, 2006, these funds included including S&P 500 Flagship Securities Lending Fund (“S&P 500 Index Fund”), Daily MSCI EAFE Fund, S&P Mid-Cap 400 Index Securities Lending Fund (“S&P Mid-Cap 400 Index Fund”), Russell 2000 Index Securities Lending Fund (“Russell 2000 Index Fund”), Long U.S. Government Index Securities Lending Fund (“Lehman Long Government Bond Fund”), Limited Duration Bond Non-Lending Fund (“Limited Duration Bond Fund”) and Short Term Investment Fund.

During the period from August 9, 2006, funds in the Lifetime Income Retirement Date Fund were allocated as follows: S&P 500 Index Fund, 19.0%; Daily MSCI EAFE Index Fund, 3.0%; S&P Mid-Cap 400 Index Fund, 2.0%; Russell 2000 Index Fund, 1.0%; Lehman Long Government Bond Fund, 25.0%; Limited Duration Bond Fund, 40.0%; and Short Term Investment Fund, 10.0%. Funds in the 2010 Retirement Date Fund were allocated as follows: S&P 500 Index Fund, 28.2%; Daily MSCI EAFE Index Fund, 4.7%; S&P Mid-Cap 400 Index Fund, 2.8%; Russell 2000 Index Fund, 1.8%; Lehman Long Government Bond Fund, 37.5%; Limited Duration Bond Fund, 19.2%; and Short Term Investment Fund, 5.8%. Funds in the 2020 Retirement Date Fund were allocated as follows: S&P 500 Index Fund, 39.0%; Daily MSCI EAFE Index Fund, 14.0%; S&P Mid-Cap 400 Index Fund, 5.7%; Russell 2000 Index Fund, 3.8%; Lehman Long Government Bond Fund, 31.0%; Limited Duration Bond Fund, 1.5%; and Short Term Investment Fund, 5.0%. Funds in the 2030 Retirement Date Fund were allocated as follows:

83

S&P 500 Index Fund, 44.5%; Daily MSCI EAFE Index Fund, 19.5%; S&P Mid-Cap 400 Index Fund, 7.4%; Russell 2000 Index Fund, 7.1%; Lehman Long Government Bond Fund, 21.0%; and Short Term Investment Fund, 0.5%. Funds in the 2040 Retirement Date Fund were allocated as follows: S&P 500 Index Fund, 45.0%; Daily MSCI EAFE Index Fund, 24.5%; S&P Mid-Cap 400 Index Fund, 9.8%; Russell 2000 Index Fund, 9.7%; and Lehman Long Government Bond Fund, 11.0%.

For the period August 9, 2006 through December 31, 2006, the Retirement Date Funds experienced a total return, net of expenses, of 5.00% for the Lifetime Income Retirement Date Fund, 6.42% for the 2010 Retirement Date Fund, 9.43% for the 2020 Retirement Date Fund, 11.00% for the 2030 Retirement Date Fund and 11.06% for the 2040 Retirement Date Fund. The performance of each Retirement Date Fund for the period ended December 31, 2006 was consistent with the relevant combination benchmark after taking into account expenses.

ITEM 7A.     Quantitative and Qualitative Disclosures About Market Risk

The Funds do not engage in investments in derivative instruments except as described under Item 1, “Business—Description of Investment Options—Derivative Instruments.” The Retirement Date Funds do not engage in investments in derivative instruments except as described under Item 1, “Business—Retirement Date Funds.” For additional information, see Note 2 to the Financial Statements included in Item 8, “Financial Statements and Supplementary Data.”

ITEM 8.    Financial Statements and Supplementary Data

See p. F-1.

ITEM 9.    Changes in and Disagreements With Accountants on Accounting and Financial Disclosure.

Not applicable.

ITEM 9A.    Controls and Procedures.

Conclusion Regarding the Effectiveness of Disclosure Controls and Procedures: Under the supervision and with the participation of the Chief Executive Officer and Chief Financial Officer, the Collective Trust conducted an evaluation of its disclosure controls and procedures (as such term is defined in Rule 13a-15(e) or 15d-15(e) under the Exchange Act). Based on such evaluation, the Collective Trust’s Chief Executive Officer and Chief Financial Officer have concluded that its disclosure controls and procedures are effective as of December 31, 2006.

Management’s Report on Internal Control Over Financial Reporting: The Collective Trust’s management is responsible for establishing and maintaining adequate internal control over financial reporting (as such term is defined in Rule 13a-15(f) or 15d-15(f) under the Exchange Act) for each of the Funds, the three portfolios of the Structured Portfolio Service and the five Retirement Date Funds. Under the supervision and with the participation of management, including the Chief Executive Officer and Chief Financial Officer, the Collective Trust’s management conducted evaluations of the effectiveness of the internal control over financial reporting of each of the Funds and the three portfolios of the Structured Portfolio Service based on the framework established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). Based on such evaluations, the Collective Trust’s management concluded that internal control over financial reporting was effective as of December 31, 2006.

The Collective Trust’s management assessments of the effectiveness of the internal control over financial reporting of each of the Funds, the three portfolios of the Structured Portfolio Service and the

84

five Retirement Date Funds as of December 31, 2006 have been audited by PricewaterhouseCoopers LLP, an independent registered public accounting firm, as stated in their report, which is included herein.

ITEM 9B.    Other Information.

None.

PART III

ITEM 10.    Directors, Executive Officers and Corporate Governance.

State Street, as trustee, has primary responsibility for investment management with respect to each of the Investment Options. As part of its responsibility, it appoints the officers of the Collective Trust, who have responsibility for administering all the Investment Options. The following is a biographical summary of the experience of each of the officers of the Collective Trust:

Philip Lussier.    Mr. Lussier, age 53, is the President and Chief Executive Officer of the Collective Trust and the Chief Executive Officer and Chairman of the Board of CitiStreet LLC. Prior to assuming his current position at CitiStreet LLC in March 2005, Mr. Lussier served as President of CitiStreet’s Retirement Services Division from December 2000 to March 2005. From April 1, 2000 until December 2000, Mr. Lussier served as Division President, Institutional Sales & Marketing, of CitiStreet. From January 1995 until the inception of CitiStreet in April 2000, he was a Senior Vice President of the Retirement Investment Services Division of State Street Global Advisors.

Beth M. Halberstadt.    Ms. Halberstadt, age 41, is the Vice President and Chief Financial Officer of the Collective Trust, an Executive Vice President and member of the Board of Directors of State Street, a Vice President of State Street Bank and program director of the ABA Members Retirement Program. From September 1996 to January 1999, Ms. Halberstadt was Vice President and Client Service Manager in Retirement Investment Services, a part of State Street Bank Global Advisors, a division of State Street Bank.

Robert E. Fullam.    Mr. Fullam, age 45, is the Treasurer and Chief Accounting Officer of the Collective Trust, a Vice President of State Street and Assistant Vice President of CitiStreet LLC, an affiliate of State Street Bank. Prior to joining CitiStreet in 2001, Mr. Fullam worked at State Street Bank in various capacities during the period of 1987 through 2001, including Account Controller, Client Representative, Compliance Analyst and Investment Officer.

The officers of the Collective Trust receive no direct remuneration from the Collective Trust, but do receive remuneration from State Street Bank or its affiliates.

The Collective Trust does not have a board of directors. The Collective Trust is a trust with a corporate trustee, which is State Street, a wholly owned subsidiary of State Street Bank. For purposes of the Sarbanes-Oxley Act of 2002 and the rules and regulations of the Securities and Exchange Commission adopted under that Act, the board of directors of State Street has responsibility for the functions with respect to audit matters relating to the Collective Trust. Each member of the board of directors of State Street is an employee of State Street Bank or its affiliates.

For purposes of complying with the audit committee requirements of the Sarbanes-Oxley Act, the board of directors of State Street has assigned to its Audit Committee responsibility for overseeing the accounting and financial reporting processes and audits of the financial statements of the Collective

85

Trust. State Street’s board has determined that one member of the Audit Committee, William F. Weihs, is an “audit committee financial expert” as defined under applicable United States federal securities laws.

State Street Bank has adopted, and State Street has ratified the adoption of, a Code of Ethics for Financial Officers which applies to State Street Bank’s Chief Executive Officer, Chief Financial Officer, Controller and other financial officers, including all of the officers of the Collective Trust. A copy of the Code of Ethics is available at www.statestreet.com. The Collective Trust will provide a free copy of the Code of Ethics upon written request to State Street Bank and Trust Company, ARF Program Services, One Heritage Drive, North Quincy, Massachusetts 02171. The Collective Trust intends to post on the web site, www.statestreet.com, any amendments to, or waivers from, the Code of Ethics applicable to the officers referred to above.

State Street Bank and Citigroup, Inc. jointly own a Delaware limited liability company called CitiStreet LLC. CitiStreet provides recordkeeping and other administrative services to clients of State Street, State Street Bank and Citigroup, Inc. Insofar as State Street Bank provides recordkeeping and other administrative services to the Program, these services may be provided by CitiStreet on behalf of State Street Bank pursuant to a service agreement entered into between State Street Bank and CitiStreet.

State Street and/or its affiliates directly distribute marketing materials on behalf of the Collective Trust. No distributors or broker-dealers who are unaffiliated with State Street or its affiliates are or will be utilized. The Program is marketed through advertising in legal periodicals, exhibiting at legal conventions and direct mail and phone solicitations to law firms. Firms that indicate an interest in the services made available through the Program are assigned a marketing representative who facilitates participation in the Program through phone or on-site discussions.

ITEM 11.    Executive Compensation.

The executive officers of the Collective Trust receive no direct remuneration from the Collective Trust, but do receive remuneration from State Street Bank or its affiliates. For a description of fees received by State Street and others, see Item 1, “Business—Deductions and Fees.”

ITEM 12.    Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.

State Street Bank, as sole trustee of each of the American Bar Association Members Retirement Trust and the American Bar Association Members Pooled Trust for Retirement Plans, is the holder of record of all units of beneficial interests of each of the Funds, the portfolios of the Structured Portfolio Service and the Retirement Date Funds. None of State Street, State Street Bank or any officer of the Collective Trust beneficially owns any securities of the Collective Trust. As of December 31, 2006, no person or entity vested with investment responsibility for the assets contributed to the Program owned more than 5% of the Units of beneficial interest in the Collective Trust or in any Investment Option offered thereunder, except that three Participants owned 11.01%, 7.62% and 5.78%, respectively, of the outstanding Units of the Lifetime Income Retirement Date Fund, three Participants owned 15.87%, 11.18% and 5.57%, respectively, of the outstanding Units of the 2010 Retirement Date Fund and two Participants owned 6.57% and 5.22%, respectively, of the outstanding Units of the 2020 Retirement Date Fund.

ITEM 13.    Certain Relationships and Related Transactions, and Director Independence.

See Item 1, “Business—The Program” and “—Deductions and Fees” for information regarding certain relationships and transactions.

86

ITEM 14.    Principal Accounting Fees and Services.

Audit Fees

The aggregate fees billed for professional services rendered by PricewaterhouseCoopers LLP (“PwC”), the principal accountant for the Collective Trust, for the audit of the Collective Trust’s annual financial statements and for the review of financial statements included in the Collective Trust’s quarterly reports filed on Form 10-Q and for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements (such as comfort letters, statutory audits, attest services, consents and services to comply with generally accepted auditing standards) were $610,000 and $500,000 for the fiscal years ended December 31, 2006 and 2005, respectively.

Audit Fees consist of fees for professional services rendered for the audit of the Collective Trust’s annual financial statements and review of the interim financial statements included in quarterly reports and services that are normally provided by PwC in connection with statutory and regulatory filings or engagements. In 2006, audit fees also include fees for professional services rendered for the audits of (i) management’s assessment of the effectiveness of internal control over financial reporting and (ii) the effectiveness of internal control over financial reporting.

Audit-Related Fees

The aggregate fees billed for assurance and related services provided to the Collective Trust by PwC that are reasonably related to the performance of the audit or review of the Collective Trust’s financial statements and not reported under “—Audit Fees” were $0 and $0 for the fiscal years ended December 31, 2006 and 2005, respectively.

Tax Fees

The aggregate fees billed for professional services rendered by PwC to the Collective Trust for tax compliance, tax advice and tax planning were $0 and $0 for the fiscal years ended December 31, 2006 and 2005, respectively.

All Other Fees

The aggregate fees billed by PwC to the Collective Trust for any products and services not disclosed above were $0 and $0 for the fiscal years ended December 31, 2006 and 2005, respectively.

The Examining and Audit Committee of State Street’s Board of Directors has established pre-approval policies and procedures applicable to all services provided by PwC, pursuant to which the Examining and Audit Committee will annually review for pre-approval each particular service expected to be provided by the outside auditor of the annual financial statements of the Collective Trust. Such services may include audit services (including consultation to support such audits), audit-related services (items reasonably related to the performance of the audit or review of the financial statements), tax services (tax compliance, tax planning, tax advice), and other services (services permissible under the auditor independence rules of the Securities and Exchange Commission). In connection with its pre-approval process the Examining and Audit Committee will be provided with sufficient detailed information so that it can make well-reasoned assessments of the impact of the services on the independence of PwC.

Any proposed service that was not known or expected at the time of the annual pre-approval process, but which would exceed pre-approved cost levels or budgeted amounts, would also require pre-approval by the Examining and Audit Committee. Substantive changes in terms, conditions, and fees resulting from changes in the scope, structure, or other items regarding pre-approved services would be subject to pre-approval if necessary.

87

PART IV

ITEM 15.    Exhibits and Financial Statement Schedules.

ITEM 15(a).    The following documents are filed as part of this Report:

1.    Financial Statements.

See page F-1 for an index to the Financial Statements included in this Report.

2.    Financial Statement Schedules.

A Schedule of Investments for each of the Balanced Fund, the Intermediate Bond Fund, the International Equity Fund, the Large-Cap Growth Equity Fund, the Large-Cap Value Equity Fund, the Mid-Cap Growth Equity Fund, the Mid-Cap Value Equity Fund, the Small-Cap Equity Fund and the Stable Asset Return Fund is included in Item 8 of this Report.

3.    Exhibits are listed under Item 15(b) below.

ITEM 15(b).    Exhibits, including those incorporated by reference:

Exhibit No.	Description of Document
3.1	American Bar Association Members/State Street Collective Trust, Declaration of Trust by State Street Bank and Trust Company, amended and restated December 5, 1991, included as Exhibit 3.1 to Registrant’s Form S-1 Registration Statement No. 33-50080 and incorporated herein by reference thereto.
3.2.1	American Bar Association Members/State Street Collective Trust, Amendment to Declaration of Trust by State Street Bank and Trust Company dated July 31, 1995, included as Exhibit 3.2 to Registrant’s Form S-1 Registration Statement No. 33-92120 and incorporated herein by reference thereto.
3.2.2	American Bar Association Members/State Street Collective Trust, Amendment to Declaration of Trust dated July 15, 2002, included as Exhibit 3.1 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2002 and incorporated herein by reference thereto.
3.2.3	American Bar Association Members/State Street Collective Trust, Amendment to Declaration of Trust dated effective December 1, 2004, included as Exhibit 3.2.3 to Registrant’s Current Report on Form 8-K, filed November 5, 2004 and incorporated herein by reference thereto.
3.3	American Bar Association Members/State Street Collective Trust, Sixth Amended Fund Declaration for the Stable Asset Return Fund, included as Exhibit 3.3 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
3.4	American Bar Association Members/State Street Collective Trust, Fifth Amended and Restated Fund Declaration for the Intermediate Bond Fund, included as Exhibit 10.2 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2003 and incorporated herein by reference thereto.
3.5	American Bar Association Members/State Street Collective Trust, Eighth Amended and Restated Fund Declaration for the Balanced Fund, included as Exhibit 3.5.2 to Registrant’s Form S-1 Registration Statement No. 333-113653 and incorporated herein by reference thereto.

88

Exhibit No.	Description of Document
3.6	American Bar Association Members/State Street Collective Trust, Fifth Amended and Restated Fund Declaration for the Large-Cap Value Equity Fund, included as Exhibit 3.6 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
3.7	American Bar Association Members/State Street Collective Trust, Eighth Amended and Restated Fund Declaration for the Large-Cap Growth Equity Fund, included as Exhibit 3.7 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
3.8	American Bar Association Members/State Street Collective Trust, Sixth Amended and Restated Fund Declaration for the Index Equity Fund, included as Exhibit 10.3 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2003 and incorporated herein by reference thereto.
3.9	American Bar Association Members/State Street Collective Trust, Ninth Amended and Restated Fund Declaration for the Small-Cap Equity Fund, included as Exhibit 3.9 to Registrant’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2005 and incorporated herein by reference thereto.
3.10	American Bar Association Members/State Street Collective Trust, Sixth Amended and Restated Fund Declaration for the International Equity Fund, included as Exhibit 3.10 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
3.11	American Bar Association Members/State Street Collective Trust, Second Amended and Restated Fund Declaration for the Structured Portfolio Service, included as Exhibit 3.11 to Registrant’s Form S-1 Registration Statement No. 333-84814 and incorporated herein by reference thereto.
3.12	American Bar Association Members/State Street Collective Trust, First Amended and Restated Fund Declaration for the Mid-Cap Growth Equity Fund, included as Exhibit 3.11 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
3.13	American Bar Association Members/State Street Collective Trust, Second Amended and Restated Fund Declaration for the Mid-Cap Value Equity Fund, included as Exhibit 3.13 to Registrant’s Current Report on Form 8-K filed October 4, 2006 and incorporated herein by reference thereto.
3.14	American Bar Association Members/State Street Collective Trust, Amendment to Fund Declarations effective December 1, 2004, included as Exhibit 3.13 to Registrant’s Current Report on Form 8-K filed November 5, 2004 and incorporated herein by reference thereto.
3.15	American Bar Association Members/State Street Collective Trust, Amendment to Fund Declarations dated February 17, 2005, included as Exhibit 3.15 to Registrant’s Current Report on Form 8-K filed February 23, 2005 and incorporated herein by reference thereto.
3.16	American Bar Association Members/State Street Collective Trust, Amendment to Fund Declarations effective as of October 1, 2005, included as Exhibit 3.16 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
3.17	American Bar Association Members/State Street Collective Trust, Fund Declaration for the Retirement Date Funds, included as Exhibit 3.17 to Registrant’s Form S-1 Registration Statement No. 333-132571 and incorporated herein by reference thereto.

89

Exhibit No.	Description of Document
3.18	American Bar Association Members/State Street Collective Trust, Amendment to Fund Declarations effective as of August 1, 2006, included as Exhibit 3.18 to Registrant’s Form S-1 Registration Statement No. 333-132571 and incorporated herein by reference thereto.
4.1	American Bar Association Members/State Street Collective Trust, Declaration of Trust and Fund Declaration for each Fund, the Structured Portfolio Service and the Retirement Date Funds, included in Exhibits No. 3.1 through 3.18 above.
10.1	Trust Agreement of the American Bar Association Members Retirement Trust, amended and restated as of January 1, 1992, by and between the American Bar Retirement Association and State Street Bank and Trust Company, included as Exhibit 10.1 to Registrant’s Form 10-K for the year ended December 31, 1991 and incorporated herein by reference thereto.
10.2	Trust Agreement of the American Bar Association Members Pooled Trust for Retirement Plans, amended and restated as of January 1, 1992, by and between the American Bar Retirement Association and State Street Bank and Trust Company, included as Exhibit 10.2 to Registrant’s Form 10-K for the year ended December 31, 1991 and incorporated herein by reference thereto.
10.3	Amendment to the American Bar Association Members Retirement Trust dated July 31, 1995 by and between the American Bar Retirement Association and State Street Bank and Trust Company, included as Exhibit 10.3 to Registrant’s Form S-1 Registration Statement No. 33-92120 and incorporated herein by reference hereto.
10.3.1	Amendment Number Three to the American Bar Association Members Retirement Trust dated January 24, 2006 by and between ABA Retirement Funds and State Street Bank and Trust Company, included as Exhibit 10.3.1 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
10.4	Amendment to the American Bar Association Members Pooled Trust for Retirement Plans dated July 31, 1995 by and between the American Bar Retirement Association and State Street Bank and Trust Company, included as Exhibit 10.4 to Registrant’s Form S-1 Registration Statement No. 33-92120 and incorporated herein by reference thereto.
10.4.1	Amendment Number Three to the American Bar Association Members Pooled Trust for Retirement Plans dated January 24, 2006 by and between ABA Retirement Funds and State Street Bank and Trust Company, included as Exhibit 10.4.1 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
10.5	American Bar Association Members Retirement Plan—Basic Plan Document No. 01 as amended and related adoption agreements, included as Exhibit 10.5 to Registrant’s Form 10-K for the year ended December 31, 2001 and incorporated herein by reference thereto.
10.6	American Bar Association Members Defined Benefit Pension Plan—Basic Plan Document No. 02 and related adoption agreements, included as Exhibit 10.6 to Registrant’s Form 10-K for the year ended December 31, 2001 and incorporated herein by reference thereto.
10.7.1	Administrative and Investment Services Agreement effective January 1, 2003, between State Street Bank and Trust Company and the American Bar Retirement Association, included as Exhibit 10.7.1 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
10.7.2	Amendment No. 1 effective December 1, 2004, to the Administrative and Investment Services Agreement effective January 1, 2003, between State Street Bank and Trust Company and the American Bar Retirement Association, included as Exhibit 10.7.2 to Registrant’s Current Report on Form 8-K filed November 5, 2004 and incorporated herein by reference thereto.

90

Exhibit No.	Description of Document
10.7.3	Amendment No. 2 effective April 1, 2005, to the Administrative and Investment Services Agreement effective January 1, 2003, between State Street Bank and Trust Company and the American Bar Retirement Association, included as Exhibit 10.7.3 to Registrant’s Current Report on Form 8-K filed February 23, 2005 and incorporated herein by reference thereto.
10.7.4	Amendment No. 3 dated August 18, 2005 to the Administrative and Investment Services Agreement effective January 1, 2003, between State Street Bank and Trust Company and the American Bar Retirement Association, included as Exhibit 10.7.3 to Registrant’s Current Report on Form 8-K filed August 23, 2005 and incorporated herein by reference thereto.
10.7.5	Amendment No. 4 dated January 24, 2006 to the Administrative and Investment Services Agreement effective January 1, 2003, between State Street Bank and Trust Company and ABA Retirement Funds, included as Exhibit 10.7.5 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
10.7.6	Amendment No. 5 dated April 13, 2006 to the Administrative and Investment Services Agreement effective January 1, 2003 between State Street Bank and Trust Company and ABA Retirement Funds, included as Exhibit 10.7.6 to Registrant’s Form S-1 Registration Statement No. 333-132571 and incorporated herein by reference thereto.
10.8	Investment Advisor Agreement effective as of January 1, 1992 by and between State Street Bank and Trust Company and Capital Guardian Trust Company, included as Exhibit 10.6 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 1991 and incorporated herein by reference thereto.
10.8.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Capital Guardian Trust Company, included as Exhibit 10.8.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.9	Investment Advisor Agreement effective as of January 1, 1992 by and between State Street Bank and Trust Company and RCM Capital Management, included as Exhibit 10.8 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 1991 and incorporated herein by reference thereto.
10.9.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and RCM Capital Management LLC, included as Exhibit 10.9.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.10	Investment Advisor Agreement effective as of January 1, 1992 by and between State Street Bank and Trust Company and Capital Guardian Trust Company, included as Exhibit 10.9 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 1991 and incorporated herein by reference thereto.
10.10.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Capital Guardian Trust Company, included as Exhibit 10.10.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.

91

Exhibit No.	Description of Document
10.11	Investment Advisor Agreement effective as of January 1, 1992 by and between State Street Bank and Trust Company and Sit Investment Associates, Inc., included as Exhibit 10.10 to Registrant’s Annual Report on Form 10-K for the year December 31, 1991 and incorporated herein by reference thereto.
10.12	Investment Advisor Agreement effective as of October 1, 1992 by and between State Street Bank and Trust Company and Morgan Stanley Investment Management (as successor to Miller Anderson & Sherrerd), included as Exhibit 10.13 to Registrant’s Form S-1 Registration Statement No. 33-50080 and incorporated herein by reference thereto.
10.13	Investment Advisor Agreement effective as of July 1, 2002 by and between State Street Bank and Trust Company and Pacific Investment Management Company LLC, included as Exhibit 10.13 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2002 and incorporated herein by reference thereto.
10.13.1	Amendment dated July 16, 2004 to Investment Advisor Agreement dated July 1, 2002 by and between State Street Bank and Trust Company and Pacific Investment Management Company LLC, included as Exhibit 10.1 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2004 and incorporated herein by reference thereto.
10.13.2	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Pacific Investment Management Company LLC, included as Exhibit 10.13.2 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.14	Investment Advisor Agreement effective as of June 30, 1997 by and between State Street Bank and Trust Company and Capital Guardian Trust Company, included as Exhibit 10.1 to Registrant’s Quarterly Report on Form 10-Q for the quarter ended June 30, 1997 and incorporated herein by reference thereto.
10.14.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Capital Guardian Trust Company, included as Exhibit 10.14.1 to Registrant’s Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.15	Investment Advisor Agreement effective as of July 31, 1995 by and between State Street Bank and Trust Company and Sanford C. Bernstein & Co., Inc., included as Exhibit 10.17 to Registrant’s Form S-1 Registration Statement No. 33-92120 and incorporated herein by reference thereto.
10.15.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Alliance Capital Management L.P., included as Exhibit 10.15.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.16	Investment Advisor Agreement effective as of May 31, 2000 by and between State Street Bank and Trust Company and Dresdner RCM Global Investors LLC, included as Exhibit 10.16 to Registrant’s Form S-1 Registration Statement No. 333-57252 and incorporated herein by reference thereto.
10.17	Investor Advisor Agreement effective as of June 13, 1997 by and between State Street Bank and Trust Company and Bankers Trust Company, included as Exhibit 10.2 to the Registrant’s Quarterly Report on Form 10-Q for the quarter ended June 30, 1997 and incorporated herein by reference thereto.

92

Exhibit No.	Description of Document
10.18	Investment Advisor Agreement effective as of May 8, 2002 by and between State Street Bank and Trust Company and Ariel Capital Management, Inc., included as Exhibit No. 10.18 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2002 and incorporated herein by reference.
10.18.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Ariel Capital Management, LLC, included as Exhibit 10.18.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.19	Investment Advisor Agreement effective as of May 8, 2002 by and between State Street Bank and Trust Company and Turner Investment Partners, included as Exhibit No. 10.19 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2002 and incorporated herein by reference.
10.19.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Turner Investment Partners, included as Exhibit 10.19.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.20	Investment Advisor Agreement effective as of April 1, 2003 by and between State Street Bank and Trust Company and Philadelphia International Advisors, LP, included as Exhibit 10.20 to Amendment No. 1 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
10.20.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Philadelphia International Advisors, LP, included as Exhibit 10.20.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.21	Investment Advisor Agreement effective as of April 1, 2003 by and between State Street Bank and Trust Company and JPMorgan Fleming Asset Management (London) Limited, included as Exhibit 10.21 to Amendment No. 1 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
10.21.1	First Amendment to the Investment Advisor Agreement effective as of April 3, 2003 by and between State Street Bank and Trust Company and JPMorgan Fleming Asset Management (London) Limited, included as Exhibit 10.21.1 to Amendment No. 1 to Registrant’s Form S-1 Registration Statement No. 333-104043 and incorporated herein by reference thereto.
10.21.2	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 JPMorgan Fleming Asset Management (London) Limited, included as Exhibit 10.2 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2004 and incorporated herein by reference thereto.
10.21.3	Amendment, dated October 26, 2004 to the Investment Advisor Agreement dated April 1, 2003, by and between State Street Bank and Trust Company and JPMorgan Fleming Asset Management (London) Limited, included as Exhibit 10.3 to Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2004 and incorporated herein by reference thereto.

93

Exhibit No.	Description of Document
10.21.4	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and JPMorgan Fleming Asset Management (London) Limited, included as Exhibit 10.21.4 to Registrant’s Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.22	Investment Advisor Agreement effective as of June 1, 2004 by and between State Street Bank and Trust Company and Pacific Investment Management Company LLC, included as Exhibit 10.22 to Registrant’s Form S-1 Registration Statement No. 333-113653 and incorporated herein by reference thereto.
10.22.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Pacific Investment Management Company LLC, included as Exhibit 10.22.1 to Registrant’s Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.23	Letter Agreement dated March 1, 2004 relating to Investment Advisor Agreement effective as of July 1, 2002 by and between State Street Bank and Trust Company and Pacific Investment Management Company LLC, included as Exhibit 10.23 to Registrant’s Form S-1 Registration Statement No. 333-113653 and incorporated herein by reference thereto.
10.24	Letter Agreement dated March 1, 2004 relating to Investment Advisor Agreement effective June 1, 2004 by and between State Street Bank and Trust Company and Pacific Investment Management LLC, included as Exhibit 10.24 to Registrant’s Form S-1 Registration Statement No. 333-113653 and incorporated herein by reference thereto.
10.25	Agreement for Trustee Services between State Street Bank and Trust Company and State Street Bank and Trust Company of New Hampshire effective December 1, 2004, included as Exhibit 10.25 to Registrant’s Current Report on Form 8-K filed November 5, 2004 and incorporated herein by reference thereto.
10.26	Guaranty made as of December 1, 2004 by State Street Bank and Trust Company in favor of the American Bar Association Member/State Street Collective Trust, included as Exhibit 10.26 to the Registrant’s Current Report on Form 8-K filed November 5, 2004 and incorporated herein by reference thereto.
10.27	Investment Advisor Agreement effective as of December 1, 2004 by and between State Street Bank and Trust Company and Wellington Management Company, LLP, included as Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed November 1, 2004 and incorporated herein by reference thereto.
10.27.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Wellington Management Company, LLP, included as Exhibit 10.27.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.28	Investment Advisor Agreement effective as of December 1, 2004 by and between State Street Bank and Trust Company and Smith Asset Management Group, L.P., included as Exhibit 10.2 to Registrant’s Current Report on Form 8-K filed November 1, 2004 and incorporated herein by reference thereto.

94

Exhibit No.	Description of Document
10.28.1	Acknowledgement of Assignment effective as of December 1, 2004 by and among State Street Bank and Trust Company, State Street Bank and Trust Company of New Hampshire and Smith Asset Management Group, L.P., included as Exhibit 10.28.1 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004 and incorporated herein by reference thereto.
10.29	Investment Advisor Agreement effective as of March 1, 2006 by and between State Street Bank and Trust Company of New Hampshire and T. Rowe Price Associates, Inc., included as Exhibit 10.29 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
10.30	Investment Advisory Services Agreement dated January 24, 2006 by and among the American Bar Retirement Association (now called ABA Retirement Funds), State Street Bank and Trust Company and CitiStreet Advisors LLC, included as Exhibit 10.30 to Registrant’s Current Report on Form 8-K filed January 26, 2006 and incorporated herein by reference thereto.
10.31	Investment Advisor Agreement effective as of November 1, 2006 by and between State Street Bank and Trust Company of New Hampsire and Wellington Management Company, LLP, included as Exhibit 10.31 to Registrant’s Current Report on Form 8-K filed October 4, 2006 and incorporated herein by reference thereto.
24.1*	Power of Attorney.
31.1*	Certification of Philip Lussier 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 Philip Lussier 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.

* Filed herewith.

ITEM 15(c).    Financial statement schedules and financial statements.

See page F-1 for an index to the Financial Statements included in this Report.

95

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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
Date: March 1, 2007	By:	/S/    PHILIP J. LUSSIER
	Name: Title:	Philip Lussier President and Chief Executive Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on March 1, 2007.

Signature	Title
/S/    PHILIP J. LUSSIER         Philip J. Lussier	President and Chief Executive Officer of the American Bar Association Members/State Street Collective Trust (Principal Executive Officer)
/S/    BETH M. HALBERSTADT         Beth M. Halberstadt	Vice President and Chief Financial Officer of the American Bar Association Members/State Street Collective Trust (Principal Financial Officer)
/S/    ROBERT E. FULLAM         Robert E. Fullam	Treasurer and Chief Accounting Officer of the American Bar Association Members/State Street Collective Trust (Principal Accounting Officer)
/S/    DANIEL J. BOUCHARD*         Daniel J. Bouchard	Director of State Street Bank and Trust Company of New Hampshire
/S/    NANCY E. GRADY*         Nancy E. Grady	President, Chairman and Director of State Street Bank and Trust Company of New Hampshire
/S/    BETH M. HALBERSTADT         Beth M. Halberstadt	Executive Vice President and Director of State Street Bank and Trust Company of New Hampshire
/S/    GARY E. JENKINS*         Gary E. Jenkins	Clerk, General Counsel and Director of State Street Bank and Trust Company of New Hampshire
/S/    THOMAS P. KELLY*         Thomas P. Kelly	Director of State Street Bank and Trust Company of New Hampshire
/S/    KAREN E. KRUCK*         Karen E. Kruck	Director of State Street Bank and Trust Company of New Hampshire

96

Signature	Title
/S/    NANCY H. LOUCKS*         Nancy H. Loucks	Director of State Street Bank and Trust Company of New Hampshire
/S/    SCOTT W. OLSON*         Scott W. Olson	Executive Vice President and Director of State Street Bank and Trust Company of New Hampshire
/S/    WILLIAM F. WEIHS*         William F. Weihs	Treasurer and Director of State Street Bank and Trust Company of New Hampshire

*By	/S/    SHAWN P. CURRIER
Name:	Shawn P. Currier
	Attorney-in-Fact

97

American Bar Association Members/State Street Collective Trust

Index to Financial Statements

Report of Independent Registered Public Accounting Firm	F-4
Financial Statements:
Balanced Fund
Statement of Assets and Liabilities	F-6
Statement of Operations	F-7
Statement of Changes in Net Assets	F-8
Financial Highlights	F-9
Schedule of Investments	F-10-16
Index Equity Fund
Statement of Assets and Liabilities	F-17
Statement of Operations	F-18
Statement of Changes in Net Assets	F-19
Financial Highlights	F-20
Intermediate Bond Fund
Statement of Assets and Liabilities	F-21
Statement of Operations	F-22
Statement of Changes in Net Assets	F-23
Financial Highlights	F-24
Schedule of Investments	F-25-30
International Equity Fund
Statement of Assets and Liabilities	F-31
Statement of Operations	F-32
Statement of Changes in Net Assets	F-33
Financial Highlights	F-34
Schedule of Investments	F-35-40
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities	F-41
Statement of Operations	F-42
Statement of Changes in Net Assets	F-43
Financial Highlights	F-44
Schedule of Investments	F-45-52
Large-Cap Value Equity Fund
Statement of Assets and Liabilities	F-53
Statement of Operations	F-54
Statement of Changes in Net Assets	F-55
Financial Highlights	F-56
Schedule of Investments	F-57-62
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities	F-63
Statement of Operations	F-64
Statement of Changes in Net Assets	F-65
Financial Highlights	F-66
Schedule of Investments	F-67-72

F-1

Mid-Cap Value Equity Fund
Statement of Assets and Liabilities	F-73
Statement of Operations	F-74
Statement of Changes in Net Assets	F-75
Financial Highlights	F-76
Schedule of Investments	F-77-82
Small-Cap Equity Fund
Statement of Assets and Liabilities	F-83
Statement of Operations	F-84
Statement of Changes in Net Assets	F-85
Financial Highlights	F-86
Schedule of Investments	F-87-97
Stable Asset Return Fund
Statement of Assets and Liabilities	F-98
Statement of Operations	F-99
Statement of Changes in Net Assets	F-100
Financial Highlights	F-101
Schedule of Investments	F-102-113
Conservative Structured Portfolio Service
Statement of Assets and Liabilities	F-114
Statement of Operations	F-115
Statement of Changes in Net Assets	F-116
Financial Highlights	F-117
Moderate Structured Portfolio Service
Statement of Assets and Liabilities	F-118
Statement of Operations	F-119
Statement of Changes in Net Assets	F-120
Financial Highlights	F-121
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities	F-122
Statement of Operations	F-123
Statement of Changes in Net Assets	F-124
Financial Highlights	F-125
Lifetime Income Retirement Date Fund
Statement of Assets and Liabilities	F-126
Statement of Operations	F-127
Statement of Changes in Net Assets	F-128
Financial Highlights	F-129
2010 Retirement Date Fund
Statement of Assets and Liabilities	F-130
Statement of Operations	F-131
Statement of Changes in Net Assets	F-132
Financial Highlights	F-133
2020 Retirement Date Fund
Statement of Assets and Liabilities	F-134
Statement of Operations	F-135
Statement of Changes in Net Assets	F-136
Financial Highlights	F-137

F-2

2030 Retirement Date Fund
Statement of Assets and Liabilities	F-138
Statement of Operations	F-139
Statement of Changes in Net Assets	F-140
Financial Highlights	F-141
2040 Retirement Date Fund
Statement of Assets and Liabilities	F-142
Statement of Operations	F-143
Statement of Changes in Net Assets	F-144
Financial Highlights	F-145
Notes to Financial Statements	F-146

F-3

Report of Independent Registered Public Accounting Firm

To the Trustee and Unitholders of the

American Bar Association Members/

State Street Collective Trust

We have completed integrated audits of the financial statements and internal control over financial reporting as of December 31, 2006 of each 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, Lifetime Income Retirement Date Fund, 2010 Retirement Date Fund, 2020 Retirement Date Fund, 2030 Retirement Date Fund, and 2040 Retirement Date Fund (each hereafter referred to as a “Fund”), Conservative Structured Portfolio Service, Moderate Structured Portfolio Service, and Aggressive Structured Portfolio Service (each hereafter referred to as a “Portfolio”) constituting the American Bar Association Members/State Street Collective Trust (hereafter referred to as the “Trust”) in accordance with the standards of the Public Company Accounting Oversight Board (United States). Our opinions, based on our audits, are presented below.

Financial statements and financial statement schedules

In our opinion, the financial statements listed in the index referenced under Item 15(a)(1) present fairly, in all material respects, the financial position of each of the Funds and each of the Portfolios at December 31, 2006, and the results of each of their operations, the changes in each of their net assets, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. In addition, in our opinion, the financial statement schedules listed in the index referenced under Item 15(a)(2) present fairly, in all material respects, the information set forth therein when read in conjunction with the related financial statements. These financial statements and financial statement schedules are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial statement schedules based on our audits. We conducted our audits of these statements in accordance with the standards of Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit of financial statements includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

Internal control over financial reporting

Also, in our opinion, management’s assessment, included in Management’s Report on Internal Control Over Financial Reporting appearing under Item 9A, that the Trust maintained effective internal control over financial reporting as of December 31, 2006 based on criteria established in Internal Control - Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), is fairly stated, in all material respects, based on those criteria. Furthermore, in our opinion, the Trust maintained, in all material respects, effective internal control over financial reporting as of December 31, 2006, based on criteria established in Internal Control - Integrated Framework issued by the COSO. The Trust’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting. Our responsibility is to express opinions on management’s assessment and on the effectiveness of the Trust’s internal control over financial reporting based on our audit. We conducted our audit of internal control over financial reporting in accordance with the standards of the Public

F-4

Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. An audit of internal control over financial reporting includes obtaining an understanding of internal control over financial reporting, evaluating management’s assessment, testing and evaluating the design and operating effectiveness of internal control, and performing such other procedures as we consider necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinions.

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 28, 2007

F-5

American Bar Association Members/State Street Collective Trust

Balanced Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $228,839,932)	$	287,803,942	(a)
Investments in affiliated issuers, at value (cost $20,033,325)		20,033,325
Intermediate Bond Fund (cost $143,716,557 and units of 7,897,072)		156,931,363	(b)
Cash		769
Receivable for investments sold		495,179
Dividends and tax reclaims receivable		385,360
Receivable for fund units sold		316,516
Total assets		465,966,454
LIABILITIES
Payable for collateral received on securities loaned		16,933,801
Payable for fund units redeemed		1,157,981
Investment advisory fee payable		170,444
Payable for investments purchased		97,767
State Street Bank and Trust Company—program fee payable		86,114
Trustee, management and administration fees payable		22,834
ABA Retirement Funds—program fee payable		10,480
Other accruals		81,909
Total liabilities		18,561,330
Net Assets (equivalent to $87.25 per unit based on 5,127,643 units outstanding)	$	447,405,124

(a) Includes securities on loan with a value of $16,501,756.

(b) Indicates an affiliated issuer.

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

F-6

American Bar Association Members/State Street Collective Trust

Balanced Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends (net of foreign tax expense of $10,055)	$	4,433,158
Dividends—affiliated issuers		177,295
Securities lending income		23,821
Total investment income		4,634,274
Expenses
State Street Bank and Trust Company—program fee		1,001,259
Investment advisory fee		677,092
Trustee, management and administration fees		271,798
ABA Retirement Funds—program fee		125,515
Compliance consultant fees		95,630
Legal and audit fees		86,225
Reports to unitholders		48,653
Registration fees		10,366
Other fees		43,166
Total expenses		2,359,704
Net investment income		2,274,570
Realized and unrealized gain on:
Net realized gain on:
Investments		24,274,741
Intermediate Bond Fund		1,874,208
Net realized gain		26,148,949
Change in net unrealized appreciation (depreciation) on:
Investment securities		5,570,994
Net realized and unrealized gain		31,719,943
Net increase in net assets resulting from operations	$	33,994,513

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

F-7

American Bar Association Members/State Street Collective Trust

Balanced Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	2,150,033		$	2,274,570
Net realized gain		22,588,078			26,148,949
Change in net unrealized appreciation (depreciation)		(1,788,800	)		5,570,994
Net increase in net assets resulting from operations		22,949,311			33,994,513
From unitholder transactions
Proceeds from units issued		59,856,571			60,918,646
Cost of units redeemed		(89,807,147	)		(116,447,707	)
Net decrease in net assets resulting from unitholder transactions		(29,950,576	)		(55,529,061	)
Net decrease in net assets		(7,001,265	)		(21,534,548	)
Net Assets
Beginning of year		475,940,937			468,939,672
End of year	$	468,939,672		$	447,405,124
Number of units
Outstanding—beginning of year		6,167,129			5,787,593
Issued		773,406			728,865
Redeemed		(1,152,942	)		(1,388,815	)
Outstanding—end of year		5,787,593			5,127,643

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

F-8

American Bar Association Members/State Street Collective Trust

Balanced Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income†	$	1.86		$	1.60		$	1.25		$	0.71		$	0.84
Net expenses(†)††		(0.45	)		(0.47	)		(0.42	)		(0.36	)		(0.43	)
Net investment income		1.41			1.13			0.83			0.35			0.41
Net realized and unrealized gain (loss)		(9.27	)		13.21			4.37			3.50			5.82
Net increase (decrease) in unit value		(7.86	)		14.34			5.20			3.85			6.23
Net asset value at beginning of year		65.49			57.63			71.97			77.17			81.02
Net asset value at end of year	$	57.63		$	71.97		$	77.17		$	81.02		$	87.25
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.74	%		0.74	%		0.58	%		0.46	%		0.51	%
Ratio of net investment income to average net assets		2.33	%		1.77	%		1.13	%		0.46	%		0.49	%
Portfolio turnover*		221	%		122	%		47	%		22	%		18	%
Total return		(12.00	)%		24.88	%		7.23	%		4.99	%		7.69	%
Net assets at end of year (in thousands)	$	369,334		$	457,861		$	475,941		$	468,940		$	447,405

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

†† Net expenses includes only those expenses charged directly to the Fund and does not include expenses charged to either the collective investment funds in which the Fund invests a portion of its assets and, with respect to periods commencing on July 1, 2004, does not include expenses charged to the Intermediate Bond Fund in which the Fund invests a portion of its assets.

* With respect to the portion of the Fund’s assets invested in a collective investment fund commencing July 1, 2004, portfolio turnover reflects purchases and sales of the collective investment fund in which the Fund invests a portion of its assets, rather than turnover of the underlying portfolio of such collective investment fund.

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

F-9

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—64.3%
BASIC MATERIALS—1.9%
Chemicals—1.0%
Air Products & Chemicals, Inc.	8,600	$	604,408
Dow Chemical Co.	40,582		1,620,845
EI Du Pont de Nemours & Co.	7,700		375,067
Huntsman Corp.*	82,200		1,559,334
Rohm & Haas Co.	5,900		301,608
			4,461,262
Forest Products & Paper—0.2%
International Paper Co.	23,900		814,990
Mining—0.7%
Alcoa, Inc.	45,600		1,368,456
Barrick Gold Corp.	37,400		1,148,180
Newmont Mining Corp.	19,900		898,485
			3,415,121
			8,691,373
COMMUNICATIONS—8.2%
Advertising—0.5%
Getty Images, Inc.*(a)	36,800		1,575,776
Omnicom Group, Inc.	7,300		763,142
			2,338,918
Internet—2.2%
eBay, Inc.*	85,100		2,558,957
Google, Inc.*	13,100		6,032,288
Yahoo!, Inc.*	53,000		1,353,620
			9,944,865
Media—1.9%
Cablevision Systems Corp.	25,705		732,078
CBS Corp. Class B	33,050		1,030,499
Clear Channel Communications, Inc.	44,500		1,581,530
Comcast Corp.*	20,900		884,697
Time Warner, Inc.	34,700		755,766
Viacom, Inc. Class B	10,950		449,279
Walt Disney Co.	89,700		3,074,019
			8,507,868
Telecommunication—3.6%
American Tower Corp.*	15,800		589,024
AT&T, Inc.	39,800		1,422,850
Cisco Systems, Inc.*	255,900		6,993,747

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

F-10

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMUNICATIONS (Continued)
Telecommunication (Continued)
Corning, Inc.*	64,200	$	1,201,182
Motorola, Inc.	38,400		789,504
Qualcomm, Inc.	25,200		952,308
Qwest Communications International, Inc.*(a)	82,300		688,851
Sprint Nextel Corp.	109,300		2,064,677
Verizon Communications, Inc.	35,700		1,329,468
			16,031,611
			36,823,262
CONSUMER, CYCLICAL—5.4%
Apparel—0.3%
Hanesbrands, Inc.*	61,087		1,442,875
Auto Manufacturers—0.5%
Ford Motor Co.	152,000		1,141,520
General Motors Corp.(a)	32,100		986,112
			2,127,632
Auto Parts & Equipment—0.2%
Johnson Controls, Inc.	11,100		953,712
Home Builders—0.1%
Lennar Corp.	7,300		382,958
Lodging—0.7%
Las Vegas Sands Corp.*	24,500		2,192,260
Starwood Hotels & Resorts Worldwide, Inc.	13,500		843,750
			3,036,010
Retail—3.6%
Best Buy Co., Inc.	25,900		1,274,021
Dollar Tree Stores, Inc.*	40,800		1,228,080
Home Depot, Inc.(a)	38,400		1,542,144
Lowe’s Cos., Inc.	183,000		5,700,450
McDonald’s Corp.	16,700		740,311
Target Corp.	94,700		5,402,635
Urban Outfitters, Inc.*	20,500		472,115
			16,359,756
			24,302,943
CONSUMER, NON-CYCLICAL—13.1%
Agriculture—1.2%
Altria Group, Inc.	60,000		5,149,200

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

F-11

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL (Continued)
Beverages—1.2%
Anheuser-Busch Cos., Inc.	15,300	$	752,760
Coca-Cola Co.	26,900		1,297,925
PepsiCo, Inc.	56,000		3,502,800
			5,553,485
Biotechnology—0.3%
Amgen, Inc.*	9,300		635,283
Millennium Pharmaceuticals, Inc.*	81,800		891,620
			1,526,903
Commercial Services—0.2%
McKesson Corp.	14,600		740,220
Cosmetics/Personal Care—0.4%
Avon Products, Inc.	52,100		1,721,384
Food—2.0%
Campbell Soup Co.(a)	27,300		1,061,697
Kraft Foods, Inc.(a)	46,700		1,667,190
Sara Lee Corp.	170,500		2,903,615
Sysco Corp.	46,300		1,701,988
Unilever NV (ADR)	53,600		1,460,600
			8,795,090
Healthcare-Products—1.0%
Baxter International, Inc.	62,200		2,885,458
Medtronic, Inc.	33,100		1,771,181
			4,656,639
Healthcare-Services—1.4%
DaVita, Inc.*	23,700		1,348,056
Lincare Holdings, Inc.*	27,000		1,075,680
UnitedHealth Group, Inc.	32,600		1,751,598
WellPoint, Inc.*	28,000		2,203,320
			6,378,654
Pharmaceuticals—5.4%
Allergan, Inc.	31,700		3,795,758
AstraZeneca PLC (ADR)	112,753		6,037,923
Eli Lilly & Co.	11,100		578,310
Endo Pharmaceuticals Holdings, Inc.*	19,000		524,020
Forest Laboratories, Inc.*	158,400		8,015,040
ImClone Systems, Inc.*(a)	50,100		1,340,676
Medco Health Solutions, Inc.*	10,000		534,400
Pfizer, Inc.	24,300		629,370

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

F-12

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL (Continued)
Pharmaceuticals (Continued)
Sepracor, Inc.*(a)	18,400	$	1,133,072
Teva Pharmaceutical Industries Ltd. (ADR)	45,800		1,423,464
			24,012,033
			58,533,608
ENERGY—5.5%
Coal—0.2%
Arch Coal, Inc.(a)	35,200		1,057,056
Oil & Gas—2.2%
Anadarko Petroleum Corp.	14,600		635,392
Chevron Corp.	18,170		1,336,040
EOG Resources, Inc.	9,300		580,785
Exxon Mobil Corp.	25,766		1,974,449
Royal Dutch Shell PLC Class A (ADR)	74,800		5,295,092
			9,821,758
Oil & Gas Services—2.7%
Baker Hughes, Inc.	36,740		2,743,008
BJ Services Co.	49,700		1,457,204
Halliburton Co.	29,800		925,290
Schlumberger Ltd.	73,792		4,660,703
Weatherford International Ltd.*	48,600		2,030,994
			11,817,199
Pipelines—0.4%
Kinder Morgan Management LLC(a)	2,570		117,398
Kinder Morgan, Inc.	8,044		850,653
Williams Cos., Inc.	26,600		694,792
			1,662,843
			24,358,856
FINANCIAL—11.2%
Banks—2.8%
Capital One Financial Corp.	12,900		990,978
Compass Bancshares, Inc.	8,000		477,200
Fifth Third Bancorp(a)	38,000		1,555,340
Wachovia Corp.	101,400		5,774,730
Wells Fargo & Co.	104,152		3,703,645
			12,501,893
Diversified Financial Services—4.1%
AmeriCredit Corp.*(a)	25,400		639,318
Fannie Mae	41,600		2,470,624

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

F-13

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL (Continued)
Diversified Financial Services (Continued)
Freddie Mac	29,100	$	1,975,890
JPMorgan Chase & Co.	110,252		5,325,172
Merrill Lynch & Co., Inc.	6,500		605,150
SLM Corp.	145,580		7,099,936
			18,116,090
Insurance—2.2%
Aflac, Inc.	15,800		726,800
American International Group, Inc.	43,800		3,138,708
Berkshire Hathaway, Inc.*	19		2,089,810
Marsh & McLennan Cos., Inc.	79,000		2,422,140
XL Capital Ltd.	20,200		1,454,804
			9,832,262
REITS—0.2%
Douglas Emmett, Inc.	17,000		452,030
General Growth Properties, Inc.	7,200		376,056
Host Hotels & Resorts, Inc.	8,264		202,881
			1,030,967
Savings & Loans—1.9%
Hudson City Bancorp, Inc.	132,400		1,837,712
Washington Mutual, Inc.	147,736		6,720,511
			8,558,223
			50,039,435
INDUSTRIAL—7.8%
Aerospace & Defense—0.8%
United Technologies Corp.	55,800		3,488,616
Building Materials—0.5%
American Standard Cos., Inc.	44,800		2,054,080
Electrical Components & Equipment—0.2%
Emerson Electric Co.	22,000		969,980
Electronics—0.8%
Flextronics International Ltd.*	207,400		2,380,952
Jabil Circuit, Inc.	51,000		1,252,050
			3,633,002
Engineering & Construction—0.9%
Fluor Corp.	50,800		4,147,820

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

F-14

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
INDUSTRIAL (Continued)
Miscellaneous Manufacturing—3.5%
Cooper Industries Ltd.	13,200	$	1,193,676
Danaher Corp.	34,400		2,491,936
General Electric Co.	208,900		7,773,169
Illinois Tool Works, Inc.	54,300		2,508,117
Leggett & Platt, Inc.	40,300		963,170
Siemens AG (ADR)(a)	7,900		778,545
			15,708,613
Transportation—1.1%
FedEx Corp.	5,200		564,824
United Parcel Service, Inc. Class B	57,200		4,288,856
			4,853,680
			34,855,791
TECHNOLOGY—10.5%
Computers—2.8%
Affiliated Computer Services, Inc.*	32,300		1,577,532
Dell, Inc.*	73,100		1,834,079
Hewlett-Packard Co.	23,400		963,846
Qimonda AG (ADR)*	30,500		534,055
SanDisk Corp.*	78,800		3,390,764
Seagate Technology(a)	81,500		2,159,750
Sun Microsystems, Inc.*	389,600		2,111,632
			12,571,658
Semiconductors—4.8%
Altera Corp.*	146,700		2,887,056
Applied Materials, Inc.(a)	209,500		3,865,275
Fairchild Semiconductor International, Inc.*	46,700		785,027
Intel Corp.	171,900		3,480,975
International Rectifier Corp.*	48,400		1,864,852
KLA-Tencor Corp.	84,300		4,193,925
Linear Technology Corp.	30,900		936,888
Silicon Laboratories, Inc.*	17,000		589,050
Teradyne, Inc.*(a)	36,300		543,048
Xilinx, Inc.	100,300		2,388,143
			21,534,239
Software—2.9%
Automatic Data Processing, Inc.	13,100		645,175
Microsoft Corp.	314,800		9,399,928
Paychex, Inc.	16,300		644,502

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

F-15

American Bar Association Members/State Street Collective Trust

Balanced Fund

Schedule of Investments

December 31, 2006

	Shares	Value
TECHNOLOGY (Continued)
Software (Continued)
SAP AG (ADR)	43,800	$	2,325,780
			13,015,385
			47,121,282
UTILITIES—0.7%
Electric—0.5%
AES Corp.*	66,200		1,459,048
MDU Resources Group, Inc.	32,100		823,044
			2,282,092
Gas—0.2%
NiSource, Inc.	33,000		795,300
			3,077,392
TOTAL COMMON STOCK (cost $228,839,932)			287,803,942
	Units
INVESTMENT FUNDS—35.1%
American Bar Association Members/State Street Collective Trust Intermediate Bond Fund (cost $143,716,557)	7,897,072		156,931,363
SHORT-TERM INVESTMENTS—4.5%
Affiliated Funds—4.5%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(b)	3,099,524		3,099,524
State Street Quality D Short Term Investment Fund(b)(c)	16,933,801		16,933,801
TOTAL SHORT-TERM INVESTMENTS (cost $20,033,325)			20,033,325
TOTAL INVESTMENTS—103.9% (cost $392,589,814)			464,768,630
Liabilities in excess of other assets—(3.9)%			(17,363,506	)
NET ASSETS—100.0%		$	447,405,124

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company.

(c) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

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

F-16

American Bar Association Members/State Street Collective Trust

Index Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments in affiliated fund, at value:
State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund (cost $330,069,565 and units of 36,519,731)	$	437,944,615
Receivable for fund units sold		499,607
Total assets		438,444,222
LIABILITIES
Payable for fund units redeemed		1,132,945
State Street Bank and Trust Company—program fee payable		129,028
Payable for legal and audit services		55,700
Trustee, management and administration fees payable		34,160
ABA Retirement Funds—program fee payable		15,121
Other accruals		65,941
Total liabilities		1,432,895
Net Assets (equivalent to $36.72 per unit based on 11,900,880 units outstanding)	$	437,011,327

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

F-17

American Bar Association Members/State Street Collective Trust

Index Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Securities lending income distributed by underlying affiliated fund	$	62,047
Total investment income		62,047
Expenses
State Street Bank and Trust Company—program fee		1,447,962
ABA Retirement Funds—program fee		181,293
Trustee, management and administration fees		392,669
Reports to unitholders		70,379
Legal and audit fees		125,000
Compliance consultant fees		138,334
Registration fees		14,995
Other fees		62,568
Total expenses		2,433,200
Net investment loss		(2,371,153	)
Net realized and unrealized gain on investments in affiliated fund
Net realized gain		4,584,394
Change in net unrealized appreciation (depreciation)		58,054,176
Net realized and unrealized gain		62,638,570
Net increase from payments made by affiliates (see Note 3)		62
Net increase in net assets resulting from operations	$	60,267,479

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

F-18

American Bar Association Members/State Street Collective Trust

Index Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment loss	$	(2,039,089	)	$	(2,371,153	)
Net realized gain (loss)		(1,246,397	)		4,584,394
Change in net unrealized appreciation (depreciation)		26,467,267			58,054,176
Net increase from payments made by affiliates		—			62
Net increase in net assets resulting from operations		23,181,781			60,267,479
From unitholder transactions
Proceeds from units issued		84,802,246			80,100,378
Cost of units redeemed		(87,453,916	)		(106,058,962	)
Net decrease in net assets resulting from unitholder transactions		(2,651,670	)		(25,958,584	)
Net increase in net assets		20,530,111			34,308,895
Net Assets
Beginning of year		382,172,321			402,702,432
End of year	$	402,702,432		$	437,011,327
Number of units
Outstanding—beginning of year		12,655,903			12,621,390
Issued		2,805,567			2,380,293
Redeemed		(2,840,080	)		(3,100,803	)
Outstanding—end of year		12,621,390			11,900,880

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

F-19

American Bar Association Members/State Street Collective Trust

Index Equity Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income*†	$	0.00		$	0.00		$	0.00		$	0.00		$	0.00
Net expenses(†)††		(0.12	)		(0.12	)		(0.14	)		(0.16	)		(0.19	)
Net investment loss		(0.12	)		(0.12	)		(0.14	)		(0.16	)		(0.19	)
Net realized and unrealized gain (loss)		(5.70	)		6.42			3.23			1.87			5.00	(a)
Net increase (decrease) in unit value		(5.82	)		6.30			3.09			1.71			4.81
Net asset value at beginning of year		26.63			20.81			27.11			30.20			31.91
Net asset value at end of year	$	20.81		$	27.11		$	30.20		$	31.91		$	36.72
Ratio of net expenses to average net assets††		0.51	%		0.51	%		0.50	%		0.52	%		0.57	%
Ratio of net investment loss to average net assets		(0.50	)%		(0.50	)%		(0.49	)%		(0.51	)%		(0.56	)%
Portfolio turnover**		9	%		7	%		7	%		7	%		6	%
Total return		(21.85	)%		30.27	%		11.40	%		5.66	%		15.07	%
Net assets at end of year (in thousands)	$	219,622		$	318,880		$	382,172		$	402,702		$	437,011

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

** 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.

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

†† 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 a portion of its assets.

(a) Net of payments made by affiliates. Impact of the increase is less than $0.005 per unit.

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

F-20

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $498,796,977)	$	496,952,029	(a)
Investments in affiliated issuers, at value (cost $69,045,035)		69,045,035
Foreign currency, at value (cost $1,214,997)		1,197,747
Receivable for investments sold on delayed delivery basis		175,876,425
Receivable for investments sold		27,835,252
Interest and dividends receivable		3,611,973
Receivable for fund units sold		2,903,501
Swap contracts, at value		113,973
Gross unrealized appreciation of forward currency exchange contracts		43,535
Total assets		777,579,470
LIABILITIES
Payable for investments purchased on a delayed delivery basis		176,273,203
Payable for investments purchased		93,597,113
Payable for collateral received on securities loaned		28,291,250	(b)
Due to custodian		18,879,184
Swap contracts, at value		1,431,729
Payable for fund units redeemed		891,610
State Street Bank and Trust Company—program fee payable		135,021
Investment advisory fee payable		105,658
Payable for futures variation margin		60,319
Trustee, management and administration fees payable		35,786
ABA Retirement Funds—program fee payable		16,420
Gross unrealized depreciation of forward currency exchange contracts		14,582
Other accruals		128,836
Total liabilities		319,860,711
Net Assets (equivalent to $19.88 per unit based on 23,028,142 units outstanding)	$	457,718,759

(a) Includes securities on loan with a value of $32,751,099.

(b) Excludes non-cash collateral received for securities loaned (See Note 6).

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

F-21

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends—unaffiliated issuers	$	166,638
Dividends—affiliated issuers		682,594
Interest—unaffiliated issuers		21,826,111
Securities lending income		59,612
Total investment income		22,734,955
Expenses
Investment advisory fee		1,235,383
State Street Bank and Trust Company—program fee		1,553,143
ABA Retirement Funds—program fee		194,586
Trustee, management and administration fees		421,415
Reports to unitholders		75,527
Legal and audit fees		134,014
Compliance consultant fees		148,455
Registration fees		16,092
Other fees		67,104
Total expenses		3,845,719
Net investment income		18,889,236
Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investment securities		380,748
Foreign currency transactions and forward currency exchange contracts		23,442
Swap contracts		(255,034	)
Written options		93,745
Futures contracts		(2,119,085	)
Net realized loss		(1,876,184	)
Change in net unrealized appreciation (depreciation) on:
Investment securities		297,565
Foreign currency transactions and forward currency exchange contracts		116,909
Written options		(21,603	)
Futures contracts		(202,655	)
Swaps contracts		(377,099	)
Change in net unrealized appreciation (depreciation)		(186,883	)
Net realized and unrealized loss		(2,063,067	)
Net increase in net assets resulting from operations	$	16,826,169

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

F-22

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	16,090,669		$	18,889,236
Net realized loss		(1,712,279	)		(1,876,184	)
Change in net unrealized appreciation (depreciation)		(5,270,448	)		(186,883	)
Net increase in net assets resulting from operations		9,107,942			16,826,169
From unitholder transactions
Proceeds from units issued		89,253,662			81,500,652
Cost of units redeemed		(86,026,416	)		(94,652,637	)
Net increase (decrease) in net assets resulting from unitholder transactions		3,227,246			(13,151,985	)
Net increase in net assets		12,335,188			3,674,184
Net Assets
Beginning of year		441,709,387			454,044,575
End of year	$	454,044,575		$	457,718,759
Number of units
Outstanding—beginning of year		23,511,425			23,695,486
Issued		4,702,646			4,208,673
Redeemed		(4,518,585	)		(4,876,017	)
Outstanding—end of year		23,695,486			23,028,142

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

F-23

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income†	$	0.68		$	0.67		$	0.46		$	0.81		$	0.96
Net expenses(†)††		(0.11	)		(0.14	)		(0.14	)		(0.15	)		(0.16	)
Net investment income		0.57			0.53			0.32			0.66			0.80
Net realized and unrealized gain (loss)		1.16			0.23			0.40			(0.29	)		(0.08	)
Net increase in unit value		1.73			0.76			0.72			0.37			0.72
Net asset value at beginning of year		15.58			17.31			18.07			18.79			19.16
Net asset value at end of year	$	17.31		$	18.07		$	18.79		$	19.16		$	19.88
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.68	%		0.80	%		0.78	%		0.79	%		0.84	%
Ratio of net investment income to average net assets		3.47	%		2.97	%		1.71	%		3.48	%		4.14	%
Portfolio turnover*		564	%		441	%		453	%		458	%		389	%
Total return		11.10	%		4.39	%		3.98	%		1.97	%		3.76	%
Net assets at end of year (in thousands)	$	215,928		$	236,011		$	441,709		$	454,045		$	457,719

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

†† Net expenses includes only those expenses charged directly to the Fund. For periods commencing on or after July 1, 2002, net expenses does not include expenses charged to the collective investment fund in which the Fund invests a portion of its assets and for periods prior to July 1, 2002, net expenses does not include expenses charged to the registered investment company in which the Fund then invested a portion of its assets.

* Prior to July 1, 2002, portfolio turnover reflected purchases and sales by the Fund of shares of the registered investment company in which the Fund was then invested rather than portfolio turnover of the underlying portfolio of such registered investment company.

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

F-24

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Schedule of Investments

December 31, 2006

	Principal Amount		Value
U.S. CORPORATE ASSET-BACKED SECURITIES—2.1%
ASSET-BACKED SECURITIES—2.1%
Auto Loan Receivable—1.0%
USAA Auto Owner Trust 5.31% 3/16/2009	$	4,500,000	$	4,500,067
Collateralized Mortgage Obligations (CMO)—1.0%
Bear Stearns Adjustable Rate Mortgage Trust 5.63% 2/25/2033(a)		258,602		257,626
Bear Stearns Alt-A Trust 5.39% 5/25/2035		1,409,745		1,407,398
CS First Boston Mortgage Securities Corp. 5.63% 5/25/2032(a)		35,149		35,025
Residential Asset Securitization Trust 5.50% 1/25/2034		1,206,344		1,200,937
Residential Funding Mortgage Securities I 6.50% 3/25/2032		246,447		247,839
Salomon Brothers Mortgage Securities VII, Inc. 5.85% 5/25/2032(a)(b)		164,067		164,067
Washington Mutual Mortgage Pass Through Certificates 5.64% 7/25/2045(a)		1,256,991		1,261,226
Washington Mutual Mortgage Securities Corp 5.39% 2/25/2033(a)		62,975		62,679
				4,636,797
Other Asset Backed—0.1%
CVS Corp. 6.20% 10/10/2025(b)		64,535		66,561
Ras Laffan Liquefied Natural Gas Co. Ltd. 8.29% 3/15/2014(b)		255,000		283,867
				350,428
TOTAL U.S. CORPORATE ASSET-BACKED SECURITIES (cost $9,521,682)				9,487,292
U.S. GOVERNMENT & AGENCY OBLIGATIONS—87.6%
AGENCY MORTGAGE BACKED SECURITIES—53.6%
Federal Home Loan Mortgage Corp. (FHLMC)—2.4%
FHLMC
5.00% 10/1/2035—12/1/2035		3,432,818		3,313,415
6.16% 7/25/2044		6,263,317		6,293,125
7.50% 7/1/2021—9/1/2032		883,557		917,686
8.00% 11/1/2029—7/1/2031		268,604		282,210
8.50% 3/1/2030—10/1/2030		69,047		73,979
9.50% 4/15/2020		9,953		10,325
10.00% 9/1/2017—11/1/2020		57,074		60,617
10.50% 4/1/2016—2/1/2021		26,783		29,320
11.00% 9/1/2020		5,298		5,876
				10,986,553

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

F-25

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Schedule of Investments

December 31, 2006

	Principal Amount		Value
AGENCY MORTGAGE BACKED SECURITIES (Continued)
Federal National Mortgage Association (FNMA)—50.0%
FNMA
4.00% 7/1/2018—4/1/2020	$	22,586,447	$	21,307,113
4.50% 2/1/2035—10/1/2035		6,277,938		5,884,786
5.00% 2/1/2019—1/1/2037		7,437,655		7,225,271
5.50% 10/1/2033—2/1/2037		87,272,309		86,493,958
6.00% 4/1/2016—1/1/2037		49,717,283		50,051,560
6.50% 4/1/2029—1/1/2037		51,492,624		52,474,777
6.67% 4/1/2032(a)		179,697		181,393
7.00% 5/1/2024—6/1/2032		1,460,379		1,502,987
7.50% 9/1/2029—2/1/2032		416,758		433,893
8.00% 5/1/2029—4/1/2032		1,149,767		1,213,911
8.50% 9/25/2020—1/1/2031		1,337,320		1,437,410
9.50% 4/1/2030		179,126		195,638
10.00% 5/1/2022—11/1/2024		144,777		158,537
10.50% 10/1/2018		22,213		24,482
11.00% 9/1/2019		35,896		39,611
11.50% 11/1/2019		7,268		7,884
				228,633,211
Government National Mortgage Association (GNMA)—1.2%
GNMA
5.13% 10/20/2025—12/20/2027(a)		75,317		76,425
5.38% 2/20/2025—5/20/2025(a)		189,014		191,121
5.75% 7/20/2025—9/20/2027(a)		121,208		122,864
6.00% 3/15/2036—1/1/2037		3,979,888		4,034,802
9.00% 12/15/2017		59,333		63,367
9.50% 9/15/2017—12/15/2021		203,046		220,357
10.00% 3/15/2018—2/15/2025		480,282		530,791
10.50% 9/15/2015—3/15/2020		59,725		66,200
11.00% 12/15/2009—2/15/2025		112,748		124,740
				5,430,667
U.S. GOVERNMENT OBLIGATIONS—34.0%
U.S. Treasury Bonds—1.4%
United States Treasury Bonds
4.50% 2/15/2036		1,400,000		1,331,313
5.38% 2/15/2031		2,200,000		2,356,578
8.13% 8/15/2021(d)		2,200,000		2,936,140
				6,624,031

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

F-26

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Schedule of Investments

December 31, 2006

	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS (Continued)
U.S. Treasury Inflation Indexed Bonds—10.0%
United States Treasury Inflation Indexed Bonds
0.88% 4/15/2010(c)	$	14,923,580	$	14,148,255
2.38% 4/15/2011(a)(c)		1,729,597		1,722,706
3.38% 1/15/2007(c)		19,246,460		19,213,376
3.63% 1/15/2008(c)		10,624,915		10,738,219
				45,822,556
U.S. Treasury Notes—22.6%
United States Treasury Notes
3.25% 1/15/2009		1,300,000		1,261,406
3.75% 3/31/2007(d)		9,300,000		9,269,487
3.88% 9/15/2010(d)		6,800,000		6,610,076
4.00% 4/15/2010(d)		2,000,000		1,957,032
4.25% 10/31/2007—8/15/2014(d)		25,100,000		24,740,754
4.50% 11/15/2015(d)		2,200,000		2,166,140
4.63% 11/30/2008—11/15/2016		31,000,000		30,849,300
4.75% 3/31/2011(d)		1,200,000		1,202,016
4.88% 4/30/2011—8/15/2016(d)		25,000,000		25,234,455
				103,290,666
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (cost $403,517,059)				400,787,684
FOREIGN GOVERNMENT OBLIGATIONS—4.3%
France—1.4%
France (Government of) 2.25% 3/12/2007	EUR	5,000,000		6,580,387
Italy—0.1%
Republic of Italy 3.80% 3/27/2008	JPY	29,000,000		252,620
Japan—1.5%
Japanese Government Bond 0.35% 3/19/2008	JPY	800,000,000		6,697,779
Mexico—0.2%
United Mexican States
8.00% 9/24/2022(d)	$	625,000		763,750
8.30% 8/15/2031		250,000		319,625
				1,083,375
United Kingdom—1.1%
United Kingdom (Government of) 4.25% 3/7/2011	GBP	2,600,000		4,939,779
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (cost $19,219,764)				19,553,940

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

F-27

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Schedule of Investments

December 31, 2006

	Principal Amount		Value
MUNICIPALS—0.9%
California—0.7%
Golden St. Tobacco Securitization Corp. Revenue Bonds (CA Tobacco Settlement Series 2003 A-1)
6.25% 6/1/2033	$	2,450,000	$	2,738,120
6.75% 6/1/2039		600,000		687,306
				3,425,426
New Jersey—0.2%
Tobacco Settlement Financing Corp. 6.38% 6/1/2032		750,000		841,193
TOTAL MUNICIPALS (cost $3,525,568)				4,266,619
CORPORATE BONDS—11.4%
COMMUNICATIONS—2.1%
Telecommunication—2.1%
AT&T, Inc.
5.46% 5/15/2008(a)		4,300,000		4,302,283
5.58% 11/14/2008(a)		3,000,000		3,008,739
BellSouth Corp. 5.47% 8/15/2008(a)		2,200,000		2,201,281
				9,512,303
CONSUMER, CYCLICAL—1.4%
Auto Manufacturers—0.4%
DaimlerChrysler NA Holdings 5.60% 3/7/2007(a)		1,500,000		1,500,236
Lodging—1.0%
Harrah’s Operating Co., Inc. 5.98% 2/8/2008(a)(b)		2,300,000		2,304,036
Mandalay Resort Group 10.25% 8/1/2007		2,300,000		2,354,625
				4,658,661
ENERGY—2.1%
Coal—0.1%
Peabody Energy Corp. 7.88% 11/1/2026		300,000		322,500
Oil & Gas—1.9%
ConocoPhillips Australia Funding Co. 5.47% 4/9/2009(a)		6,800,000		6,805,413
Transocean, Inc. 5.57% 9/5/2008(a)		2,200,000		2,201,326
				9,006,739
Pipelines—0.1%
El Paso Corp. 7.00% 5/15/2011		450,000		466,875

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

F-28

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Schedule of Investments

December 31, 2006

	Principal Amount		Value
FINANCIAL—5.7%
Banks—3.1%
HSBC Bank USA NA 5.44% 9/21/2007(a)	$	900,000	$	900,795
Rabobank Nederland 0.20% 6/20/2008	JPY	650,000,000		5,414,029
Royal Bank of Scotland Group PLC 5.37% 12/21/2007(a)(b)	$	7,000,000		7,005,334
VTB Capital SA 5.97% 8/1/2008(a)(b)(d)		900,000		900,450
				14,220,608
Diversified Financial Services—2.2%
American Honda Finance Corp. 5.41% 3/9/2009(a)		4,600,000		4,605,014
Goldman Sachs Group, Inc. 5.46% 12/22/2008(a)		4,600,000		4,605,281
Overseas Private Investment Corp. 5.57% 12/14/2007		1,000,000		1,020,172
				10,230,467
Insurance—0.4%
ASIF III Jersey Ltd. 0.95% 7/15/2009	JPY	214,000,000		1,791,404
UTILITIES—0.1%
Electric—0.1%
Entergy Gulf States, Inc. 3.60% 6/1/2008	$	95,000		92,491
PSEG Power LLC 6.95% 6/1/2012		400,000		422,876
				515,367
TOTAL CORPORATE BONDS (cost $51,896,364)				52,225,160
BANK LOANS—0.9%
BASIC MATERIALS—0.9%
Georgia Pacific Corp. 7.36% 12/20/2012		3,960,000		3,983,099
Total BANK LOANS (cost $3,960,000)				3,983,099
	Shares
PREFERRED STOCK—0.0%
FINANCIAL—0.0%
Diversified Financial Services—0.0%
Home Ownership Funding Corp.(b)		1,250		184,409
TOTAL PREFERRED STOCK (cost $544,336)				184,409
	Contracts
OPTIONS PURCHASED—CALLS—0.1%
Eurodollar Futures, Expiring September 2007 @ 95.25		949		593,125
Total OPTIONS PURCHASED—CALLS (cost $770,566)				593,125

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

F-29

American Bar Association Members/State Street Collective Trust

Intermediate Bond Fund

Schedule of Investments

December 31, 2006

	Principal Amount		Value
SHORT-TERM INVESTMENTS—16.4%
COMMERCIAL PAPER—0.2%
Bank of America Corp. 5.25% 3/20/2007	$	1,100,000	$	1,087,487
U.S. GOVERNMENT & AGENCY OBLIGATIONS—1.1%
U.S. Treasury Bills—1.1%
United States Treasury Bills
4.80% 3/15/2007		2,620,000		2,594,525
4.81% 3/15/2007		2,080,000		2,059,734
4.91% 3/1/2007		130,000		128,955
				4,783,214
	Units
INVESTMENT FUNDS—15.1%
Affiliated Funds—15.1%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(e)		40,753,785	$	40,753,785
State Street Quality D Short Term Investment Fund(e)(f)		28,291,250		28,291,250
				69,045,035
TOTAL SHORT-TERM INVESTMENTS (cost $74,915,736)				74,915,736
TOTAL INVESTMENTS—123.7% (cost $567,871,075)				565,997,064
Liabilities in excess of other assets—(23.7)%				(108,278,305	)
NET ASSETS—100.0%			$	457,718,759

(a) Indicates a variable rate security. The rate shown reflects the current rate in effect at year end.

(b) Security is exempt from registration under rule 144A of the Securities Act of 1933. These securities are deemed liquid as they may be resold in transactions exempt from registration, normally to qualified institutional investors. The total cost and market value of Rule 144A securities owned at year end were $11,254,632 and $10,908,724, respectively.

(c) Represents a Treasury Inflation-Protected Security (TIPS). The interest and redemption payments for TIPS are tied to inflation as measured by the Consumer Price Index (CPI).

(d) All or a portion of security is on loan.

(e) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company.

(f) Represents security purchased with cash collateral received for securities on loan.

EUR    Euro Denominated Bond

GBP    Pound Sterling Denominated Bond

JPY      Japanese Denominated Bond

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

F-30

American Bar Association Members/State Street Collective Trust

International Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $188,703,968)	$	273,549,412	(a)
Investments in affiliated issuers, at value (cost $31,180,954)		31,180,954
Foreign currency, at value (cost $267,057)		265,760
Cash		1,486
Receivable for fund units sold		393,551
Dividends receivable		332,619
Tax reclaims receivable		158,262
Total assets		305,882,044
LIABILITIES
Payable for collateral received on securities loaned		29,098,096
Payable for fund units redeemed		2,873,787
Investment advisory fee payable		195,535
State Street Bank and Trust Company—program fee payable		80,036
Trustee, management and administration fees payable		21,129
ABA Retirement Funds—program fee payable		9,682
Tax withholding payable		6,263
Other accruals		72,636
Total liabilities		32,357,164
Net Assets (equivalent to $31.16 per unit based on 8,778,232 units outstanding)	$	273,524,880

(a) Includes securities on loan with a value of $27,752,908.

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

F-31

American Bar Association Members/State Street Collective Trust

International Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends (net of foreign tax expense of $364,447)	$	6,468,571
Dividends—affiliated issuers		292,859
Securities lending income		128,545
Total investment income		6,889,975
Expenses
Investment advisory fee		1,373,604
State Street Bank and Trust Company—program fee		831,695
ABA Retirement Funds—program fee		103,971
Trustee, management and administration fees		225,251
Reports to unitholders		40,417
Legal and audit fees		71,996
Compliance consultant fees		79,441
Registration fees		8,611
Other fees		36,027
Total expenses		2,771,013
Net investment income		4,118,962
Realized and unrealized gain
Net realized gain on:
Investment securities		17,455,953
Foreign currency transactions		42,540
Net realized gain		17,498,493
Change in net unrealized appreciation (depreciation) on:
Investment securities		32,870,888
Foreign currency transactions		21,339
Change in net unrealized appreciation (depreciation)		32,892,227
Net realized and unrealized gain		50,390,720
Net increase in net assets resulting from operations	$	54,509,682

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

F-32

American Bar Association Members/State Street Collective Trust

International Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	2,750,784		$	4,118,962
Net realized gain		15,009,468			17,498,493
Change in net unrealized appreciation (depreciation)		7,619,799			32,892,227
Net increase in net assets resulting from operations		25,380,051			54,509,682
From unitholder transactions
Proceeds from units issued		71,917,913			82,205,019
Cost of units redeemed		(53,905,305	)		(65,296,027	)
Net increase in net assets resulting from unitholder transactions		18,012,608			16,908,992
Net increase in net assets		43,392,659			71,418,674
Net Assets
Beginning of year		158,713,547			202,106,206
End of year	$	202,106,206		$	273,524,880
Number of units
Outstanding—beginning of year		7,257,708			8,133,807
Issued		3,227,181			2,958,191
Redeemed		(2,351,082	)		(2,313,766	)
Outstanding—end of year		8,133,807			8,778,232

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

F-33

American Bar Association Members/State Street Collective Trust

International Equity Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income†	$	0.21		$	0.37		$	0.51		$	0.59		$	0.79
Net expenses(†)††		(0.10	)		(0.15	)		(0.21	)		(0.25	)		(0.32	)
Net investment income		0.11			0.22			0.30			0.34			0.47
Net realized and unrealized gain (loss)		(3.45	)		4.30			3.35			2.64			5.84
Net increase (decrease) in unit value		(3.34	)		4.52			3.65			2.98			6.31
Net asset value at beginning of year		17.04			13.70			18.22			21.87			24.85
Net asset value at end of year	$	13.70		$	18.22		$	21.87		$	24.85		$	31.16
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.66	%		1.01	%		1.10	%		1.11	%		1.14	%
Ratio of net investment income to average net assets		0.72	%		1.51	%		1.59	%		1.50	%		1.69	%
Portfolio turnover*		64	%		144	%		25	%		35	%		30	%
Total return		(19.60	)%		32.99	%		20.03	%		13.63	%		25.39	%
Net assets at end of year (in thousands)	$	78,240		$	115,366		$	158,714		$	202,106		$	273,525

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

†† Net expenses includes only those expenses charged directly to the Fund. For periods commencing April 1, 2003, net expenses does not include expenses charged to the collective investment fund in which the Fund invests a portion of its assets and for periods ended on or before March 31, 2003, net expenses does not include expenses relating to the registered investment company in which the Fund then invested a portion of its assets.

* Through March 31, 2003, portfolio turnover reflects purchases and sales of shares of the registered investment company in which a portion of the Fund was then invested rather than the portfolio turnover of the underlying portfolio of the registered investment company.

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

F-34

American Bar Association Members/State Street Collective Trust

International Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—100.0%
Australia—2.2%
AXA Asia Pacific Holdings Ltd.	134,500	$	772,883
BHP Billiton Ltd.(a)	93,200		1,858,662
Commonwealth Bank of Australia	28,700		1,119,375
Telstra Corp. Ltd.(a)	313,000		1,021,430
Telstra Corp. Ltd. (Installment Receipt, expiring 3/31/08)(a)(b)(g)	382,155		810,319
Zinifex Ltd.	28,250		418,417
			6,001,086
Belgium—0.7%
Dexia	39,320		1,076,649
Fortis	21,400		912,417
			1,989,066
Bermuda—0.5%
Esprit Holdings Ltd.	117,000		1,309,511
Brazil—1.0%
Cia Vale do Rio Doce (ADR)	46,416		1,380,412
Petroleo Brasileiro SA (ADR)	14,100		1,452,159
			2,832,571
Canada—3.6%
Alcan, Inc.	12,400		604,146
Bank of Nova Scotia(c)	2,600		116,480
Bank of Nova Scotia(d)	22,120		988,890
Barrick Gold Corp.	24,319		748,100
Cameco Corp.	13,180		533,805
Canadian Imperial Bank of Commerce	12,340		1,040,863
Canadian National Railway Co.	24,400		1,048,317
Shoppers Drug Mart Corp.	25,500		1,096,014
Talisman Energy, Inc.	169,500		2,879,784
Teck Cominco Ltd.	12,130		914,902
			9,971,301
China—0.8%
Aluminum Corp. of China Ltd.	952,000		883,748
China Life Insurance Co. Ltd.	423,000		1,438,535
			2,322,283
Denmark—0.5%
H. Lundbeck A/S	50,000		1,378,331
Egypt—0.3%
Orascom Telecom Holding SAE (GDR)	13,900		917,400
Finland—1.2%
Nokia OYJ	162,700		3,323,541

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

F-35

American Bar Association Members/State Street Collective Trust

International Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK (Continued)
France—12.8%
Accor SA	11,100	$	859,812
Air France-KLM	11,900		500,777
Assurances Generales de France(a)	14,700		2,290,919
AXA SA(a)	100,250		4,057,333
BNP Paribas (a)	30,265		3,300,852
Casino Guichard Perrachon SA	15,700		1,458,528
Cie de Saint-Gobain(a)	43,000		3,611,681
France Telecom SA(a)	66,000		1,824,612
Imerys SA(a)	13,608		1,210,310
Lafarge SA(a)	20,200		3,004,124
Sanofi-Aventis	43,000		3,969,161
Societe BIC SA(a)	8,700		605,598
Total SA(a)	91,660		6,610,169
Valeo SA	41,000		1,705,888
			35,009,764
Germany—8.0%
Allianz AG	13,300		2,716,145
BASF AG	24,940		2,430,466
Bayerische Motoren Werke AG	48,200		2,767,443
Continental AG	18,600		2,162,377
Deutsche Post AG	42,900		1,292,992
E.ON AG	17,700		2,401,793
Hannover Rueckversicherung AG*	45,400		2,101,638
Linde AG	279		28,813
Metro AG	19,000		1,211,248
SAP AG	14,400		765,030
Siemens AG	39,955		3,961,730
			21,839,675
Greece—0.6%
Public Power Corp.	63,000		1,596,189
Hong Kong—0.8%
China Mobile Ltd.	94,500		818,321
Hutchison Whampoa Ltd.	77,000		782,118
Techtronic Industries Co.	385,000		497,981
			2,098,420
India—0.4%
HDFC Bank Ltd. (ADR)(a)	12,700		958,596
Indonesia—0.2%
Telekomunikasi Indonesia Tbk PT (ADR)	13,393		610,721
Ireland—3.1%
Allied Irish Banks PLC	70,000		2,089,456
Bank of Ireland(e)	92,840		2,143,955

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

F-36

American Bar Association Members/State Street Collective Trust

International Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK (Continued)
Ireland (Continued)
Bank of Ireland(f)	27,600	$	637,367
CRH PLC	67,400		2,808,760
Irish Life & Permanent PLC	30,600		843,937
			8,523,475
Israel—0.6%
Teva Pharmaceutical Industries Ltd. (ADR)(a)	48,500		1,507,380
Italy—4.0%
Banca Intesa SpA	146,000		1,127,071
ENI SpA	159,250		5,354,531
Mediaset SpA(a)	250,900		2,976,479
UniCredito Italiano SpA(a)	160,000		1,401,944
			10,860,025
Japan—16.4%
Astellas Pharma, Inc.	26,800		1,218,131
Bank of Yokohama Ltd.	76,000		595,102
Canon, Inc.	26,800		1,508,591
Credit Saison Co. Ltd.	13,400		461,584
Daikin Industries Ltd.	19,100		664,348
Daito Trust Construction Co. Ltd.	29,000		1,330,309
FamilyMart Co. Ltd.	43,000		1,170,510
Funai Electric Co. Ltd.(a)	6,300		509,716
Hirose Electric Co. Ltd.	5,660		642,441
Honda Motor Co. Ltd.	34,800		1,374,165
Hoya Corp.	27,300		1,064,247
Kuraray Co. Ltd.	95,000		1,120,605
Mitsubishi Corp.	127,600		2,401,378
Mitsubishi UFJ Financial Group, Inc.	152		1,877,253
Mitsui Fudosan Co. Ltd.	47,000		1,147,112
Mitsui Trust Holdings, Inc.	55,000		631,212
Nidec Corp.	16,600		1,283,092
Nikko Cordial Corp.	49,500		567,675
Nitto Denko Corp.	18,500		926,360
Nomura Holdings, Inc.	37,300		703,537
OKUMA Corp.	90,000		1,043,478
Onward Kashiyama Co. Ltd.	82,000		1,046,486
ORIX Corp.	6,900		1,997,101
Ricoh Co. Ltd.	92,000		1,878,261
Sega Sammy Holdings, Inc.	77,600		2,092,804
Seven & I Holdings Co. Ltd.	33,800		1,050,704
Sharp Corp.	71,000		1,222,852
Shin-Etsu Chemical Co. Ltd.	14,100		944,146
SMC Corp.	7,600		1,077,824
Sony Corp.	26,800		1,148,330
Sumitomo Chemical Co. Ltd.	285,000		2,210,082

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

F-37

American Bar Association Members/State Street Collective Trust

International Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK (Continued)
Japan (Continued)
Sumitomo Corp.	96,000	$	1,436,471
Sumitomo Mitsui Financial Group, Inc.(a)	158		1,619,492
Takeda Pharmaceutical Co. Ltd.	26,000		1,784,667
TIS, Inc.	21,300		503,755
Toyota Motor Corp.	38,000		2,541,315
			44,795,136
Korea, Republic of—1.8%
Hyundai Motor Co.	8,600		623,269
Kookmin Bank	11,300		910,075
Samsung Electronics Co. Ltd.	2,000		1,318,280
Samsung Electronics Co. Ltd. (GDR)(g)	3,960		1,302,840
Shinsegae Co. Ltd.	1,440		898,064
			5,052,528
Mexico—1.1%
America Movil SA de CV (ADR)	20,520		927,914
Fomento Economico Mexicano SA de CV (ADR)	10,400		1,203,904
Wal-Mart de Mexico SA de CV	208,600		917,991
			3,049,809
Netherlands—5.7%
Akzo Nobel NV	29,000		1,768,384
ING Groep NV	85,260		3,779,182
Koninklijke Philips Electronics NV	62,470		2,355,181
Reed Elsevier NV	176,758		3,013,590
TNT NV	50,900		2,188,323
Unilever NV	59,700		1,630,749
Wolters Kluwer NV	32,420		932,208
			15,667,617
Norway—1.0%
Norsk Hydro ASA	75,000		2,330,202
Yara International ASA	13,000		295,882
			2,626,084
Singapore—0.9%
Capitaland Ltd.	151,000		610,320
Singapore Telecommunications Ltd.	843,600		1,803,845
			2,414,165
South Africa—0.3%
Steinhoff International Holdings Ltd.	197,436		696,045

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

F-38

American Bar Association Members/State Street Collective Trust

International Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK (Continued)
Spain—1.8%
Altadis SA	17,900	$	936,567
Banco Bilbao Vizcaya Argentaria SA(a)	73,000		1,757,075
Banco Santander Central Hispano SA	119,000		2,220,439
			4,914,081
Sweden—3.0%
Assa Abloy AB	95,000		2,070,292
Nordea Bank AB	116,000		1,806,742
Telefonaktiebolaget LM Ericsson	1,057,300		4,275,777
			8,152,811
Switzerland—5.4%
Adecco SA	16,700		1,139,897
Holcim Ltd.	17,285		1,583,023
Nestle SA	5,450		1,934,858
Novartis AG	32,150		1,851,791
Roche Holding AG	11,850		2,122,925
UBS AG	42,600		2,586,422
Zurich Financial Services AG	13,600		3,657,443
			14,876,359
Taiwan—0.5%
Asustek Computer, Inc. (GDR)	326,810		866,046
Taiwan Semiconductor Manufacturing Co. Ltd. (ADR)(a)	50,782		555,043
			1,421,089
United Kingdom—20.8%
AstraZeneca PLC	29,300		1,574,738
Aviva PLC	115,600		1,861,171
Barclays PLC	153,700		2,197,624
BG Group PLC	119,330		1,619,718
BP PLC	208,200		2,314,212
British Land Co. PLC	38,920		1,306,593
Burberry Group PLC	21,371		270,195
Cattles PLC	146,000		1,256,091
Centrica PLC	454,059		3,152,718
Emap PLC	71,000		1,122,942
GlaxoSmithKline PLC	185,358		4,879,409
HBOS PLC	80,000		1,773,753
HSBC Holdings PLC	309,893		5,677,812
Kingfisher PLC	240,459		1,123,275
Prudential PLC	202,000		2,767,552
Rexam PLC	170,400		1,753,876
Rio Tinto PLC	36,100		1,921,823
Royal Bank of Scotland Group PLC	61,900		2,416,321
Royal Dutch Shell PLC	71,600		2,524,597
Schroders PLC	6,400		139,895

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

F-39

American Bar Association Members/State Street Collective Trust

International Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK (Continued)
United Kingdom (Continued)
Schroders PLC (Non Voting Shares)	33,564	$	687,641
Smith & Nephew PLC	89,855		938,050
Standard Chartered PLC	63,940		1,868,521
Tesco PLC	249,740		1,978,624
Travis Perkins PLC	36,300		1,410,603
Vodafone Group PLC	1,549,013		4,293,070
WM Morrison Supermarkets PLC	162,428		809,665
Wolseley PLC	74,600		1,801,601
WPP Group PLC	102,944		1,392,263
			56,834,353
TOTAL COMMON STOCK (cost $188,703,968)			273,549,412
	Units
SHORT-TERM INVESTMENTS—11.4%
Affiliated Funds—11.4%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(h)	2,082,858		2,082,858
State Street Quality D Short Term Investment Fund(h)(i)	29,098,096		29,098,096
TOTAL SHORT-TERM INVESTMENTS (cost $31,180,954)			31,180,954
TOTAL INVESTMENTS—111.4% (cost $219,884,922)			304,730,366
Liabilities in excess of other assets—(11.4)%			(31,205,486	)
NET ASSETS—100.0%			273,524,880

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Indicates a debt or equity issuance in which the fund does not pay the full value of the issue up front. In the purchase of an installment receipt, an initial payment is made to the issuer at the time the issue closes and the remaining balance must be paid in installments, typically within a two-year period. The fund is still entitled to full voting rights and dividends.

(c) Listed on the New York Stock Exchange.

(d) Listed on the Toronto Stock Exchange.

(e) Listed on the London Stock Exchange.

(f) Listed on the Dublin Stock Exchange.

(g) Security is exempt from registration under rule 144A of the Securities Act of 1933. These securities are deemed liquid as they may be resold in transactions exempt from registration, normally to qualified institutional investors. The total cost and market value of Rule 144A securities owned at year end were $1,310,393 and $2,113,159, respectively.

(h) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company.

(i) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

GDR—Global Depository Receipt

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

F-40

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $436,626,666)	$	507,677,370	(a)
Investments in affiliated issuers, at value (cost $200,938,279)		279,137,636
Cash		986
Receivable for fund units sold		728,594
Dividends and tax reclaims receivable		549,432
Receivable for investments sold		188,309
Total assets		788,282,327
LIABILITIES
Payable for collateral received on securities loaned		30,732,915
Payable for fund units redeemed		1,871,181
Payable for investments purchased		656,958
Investment advisory fee payable		224,701
State Street Bank and Trust Company—program fee payable		222,812
Trustee, management and administration fees payable		59,135
ABA Retirement Funds—program fee payable		27,115
Other accruals		212,563
Total liabilities		34,007,380
Net Assets (equivalent to $53.52 per unit based on 14,094,429 units outstanding)	$	754,274,947

(a) Includes securities on loan with a value of $30,018,146.

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

F-41

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends (net of foreign tax expense of $8,981)	$	6,170,931
Dividends—affiliated issuers		454,015
Securities lending income		61,060
Total investment income		6,686,006
Expenses
Investment advisory fee		1,502,145
State Street Bank and Trust Company—program fee		2,621,833
ABA Retirement Funds—program fee		328,782
Trustee, management and administration fees		711,919
Reports to unitholders		127,375
Legal and audit fees		225,575
Compliance consultant fees		250,369
Registration fees		27,139
Other fees		112,926
Total expenses		5,908,063
Net investment income		777,943
Net realized and unrealized gain (loss) on investments
Net realized gain on:
Investments—unaffiliated issuers		64,182,432
Investments—affiliated issuers		13,630,782
Net realized gain		77,813,214
Change in net unrealized appreciation (depreciation) on:
Investment securities		(16,760,952	)
Net realized and unrealized gain		61,052,262
Net increase from payments made by affiliates (see Note 3)		22
Net increase in net assets resulting from operations	$	61,830,227

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

F-42

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	774,749		$	777,943
Net realized gain		41,224,997			77,813,214
Change in net unrealized appreciation (depreciation) on investments		9,327,361			(16,760,952	)
Net increase from payments made by affiliates		—			22
Net increase in net assets resulting from operations		51,327,107			61,830,227
From unitholder transactions
Proceeds from units issued		90,090,704			94,058,428
Cost of units redeemed		(182,981,972	)		(191,239,403	)
Net decrease in net assets resulting from unitholder transactions		(92,891,268	)		(97,180,975	)
Net decrease in net assets		(41,564,161	)		(35,350,748	)
Net Assets
Beginning of year		831,189,856			789,625,695
End of year	$	789,625,695		$	754,274,947
Number of units
Outstanding—beginning of year		17,999,653			16,007,462
Issued		1,957,895			1,866,459
Redeemed		(3,950,086	)		(3,779,492	)
Outstanding—end of year		16,007,462			14,094,429

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

F-43

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income†	$	0.40		$	0.32		$	0.41		$	0.37		$	0.44
Net expenses(†)††		(0.27	)		(0.26	)		(0.30	)		(0.33	)		(0.39	)
Net investment income		0.13			0.06			0.11			0.04			0.05
Net realized and unrealized gain (loss)		(12.41	)		10.21			2.55			3.11			4.14	(a)
Net increase (decrease) in unit value		(12.28	)		10.27			2.66			3.15			4.19
Net asset value at beginning of year		45.53			33.25			43.52			46.18			49.33
Net asset value at end of year	$	33.25		$	43.52		$	46.18		$	49.33		$	53.52
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.71	%		0.69	%		0.68	%		0.71	%		0.77	%
Ratio of net investment income to average net assets		0.35	%		0.14	%		0.27	%		0.10	%		0.10	%
Portfolio turnover†††		55	%		25	%		43	%		36	%		53	%
Total return		(26.97	)%		30.89	%		6.11	%		6.82	%		8.49	%
Net assets at end of year (in thousands)	$	673,079		$	840,093		$	831,190		$	789,626		$	754,275

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

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

††† With respect to the portion of the Fund’s assets invested in a collective investment fund after December 15, 2002, portfolio turnover reflects purchases and sales of the collective investment fund, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

(a) Net of payments made by affiliates. Impact of the increase is less than $0.005 per unit.

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

F-44

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—67.3%
BASIC MATERIALS—1.0%
Chemicals—0.5%
Air Products & Chemicals, Inc.	10,400	$	730,912
Dow Chemical Co.	34,600		1,381,924
EI Du Pont de Nemours & Co.	6,500		316,615
Huntsman Corp.*	70,700		1,341,179
Rohm & Haas Co.	5,000		255,600
			4,026,230
Forest Products & Paper—0.1%
International Paper Co.	23,700		808,170
Mining—0.4%
Alcoa, Inc.	38,900		1,167,389
Barrick Gold Corp.	31,700		973,190
Newmont Mining Corp.	17,100		772,065
			2,912,644
			7,747,044
COMMUNICATIONS—10.3%
Advertising—1.1%
Getty Images, Inc.*(a)	25,900		1,109,038
Lamar Advertising Co.*	96,000		6,277,440
Omnicom Group, Inc.	7,000		731,780
			8,118,258
Internet—3.2%
Amazon.Com, Inc.*(a)	143,100		5,646,726
eBay, Inc.*	71,400		2,146,998
Google, Inc.*	26,300		12,110,624
Yahoo!, Inc.*	150,500		3,843,770
			23,748,118
Media—1.4%
Cablevision Systems Corp.	19,469		554,477
CBS Corp. Class B	28,300		882,394
Clear Channel Communications, Inc.	37,200		1,322,088
Comcast Corp.*	18,000		761,940
EchoStar Communications Corp.*	89,500		3,403,685
Time Warner, Inc.	31,100		677,358
Viacom, Inc. Class B	11,400		467,742
Walt Disney Co.	76,700		2,628,509
			10,698,193

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

F-45

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMUNICATIONS (Continued)
Telecommunication—4.6%
American Tower Corp.*	278,600	$	10,386,208
AT&T, Inc.	33,400		1,194,050
Cisco Systems, Inc.*	218,600		5,974,338
Corning, Inc.*	49,100		918,661
Juniper Networks, Inc.*	399,000		7,557,060
Motorola, Inc.	32,100		659,976
Qualcomm, Inc.	58,000		2,191,820
Qwest Communications International, Inc.*(a)	78,800		659,556
Sprint Nextel Corp.	80,250		1,515,923
Telefonaktiebolaget LM Ericsson (ADR)	70,800		2,848,284
Verizon Communications, Inc.	29,900		1,113,476
			35,019,352
			77,583,921
CONSUMER, CYCLICAL—8.1%
Airlines—0.6%
Southwest Airlines Co.	302,600		4,635,832
Apparel—0.2%
Hanesbrands, Inc.*	52,537		1,240,924
Auto Manufacturers—0.2%
Ford Motor Co.	128,000		961,280
General Motors Corp.(a)	27,600		847,872
			1,809,152
Auto Parts & Equipment—0.1%
Johnson Controls, Inc.	9,400		807,648
Entertainment—0.8%
International Game Technology	130,100		6,010,620
Home Builders—0.1%
Lennar Corp.	6,300		330,498
Home Furnishings—0.6%
Harman International Industries, Inc.	45,900		4,585,869
Lodging—1.2%
Las Vegas Sands Corp.*	20,900		1,870,132
Marriott International, Inc.	60,900		2,906,148
Starwood Hotels & Resorts Worldwide, Inc.	10,200		637,500
Wynn Resorts Ltd.(a)	40,800		3,829,080
			9,242,860

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

F-46

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, CYCLICAL (Continued)
Retail—4.3%
Best Buy Co., Inc.	21,700	$	1,067,423
Dollar Tree Stores, Inc.*	34,500		1,038,450
Home Depot, Inc.(a)	32,900		1,321,264
Kohl’s Corp.*	84,800		5,802,864
Lowe’s Cos., Inc.	155,000		4,828,250
McDonald’s Corp.	14,400		638,352
Target Corp.	162,000		9,242,100
Urban Outfitters, Inc.*	17,200		396,116
Wal-Mart Stores, Inc.	86,000		3,971,480
Walgreen Co.	93,900		4,309,071
			32,615,370
			61,278,773
CONSUMER, NON-CYCLICAL—14.6%
Agriculture—0.9%
Altria Group, Inc.	50,200		4,308,164
Monsanto Co.	48,700		2,558,211
			6,866,375
Beverages—0.6%
Anheuser-Busch Cos., Inc.	13,100		644,520
Coca-Cola Co.	23,100		1,114,575
PepsiCo, Inc.	47,900		2,996,145
			4,755,240
Biotechnology—1.5%
Amgen, Inc.*	72,600		4,959,306
Celgene Corp.*	40,700		2,341,471
Genentech, Inc.*	42,800		3,472,364
Millennium Pharmaceuticals, Inc.*	59,600		649,640
			11,422,781
Commercial Services—1.1%
Accenture Ltd.	133,800		4,941,234
McKesson Corp.	12,300		623,610
Monster Worldwide, Inc.*	56,900		2,653,816
			8,218,660
Cosmetics/Personal Care—0.2%
Avon Products, Inc.	44,200		1,460,368

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

F-47

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL (Continued)
Food—1.5%
Campbell Soup Co.(a)	21,900	$	851,691
Kraft Foods, Inc.(a)	39,900		1,424,430
Sara Lee Corp.	145,700		2,481,271
Sysco Corp.	151,700		5,576,492
Unilever NV (ADR)	45,800		1,248,050
			11,581,934
Healthcare-Products—1.6%
Baxter International, Inc.	53,200		2,467,948
Medtronic, Inc.	122,300		6,544,273
St Jude Medical, Inc.*	72,600		2,654,256
			11,666,477
Healthcare-Services—2.1%
DaVita, Inc.*	20,400		1,160,352
Lincare Holdings, Inc.*	23,100		920,304
UnitedHealth Group, Inc.	145,100		7,796,223
WellPoint, Inc.*	75,200		5,917,488
			15,794,367
Pharmaceuticals—5.1%
Allergan, Inc.	27,600		3,304,824
AstraZeneca PLC (ADR)	91,915		4,922,048
CaremarkRx, Inc.	96,900		5,533,959
Cephalon, Inc.*(a)	19,600		1,380,036
Eli Lilly & Co.	8,800		458,480
Endo Pharmaceuticals Holdings, Inc.*	16,300		449,554
Forest Laboratories, Inc.*	130,500		6,603,300
Gilead Sciences, Inc.*	86,400		5,609,952
ImClone Systems, Inc.*(a)	43,600		1,166,736
Medco Health Solutions, Inc.*	36,900		1,971,936
Pfizer, Inc.	20,300		525,770
Sepracor, Inc.*(a)	83,000		5,111,140
Teva Pharmaceutical Industries Ltd. (ADR)	39,800		1,236,984
			38,274,719
			110,040,921
ENERGY—3.4%
Coal—0.1%
Arch Coal, Inc.(a)	30,100		903,903
Oil & Gas—1.4%
Anadarko Petroleum Corp.	11,600		504,832
Chevron Corp.	15,632		1,149,421

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

F-48

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
ENERGY (Continued)
Oil & Gas (Continued)
EOG Resources, Inc.	8,000	$	499,600
Exxon Mobil Corp.	21,488		1,646,625
Royal Dutch Shell PLC Class A (ADR)	63,900		4,523,481
Transocean, Inc.*	31,100		2,515,679
			10,839,638
Oil & Gas Services—1.7%
Baker Hughes, Inc.	31,450		2,348,057
BJ Services Co.	42,500		1,246,100
Halliburton Co.	25,800		801,090
Schlumberger Ltd.	104,300		6,587,588
Weatherford International Ltd.*	41,400		1,730,106
			12,712,941
Pipelines—0.2%
Kinder Morgan Management LLC(a)	206		9,410
Kinder Morgan, Inc.	5,153		544,930
Williams Cos., Inc.	24,800		647,776
			1,202,116
			25,658,598
FINANCIAL—9.2%
Banks—2.3%
Capital One Financial Corp.	11,000		845,020
Compass Bancshares, Inc.	6,600		393,690
Fifth Third Bancorp	32,500		1,330,225
Northern Trust Corp.	117,000		7,100,730
Wachovia Corp.	86,700		4,937,565
Wells Fargo & Co.	86,100		3,061,716
			17,668,946
Diversified Financial Services—4.8%
AmeriCredit Corp.*(a)	21,400		538,638
Chicago Mercantile Exchange Holdings, Inc.	3,200		1,631,200
E*Trade Financial Corp*	172,900		3,876,418
Fannie Mae	35,100		2,084,589
Franklin Resources, Inc.	42,900		4,726,293
Freddie Mac	24,800		1,683,920
JPMorgan Chase & Co.	88,132		4,256,776
Legg Mason, Inc.(a)	31,300		2,975,065
Merrill Lynch & Co., Inc.	5,600		521,360
Morgan Stanley	59,900		4,877,657
SLM Corp.	179,090		8,734,219
			35,906,135

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

F-49

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL (Continued)
Insurance—1.1%
Aflac, Inc.	12,900	$	593,400
American International Group, Inc.	35,900		2,572,594
Berkshire Hathaway, Inc.*	14		1,539,860
Marsh & McLennan Cos., Inc.	67,500		2,069,550
XL Capital Ltd.	17,300		1,245,946
			8,021,350
REITS—0.1%
Douglas Emmett, Inc.	14,400		382,896
General Growth Properties, Inc.	6,300		329,049
Host Hotels & Resorts, Inc.	8,387		205,901
			917,846
Savings & Loans—0.9%
Hudson City Bancorp, Inc.	103,600		1,437,968
Washington Mutual, Inc.	126,174		5,739,655
			7,177,623
			69,691,900
INDUSTRIAL—6.9%
Aerospace & Defense—0.4%
United Technologies Corp.	46,700		2,919,684
Building Materials—0.2%
American Standard Cos., Inc.	38,300		1,756,055
Electrical Components & Equipment—0.1%
Emerson Electric Co.	18,200		802,438
Electronics—0.4%
Flextronics International Ltd.*	177,200		2,034,256
Jabil Circuit, Inc.	41,100		1,009,005
			3,043,261
Engineering & Construction—0.5%
Fluor Corp.	43,400		3,543,610
Miscellaneous Manufacturing—4.4%
Cooper Industries Ltd.	10,000		904,300
Danaher Corp.	104,400		7,562,736
General Electric Co.	564,100		20,990,161
Illinois Tool Works, Inc.	46,500		2,147,835
Leggett & Platt, Inc.	34,700		829,330
Siemens AG (ADR)(a)	6,900		679,995
			33,114,357

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

F-50

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
INDUSTRIAL (Continued)
Transportation—0.9%
Expeditors International of Washington, Inc.	66,900	$	2,709,450
FedEx Corp.	4,300		467,066
United Parcel Service, Inc. Class B	48,000		3,599,040
			6,775,556
			51,954,961
TECHNOLOGY—13.5%
Computers—1.9%
Affiliated Computer Services, Inc.*	27,300		1,333,332
Apple Computer, Inc.*	40,800		3,461,472
Dell, Inc.*	62,400		1,565,616
Hewlett-Packard Co.	19,900		819,681
Qimonda AG (ADR)*	26,100		457,011
SanDisk Corp.*	66,100		2,844,283
Seagate Technology(a)	69,800		1,849,700
Sun Microsystems, Inc.*	334,700		1,814,074
			14,145,169
Semiconductors—6.7%
Altera Corp.*	125,400		2,467,872
Analog Devices, Inc.	149,600		4,917,352
Applied Materials, Inc.(a)	480,900		8,872,605
Broadcom Corp.*	67,600		2,184,156
Fairchild Semiconductor International, Inc.*	35,300		593,393
Intel Corp.	298,800		6,050,700
International Rectifier Corp.*	40,900		1,575,877
KLA-Tencor Corp.	72,900		3,626,775
Linear Technology Corp.	24,100		730,712
Marvell Technology Group Ltd.*	321,300		6,165,747
Maxim Integrated Products, Inc.	181,300		5,551,406
Silicon Laboratories, Inc.*	15,200		526,680
Teradyne, Inc.*(a)	32,100		480,216
Xilinx, Inc.	280,600		6,681,086
			50,424,577
Software—4.9%
Adobe Systems, Inc.*	87,600		3,602,112
Autodesk, Inc.*	64,800		2,621,808
Automatic Data Processing, Inc.	88,900		4,378,325
Microsoft Corp.	602,700		17,996,622
NAVTEQ Corp.*	88,300		3,087,851
Paychex, Inc.	13,900		549,606

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

F-51

American Bar Association Members/State Street Collective Trust

Large-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
TECHNOLOGY (Continued)
Software (Continued)
Red Hat, Inc.*(a)	112,300	$	2,582,900
SAP AG (ADR)	38,800		2,060,280
			36,879,504
			101,449,250
UTILITIES—0.3%
Electric—0.2%
AES Corp.*	45,900		1,011,636
MDU Resources Group, Inc.	22,650		580,746
			1,592,382
Gas—0.1%
NiSource, Inc.	28,200		679,620
			2,272,002
TOTAL COMMON STOCK (cost $436,626,666)			507,677,370
	Units
INVESTMENT FUNDS—31.8%
Affiliated Fund—31.8%
State Street Bank and Trust Company Russell 1000 Growth Index Securities Lending Fund(b) (cost $161,564,205)	7,816,508		239,763,562
SHORT-TERM INVESTMENTS—5.2%
Affiliated Funds—5.2%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(b)	8,641,159		8,641,159
State Street Quality D Short Term Investment Fund(b)(c)	30,732,915		30,732,915
TOTAL SHORT-TERM INVESTMENTS (cost $39,374,074)			39,374,074
TOTAL INVESTMENTS—104.3% (cost $637,564,945)			786,815,006
Liabilities in excess of other assets—(4.3)%			(32,540,059	)
NET ASSETS—100.0%		$	754,274,947

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company.

(c) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

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

F-52

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $250,174,103)	$	335,878,989	(a)
Investments in affiliated issuers, at value (cost $101,202,870)		139,654,969
Cash		31
Dividends and tax reclaims receivable		434,436
Receivable for fund units sold		406,957
Total assets		476,375,382
LIABILITIES
Payable for collateral received on securities loaned		16,596,760
Payable for fund units redeemed		2,130,143
State Street Bank and Trust Company—program fee payable		134,818
Investment advisory fee payable		71,773
Trustee, management and administration fees payable		35,616
ABA Retirement Funds—program fee payable		16,330
Other accruals		122,847
Total liabilities		19,108,287
Net Assets (equivalent to $44.27 per unit based on 10,327,995 units outstanding)	$	457,267,095

(a) Includes securities on loan with a value of $16,224,864.

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

F-53

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends (net of foreign tax expense of $8,884)	$	7,729,655
Dividends—affiliated issuers		399,643
Securities lending income		24,291
Total investment income		8,153,589
Expenses
Investment advisory fee		796,879
State Street Bank and Trust Company—program fee		1,417,207
ABA Retirement Funds—program fee		177,232
Trustee, management and administration fees		383,943
Reports to unitholders		68,891
Legal and audit fees		122,620
Compliance consultant fees		135,410
Registration fees		14,678
Other fees		61,350
Total expenses		3,178,210
Net investment income		4,975,379
Net realized and unrealized gain
Net realized gain on:
Investments- unaffiliated issuers		22,802,129
Investments- affiliated issuers		4,764,958
Net realized gain		27,567,087
Change in net unrealized appreciation (depreciation) on:
Investment securities		50,500,416
Net realized and unrealized gain		78,067,503
Net increase from payments made by affiliates (see Note 3)		20
Net increase in net assets resulting from operations	$	83,042,902

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

F-54

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	4,107,633		$	4,975,379
Net realized gain		14,544,538			27,567,087
Change in net unrealized appreciation (depreciation) on investments		6,030,630			50,500,416
Net increase from payments made by affiliates		—			20
Net increase in net assets resulting from operations		24,682,801			83,042,902
From unitholder transactions
Proceeds from units issued		90,842,573			100,841,940
Cost of units redeemed		(92,843,179	)		(109,389,543	)
Net decrease in net assets resulting from unitholder transactions		(2,000,606	)		(8,547,603	)
Net increase in net assets		22,682,195			74,495,299
Net Assets
Beginning of year		360,089,601			382,771,796
End of year	$	382,771,796		$	457,267,095
Number of units
Outstanding—beginning of year		10,548,861			10,529,361
Issued		2,627,733			2,521,567
Redeemed		(2,647,233	)		(2,722,933	)
Outstanding—end of year		10,529,361			10,327,995

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

F-55

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income†	$	0.48		$	0.49		$	0.59		$	0.63		$	0.78
Net expenses(†)††		(0.19	)		(0.19	)		(0.22	)		(0.25	)		(0.30	)
Net investment income		0.29			0.30			0.37			0.38			0.48
Net realized and unrealized gain (loss)		(4.02	)		6.48			4.11			1.83			7.44	(a)
Net increase (decrease) in unit value		(3.73	)		6.78			4.48			2.21			7.92
Net asset value at beginning of year		26.61			22.88			29.66			34.14			36.35
Net asset value at end of year	$	22.88		$	29.66		$	34.14		$	36.35		$	44.27
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.75	%		0.74	%		0.71	%		0.72	%		0.76	%
Ratio of net investment income to average net assets		1.17	%		1.20	%		1.18	%		1.08	%		1.20	%
Portfolio turnover†††		24	%		32	%		24	%		20	%		19	%
Total return		(14.02	)%		29.63	%		15.10	%		6.47	%		21.79	%
Net assets at end of year (in thousands)	$	204,457		$	286,104		$	360,090		$	382,772		$	457,267

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

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

††† With respect to 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 portfolio turnover of the underlying portfolio of such collective investment fund.

(a) Net of payment made by affiliates. Impact of the increase is less than $0.005 per unit.

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

F-56

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—73.5%
BASIC MATERIALS—1.9%
Chemicals—1.3%
Dow Chemical Co.	63,300	$	2,528,202
EI Du Pont de Nemours & Co.	9,400		457,874
Hercules, Inc.*	3,000		57,930
Lubrizol Corp.	22,200		1,112,886
PPG Industries, Inc.	27,500		1,765,775
			5,922,667
Forest Products & Paper—0.2%
Smurfit-Stone Container Corp.*	89,000		939,840
Iron/Steel—0.4%
Mittal Steel Co. NV (ADR)(a)	43,500		1,834,830
			8,697,337
COMMUNICATIONS—8.2%
Advertising—0.3%
Interpublic Group of Cos., Inc.*(a)	96,000		1,175,040
Media—2.8%
CBS Corp. Class B	87,700		2,734,486
Comcast Corp.*(a)	98,000		4,148,340
Idearc, Inc.*	9,461		271,057
Time Warner, Inc.	235,100		5,120,478
Viacom, Inc. Class B	5,500		225,665
Walt Disney Co.	15,000		514,050
			13,014,076
Telecommunication—5.1%
AT&T, Inc.	249,300		8,912,475
BellSouth Corp.	32,700		1,540,497
Crown Castle International Corp.*	9,100		293,930
Embarq Corp.	8,625		453,330
Nokia OYJ (ADR)	71,400		1,450,848
Sprint Nextel Corp.	172,500		3,258,525
Tellabs, Inc.*	41,100		421,686
Verizon Communications, Inc.	189,232		7,047,000
			23,378,291
			37,567,407
CONSUMER, CYCLICAL—5.0%
Apparel—0.6%
Jones Apparel Group, Inc.	46,400		1,551,152
VF Corp.	15,000		1,231,200
			2,782,352

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

F-57

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, CYCLICAL (Continued)
Auto Manufacturers—0.4%
DaimlerChrysler AG	31,400	$	1,928,274
Auto Parts & Equipment—0.9%
American Axle & Manufacturing Holdings, Inc.(a)	7,800		148,122
Autoliv, Inc.	30,900		1,863,270
BorgWarner, Inc.	20,000		1,180,400
Magna International, Inc.	10,400		837,720
			4,029,512
Distribution/Wholesale—0.2%
Tech Data Corp.*	22,400		848,288
Housewares—0.1%
Newell Rubbermaid, Inc.	17,600		509,520
Retail—2.5%
Gap, Inc.	100,500		1,959,750
Limited Brands, Inc.	75,800		2,193,652
McDonald’s Corp.	96,500		4,277,845
Office Depot, Inc.*	56,900		2,171,873
Saks, Inc.(a)	53,400		951,588
			11,554,708
Toys/Games/Hobbies—0.3%
Mattel, Inc.	46,500		1,053,690
			22,706,344
CONSUMER, NON-CYCLICAL—11.8%
Agriculture—2.1%
Altria Group, Inc.	83,000		7,123,060
UST, Inc.(a)	40,400		2,351,280
			9,474,340
Beverages—0.3%
PepsiCo, Inc.	18,500		1,157,175
Commercial Services—0.3%
Accenture Ltd.	41,400		1,528,902
Cosmetics/Personal Care—2.0%
Colgate-Palmolive Co.	34,300		2,237,732
Procter & Gamble Co.	110,900		7,127,543
			9,365,275

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

F-58

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL (Continued)
Food—2.5%
ConAgra Foods, Inc.	53,400	$	1,441,800
Kellogg Co.	39,500		1,977,370
Kroger Co.	111,700		2,576,919
Safeway, Inc.	91,200		3,151,872
Sara Lee Corp.	120,800		2,057,224
			11,205,185
Household Products/Wares—1.3%
Avery Dennison Corp.	26,400		1,793,352
Clorox Co.	33,800		2,168,270
Kimberly-Clark Corp.	28,500		1,936,575
			5,898,197
Pharmaceuticals—3.3%
AmerisourceBergen Corp.	30,600		1,375,776
Merck & Co., Inc.	133,600		5,824,960
Pfizer, Inc.	311,000		8,054,900
			15,255,636
			53,884,710
ENERGY—9.1%
Oil & Gas—9.1%
BP PLC (ADR)(a)	24,900		1,670,790
Chevron Corp.	101,800		7,485,354
ConocoPhillips	65,600		4,719,920
Exxon Mobil Corp.	256,300		19,640,269
GlobalSantaFe Corp.	25,100		1,475,378
Marathon Oil Corp.	34,900		3,228,250
Noble Corp.	14,200		1,081,330
Occidental Petroleum Corp.	13,400		654,322
Total SA (ADR)	26,000		1,869,920
			41,825,533
			41,825,533
FINANCIAL—26.5%
Banks—7.6%
Bank of America Corp.	234,300		12,509,277
BB&T Corp.	25,100		1,102,643
Comerica, Inc.	33,800		1,983,384
Huntington Bancshares, Inc.	74,200		1,762,250
Keycorp	53,200		2,023,196
Mellon Financial Corp.	59,400		2,503,710
National City Corp.	67,100		2,453,176

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

F-59

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL (Continued)
Banks (Continued)
SunTrust Banks, Inc.	16,400	$	1,384,980
US Bancorp	63,900		2,312,541
Wachovia Corp.	59,800		3,405,610
Wells Fargo & Co.	89,600		3,186,176
			34,626,943
Diversified Financial Services—10.2%
Citigroup, Inc.	286,400		15,952,480
Countrywide Financial Corp.	48,400		2,054,580
Fannie Mae	78,700		4,673,993
Freddie Mac	58,500		3,972,150
Goldman Sachs Group, Inc.	4,400		877,140
JPMorgan Chase & Co.	204,500		9,877,350
Merrill Lynch & Co., Inc.	71,500		6,656,650
Morgan Stanley	20,600		1,677,458
Waddell & Reed Financial, Inc.	32,600		891,936
			46,633,737
Insurance—8.0%
ACE Ltd.	13,700		829,809
Allstate Corp.	11,900		774,809
American International Group, Inc.	119,900		8,592,034
Chubb Corp.	31,500		1,666,665
Genworth Financial, Inc.	58,300		1,994,443
Hartford Financial Services Group, Inc.	34,800		3,247,188
MBIA, Inc.(a)	33,500		2,447,510
Metlife, Inc.	38,750		2,286,637
MGIC Investment Corp.	31,800		1,988,772
Old Republic International Corp.	71,800		1,671,504
Prudential Financial, Inc.	23,000		1,974,780
RenaissanceRe Holdings Ltd.	29,500		1,770,000
St Paul Travelers Cos., Inc.	69,243		3,717,657
Torchmark Corp.	30,200		1,925,552
XL Capital Ltd.	20,900		1,505,218
			36,392,578
Savings & Loans—0.7%
Washington Mutual, Inc.	74,250		3,377,633
			121,030,891
INDUSTRIAL—6.9%
Aerospace & Defense—1.2%
Boeing Co.	29,400		2,611,896
Northrop Grumman Corp.	43,900		2,972,030
			5,583,926

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

F-60

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
INDUSTRIAL (Continued)
Electronics—0.9%
Arrow Electronics, Inc.*	45,000	$	1,419,750
Celestica, Inc.*(a)	40,400		315,524
Flextronics International Ltd.*	78,400		900,032
Sanmina-SCI Corp.*	179,478		619,199
Solectron Corp.*	213,190		686,472
			3,940,977
Hand/Machine Tools—0.2%
Black & Decker Corp.	12,700		1,015,619
Miscellaneous Manufacturing—3.4%
Cooper Industries Ltd.	9,200		831,956
Eaton Corp.	27,000		2,028,780
General Electric Co.	276,300		10,281,123
SPX Corp.	30,600		1,871,496
Textron, Inc.	4,100		384,457
			15,397,812
Packaging & Containers—0.5%
Crown Holdings, Inc.*	64,200		1,343,064
Owens-Illinois, Inc.*(a)	62,300		1,149,435
			2,492,499
Transportation—0.7%
CSX Corp.	86,800		2,988,524
			31,419,357
TECHNOLOGY—2.1%
Computers—1.4%
Electronic Data Systems Corp.	52,300		1,440,865
Hewlett-Packard Co.	57,700		2,376,663
International Business Machines Corp.	27,400		2,661,910
			6,479,438
Semiconductors—0.3%
Agere Systems, Inc.*	74,880		1,435,450
Software—0.4%
Microsoft Corp.	59,000		1,761,740
			9,676,628
UTILITIES—2.0%
Electric—2.0%
Allegheny Energy, Inc.*	3,000		137,730
Constellation Energy Group, Inc.	9,000		619,830
Dominion Resources, Inc.(a)	16,100		1,349,824

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

F-61

American Bar Association Members/State Street Collective Trust

Large-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
UTILITIES (Continued)
Electric (Continued)
Entergy Corp.	32,300	$	2,981,936
Pinnacle West Capital Corp.	36,600		1,855,254
Wisconsin Energy Corp.	44,800		2,126,208
			9,070,782
			9,070,782
TOTAL COMMON STOCK (cost $250,174,103)			335,878,989
	Units
INVESTMENT FUNDS—23.6%
Affiliated Fund—23.6%
State Street Bank and Trust Company Russell 1000 Value Index Securities Lending Fund(b) (cost $69,668,164)	2,274,636		108,120,263
SHORT-TERM INVESTMENTS—6.9%
Affiliated Funds—6.9%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(b)	14,937,946		14,937,946
State Street Quality D Short Term Investment Fund(b)(c)	16,596,760		16,596,760
TOTAL SHORT-TERM INVESTMENTS (cost $31,534,706)			31,534,706
TOTAL INVESTMENTS—104.0% (cost $351,376,973)			475,533,958
Liabilities in excess of other assets—(4.0)%			(18,266,863	)
NET ASSETS—100.0%		$	457,267,095

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company.

(c) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

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

F-62

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $91,364,361)	$	104,461,227	(a)
Investments in affiliated issuers, at value (cost $27,587,991)		27,587,991
Cash		886
Receivable for investments sold		542,467
Receivable for fund units sold		350,131
Dividends receivable		33,163
Total assets		132,975,865
LIABILITIES
Payable for collateral received on securities loaned		27,121,950
Payable for investments purchased		664,401
Payable for fund units redeemed		438,165
Investment advisory fee payable		168,420
State Street Bank and Trust Company—program fee payable		31,228
Trustee, management and administration fees payable		8,279
ABA Retirement Funds—program fee payable		3,797
Other accruals		30,218
Total liabilities		28,466,458
Net Assets (equivalent to $22.51 per unit based on 4,643,497 units outstanding)	$	104,509,407

(a) Includes securities on loan with a value of $26,521,953.

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

F-63

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends (net of foreign tax expense of $286)	$	787,862
Dividends—affiliated issuer		135,148
Securities lending income		49,098
Total investment income		972,108
Expenses
Investment advisory fee		673,359
State Street Bank and Trust Company—program fee		369,886
ABA Retirement Funds—program fee		46,361
Trustee, management and administration fees		100,393
Reports to unitholders		17,954
Legal and audit fees		31,834
Compliance consultant fees		35,286
Registration fees		3,825
Other fees		15,941
Total expenses		1,294,839
Net investment loss		(322,731	)
Net realized and unrealized gain (loss) on investments
Net realized gain		6,982,976
Change in net unrealized appreciation (depreciation)		(1,672,065	)
Net realized and unrealized gain		5,310,911
Net increase in net assets resulting from operations	$	4,988,180

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

F-64

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment loss	$	(424,113	)	$	(322,731	)
Net realized gain		6,449,194			6,982,976
Change in net unrealized appreciation (depreciation) on investments		3,136,974			(1,672,065	)
Net increase in net assets resulting from operations		9,162,055			4,988,180
From unitholder transactions
Proceeds from units issued		42,993,191			64,133,032
Cost of units redeemed		(27,966,125	)		(55,651,681	)
Net increase in net assets resulting from unitholder transactions		15,027,066			8,481,351
Net increase in net assets		24,189,121			13,469,531
Net Assets
Beginning of year		66,850,755			91,039,876
End of year	$	91,039,876		$	104,509,407
Number of units
Outstanding—beginning of year		3,545,041			4,324,917
Issued		2,217,778			2,851,223
Redeemed		(1,437,902	)		(2,532,643	)
Outstanding—end of year		4,324,917			4,643,497

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

F-65

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the periods ended December 31,
	2002*			2003			2004			2005			2006
Investment income†	$	0.02		$	0.05		$	0.06		$	0.12		$	0.20
Net expenses(†)††		(0.06	)		(0.17	)		(0.19	)		(0.22	)		(0.26	)
Net investment loss		(0.04	)		(0.12	)		(0.13	)		(0.10	)		(0.06	)
Net realized and unrealized gain (loss)		(0.59	)		5.68			2.06			2.29			1.52
Net increase (decrease) in unit value		(0.63	)		5.56			1.93			2.19			1.46
Net asset value at beginning of period		12.00			11.37			16.93			18.86			21.05
Net asset value at end of period	$	11.37		$	16.93		$	18.86		$	21.05		$	22.51
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.55	%		1.16	%		1.14	%		1.16	%		1.19	%
Ratio of net investment loss to average net assets		(0.34	)%		(0.81	)%		(0.77	)%		(0.56	)%		(0.30	)%
Portfolio turnover		99	%		130	%		169	%		156	%		160	%
Total return		(5.25	)%		48.90	%		11.40	%		11.61	%		6.94	%
Net assets at end of period (in thousands)	$	8,567		$	47,352		$	66,851		$	91,040		$	104,509

* From commencement of operations, July 15, 2002.

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

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

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

F-66

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—100.0%
BASIC MATERIALS—0.9%
Iron/Steel—0.9%
Allegheny Technologies, Inc.	9,990	$	905,893
COMMUNICATIONS—15.9%
Advertising—0.6%
Focus Media Holding Ltd. (ADR)*	9,450		627,386
Internet—7.6%
Akamai Technologies, Inc.*(a)	29,730		1,579,258
aQuantive, Inc.*(a)	27,870		687,274
Ctrip.com International Ltd. (ADR)(a)	10,840		677,283
Digital River, Inc.*(a)	9,350		521,637
F5 Networks, Inc.*	24,670		1,830,761
NurtiSystem, Inc.*(a)	27,750		1,759,072
VeriSign, Inc.*(a)	36,420		875,901
			7,931,186
Telecommunication—7.7%
American Tower Corp.*	42,890		1,598,939
Crown Castle International Corp.*(a)	30,700		991,610
JDS Uniphase Corp.*(a)	46,152		768,892
Leap Wireless International, Inc.*	10,750		639,303
NII Holdings, Inc. Class B*(a)	42,750		2,754,810
Polycom, Inc.*	42,940		1,327,275
			8,080,829
			16,639,401
CONSUMER, CYCLICAL—18.6%
Airlines—1.8%
Continental Airlines, Inc. Class B*(a)	30,270		1,248,638
US Airways Group, Inc.*(a)	11,920		641,892
			1,890,530
Apparel—4.7%
Coach, Inc.*	54,130		2,325,425
Guess?, Inc.*	21,250		1,347,887
Polo Ralph Lauren Corp.	16,600		1,289,156
			4,962,468
Entertainment—3.0%
International Game Technology	56,780		2,623,236
Pinnacle Entertainment, Inc.*	15,640		518,310
			3,141,546

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

F-67

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, CYCLICAL (Continued)
Home Furnishings—1.3%
Harman International Industries, Inc.	13,090	$	1,307,822
Leisure Time—1.0%
WMS Industries, Inc.*(a)	29,670		1,034,296
Lodging—3.4%
Hilton Hotels Corp.	54,730		1,910,077
Wynn Resorts Ltd.(a)	18,060		1,694,931
			3,605,008
Retail—3.4%
Children’s Place Retail Stores, Inc.*	6,860		435,747
GameStop Corp.*(a)	12,310		678,404
JC Penney Co., Inc.	16,470		1,274,119
Under Armour, Inc.*	22,240		1,122,008
			3,510,278
			19,451,948
CONSUMER, NON-CYCLICAL—19.2%
Agriculture—1.1%
Agrium, Inc.	17,250		543,202
Bunge Ltd.	9,170		664,917
			1,208,119
Beverages—0.6%
Hansen Natural Corp.*(a)	17,580		592,094
Biotechnology—3.2%
Alexion Pharmaceuticals, Inc.*(a)	16,800		678,552
Celgene Corp.*	32,100		1,846,713
Medimmune, Inc.*	24,420		790,476
			3,315,741
Commercial Services—3.0%
Monster Worldwide, Inc.*	25,950		1,210,308
Pharmaceutical Product Development, Inc.	32,310		1,041,029
VistaPrint Ltd.*(a)	27,320		904,565
			3,155,902
Food—1.9%
McCormick & Co., Inc.	16,860		650,122
Wm. Wrigley Jr. Co.	26,430		1,366,959
			2,017,081

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

F-68

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL (Continued)
Healthcare-Products—2.3%
Henry Schein, Inc.*	10,340	$	506,453
Intuitive Surgical, Inc.*(a)	10,570		1,013,663
St Jude Medical, Inc.*	24,050		879,268
			2,399,384
Healthcare-Services—1.5%
DaVita, Inc.*	9,860		560,837
Psychiatric Solutions, Inc.*	26,070		978,146
			1,538,983
Pharmaceuticals—5.6%
Allergan, Inc.	13,660		1,635,648
Forest Laboratories, Inc.*	21,520		1,088,912
Medicis Pharmaceutical Corp.(a)	14,690		516,060
New River Pharmaceuticals, Inc.*(a)	10,610		580,473
Sepracor, Inc.*(a)	13,010		801,156
Shire PLC (ADR)	19,620		1,211,731
			5,833,980
			20,061,284
ENERGY—7.6%
Oil & Gas—2.4%
Quicksilver Resources, Inc.*(a)	15,600		570,804
Range Resources Corp.	55,065		1,512,085
Southwestern Energy Co.*	12,810		448,990
			2,531,879
Oil & Gas Services—3.8%
Cameron International Corp.*	20,540		1,089,647
National Oilwell Varco, Inc.*	17,160		1,049,849
Smith International, Inc.	26,160		1,074,391
Superior Energy Services*	21,560		704,581
			3,918,468
Pipelines—1.4%
Questar Corp.	6,190		514,079
Williams Cos., Inc.(a)	36,930		964,612
			1,478,691
			7,929,038

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

F-69

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL—10.2%
Banks—1.4%
Northern Trust Corp.	18,570	$	1,127,013
Synovus Financial Corp.	10,330		318,474
			1,445,487
Diversified Financial Services—6.2%
Affiliated Managers Group, Inc.*(a)	10,605		1,114,903
Greenhill & Co., Inc.(a)	10,220		754,236
IntercontinentalExchange, Inc.*(a)	13,210		1,425,359
Nasdaq Stock Market, Inc.*(a)	23,700		729,723
T Rowe Price Group, Inc.	40,140		1,756,928
TD Ameritrade Holding Corp.(a)	40,410		653,834
			6,434,983
Insurance—0.5%
Arch Capital Group Ltd.*	8,380		566,572
Real Estate—1.2%
CB Richard Ellis Group, Inc.*	37,330		1,239,356
REITS—0.9%
Macerich Co.	11,430		989,495
			10,675,893
INDUSTRIAL—11.7%
Electrical Components & Equipment—2.2%
Ametek, Inc.	33,480		1,066,003
Energy Conversion Devices, Inc.*(a)	14,270		484,895
General Cable Corp.*	17,790		777,601
			2,328,499
Electronics—3.2%
Applera Corp.—Applied Biosystems Group	23,810		873,589
Cymer, Inc.*	23,220		1,020,519
Thermo Fisher Scientific, Inc.*	30,370		1,375,457
			3,269,565
Engineering & Construction—1.0%
McDermott International, Inc.*	20,980		1,067,043
Metal Fabrication & Hardware—1.8%
Precision Castparts Corp.	23,690		1,854,453
Miscellaneous Manufacturing—1.5%
Harsco Corp.	9,770		743,497
Roper Industries, Inc.	16,060		806,854
			1,550,351

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

F-70

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
INDUSTRIAL (Continued)
Packaging & Containers—0.5%
Owens-Illinois, Inc.*	28,530	$	526,379
Transportation—1.5%
CH Robinson Worldwide, Inc.	20,210		826,387
CSX Corp.	21,290		733,015
			1,559,402
			12,155,692
TECHNOLOGY—15.9%
Computers—2.2%
Isilon Systems, Inc.*(a)	15,670		432,492
Network Appliance, Inc.*	34,060		1,337,877
SanDisk Corp.*	12,300		529,269
			2,299,638
Semiconductors—8.2%
Altera Corp.*	26,950		530,376
Integrated Device Technology, Inc.*	61,130		946,292
KLA-Tencor Corp.	37,250		1,853,188
MEMC Electronic Materials, Inc.*	24,420		955,799
Nvidia Corp.*	49,390		1,827,924
QLogic Corp.*	49,620		1,087,670
Varian Semiconductor Equipment Associates, Inc.*	29,970		1,364,234
			8,565,483
Software—5.5%
Activision, Inc.*	54,140		933,374
Electronic Arts, Inc.*	20,240		1,019,286
Fiserv, Inc.*	25,950		1,360,299
Paychex, Inc.	26,770		1,058,486
Salesforce.com, Inc.*(a)	38,560		1,405,512
			5,776,957
			16,642,078
TOTAL COMMON STOCK (cost $91,364,361)			104,461,227

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

F-71

American Bar Association Members/State Street Collective Trust

Mid-Cap Growth Equity Fund

Schedule of Investments

December 31, 2006

	Units	Value
SHORT-TERM INVESTMENTS—26.4%
Affiliated Funds—26.4%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(b)	466,041	$	466,041
State Street Quality D Short Term Investment Fund(b)(c)	27,121,950		27,121,950
TOTAL SHORT-TERM INVESTMENTS (cost $27,587,991)			27,587,991
TOTAL INVESTMENTS—126.4% (cost $118,952,352)			132,049,218
Liabilities in excess of other assets—(26.4)%			(27,539,811	)
NET ASSETS—100.0%		$	104,509,407

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company

(c) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

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

F-72

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $71,949,795)	$	75,130,991	(a)
Investments in affiliated issuers, at value (cost $22,272,873)		22,272,873
Foreign cash, at value (cost $17,934)		17,799
Cash		274
Receivable for fund units sold		108,950
Dividends and interest receivable		67,610
Total assets		97,598,497
LIABILITIES
Payable for collateral received on securities loaned		21,557,078
Payable for fund units redeemed		337,155
Payable for investments purchased		68,373
Investment advisory fee payable		41,700
State Street Bank and Trust Company—program fee payable		22,287
Trustee, management and administration fees payable		5,881
ABA Retirement Funds—program fee payable		2,691
Other accruals		20,041
Total liabilities		22,055,206
Net assets (equivalent to $16.64 per unit based on 4,540,197 units outstanding)	$	75,543,291

(a) Includes securities on loan with a value of $21,041,004.

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

F-73

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends (net of foreign tax expense of $2,891)	$	912,334
Dividends—affiliated issuers		115,986
Securities lending income		16,538
Total investment income		1,044,858
Expenses
Investment advisory fee		402,369
State Street Bank and Trust Company—program fee		232,809
ABA Retirement Funds—program fee		29,126
Trustee, management and administration fees		63,087
Reports to unitholders		11,309
Legal and audit fees		20,108
Compliance consultant fees		22,227
Registration fees		2,410
Other fees		10,059
Total expenses		793,504
Net investment income		251,354
Net realized and unrealized gain (loss) on investments
Net realized gain on:
Investments		12,021,973
Foreign currency transactions		4,028
Net realized gain		12,026,001
Change in net unrealized appreciation (depreciation) on:
Investment securities		(4,036,313	)
Foreign currency transactions		(197	)
Change in net unrealized appreciation (depreciation)		(4,036,510	)
Net realized and unrealized gain		7,989,491
Net increase in net assets resulting from operations	$	8,240,845

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

F-74

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	298,578		$	251,354
Net realized gain		3,778,827			12,026,001
Change in net unrealized appreciation (depreciation) on investments		(1,741,450	)		(4,036,510	)
Net increase in net assets resulting from operations		2,335,955			8,240,845
From unitholder transactions
Proceeds from units issued		29,557,051			27,002,064
Cost of units redeemed		(19,114,553	)		(25,840,942	)
Net increase in net assets resulting from unitholder transactions		10,442,498			1,161,122
Net increase in net assets		12,778,453			9,401,967
Net Assets
Beginning of year		53,362,871			66,141,324
End of year	$	66,141,324		$	75,543,291
Number of units
Outstanding—beginning of year		3,713,649			4,461,597
Issued		2,077,235			1,762,485
Redeemed		(1,329,287	)		(1,683,885	)
Outstanding—end of year		4,461,597			4,540,197

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

F-75

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the periods ended December 31,
	2002*			2003			2004			2005			2006
Investment income†	$	0.07		$	0.14		$	0.17		$	0.23		$	0.23
Net expenses(†)††		(0.06	)		(0.14	)		(0.15	)		(0.16	)		(0.18	)
Net investment income		0.01			—			0.02			0.07			0.05
Net realized and unrealized gain (loss)		(0.23	)		2.98			1.59			0.38			1.77
Net increase (decrease) in unit value		(0.22	)		2.98			1.61			0.45			1.82
Net asset value at beginning of period		10.00			9.78			12.76			14.37			14.82
Net asset value at end of period	$	9.78		$	12.76		$	14.37		$	14.82		$	16.64
Ratio/Supplemental Data:
Ratio of net expenses to average net assets††		0.60	%		1.22	%		1.12	%		1.10	%		1.16	%
Ratio of net investment income to average net assets		0.08	%		0.02	%		0.18	%		0.47	%		0.37	%
Portfolio turnover		6	%		14	%		13	%		32	%		131	%
Total return		(2.20	)%		30.47	%		12.62	%		3.13	%		12.28	%
Net assets at end of period (in thousands)	$	8,926		$	31,192		$	53,363		$	66,141		$	75,543

* From commencement of operations, July 15, 2002.

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

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

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

F-76

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—99.4%
BASIC MATERIALS—9.0%
Chemicals—6.0%
Ashland, Inc.	6,600	$	456,588
Celanese Corp.	36,300		939,444
Chemtura Corp.(a)	86,700		834,921
Cytec Industries, Inc.	24,200		1,367,542
FMC Corp.	12,100		926,255
			4,524,750
Forest Products & Paper—1.0%
Temple-Inland, Inc.	16,800		773,304
Iron/Steel—1.1%
Cleveland-Cliffs, Inc.(a)	17,600		852,544
Mining—0.9%
Century Aluminum Co.*(a)	15,000		669,750
			6,820,348
COMMUNICATIONS—8.4%
Advertising—2.9%
RH Donnelley Corp.(a)	34,995		2,195,237
Media—3.3%
Cinram International Income Fund	76,600		1,508,469
Entercom Communications Corp.	35,300		994,754
			2,503,223
Telecommunication—2.2%
Arris Group, Inc.*	22,700		283,977
Embarq Corp.	12,100		635,976
Powerwave Technologies, Inc.*(a)	75,600		487,620
Syniverse Holdings, Inc.*	13,600		203,864
			1,611,437
			6,309,897
CONSUMER, CYCLICAL—10.9%
Airlines—1.7%
UAL Corp.*(a)	29,200		1,284,800
Apparel—0.4%
VF Corp.	3,400		279,072
Auto Parts & Equipment—2.5%
American Axle & Manufacturing Holdings, Inc.(a)	31,900		605,781
BorgWarner, Inc.(a)	13,800		814,476
TRW Automotive Holdings Corp.*	19,200		496,704
			1,916,961

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

F-77

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, CYCLICAL (Continued)
Distribution/Wholesale—1.0%
United Stationers, Inc.*	17,200	$	803,068
Housewares—1.6%
Newell Rubbermaid, Inc.	10,400		301,080
Toro Co.(a)	19,000		885,970
			1,187,050
Retail—3.7%
Circuit City Stores, Inc.(a)	38,600		732,628
Foot Locker, Inc.	55,500		1,217,115
Ruby Tuesday, Inc.(a)	30,800		845,152
			2,794,895
			8,265,846
CONSUMER, NON-CYCLICAL—14.2%
Agriculture—3.1%
Bunge Ltd.	22,500		1,631,475
UAP Holding Corp.	29,100		732,738
			2,364,213
Commercial Services—2.5%
Avis Budget Group, Inc.	20,800		451,152
BearingPoint, Inc.*(a)	61,100		480,857
RR Donnelley & Sons Co.	27,900		991,566
			1,923,575
Food—1.5%
PAN Fish ASA*	524,000		479,576
Smithfield Foods, Inc.*(a)	12,000		307,920
Tyson Foods, Inc.(a)	22,200		365,190
			1,152,686
Healthcare-Products—1.2%
Cooper Cos., Inc.(a)	20,200		898,900
Pharmaceuticals—5.9%
Barr Pharmaceuticals, Inc.*	28,200		1,413,384
Endo Pharmaceuticals Holdings, Inc.*	35,300		973,574
Impax Laboratories, Inc.*(a)	96,800		948,640
Theravance, Inc.*(a)	35,300		1,090,417
			4,426,015
			10,765,389

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

F-78

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
DIVERSIFIED—0.6%
Diversified Operations—0.6%
Walter Industries, Inc.	16,100	$	435,505
			435,505
ENERGY—4.2%
Coal—0.7%
Arch Coal, Inc.(a)	18,100		543,543
Energy-Alternate Sources—0.6%
Brasil Ecodiesel Industrial E Comercio de Biocombustiveis e Oleos Vegetais (ADR)*(a)	22,500		124,355
Brasil Ecodiesel Industrial E Comercio de Biocombustiveis e Oleos Vegetais (ADR)*(b)	51,400		284,083
			408,438
Oil & Gas—2.3%
Newfield Exploration Co.*	19,200		882,240
Noble Energy, Inc.	17,100		839,097
			1,721,337
Oil & Gas Services—0.6%
SBM Offshore NV	13,840		475,758
			3,149,076
FINANCIAL—16.1%
Banks—3.1%
City National Corp.(a)	6,400		455,680
Huntington Bancshares, Inc.(a)	41,400		983,250
UnionBanCal Corp.	5,100		312,375
Webster Financial Corp.	12,500		609,000
			2,360,305
Diversified Financial Services—4.2%
Affiliated Managers Group, Inc.*(a)	8,600		904,118
CIT Group, Inc.	23,400		1,305,018
E*Trade Financial Corp.*	41,900		939,398
			3,148,534
Insurance—6.4%
AMBAC Financial Group, Inc.	17,300		1,540,911
Everest Re Group Ltd.	14,100		1,383,351
Reinsurance Group of America, Inc.(a)	20,200		1,125,140
UnumProvident Corp.	39,000		810,420
			4,859,822

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

F-79

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL (Continued)
Investment Companies—0.7%
Apollo Investment Corp.	23,600	$	528,640
REITS—1.7%
KKR Financial Corp.	48,000		1,285,920
			12,183,221
INDUSTRIAL—21.7%
Aerospace & Defense—3.7%
Alliant Techsystems, Inc.*(a)	11,900		930,461
Goodrich Corp.	40,300		1,835,665
			2,766,126
Building Materials—2.3%
American Standard Cos., Inc.(a)	20,200		926,170
Martin Marietta Materials, Inc.(a)	8,100		841,671
			1,767,841
Electronics—5.0%
Arrow Electronics, Inc.*	52,900		1,668,995
Flextronics International Ltd.*	85,700		983,836
Tektronix, Inc.	30,500		889,685
Vishay Intertechnology, Inc.*	20,200		273,508
			3,816,024
Engineering & Construction—2.3%
Shaw Group, Inc.*(a)	27,100		907,850
URS Corp.*	18,700		801,295
			1,709,145
Hand/Machine Tools—1.7%
Black & Decker Corp.	4,000		319,880
Kennametal, Inc.	15,900		935,715
			1,255,595
Machinery- Construction & Mining—0.3%
Terex Corp.*(a)	4,100		264,778
Machinery- Diversified—0.9%
AGCO Corp.*	22,200		686,868
Metal Fabrication & Hardware—0.5%
Mueller Water Products, Inc. (Series B)*(a)	26,604		396,405

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

F-80

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
INDUSTRIAL (Continued)
Miscellaneous Manufacturing—2.8%
Acuity Brands, Inc.	6,600	$	343,464
Carlisle Cos., Inc.	7,300		573,050
Parker Hannifin Corp.	7,800		599,664
Trinity Industries, Inc.(a)	16,400		577,280
			2,093,458
Packaging & Containers—1.1%
Owens-Illinois, Inc.*	45,400		837,630
Trucking & Leasing—1.1%
Genesis Lease Ltd.*(a)	34,100		801,350
			16,395,220
TECHNOLOGY—8.5%
Computers—2.0%
NCR Corp.*	20,200		863,752
Unisys Corp.*(a)	80,800		633,472
			1,497,224
Semiconductors—4.4%
Fairchild Semiconductor International, Inc.*	45,400		763,174
Lam Research Corp.*	4,500		227,790
QLogic Corp.*	35,900		786,928
Varian Semiconductor Equipment Associates, Inc.*	33,600		1,529,472
			3,307,364
Software—2.1%
Avid Technology, Inc.*(a)	16,500		614,790
IMS Health, Inc.	35,700		981,036
			1,595,826
			6,400,414
UTILITIES—5.8%
Electric—4.9%
Northeast Utilities	37,400		1,053,184
PPL Corp.	43,000		1,541,120
Wisconsin Energy Corp.	23,000		1,091,580
			3,685,884

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

F-81

American Bar Association Members/State Street Collective Trust

Mid-Cap Value Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
UTILITIES (Continued)
Gas—0.9%
UGI Corp.	26,400	$	720,191
			4,406,075
TOTAL COMMON STOCK (cost $71,949,795)			75,130,991
	Units
SHORT-TERM INVESTMENTS—29.5%
Affiliated Funds—29.5%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(c)	715,795		715,795
State Street Quality D Short Term Investment Fund(c)(d)	21,557,078		21,557,078
TOTAL SHORT-TERM INVESTMENTS (cost $22,272,873)			22,272,873
TOTAL INVESTMENTS—128.9% (cost $94,222,668)			97,403,864
Liabilities in excess of other assets—(28.9)%			(21,860,573	)
NET ASSETS—100.0%		$	75,543,291

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Security is exempt from registration under rule 144A of the Securities Act of 1933. These securities are deemed liquid as they may be resold in transactions exempt from registration, normally to qualified institutional investors. The total cost and market value of Rule 144A securities owned at year end were $288,169 and $284,083, respectively.

(c) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company

(d) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

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

F-82

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments, at value (cost $242,615,768)	$	280,428,971	(a)
Investments in affiliated issuers, at value (cost $108,093,241)		108,450,280
Cash		527,231
Receivable for investments sold		7,750,132
Receivable for fund units sold		320,015
Dividends and interest receivable		190,723
Total assets		397,667,352
LIABILITIES
Payable for collateral received on securities loaned		89,893,523
Payable for investments purchased		2,418,576
Payable for fund units redeemed		1,175,998
Investment advisory fee payable		183,214
State Street Bank and Trust Company—program fee payable		89,953
Trustee, management and administration fees payable		23,896
ABA Retirement Funds—program fee payable		10,951
Other accruals		86,846
Total liabilities		93,882,957
Net Assets (equivalent to $73.77 per unit based on 4,118,186 units outstanding)	$	303,784,395

(a) Includes securities on loan with a value of $87,669,138.

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

F-83

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Statement of Operations

	For the year ended December 31, 2006
Investment income
Dividends	$	1,810,786
Dividends—affiliated issuers		435,044
Securities lending income		232,690
Total investment income		2,478,520
Expenses
Investment advisory fee		2,095,065
State Street Bank and Trust Company—program fee		1,089,906
ABA Retirement Funds—program fee		136,768
Trustee, management and administration fees		296,098
Reports to unitholders		52,892
Legal and audit fees		93,558
Compliance consultant fees		103,967
Registration fees		11,270
Other fees		46,839
Total expenses		3,926,363
Net investment loss		(1,447,843	)
Net realized and unrealized gain on investments
Net realized gain on:
Investments- unaffiliated issuers		14,163,280
Investments- affiliated issuers		5,613,859
Net realized gain		19,777,139
Change in net unrealized appreciation (depreciation) on investments		6,470,447
Net realized and unrealized gain		26,247,586
Net increase from payments made by affiliates (see Note 3)		407
Net increase in net assets resulting from operations	$	24,800,150

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

F-84

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment loss	$	(999,828	)	$	(1,447,843	)
Net realized gain		12,383,947			19,777,139
Change in net unrealized appreciation (depreciation) on investments		7,289,994			6,470,447
Net increase of payments made by affiliates		—			407
Net increase in net assets resulting from operations		18,674,113			24,800,150
From unitholder transactions
Proceeds from units issued		43,753,278			53,406,303
Cost of units redeemed		(67,708,564	)		(89,174,671	)
Net decrease in net assets resulting from unitholder transactions		(23,955,286	)		(35,768,368	)
Net decrease in net assets		(5,281,173	)		(10,968,218	)
Net Assets
Beginning of year		320,033,786			314,752,613
End of year	$	314,752,613		$	303,784,395
Number of units
Outstanding—beginning of year		5,000,918			4,628,769
Issued		685,717			741,072
Redeemed		(1,057,866	)		(1,251,655	)
Outstanding—end of year		4,628,769			4,118,186

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

F-85

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income†	$	0.41		$	0.39		$	0.50		$	0.50		$	0.55
Net expenses(†)††		(0.47	)		(0.47	)		(0.54	)		(0.70	)		(0.87	)
Net investment loss		(0.06	)		(0.08	)		(0.04	)		(0.20	)		(0.32	)
Net realized and unrealized gain (loss)		(16.76	)		16.74			4.50			4.20			6.09	(a)
Net increase (decrease) in unit value		(16.82	)		16.66			4.46			4.00			5.77
Net asset value at beginning of year		59.70			42.88			59.54			64.00			68.00
Net asset value at end of year	$	42.88		$	59.54		$	64.00		$	68.00		$	73.77
Ratio of net expenses to average net assets††		0.93	%		0.94	%		0.92	%		1.10	%		1.22	%
Ratio of net investment loss to average net assets		(0.11	)%		(0.16	)%		(0.08	)%		(0.32	)%		(0.45	)%
Portfolio turnover*		83	%		46	%		104	%		103	%		79	%
Total return		(28.17	)%		38.85	%		7.49	%		6.25	%		8.49	%
Net assets at end of year (in thousands)	$	223,301		$	314,696		$	320,034		$	314,753		$	303,784

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

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

* With respect to the portion of the Fund’s assets invested in a collective investment fund commencing July 1, 2005, portfolio turnover reflects purchases and sales of such collective investment fund in which the Fund invests a portion of its assets, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

(a) Net of payments made by affiliates. Impact of the increase is less than $0.005 per unit.

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

F-86

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMON STOCK—92.2%
BASIC MATERIALS—3.8%
Chemicals—1.8%
American Vanguard Corp.(a)	18,000	$	286,200
Cytec Industries, Inc.	20,900		1,181,059
Ferro Corp.(a)	37,400		773,806
Hercules, Inc.*	93,300		1,801,623
Minerals Technologies, Inc.	14,500		852,455
Spartech Corp.	19,985		524,007
			5,419,150
Forest Products & Paper—0.4%
Bowater, Inc.(a)	23,400		526,500
Caraustar Industries, Inc.*	45,000		364,050
Rock-Tenn Co.	15,300		414,783
			1,305,333
Iron/Steel—1.2%
Carpenter Technology Corp.(a)	8,000		820,160
Cleveland-Cliffs, Inc.(a)	56,700		2,746,548
			3,566,708
Mining—0.4%
Century Aluminum Co.*(a)	15,500		692,075
Compass Minerals International, Inc.	13,880		438,053
			1,130,128
			11,421,319
COMMUNICATIONS—9.2%
Advertising—0.8%
Catalina Marketing Corp.	24,500		673,750
inVentiv Health, Inc.*	51,275		1,812,571
			2,486,321
Internet—3.6%
Avocent Corp.*	41,700		1,411,545
Interwoven, Inc.*	29,600		434,232
Perficient, Inc.*(a)	32,200		528,402
Priceline.com, Inc.*	37,800		1,648,458
Sapient Corp.*(a)	354,100		1,944,009
Trizetto Group*(a)	69,300		1,273,041
Valueclick, Inc.*(a)	124,000		2,930,120
WebSideStory, Inc.*(a)	64,300		814,038
			10,983,845

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

F-87

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
COMMUNICATIONS (Continued)
Media—0.5%
Cox Radio, Inc.*	23,500	$	383,050
Martha Stewart Living Omnimedia(a)	56,200		1,230,780
			1,613,830
Telecommunication—4.3%
Alaska Communications Systems Group, Inc.(a)	32,800		498,232
Arris Group, Inc.*	88,600		1,108,386
Cincinnati Bell, Inc.*	125,191		572,123
CommScope, Inc.*(a)	98,400		2,999,232
Dobson Communications Corp.*	74,500		648,895
Foundry Networks, Inc.*	91,600		1,372,168
General Communication, Inc.*	117,300		1,845,129
Golden Telecom, Inc.(a)	6,000		281,040
Oplink Communications, Inc.*(a)	22,600		464,656
Sonus Networks, Inc.*(a)	126,100		830,999
Syniverse Holdings, Inc.*	141,700		2,124,083
Vonage Holdings Corp.*(a)	19,700		136,718
			12,881,661
			27,965,657
CONSUMER, CYCLICAL—12.6%
Airlines—0.3%
Airtran Holdings, Inc.*(a)	59,600		699,704
Republic Airways Holdings, Inc.*	21,500		360,770
			1,060,474
Apparel—2.8%
Brown Shoe Company, Inc.	22,000		1,050,280
Deckers Outdoor Corp.*	5,285		316,836
Gymboree Corp.*	55,600		2,121,696
Iconix Brand Group, Inc.*	37,600		729,064
Quiksilver, Inc.*(a)	57,900		911,925
Skechers U.S.A., Inc.*(a)	46,300		1,542,253
Steven Madden Ltd.	18,500		649,165
Stride Rite Corp.	69,000		1,040,520
True Religion Apparel, Inc.*(a)	13,600		208,216
			8,569,955
Auto Parts & Equipment—0.6%
American Axle & Manufacturing Holdings, Inc.(a)	48,100		913,419
TRW Automotive Holdings Corp.*	32,000		827,840
			1,741,259

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

F-88

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, CYCLICAL (Continued)
Distribution/Wholesale—0.3%
Beacon Roofing Supply, Inc.*(a)	48,603	$	914,708
Entertainment—0.3%
Macrovision Corp.*	30,400		859,104
Home Builders—0.7%
Standard-Pacific Corp.(a)	26,700		715,293
WCI Communities, Inc.*(a)	41,800		801,724
Williams Scotsman International, Inc.*(a)	30,000		588,600
			2,105,617
Office Furnishings—0.4%
Knoll, Inc.	49,590		1,090,980
Retail—7.2%
Buckle, Inc.(a)	8,300		422,055
Buffalo Wild Wings, Inc.*(a)	14,100		750,120
Cash America International, Inc.	17,400		816,060
Charlotte Russe Holding, Inc.*	7,055		216,941
Charming Shoppes, Inc.*	112,100		1,516,713
Christopher & Banks Corp.	33,300		621,378
CKE Restaurants, Inc.	71,300		1,311,920
DSW, Inc.*(a)	9,000		347,130
First Cash Financial Services, Inc.*	48,000		1,241,760
GameStop Corp.*(a)	42,200		2,325,642
HOT Topic, Inc.*	77,200		1,029,848
J Crew Group, Inc.*	16,500		636,075
Jack in the Box, Inc.*	24,300		1,483,272
Men’s Wearhouse, Inc.	40,900		1,564,834
New York & Co., Inc.*(a)	66,500		869,820
Nu Skin Enterprises, Inc.(a)	71,500		1,303,445
Panera Bread Co.*(a)	30,800		1,722,028
PF Chang’s China Bistro, Inc.*(a)	18,822		722,389
Rare Hospitality International, Inc.*(a)	30,300		997,779
Red Robin Gourmet Burgers, Inc.*(a)	37,900		1,358,715
Talbots, Inc.(a)	28,300		682,030
			21,939,954
			38,282,051

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

F-89

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL—18.3%
Biotechnology—2.4%
Applera Corp.—Celera Group*	78,100	$	1,092,619
Arena Pharmaceuticals, Inc.*(a)	57,303		739,782
Cytokinetics, Inc.*(a)	78,800		589,424
Digene Corp.*	29,300		1,404,056
Encysive Pharmaceuticals, Inc.*(a)	26,000		109,460
Exelixis, Inc.*(a)	77,810		700,290
Human Genome Sciences, Inc.*(a)	89,000		1,107,160
Incyte Corp.*(a)	145,700		850,888
Regeneron Pharmaceuticals, Inc.*	37,500		752,625
			7,346,304
Commercial Services—6.1%
Administaff, Inc.	33,900		1,449,903
Advisory Board Co.*	39,000		2,088,060
BearingPoint, Inc.*(a)	77,900		613,073
Bright Horizons Family Solutions, Inc.*(a)	22,600		873,716
Consolidated Graphics, Inc.*	8,700		513,909
ExlService Holdings, Inc.*	1,400		29,456
Korn/Ferry International*	30,400		697,984
Live Nation, Inc.*	46,300		1,037,120
MPS Group, Inc.*(a)	129,498		1,836,282
Parexel International Corp.*	24,300		703,971
Rent-A-Center, Inc.*	45,600		1,345,656
Resources Connection, Inc.*	73,400		2,337,056
Steiner Leisure Ltd.*	16,900		768,950
Watson Wyatt Worldwide, Inc.	52,100		2,352,315
WNS Holdings Ltd. (ADR)*	13,400		416,740
Wright Express Corp.*(a)	49,300		1,536,681
			18,600,872
Food—1.1%
Ralcorp Holdings, Inc.*	25,200		1,282,428
United Natural Foods, Inc.*(a)	53,863		1,934,759
			3,217,187
Healthcare-Products—2.5%
Arrow International, Inc.(a)	30,000		1,061,400
Arthrocare Corp.*(a)	22,600		902,192
Cholestech Corp.*	14,100		259,722
Conmed Corp.*	18,800		434,656

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

F-90

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
CONSUMER, NON-CYCLICAL (Continued)
Healthcare-Products (Continued)
Cutera, Inc.*	33,000	$	891,000
Haemonetics Corp.*(a)	13,100		589,762
Invacare Corp.	23,600		579,380
Meridian Bioscience, Inc.	24,300		596,079
Respironics, Inc.*	13,700		517,175
STERIS Corp.	24,700		621,699
Viasys Healthcare, Inc.*	17,700		492,414
West Pharmaceutical Services, Inc.	15,700		804,311
			7,749,790
Healthcare-Services—2.6%
AMERIGROUP Corp.*	33,885		1,216,132
Five Star Quality Care, Inc.*	23,500		262,025
LifePoint Hospitals, Inc.*	36,800		1,240,160
Magellan Health Services, Inc.*	22,200		959,484
Psychiatric Solutions, Inc.*(a)	73,800		2,768,976
Res-Care, Inc.*	12,373		224,570
Symbion, Inc.*(a)	23,400		433,134
WellCare Health Plans, Inc.*(a)	13,900		957,710
			8,062,191
Household Products—0.2%
Playtex Products, Inc.*	34,400		495,016
Pharmaceuticals—3.4%
Alkermes, Inc.*	29,100		389,067
Anadys Pharmaceuticals, Inc.*(a)	41,800		205,656
Atherogenics, Inc.*(a)	36,000		356,760
CV Therapeutics, Inc.*(a)	18,700		261,052
Cypress Bioscience, Inc.*(a)	56,500		437,875
Infinity Pharmaceuticals, Inc.*(a)	21,625		269,231
Medicines Co.*(a)	61,700		1,957,124
Medicis Pharmaceutical Corp.	17,685		621,274
NBTY, Inc.*	42,400		1,762,568
Neurogen Corp.*	27,400		163,030
Onyx Pharmaceuticals, Inc.*(a)	15,700		166,106
Perrigo Co.	27,800		480,940
Pharmacopeia Drug Discovery, Inc.*(a)	21,100		89,886
Pharmion Corp.*(a)	13,700		352,638
Renovis, Inc.*(a)	17,600		55,616
Rigel Pharmaceuticals, Inc.*(a)	7,731		91,767
Sciele Pharma, Inc.*(a)	78,200		1,876,800
Zymogenetics, Inc.*(a)	42,200		657,054
			10,194,444
			55,665,804

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

F-91

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
DIVERSIFIED—0.1%
Diversified Operations—0.1%
Global Logistics Acquisition Corp.*	37,300	$	305,860
			305,860
ENERGY—4.1%
Coal—0.2%
Foundation Coal Holdings, Inc.	20,000		635,200
Oil & Gas—3.3%
Cabot Oil & Gas Corp.	47,700		2,893,005
Delek US Holdings, Inc.	16,100		263,879
Encore Acquisition Co.*	31,200		765,336
Parker Drilling Co.*	101,600		830,072
Penn Virginia Corp.	20,800		1,456,832
Whiting Petroleum Corp.*	84,700		3,947,020
			10,156,144
Oil & Gas Services—0.6%
W-H Energy Services, Inc.*	33,900		1,650,591
			12,441,935
FINANCIAL—16.5%
Banks—5.8%
Amcore Financial, Inc.(a)	38,200		1,247,994
Bancfirst Corp.	17,079		922,266
Fidelity Southern Corp.	1,500		27,915
First Citizens BancShares, Inc.	8,900		1,803,496
First Community Bancorp, Inc.(a)	42,300		2,211,021
First National of Nebraska, Inc.	39		195,390
Hancock Holding Co.(a)	40,996		2,166,229
Hanmi Financial Corp.(a)	29,700		669,141
IBERIABANK Corp.	6,200		329,499
Independent Bank Corp.	9,100		327,873
International Bancshares Corp.(a)	26,200		809,842
Lakeland Bancorp, Inc.(a)	1,300		19,370
MainSource Financial Group, Inc.(a)	14,600		247,324
Old Second Bancorp, Inc.(a)	16,800		492,240
SCBT Financial Corp.(a)	23,275		971,266
Signature Bank*(a)	34,500		1,068,810
Sterling Financial Corp.	38,200		1,291,542
Taylor Capital Group, Inc.	11,600		424,676
Trico Bancshares	12,900		351,009
UMB Financial Corp.	52,800		1,927,728
Wilshire Bancorp, Inc.(a)	13,000		246,610
			17,751,241

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

F-92

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL (Continued)
Diversified Financial Services—3.9%
Advanta Corp. Class B	30,200	$	1,317,626
Encore Capital Group, Inc.*(a)	24,600		309,960
Financial Federal Corp.(a)	19,150		563,202
Investment Technology Group, Inc.*	33,000		1,415,040
Nasdaq Stock Market, Inc.*(a)	62,100		1,912,059
National Financial Partners Corp.(a)	32,300		1,420,231
Nelnet, Inc.*	24,100		659,376
Ocwen Financial Corp.*(a)	31,300		496,418
Portfolio Recovery Associates, Inc.*(a)	35,600		1,662,164
TradeStation Group, Inc.*	53,000		728,750
World Acceptance Corp.*(a)	28,695		1,347,230
			11,832,056
Insurance—2.6%
Allied World Assurance Holdings Ltd.	19,700		859,511
American Physicians Capital, Inc.*	19,200		768,768
eHealth, Inc.*	16,700		335,837
Harleysville Group, Inc.	7,400		257,668
Meadowbrook Insurance Group, Inc.*	30,400		300,656
Navigators Group, Inc.*	5,291		254,920
Philadelphia Consolidated Holding Co.*	48,700		2,170,072
Platinum Underwriters Holdings Ltd.	25,000		773,500
ProAssurance Corp.*	22,600		1,128,192
Safety Insurance Group, Inc.	7,400		375,254
Tower Group, Inc.	22,600		702,182
			7,926,560
Real Estate—0.2%
Thomas Properties Group, Inc.	31,800		507,846
REITS—2.9%
Acadia Realty Trust	42,800		1,070,856
Cousins Properties, Inc.	2,500		88,175
DiamondRock Hospitality Co.	4,900		88,249
GMH Communities Trust	21,700		220,255
HRPT Properties Trust(a)	57,000		703,950
Maguire Properties, Inc.	27,600		1,104,000
PS Business Parks, Inc.	30,300		2,142,513
Saul Centers, Inc.	25,500		1,407,345
Sunstone Hotel Investors, Inc.	56,200		1,502,226
Winthrop Realty Trust	83,300		570,605
			8,898,174

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

F-93

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
FINANCIAL (Continued)
Savings & Loans—1.1%
FirstFed Financial Corp.*(a)	43,700	$	2,926,589
Riverview Bancorp, Inc.	2,000		30,400
TierOne Corp.	9,595		303,298
			3,260,287
			50,176,164
INDUSTRIAL—13.5%
Aerospace & Defense—1.6%
BE Aerospace, Inc.*	23,100		593,208
Curtiss-Wright Corp.(a)	17,900		663,732
Moog, Inc.*	32,100		1,225,899
Teledyne Technologies, Inc.*	43,800		1,757,694
Triumph Group, Inc.(a)	12,900		676,347
			4,916,880
Building Materials—1.0%
Eagle Materials, Inc.	14,400		622,512
Genlyte Group, Inc.*	16,500		1,288,815
Lennox International, Inc.	28,500		872,385
LSI Industries, Inc.	14,798		293,740
			3,077,452
Electrical Components & Equipment—0.8%
Advanced Energy Industries, Inc.*	35,600		671,772
Greatbatch, Inc.*	11,305		304,331
Littelfuse, Inc.*	28,400		905,392
Superior Essex, Inc.*	18,000		598,500
			2,479,995
Electronics—0.7%
Park Electrochemical Corp.	24,300		623,295
Rofin-Sinar Technologies, Inc.*	11,200		677,152
Technitrol, Inc.	22,200		530,358
Zygo Corp.*	23,300		383,285
			2,214,090
Engineering & Construction—0.5%
EMCOR Group, Inc.*	27,800		1,580,430
Stanley, Inc.*	2,900		49,039
			1,629,469

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

F-94

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
INDUSTRIAL (Continued)
Hand/Machine Tools—0.4%
Regal-Beloit Corp.(a)	23,493	$	1,233,617
Machinery-Diversified—2.9%
Applied Industrial Technologies, Inc.	80,250		2,111,378
Cascade Corp.	13,890		734,781
Gehl Co.*(a)	22,031		606,513
Graco, Inc.	19,200		760,704
Manitowoc Co., Inc.	17,600		1,045,968
Middleby Corp.*(a)	10,400		1,088,568
Tennant Co.(a)	40,200		1,165,800
Wabtec Corp.	39,094		1,187,676
			8,701,388
Metal Fabricate/Hardware—0.5%
Kaydon Corp.(a)	26,100		1,037,214
Valmont Industries, Inc.	8,900		493,861
			1,531,075
Miscellaneous Manufacturing—1.8%
Acuity Brands, Inc.	29,200		1,519,568
Ceradyne, Inc.*(a)	50,500		2,853,250
Freightcar America, Inc.(a)	12,700		704,215
Hexcel Corp.*(a)	24,400		424,804
			5,501,837
Packaging & Containers—0.4%
Greif, Inc.	8,900		1,053,760
Transportation—2.4%
American Commercial Lines, Inc.*(a)	10,200		668,202
Celadon Group, Inc.*(a)	63,225		1,059,019
Florida East Coast Industries, Inc.(a)	19,800		1,180,080
Genesee & Wyoming, Inc.*(a)	31,350		822,624
HUB Group, Inc.*	55,800		1,537,290
Knight Transportation, Inc.(a)	49,950		851,647
Pacer International, Inc.	19,100		568,607
Vitran Corp., Inc.*	28,100		488,097
			7,175,566
Trucking & Leasing—0.5%
GATX Corp.(a)	35,100		1,520,883
			41,036,012

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

F-95

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
TECHNOLOGY—11.8%
Computers—2.3%
BISYS Group, Inc.*	79,300	$	1,023,763
Brocade Communications Systems, Inc.*(a)	189,500		1,555,795
Hutchinson Technology, Inc.*(a)	11,700		275,769
Komag, Inc.*(a)	22,400		848,512
Kronos, Inc.*	29,700		1,091,178
Manhattan Associates, Inc.*	24,300		730,944
MTS Systems Corp.	13,000		502,060
NYFIX, Inc.*	29,900		188,370
SYKES Enterprises, Inc.*	35,600		627,984
			6,844,375
Semiconductors—4.1%
ATMI, Inc.*	29,900		912,847
Cypress Semiconductor Corp.*(a)	68,800		1,160,656
Diodes, Inc.*(a)	41,100		1,458,228
Emulex Corp.*	24,670		481,311
Micrel, Inc.*	83,000		894,740
Semtech Corp.*	83,100		1,086,117
SiRF Technology Holdings, Inc.*(a)	39,400		1,005,488
Varian Semiconductor Equipment Associates, Inc.*	119,650		5,446,468
			12,445,855
Software—5.4%
Activision, Inc.*(a)	100,000		1,724,000
Altiris, Inc.*	36,500		926,370
Ansys, Inc.*	32,800		1,426,472
CSG Systems International, Inc.*(a)	32,900		879,417
Eclipsys Corp.*(a)	15,071		309,860
Hyperion Solutions Corp.*	27,800		999,132
Nuance Communications, Inc.*(a)	108,600		1,244,556
Omnicell, Inc.*	38,400		715,392
Open Solutions, Inc.*	37,400		1,407,736
Quest Software, Inc.*	30,900		452,685
Red Hat, Inc.*(a)	95,400		2,194,200
Smith Micro Software, Inc.*(a)	67,800		962,082
SYNNEX Corp.*	13,900		304,966
Take-Two Interactive Software, Inc.*(a)	28,350		503,496
THQ, Inc.*(a)	35,300		1,147,956
Trident Microsystems, Inc.*(a)	73,400		1,334,412
			16,532,732
			35,822,962

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

F-96

American Bar Association Members/State Street Collective Trust

Small-Cap Equity Fund

Schedule of Investments

December 31, 2006

	Shares	Value
UTILITIES—2.3%
Electric—1.3%
El Paso Electric Co.*	47,900	$	1,167,323
Idacorp, Inc.	26,100		1,008,765
PNM Resources, Inc.	61,400		1,909,540
			4,085,628
Gas—1.0%
SEMCO Energy, Inc.*	84,400		514,840
South Jersey Industries, Inc.	28,100		938,821
UGI Corp.	55,600		1,516,768
			2,970,429
			7,056,057
TOTAL COMMON STOCK (cost $242,406,518)			280,173,821
PREFERRED STOCK—0.1%
Nyfix, Inc.	45,000		255,150
TOTAL PREFERRED STOCK (cost $209,250)			255,150
INVESTMENT FUNDS—3.2%
Affiliated Fund—3.2%
State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund(b) (cost $9,215,376)	204,670		9,572,415
	Units
SHORT-TERM INVESTMENTS—32.5%
Affiliated Funds—32.5%
State Street Bank and Trust Company Yield Enhanced Short Term Investment Fund(b)	8,984,342		8,984,342
State Street Quality D Short Term Investment Fund(b)(c)	89,893,523		89,893,523
TOTAL SHORT-TERM INVESTMENTS (cost $98,877,865)			98,877,865
TOTAL INVESTMENTS—128.0% (cost $350,709,009)			388,879,251
Liabilities in excess of other assets—(28.0)%			(85,094,856	)
NET ASSETS—100.0%		$	303,784,395

* Non-income producing security.

(a) All or a portion of security is on loan.

(b) Collective investment fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company.

(c) Represents security purchased with cash collateral received for securities on loan.

ADR—American Depositary Receipt

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

F-97

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Statement of Assets and Liabilities

	December 31, 2006
Assets
Investments in affiliated fund, at fair value:
State Street Bank ABA Members/Pooled Stable Asset Fund Trust (cost $848,305,631 and units of 848,305,631)	$	841,217,115
Receivable for fund units sold .		943,720
Total assets		842,160,835
Liabilities
Payable for fund units redeemed		2,816,922
State Street Bank and Trust Company—program fee payable		249,762
Trustee, management and administration fees payable		66,294
ABA Retirement Funds—program fee payable		30,399
Other accruals		243,814
Total liabilities		3,407,191
Net Assets at fair value		838,753,644
Adjustment from fair value to contract value for fully benefit responsive contracts		7,088,516
Net Assets (equivalent to $31.86 per unit based on 26,552,729 units outstanding)	$	845,842,160

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

F-98

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Statement of Operations

	For the year ended December 31, 2006
Interest income	$	40,516,816
Expenses
State Street Bank and Trust Company—program fee		2,965,345
ABA Retirement Funds—program fee		371,623
Trustee, management and administration fees		804,806
Reports to unitholders		144,248
Legal and audit fees		255,852
Compliance consultant fees		283,536
Registration fees		30,734
Other fees		128,150
Total expenses		4,984,294
Net investment income and net increase in net assets resulting from operations	$	35,532,522

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

F-99

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income and net increase in net assets resulting from operations	$	30,039,377		$	35,532,522
From unitholder transactions
Proceeds from units issued		240,485,501			236,673,256
Cost of units redeemed		(264,354,781	)		(296,863,772	)
Net decrease in net assets resulting from unitholder transactions		(23,869,280	)		(60,190,516	)
Net increase (decrease) in net assets		6,170,097			(24,657,994	)
Net Assets
Beginning of year		864,330,057			870,500,154
End of year	$	870,500,154		$	845,842,160
Number of units
Outstanding-beginning of year		29,243,928			28,463,595
Issued		8,013,464			7,589,126
Redeemed		(8,793,797	)		(9,499,992	)
Outstanding-end of year		28,463,595			26,552,729

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

F-100

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Financial Highlights

(For a unit outstanding throughout the year)

	2002*			2003			2004			2005			2006
Investment income†	$	1.24		$	1.03		$	0.98		$	1.18		$	1.45
Net expenses(†)††		(0.14	)		(0.14	)		(0.14	)		(0.16	)		(0.17	)
Net investment income		1.10			0.89			0.84			1.02			1.28
Distributions of net investment income		(0.67	)		—			—			—			—
Net increase in unit value		0.43			0.89			0.84			1.02			1.28
Net asset value at beginning of year		27.40			27.83			28.72			29.56			30.58
Net asset value at end of year	$	27.83		$	28.72		$	29.56		$	30.58		$	31.86
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.52	%		0.51	%		0.50	%		0.52	%		0.57	%
Ratio of net investment income to average net assets		4.03	%		3.14	%		2.88	%		3.42	%		4.07	%
Total return		4.12	%		3.20	%		2.92	%		3.45	%		4.19	%
Net assets at end of year (in thousands)	$	891,342		$	882,346		$	864,330		$	870,500		$	845,842

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

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

* Since July 25, 2002, the Fund no longer seeks to maintain a net asset value of $1.00 per unit and net income and realized gains, if any, will be retained by the Fund. The units of the Stable Asset Return Fund were subject to a reverse split (27.4 to 1) effective July 15, 2002.

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

F-101

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

UNITS OF COLLECTIVE INVESTMENT FUND
State Street Bank ABA Member/Pooled Stable Asset Fund Trust
(“SAFT”) (Units 848,305,631) ** (a)	$	848,305,631
TOTAL INVESTMENTS (Cost $848,305,631) (101.1%)		848,305,631
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.1%)		(2,463,471	)
NET ASSETS (100.0%)	$	845,842,160
(a) Stable Asset Return Fund holds 100.0% of SAFT which holds the following investments:

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

F-102

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Investment Contracts (24.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate (%)	Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
GENWORTH LIFE INSURANCE COMPANY	AA-	GS3798GECA	6/15/2007	Fixed	3.25	$	2,260,649	$	0	$	21,797	$	2,282,446
GENWORTH LIFE INSURANCE COMPANY	AA-	GS3798GECA-02	7/6/2010	Fixed	4.60		16,803,369		0		265,844		17,069,213
GENWORTH LIFE AND ANNUITY INSURANCE COMPANY	AA	GS3889	8/4/2009	Fixed	4.09		14,471,919		0		353,890		14,825,809
GENWORTH LIFE AND ANNUITY INSURANCE COMPANY	AA	GS3889-2	12/1/2009	Fixed	4.12		17,992,820		0		471,525		18,464,345
ING USA ANNUITY AND LIFE INS. CO.	AA	IUS0194	2/3/2009	Fixed	4.09		15,652,568		0		283,153		15,935,721
JACKSON NATIONAL LIFE INSURANCE CO	AA	G-1349-2	9/8/2009	Fixed	3.76		12,628,540		0		382,602		13,011,142
JACKSON NATIONAL LIFE INSURANCE CO	AA	G-1349-3	1/5/2010	Fixed	4.68		8,580,606		0		87,406		8,668,012
JACKSON NATIONAL LIFE INSURANCE CO	AA	G-1349-4	10/6/2009	Fixed	4.43		16,932,844		0		275,384		17,208,228
METROPOLITAN LIFE	A	GAC-118415	3/15/2007	Fixed	3.44		2,311,286		0		9,714		2,321,000
METROPOLITAN LIFE	A	GAC-118453	7/16/2007	Fixed	3.59		3,453,722		0		32,229		3,485,951
METROPOLITAN LIFE	A	GAC-29396	9/7/2010	Fixed	4.59		15,612,079		0		274,412		15,886,491
NEW YORK LIFE CO.	AA	GA-30886-004	5/15/2007	Fixed	3.89		2,374,642		0		12,681		2,387,323
PRINCIPAL LIFE INSURANCE	AA-	4-24284-11	8/15/2007	Fixed	3.32		6,759,230		0		60,867		6,820,097
PROTECTIVE LIFE INSURANCE CO.	AA	GA-1806	9/17/2007	Fixed	3.49		6,817,400		0		50,216		6,867,616
PROTECTIVE LIFE INSURANCE CO.	AA	GA-1822	11/15/2007	Fixed	3.23		6,718,774		0		61,649		6,780,423
TRANSAMERICA OCCIDENTAL LIFE INS	AA	SV04371Q	3/3/2009	Fixed	4.37		18,761,888		0		243,096		19,004,984
TRANSAMERICA OCCIDENTAL LIFE INS	AA	SV04391Q	11/4/2008	Fixed	4.38		4,953,132		0		61,205		5,014,337
TRANSAMERICA OCCIDENTAL LIFE INS	AA	SV04419Q	8/5/2008	Fixed	4.01		8,673,523		0		130,032		8,803,555
UNITED OF OMAHA INSURANCE CO	AA+	SDGA-12976	2/8/2008	Fixed	3.76		10,873,100		0		172,790		11,045,890
UNITED OF OMAHA INSURANCE CO	AA+	SDGA-12976-2	5/4/2010	Fixed	4.35		8,923,762		0		171,515		9,095,277
Total Investment Contracts						$	201,555,853	$	0	$	3,422,007	$	204,977,860

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

F-103

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
BANK OF AMERICA NT & SA	Aa1	02-085	GW	Variable	5.126				$	118,182,522	$	0	$	913,693	$	119,096,215
						AMCAR 2005-CF A4	3,875,000	4.630		3,848,825
						BACM 2002-2 A1	311,752	3.366		310,586
						BSCMS 2002-PBW1 A1	1,244,697	3.970		1,219,114
						BSCMS 2003-T10 A1	922,051	4.000		893,877
						BSCMS 2005-T20 A1	3,231,632	4.940		3,219,603
						CWL 2005-16 2AF3	1,525,000	5.669		1,531,335
						CWALT 2005-43 1A1	1,945,545	5.358		1,934,590
						CWHL 2006-HYB2 3A1	97,967	5.573		98,454
						CARAT 2006-2 A1	1,065,000	5.340		1,067,844
						CXHE 2004-C AF3	334,435	4.020		333,486
						CXHE 2004-C AF4	564,250	5.080		558,570
						CCMSC 2000-1 A2	1,391,663	7.757		1,477,125
						CMSI 2006-2 1A7	1,099,243	5.750		1,112,079
						CSFB 2002-CKP1 A2	404,814	6.221		415,025
						CSFB 2003-CPN1 A1	1,353,650	3.727		1,311,048
						CSFB 2003-C3 A2	871,250	2.843		846,088
						CSFB 2003-C3 A3	468,000	3.382		444,604
						CSFB 2003-C5 A2	1,510,000	3.808		1,478,123
						CSFB 2003-C5 A3	936,000	4.429		913,785
						CSFB 2004-C3 A3	1,702,750	4.302		1,670,426
						DLJCM 1999-CG3 A1B	518,750	7.340		546,427
						FHLB 4S-2012 1	196,407	4.840		192,270
						FHR 2630 AE	2,500,000	3.500		2,407,069
						FNW 2003-W16 AF4	81,209	4.063		81,282
						FHR 2639 HC	1,407,942	3.500		1,368,927
						FNR 2005-8 CA	1,284,812	5.000		1,267,561
						FNR 2004-83 AB	2,360,927	4.500		2,300,737
						FHR 2687 PM	714,250	4.500		704,745
						FHR 2702 DE	1,315,168	5.500		1,321,648
						FNR 2005-100 BA	2,983,591	5.500		2,993,933
						FHR 2902 QC	94,500	5.500		95,037
						FHR 2980 LC	837,500	5.500		835,981

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

F-104

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value	Wrapper Contracts At Fair Value	Adjustment To Reflect Contract Value	Investments at Contract Value
BANK OF AMERICA NT & SA (continued)	Aa1	02-085	GW	Variable	5.126
						FHR 2984 NB	326,907	5.500	328,219
						FHRR R003 AG	3,032,563	5.125	3,015,040
						FHR 3072 A	3,579,132	5.500	3,591,266
						FN 791030	1,146,892	4.530	1,137,480
						GEEMT 2006-1 A1	878,750	5.301	880,923
						GMACC 1999-C2 A2	1,069,799	6.945	1,107,785
						GMACC 2000-C3 A1	557,122	6.650	566,499
						GECMC 2003-C1 A1	1,219,579	3.091	1,196,654
						GECMC 2005-C2 A2	1,009,250	4.706	997,045
						HFCHC 2006-3 A1F	2,547,473	5.980	2,558,306
						HAT 2006-3 A1	1,129,388	5.362	1,132,065
						JPMCC 2003-LN1 A1	2,403,175	4.134	2,331,600
						JPMCC 2003-C1 A1	1,496,019	4.275	1,463,422
						JPMCC 2004-LN2 A1	716,459	4.475	700,335
						JPALT 2006-S2 A1A	1,852,392	5.500	1,844,089
						LBUBS 2001-C3 A1	988,782	6.058	1,006,716
						MLMT 2004-KEY2 A2	436,750	4.166	424,308
						MLMT 2005-CIP1 A2	500,000	4.960	497,418
						MSC 2005-IQ10 A2	2,152,250	5.126	2,152,725
						MSC 2004-IQ7 A2	936,000	5.020	932,655
						MSM 2005-1 3A1	1,801,185	5.000	1,798,156
						MSM 2005-1 3A2	1,205,308	5.250	1,188,309
						PNCMA 2000-C2 A1	69,250	7.050	69,718
						KEY 2000-C1 A2	2,581,566	7.727	2,748,542
						RAMC 2006-4 AF1	2,535,000	5.545	2,538,805
						RASC 2003-KS10 AI4	1,138,411	4.470	1,126,622
						RASC 2003-KS11 AI4	766,355	4.510	759,949
						RALI 2005-QA13 3A1	319,404	6.033	324,175
						SBM7 2000-C3 A1	848,051	6.341	855,805
						TAROT 2006-C A1	1,356,037	5.341	1,360,279
						TAROT 2005-A A4	2,000,000	4.220	1,969,491
						WBCMT 2003-C9 A3	485,000	4.608	474,686

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

F-105

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
BANK OF AMERICA NT & SA (continued)	Aa1	02-085	GW	Variable	5.126
						WFMBS 2003-F A1	347,467	4.891		340,848
						WFMBS 2006-AR3 A3	520,900	5.713		524,974
						WFMBS 2006-AR13 A3	3,340,160	5.757		3,356,507
						SSGA COM MORTGAGE BACKED INDEX (CMBS)	280,362			4,641,672
						SSGA MORTGAGE BACKED INDEX SL (CME5)	944,967			18,352,198
						SSGA ASSET BACKED INDEX (CME6)	496,831			9,087,031
JP MORGAN CHASE	Aa3	AABA06	GW	Variable	5.131				$	118,182,522	$	0	$	913,517	$	119,096,039
						AMCAR 2005-CF A4	3,875,000	4.630		3,848,825
						BACM 2002-2 A1	311,752	3.366		310,586
						BSCMS 2002-PBW1 A1	1,244,697	3.970		1,219,114
						BSCMS 2003-T10 A1	922,051	4.000		893,877
						BSCMS 2005-T20 A1	3,231,632	4.940		3,219,603
						CWL 2005-16 2AF3	1,525,000	5.669		1,531,335
						CWALT 2005-43 1A1	1,945,545	5.358		1,934,590
						CWHL 2006-HYB2 3A1	97,967	5.573		98,454
						CARAT 2006-2 A1	1,065,000	5.340		1,067,844
						CXHE 2004-C AF3	334,435	4.020		333,486
						CXHE 2004-C AF4	564,250	5.080		558,570
						CCMSC 2000-1 A2	1,391,663	7.757		1,477,125
						CMSI 2006-2 1A7	1,099,243	5.750		1,112,079
						CSFB 2002-CKP1 A2	404,814	6.221		415,025
						CSFB 2003-CPN1 A1	1,353,650	3.727		1,311,048
						CSFB 2003-C3 A2	871,250	2.843		846,088
						CSFB 2003-C3 A3	468,000	3.382		444,604
						CSFB 2003-C5 A2	1,510,000	3.808		1,478,123
						CSFB 2003-C5 A3	936,000	4.429		913,785
						CSFB 2004-C3 A3	1,702,750	4.302		1,670,426
						DLJCM 1999-CG3 A1B	518,750	7.340		546,427

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

F-106

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value	Wrapper Contracts At Fair Value	Adjustment To Reflect Contract Value	Investments at Contract Value
JP MORGAN CHASE (continued)	Aa3	AABA06	GW	Variable	5.131
						FHLB 4S-2012 1	196,407	4.840	192,270
						FHR 2630 AE	2,500,000	3.500	2,407,069
						FNW 2003-W16 AF4	81,209	4.063	81,282
						FHR 2639 HC	1,407,942	3.500	1,368,927
						FNR 2005-8 CA	1,284,812	5.000	1,267,561
						FNR 2004-83 AB	2,360,927	4.500	2,300,737
						FHR 2687 PM	714,250	4.500	704,745
						FHR 2702 DE	1,315,168	5.500	1,321,648
						FNR 2005-100 BA	2,983,591	5.500	2,993,933
						FHR 2902 QC	94,500	5.500	95,037
						FHR 2980 LC	837,500	5.500	835,981
						FHR 2984 NB	326,907	5.500	328,219
						FHRR R003 AG	3,032,563	5.125	3,015,040
						FHR 3072 A	3,579,132	5.500	3,591,266
						FN 791030	1,146,892	4.530	1,137,480
						GEEMT 2006-1 A1	878,750	5.301	880,923
						GMACC 1999-C2 A2	1,069,799	6.945	1,107,785
						GMACC 2000-C3 A1	557,122	6.650	566,499
						GECMC 2003-C1 A1	1,219,579	3.091	1,196,654
						GECMC 2005-C2 A2	1,009,250	4.706	997,045
						HFCHC 2006-3 A1F	2,547,473	5.980	2,558,306
						HAT 2006-3 A1	1,129,388	5.362	1,132,065
						JPMCC 2003-LN1 A1	2,403,175	4.134	2,331,600
						JPMCC 2003-C1 A1	1,496,019	4.275	1,463,422
						JPMCC 2004-LN2 A1	716,459	4.475	700,335
						JPALT 2006-S2 A1A	1,852,392	5.500	1,844,089
						LBUBS 2001-C3 A1	988,782	6.058	1,006,716
						MLMT 2004-KEY2 A2	436,750	4.166	424,308
						MLMT 2005-CIP1 A2	500,000	4.960	497,418
						MSC 2005-IQ10 A2	2,152,250	5.126	2,152,725
						MSC 2004-IQ7 A2	936,000	5.020	932,655
						MSM 2005-1 3A1	1,801,185	5.000	1,798,156

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

F-107

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
JP MORGAN CHASE (continued)	Aa3	AABA06	GW	Variable	5.131
						MSM 2005-1 3A2	1,205,308	5.250		1,188,309
						PNCMA 2000-C2 A1	69,250	7.050		69,718
						KEY 2000-C1 A2	2,581,566	7.727		2,748,542
						RAMC 2006-4 AF1	2,535,000	5.545		2,538,805
						RASC 2003-KS10 AI4	1,138,411	4.470		1,126,622
						RASC 2003-KS11 AI4	766,355	4.510		759,949
						RALI 2005-QA13 3A1	319,404	6.033		324,175
						SBM7 2000-C3 A1	848,051	6.341		855,805
						TAROT 2006-C A1	1,356,037	5.341		1,360,279
						TAROT 2005-A A4	2,000,000	4.220		1,969,491
						WBCMT 2003-C9 A3	485,000	4.608		474,686
						WFMBS 2003-F A1	347,467	4.891		340,848
						WFMBS 2006-AR3 A3	520,900	5.713		524,974
						WFMBS 2006-AR13 A3	3,340,160	5.757		3,356,507
						SSGA COM MORTGAGE BACKED INDEX (CMBS)	280,362			4,641,672
						SSGA MORTGAGE BACKED INDEX SL (CME5)	944,967			18,352,198
						SSGA ASSET BACKED INDEX (CME6)	496,831			9,087,031
ROYAL BANK OF CANADA	Aa2	SSABRA01	GW	Variable	5.129				$	118,182,522	$	0	$	919,375	$	119,101,897
						AMCAR 2005-CF A4	3,875,000	4.630		3,848,825
						BACM 2002-2 A1	311,752	3.366		310,586
						BSCMS 2002-PBW1 A1	1,244,697	3.970		1,219,114
						BSCMS 2003-T10 A1	922,051	4.000		893,877
						BSCMS 2005-T20 A1	3,231,632	4.940		3,219,603
						CWL 2005-16 2AF3	1,525,000	5.669		1,531,335
						CWALT 2005-43 1A1	1,945,545	5.358		1,934,590
						CWHL 2006-HYB2 3A1	97,967	5.573		98,454
						CARAT 2006-2 A1	1,065,000	5.340		1,067,844

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

F-108

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value	Wrapper Contracts At Fair Value	Adjustment To Reflect Contract Value	Investments at Contract Value
ROYAL BANK OF CANADA (continued)	Aa2	SSABRA01	GW	Variable	5.129	CXHE 2004-C AF3	334,435	4.020	333,486
						CXHE 2004-C AF4	564,250	5.080	558,570
						CCMSC 2000-1 A2	1,391,663	7.757	1,477,125
						CMSI 2006-2 1A7	1,099,243	5.750	1,112,079
						CSFB 2002-CKP1 A2	404,814	6.221	415,025
						CSFB 2003-CPN1 A1	1,353,650	3.727	1,311,048
						CSFB 2003-C3 A2	871,250	2.843	846,088
						CSFB 2003-C3 A3	468,000	3.382	444,604
						CSFB 2003-C5 A2	1,510,000	3.808	1,478,123
						CSFB 2003-C5 A3	936,000	4.429	913,785
						CSFB 2004-C3 A3	1,702,750	4.302	1,670,426
						DLJCM 1999-CG3 A1B	518,750	7.340	546,427
						FHLB 4S-2012 1	196,407	4.840	192,270
						FHR 2630 AE	2,500,000	3.500	2,407,069
						FNW 2003-W16 AF4	81,209	4.063	81,282
						FHR 2639 HC	1,407,942	3.500	1,368,927
						FNR 2005-8 CA	1,284,812	5.000	1,267,561
						FNR 2004-83 AB	2,360,927	4.500	2,300,737
						FHR 2687 PM	714,250	4.500	704,745
						FHR 2702 DE	1,315,168	5.500	1,321,648
						FNR 2005-100 BA	2,983,591	5.500	2,993,933
						FHR 2902 QC	94,500	5.500	95,037
						FHR 2980 LC	837,500	5.500	835,981
						FHR 2984 NB	326,907	5.500	328,219
						FHRR R003 AG	3,032,563	5.125	3,015,040
						FHR 3072 A	3,579,132	5.500	3,591,266
						FN 791030	1,146,892	4.530	1,137,480
						GEEMT 2006-1 A1	878,750	5.301	880,923
						GMACC 1999-C2 A2	1,069,799	6.945	1,107,785
						GMACC 2000-C3 A1	557,122	6.650	566,499
						GECMC 2003-C1 A1	1,219,579	3.091	1,196,654
						GECMC 2005-C2 A2	1,009,250	4.706	997,045

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

F-109

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value	Wrapper Contracts At Fair Value	Adjustment To Reflect Contract Value	Investments at Contract Value
ROYAL BANK OF CANADA (continued)	Aa2	SSABRA01	GW	Variable	5.129	HFCHC 2006-3 A1F	2,547,473	5.980	2,558,306
						HAT 2006-3 A1	1,129,388	5.362	1,132,065
						JPMCC 2003-LN1 A1	2,403,175	4.134	2,331,600
						JPMCC 2003-C1 A1	1,496,019	4.275	1,463,422
						JPMCC 2004-LN2 A1	716,459	4.475	700,335
						JPALT 2006-S2 A1A	1,852,392	5.500	1,844,089
						LBUBS 2001-C3 A1	988,782	6.058	1,006,716
						MLMT 2004-KEY2 A2	436,750	4.166	424,308
						MLMT 2005-CIP1 A2	500,000	4.960	497,418
						MSC 2005-IQ10 A2	2,152,250	5.126	2,152,725
						MSC 2004-IQ7 A2	936,000	5.020	932,655
						MSM 2005-1 3A1	1,801,185	5.000	1,798,156
						MSM 2005-1 3A2	1,205,308	5.250	1,188,309
						PNCMA 2000-C2 A1	69,250	7.050	69,718
						KEY 2000-C1 A2	2,581,566	7.727	2,748,542
						RAMC 2006-4 AF1	2,535,000	5.545	2,538,805
						RASC 2003-KS10 AI4	1,138,411	4.470	1,126,622
						RASC 2003-KS11 AI4	766,355	4.510	759,949
						RALI 2005-QA13 3A1	319,404	6.033	324,175
						SBM7 2000-C3 A1	848,051	6.341	855,805
						TAROT 2006-C A1	1,356,037	5.341	1,360,279
						TAROT 2005-A A4	2,000,000	4.220	1,969,491
						WBCMT 2003-C9 A3	485,000	4.608	474,686
						WFMBS 2003-F A1	347,467	4.891	340,848
						WFMBS 2006-AR3 A3	520,900	5.713	524,974
						WFMBS 2006-AR13 A3	3,340,160	5.757	3,356,507
						SSGA COM MORTGAGE BACKED INDEX (CMBS)	280,362		4,641,672
						SSGA MORTGAGE BACKED INDEX SL (CME5)	944,967		18,352,198
						SSGA ASSET BACKED INDEX (CME6)	496,831		9,087,031

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

F-110

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
UNION BANK OF SWITZERLAND	Aa2	4264	GW	Variable	5.119				$	118,182,522	$	0	$	919,924	$	119,102,446
						AMCAR 2005-CF A4	3,875,000	4.630		3,848,825
						BACM 2002-2 A1	311,752	3.366		310,586
						BSCMS 2002-PBW1 A1	1,244,697	3.970		1,219,114
						BSCMS 2003-T10 A1	922,051	4.000		893,877
						BSCMS 2005-T20 A1	3,231,632	4.940		3,219,603
						CWL 2005-16 2AF3	1,525,000	5.669		1,531,335
						CWALT 2005-43 1A1	1,945,545	5.358		1,934,590
						CWHL 2006-HYB2 3A1	97,967	5.573		98,454
						CARAT 2006-2 A1	1,065,000	5.340		1,067,844
						CXHE 2004-C AF3	334,435	4.020		333,486
						CXHE 2004-C AF4	564,250	5.080		558,570
						CCMSC 2000-1 A2	1,391,663	7.757		1,477,125
						CMSI 2006-2 1A7	1,099,243	5.750		1,112,079
						CSFB 2002-CKP1 A2	404,814	6.221		415,025
						CSFB 2003-CPN1 A1	1,353,650	3.727		1,311,048
						CSFB 2003-C3 A2	871,250	2.843		846,088
						CSFB 2003-C3 A3	468,000	3.382		444,604
						CSFB 2003-C5 A2	1,510,000	3.808		1,478,123
						CSFB 2003-C5 A3	936,000	4.429		913,785
						CSFB 2004-C3 A3	1,702,750	4.302		1,670,426
						DLJCM 1999-CG3 A1B	518,750	7.340		546,427
						FHLB 4S-2012 1	196,407	4.840		192,270
						FHR 2630 AE	2,500,000	3.500		2,407,069
						FNW 2003-W16 AF4	81,209	4.063		81,282
						FHR 2639 HC	1,407,942	3.500		1,368,927
						FNR 2005-8 CA	1,284,812	5.000		1,267,561
						FNR 2004-83 AB	2,360,927	4.500		2,300,737
						FHR 2687 PM	714,250	4.500		704,745
						FHR 2702 DE	1,315,168	5.500		1,321,648
						FNR 2005-100 BA	2,983,591	5.500		2,993,933
						FHR 2902 QC	94,500	5.500		95,037
						FHR 2980 LC	837,500	5.500		835,981

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

F-111

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value	Wrapper Contracts At Fair Value	Adjustment To Reflect Contract Value	Investments at Contract Value
UNION BANK OF SWITZERLAND (continued)	Aa2	4264	GW	Variable	5.119	FHR 2984 NB	326,907	5.500	328,219
						FHRR R003 AG	3,032,563	5.125	3,015,040
						FHR 3072 A	3,579,132	5.500	3,591,266
						FN 791030	1,146,892	4.530	1,137,480
						GEEMT 2006-1 A1	878,750	5.301	880,923
						GMACC 1999-C2 A2	1,069,799	6.945	1,107,785
						GMACC 2000-C3 A1	557,122	6.650	566,499
						GECMC 2003-C1 A1	1,219,579	3.091	1,196,654
						GECMC 2005-C2 A2	1,009,250	4.706	997,045
						HFCHC 2006-3 A1F	2,547,473	5.980	2,558,306
						HAT 2006-3 A1	1,129,388	5.362	1,132,065
						JPMCC 2003-LN1 A1	2,403,175	4.134	2,331,600
						JPMCC 2003-C1 A1	1,496,019	4.275	1,463,422
						JPMCC 2004-LN2 A1	716,459	4.475	700,335
						JPALT 2006-S2 A1A	1,852,392	5.500	1,844,089
						LBUBS 2001-C3 A1	988,782	6.058	1,006,716
						MLMT 2004-KEY2 A2	436,750	4.166	424,308
						MLMT 2005-CIP1 A2	500,000	4.960	497,418
						MSC 2005-IQ10 A2	2,152,250	5.126	2,152,725
						MSC 2004-IQ7 A2	936,000	5.020	932,655
						MSM 2005-1 3A1	1,801,185	5.000	1,798,156
						MSM 2005-1 3A2	1,205,308	5.250	1,188,309
						PNCMA 2000-C2 A1	69,250	7.050	69,718
						KEY 2000-C1 A2	2,581,566	7.727	2,748,542
						RAMC 2006-4 AF1	2,535,000	5.545	2,538,805
						RASC 2003-KS10 AI4	1,138,411	4.470	1,126,622
						RASC 2003-KS11 AI4	766,355	4.510	759,949
						RALI 2005-QA13 3A1	319,404	6.033	324,175
						SBM7 2000-C3 A1	848,051	6.341	855,805
						TAROT 2006-C A1	1,356,037	5.341	1,360,279
						TAROT 2005-A A4	2,000,000	4.220	1,969,491

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

F-112

American Bar Association Members/State Street Collective Trust

Stable Asset Return Fund

Schedule of Investments

December 31, 2006

Global Wrap Synthetic Investment Contracts (56.16%)	Issuer Rating	Contract ID	Maturity Date	Rate Frequency	Effective Annual Rate	Description	Underlying Securities Principal	Rate (%)	Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
UNION BANK OF SWITZERLAND (continued)	Aa2	4264	GW	Variable	5.119	WBCMT 2003-C9 A3	485,000	4.608		474,686
						WFMBS 2003-F A1	347,467	4.891		340,848
						WFMBS 2006-AR3 A3	520,900	5.713		524,974
						WFMBS 2006-AR13 A3	3,340,160	5.757		3,356,507
						SSGA COM MORTGAGE BACKED INDEX (CMBS)	280,362			4,641,672
						SSGA MORTGAGE BACKED INDEX SL (CME5)	944,967			18,352,198
						SSGA ASSET BACKED INDEX (CME6)	496,831			9,087,031
Total Global Wrap Synthetic Investment Contracts										472,730,088		0		3,666,509		476,396,597
Short Term Investments (19.68%)		Units							Investments at Fair Value		Wrapper Contracts At Fair Value		Adjustment To Reflect Contract Value		Investments at Contract Value
State Street Bank Yield Enhanced Short Term Invesment Fund**		166,943,298								166,943,298		0		0		166,943,298
Total Investments (100%)									$	841,229,239	$	0	$	7,088,516	$	848,317,755

GW Global wrap synthetic investment contract which holds multiple underlying securities with various maturity dates. Underlying securities amounts shown represent pro rata holdings.

** Collective Investment Fund advised by State Street Global Advisors, a division of State Street Bank and Trust Company

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

F-113

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Conservative Portfolio

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
American Bar Association Members/State Street Collective Trust investment funds, at value
Stable Asset Return Fund (cost $19,293,903 and units of 651,814)	$	20,763,655
Intermediate Bond Fund (cost $22,665,772 and units of 1,219,009)		24,224,264
Large-Cap Value Equity Fund (cost $3,605,163 and units of 109,428)		4,844,853
Large-Cap Growth Equity Fund (cost $4,081,050 and units of 90,531)		4,844,853
Index Equity Fund (cost $7,669,564 and units of 263,875)		9,689,706
International Equity Fund (cost $3,458,991 and units of 155,486)		4,844,853
Receivable for collective investments sold		368,492
Receivable for portfolio units sold		106,496
Total assets		69,687,172
LIABILITIES
Payable for portfolio units redeemed		474,988
Total liabilities		474,988
Net Assets (equivalent to $21.83 per unit based on 3,171,123 units outstanding)	$	69,212,184

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

F-114

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Conservative Portfolio

Statement of Operations

	For the year ended December 31, 2006
Investment income	$	—
Net realized and unrealized gain on collective investment funds:
Net realized gain		3,888,967
Change in net unrealized appreciation (depreciation)		1,618,795
Net realized and unrealized gain		5,507,762
Net increase in net assets resulting from operations	$	5,507,762

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

F-115

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Conservative Portfolio

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	—		$	—
Net realized gain on investments		3,306,405			3,888,967
Change in net unrealized appreciation (depreciation)		(485,603	)		1,618,795
Net increase in net assets resulting from operations		2,820,802			5,507,762
From unitholder transactions
Proceeds from units issued		20,609,622			17,711,249
Cost of units redeemed		(15,522,861	)		(17,977,863	)
Net increase (decrease) in net assets resulting from unitholder transactions		5,086,761			(266,614	)
Net increase in net assets		7,907,563			5,241,148
Net Assets
Beginning of year		56,063,473			63,971,036
End of year	$	63,971,036		$	69,212,184
Number of units
Outstanding—beginning of year		2,910,075			3,177,803
Issued		1,057,197			853,482
Redeemed		(789,469	)		(860,162	)
Outstanding—end of year		3,177,803			3,171,123

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

F-116

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Conservative Portfolio

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income	$	—		$	—		$	—		$	—		$	—
Net expenses††		—			—			—			—			—
Net investment income		—			—			—			—			—
Net realized and unrealized gain (loss)		(0.44	)		2.05			1.22			0.86			1.70
Net increase (decrease) in unit value		(0.44	)		2.05			1.22			0.86			1.70
Net asset value at beginning of year		16.44			16.00			18.05			19.27			20.13
Net asset value at end of year	$	16.00		$	18.05		$	19.27		$	20.13		$	21.83
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Ratio of net investment income to average net assets		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Portfolio turnover†		40	%		22	%		18	%		22	%		21	%
Total return		(2.68	)%		12.81	%		6.76	%		4.46	%		8.45	%
Net assets at end of year (in thousands)	$	34,365		$	47,731		$	56,063		$	63,971		$	69,212

† Portfolio turnover reflects purchases and sales by the Portfolio of units of the Funds in which the Portfolio invests rather than turnover of such underlying Funds.

†† Net 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 its assets.

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

F-117

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Moderate Portfolio

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
American Bar Association Members/State Street Collective Trust investment funds, at value
Stable Asset Return Fund (cost $23,646,234 and units of 799,764)	$	25,476,627
Intermediate Bond Fund (cost $71,559,487 and units of 3,846,091)		76,429,882
Large-Cap Value Equity Fund (cost $15,802,492 and units of 517,882)		22,928,965
Large-Cap Growth Equity Fund (cost $18,476,501 and units of 428,451)		22,928,965
Index Equity Fund (cost $43,392,372 and units of 1,595,725)		58,596,243
Mid-Cap Value Equity Fund (cost $3,981,746 and units of 306,232)		5,095,325
Mid-Cap Growth Equity Fund (cost $4,240,906 and units of 226,392)		5,095,325
International Equity Fund (cost $25,026,784 and units of 1,226,432)		38,214,941
Receivable for portfolio units sold		459,295
Receivable for collective investments sold		63,908
Total assets		255,289,476
LIABILITIES
Payable for portfolio units redeemed		523,203
Total liabilities		523,203
Net assets (equivalent to $24.35 per unit based on 10,464,807 units outstanding)	$	254,766,273

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

F-118

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Moderate Portfolio

Statement of Operations

	For the year ended December 31, 2006
Investment income	$	—
Net realized and unrealized gain on collective investment funds:
Net realized gain		15,351,899
Change in net unrealized appreciation (depreciation)		12,542,850
Net realized and unrealized gain		27,894,749
Net increase in net assets resulting from operations	$	27,894,749

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

F-119

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Moderate Portfolio

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	—		$	—
Net realized gain on investments		9,249,796			15,351,899
Change in net unrealized appreciation (depreciation)		4,387,473			12,542,850
Net increase in net assets resulting from operations		13,637,269			27,894,749
From unitholder transactions
Proceeds from units issued		70,401,624			59,133,830
Cost of units redeemed		(51,318,996	)		(68,504,183	)
Net increase (decrease) in net assets resulting from unitholder transactions		19,082,628			(9,370,353	)
Net increase in net assets		32,719,897			18,524,396
Net Assets
Beginning of year		203,521,980			236,241,877
End of year	$	236,241,877		$	254,766,273
Number of units
Outstanding—beginning of year		9,890,662			10,844,908
Issued		3,396,126			2,597,205
Redeemed		(2,441,880	)		(2,977,306	)
Outstanding—end of year		10,844,908			10,464,807

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

F-120

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Moderate Portfolio

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income	$	—		$	—		$	—		$	—		$	—
Net expenses††		—			—			—			—			—
Net investment income		—			—			—			—			—
Net realized and unrealized gain (loss)		(1.62	)		3.15			1.78			1.20			2.57
Net increase (decrease) in unit value		(1.62	)		3.15			1.78			1.20			2.57
Net asset value at beginning of year		17.27			15.65			18.80			20.58			21.78
Net asset value at end of year	$	15.65		$	18.80		$	20.58		$	21.78		$	24.35
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Ratio of net investment income to average net assets		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Portfolio turnover†		31	%		17	%		12	%		20	%		16	%
Total return		(9.38	)%		20.13	%		9.47	%		5.83	%		11.80	%
Net assets at end of year (in thousands)	$	112,021		$	156,847		$	203,522		$	236,242		$	254,766

† Portfolio turnover reflects purchases and sales by the Portfolio of units of the Funds in which the Portfolio invests rather than turnover of such underlying Funds.

†† Net 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 its assets.

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

F-121

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Aggressive Portfolio

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
American Bar Association Members/State Street Collective Trust investment funds, at value
Intermediate Bond Fund (cost $26,718,945 and units of 1,429,035)	$	28,397,914
Large-Cap Value Equity Fund (cost $16,680,864 and units of 555,885)		24,611,525
Large-Cap Growth Equity Fund (cost $19,812,615 and units of 459,892)		24,611,525
Index Equity Fund (cost $42,163,436 and units of 1,546,695)		56,795,827
Mid-Cap Value Equity Fund (cost $4,358,946 and units of 341,346)		5,679,583
Mid-Cap Growth Equity Fund (cost $4,603,461 and units of 252,351)		5,679,583
Small-Cap Equity Fund (cost $4,763,239 and units of 76,993)		5,679,583
International Equity Fund (cost $23,583,368 and units of 1,215,165)		37,863,885
Receivable for portfolio units sold		296,665
Receivable for collective investments sold		216,346
Total assets		189,832,436
LIABILITIES
Payable for portfolio units redeemed		513,011
Total liabilities		513,011
Net assets (equivalent to $26.37 per unit based on 7,179,561 units outstanding)	$	189,319,425

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

F-122

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Aggressive Portfolio

Statement of Operations

	For the year ended December 31, 2006
Investment income	$	—
Net realized and unrealized gain on collective investment funds:
Net realized gain		9,498,389
Change in net unrealized appreciation (depreciation)		15,807,205
Net realized and unrealized gain		25,305,594
Net increase in net assets resulting from operations	$	25,305,594

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

F-123

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Aggressive Portfolio

Statement of Changes in Net Assets

	For the years ended December 31,
	2005			2006
From operations
Net investment income	$	—		$	—
Net realized gain on investments		5,084,101			9,498,389
Change in net unrealized appreciation (depreciation)		6,964,091			15,807,205
Net increase in net assets resulting from operations		12,048,192			25,305,594
From unitholder transactions
Proceeds from units issued		44,374,174			46,651,647
Cost of units redeemed		(38,939,494	)		(50,872,434	)
Net increase (decrease) in net assets resulting from unitholder transactions		5,434,680			(4,220,787	)
Net increase in net assets		17,482,872			21,084,807
Net Assets
Beginning of year		150,751,746			168,234,618
End of year	$	168,234,618		$	189,319,425
Number of units
Outstanding—beginning of year		7,033,101			7,324,928
Issued		2,055,491			1,918,747
Redeemed		(1,763,664	)		(2,064,114	)
Outstanding—end of year		7,324,928			7,179,561

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

F-124

American Bar Association Members/State Street Collective Trust

Structured Portfolio Service—Aggressive Portfolio

Financial Highlights

(For a unit outstanding throughout the year)

	2002			2003			2004			2005			2006
Investment income	$	—		$	—		$	—		$	—		$	—
Net expenses††		—			—			—			—			—
Net investment income		—			—			—			—			—
Net realized and unrealized gain (loss)		(3.03	)		4.14			2.24			1.54			3.40
Net increase (decrease) in unit value		(3.03	)		4.14			2.24			1.54			3.40
Net asset value at beginning of year		18.08			15.05			19.19			21.43			22.97
Net asset value at end of year	$	15.05		$	19.19		$	21.43		$	22.97		$	26.37
Ratios/Supplemental Data:
Ratio of net expenses to average net assets††		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Ratio of net investment income to average net assets		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Portfolio turnover†		29	%		17	%		10	%		19	%		18	%
Total return		(16.76	)%		27.51	%		11.67	%		7.19	%		14.80	%
Net assets at end of year (in thousands)	$	84,328		$	122,389		$	150,752		$	168,235		$	189,319

† Portfolio turnover reflects purchases and sales by the Portfolio of units of the Funds in which the Portfolio invests rather than turnover of such underlying Funds.

†† Net 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 its assets.

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

F-125

American Bar Association Members/State Street Collective Trust

Lifetime Income Retirement Date Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments in affiliated fund, at value:
State Street Bank and Trust Company—SSgA Age-Based Income Securities Lending Series Fund (cost $11,171,462 and units of 1,021,036)	$	11,441,726
Receivable for fund units sold		50,989
Total assets		11,492,715
LIABILITIES
Payable for investments purchased		50,745
State Street Bank and Trust Company—program fee payable		3,153
Retirement Date Fund management fee payable		2,915
Trustee, management and administration fees payable		816
ABA Retirement Funds—program fee payable		374
Payable for fund units redeemed		244
Other accruals		1,987
Total liabilities		60,234
Net assets (equivalent to $10.50 per unit based on 1,088,660 units outstanding)	$	11,432,481

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

F-126

American Bar Association Members/State Street Collective Trust

Lifetime Income Retirement Date Fund

Statement of Operations

	For the period August 9, 2006(a) to December 31, 2006
Investment income	$	—
Expenses
State Street Bank and Trust Company—program fee		10,391
Retirement Date Fund management fee		2,915
Trustee, management and administration fees		2,676
ABA Retirement Funds—program fee		1,225
Compliance consultant fees		982
Legal and audit fees		966
Reports to unitholders		500
Registration fees		107
Other fees		474
Total expenses		20,236
Net investment loss		(20,236	)
Net realized and unrealized gain on investment in affiliated fund
Net realized gain		72,974
Change in net unrealized appreciation (depreciation)		270,264
Net realized and unrealized gain		343,238
Net increase in net assets resulting from operations	$	323,002

(a) Commencement of operations.

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

F-127

American Bar Association Members/State Street Collective Trust

Lifetime Income Retirement Date Fund

Statement of Changes in Net Assets

	For the period August 9, 2006(a) to December 31, 2006
From operations
Net investment loss	$	(20,236	)
Net realized gain		72,974
Change in net unrealized appreciation (depreciation)		270,264
Net increase in net assets resulting from operations		323,002
From unitholder transactions
Proceeds from units issued		16,351,383
Cost of units redeemed		(5,241,904	)
Net increase in net assets resulting from unitholder transactions		11,109,479
Net increase in net assets		11,432,481
Net Assets
Beginning of period		—
End of period	$	11,432,481
Number of units
Outstanding—beginning of period		—
Issued		1,601,715
Redeemed		(513,055	)
Outstanding—end of period		1,088,660

(a) Commencement of operations.

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

F-128

American Bar Association Members/State Street Collective Trust

Lifetime Income Retirement Date Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the period August 9, 2006(a) to December 31, 2006
Investment income†	$	0.00
Net expenses(†)††		(0.03	)
Net investment loss		(0.03	)
Net realized and unrealized gain		0.53
Net increase in unit value		0.50
Net asset value at beginning of period		10.00
Net asset value at end of period	$	10.50
Ratios/Supplemental Data:
Ratio of net expenses to average net assets*††		0.69	%
Ratio of net investment loss to average net assets*		(0.69	)%
Portfolio turnover**†††		72	%
Total return**		5.00	%
Net assets at end of period (in thousands)	$	11,432

* Annualized.

** Not annualized.

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

†† 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 its assets.

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

(a) Commencement of operations.

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

F-129

American Bar Association Members/State Street Collective Trust

2010 Retirement Date Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments in affiliated fund, at value:
State Street Bank and Trust Company—SSgA Age-Based 2010 Securities Lending Series Fund (cost $15,353,359 and units of 1,367,045)	$	15,778,439
Receivable for investments sold		844,392
Receivable for fund units sold		6,102
Total assets		16,628,933
LIABILITIES
Payable for fund units redeemed		850,494
State Street Bank and Trust Company—program fee payable		4,934
Retirement Date Fund management fee payable		4,003
Trustee, management and administration fees payable		1,275
ABA Retirement Funds—program fee payable		585
Other accruals		2,807
Total liabilities		864,098
Net assets (equivalent to $12.77 per unit based on 1,234,569 units outstanding)	$	15,764,835

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

F-130

American Bar Association Members/State Street Collective Trust

2010 Retirement Date Fund

Statement of Operations

	For the period August 8, 2006(a) to December 31, 2006
Investment income	$	—
Expenses
State Street Bank and Trust Company—program fee		14,242
Retirement Date Fund management fee		4,003
Trustee, management and administration fees		3,678
ABA Retirement Funds—program fee		1,684
Compliance consultant fees		1,349
Legal and audit fees		1,330
Reports to unitholders		687
Registration fees		146
Other fees		651
Total expenses		27,770
Net investment loss		(27,770	)
Net realized and unrealized gain on investments in affiliated fund
Net realized gain		132,811
Change in net unrealized appreciation (depreciation)		425,080
Net realized and unrealized gain		557,891
Net increase in net assets resulting from operations	$	530,121

(a) Commencement of operations.

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

F-131

American Bar Association Members/State Street Collective Trust

2010 Retirement Date Fund

Statement of Changes in Net Assets

	For the period August 8, 2006(a) to December 31, 2006
From operations
Net investment loss	$	(27,770	)
Net realized gain		132,811
Change in net unrealized appreciation (depreciation)		425,080
Net increase in net assets resulting from operations		530,121
From unitholder transactions
Proceeds from units issued		17,272,804
Cost of units redeemed		(2,038,090	)
Net increase in net assets resulting from unitholder transactions		15,234,714
Net increase in net assets		15,764,835
Net Assets
Beginning of period		—
End of period	$	15,764,835
Number of units
Outstanding—beginning of period		—
Issued		1,394,630
Redeemed		(160,061	)
Outstanding—end of period		1,234,569

(a) Commencement of operations.

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

F-132

American Bar Association Members/State Street Collective Trust

2010 Retirement Date Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the period August 8, 2006(a) to December 31, 2006
Investment income†	$	0.00
Net expenses(†)††		(0.03	)
Net investment loss		(0.03	)
Net realized and unrealized gain		0.80
Net increase in unit value		0.77
Net asset value at beginning of period		12.00
Net asset value at end of period	$	12.77
Ratios/Supplemental Data:
Ratio of net expenses to average net assets*††		0.69	%
Ratio of net investment loss to average net assets*		(0.69	)%
Portfolio turnover**†††		21	%
Total return**		6.42	%
Net assets at end of period (in thousands)	$	15,765

* Annualized.

** Not annualized.

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

†† 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 its assets.

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

(a) Commencement of operations.

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

F-133

American Bar Association Members/State Street Collective Trust

2020 Retirement Date Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments in affiliated fund, at value:
State Street Bank and Trust Company—SSgA Age-Based 2020 Securities Lending Series Fund (cost $20,431,610 and units of 1,766,830)	$	21,332,702
Receivable for fund units sold		99,267
Total assets		21,431,969
LIABILITIES
Payable for investments purchased		99,170
State Street Bank and Trust Company—program fee payable		6,169
Retirement Date Fund management fee payable		5,296
Trustee, management and administration fees payable		1,595
ABA Retirement Funds—program fee payable		731
Payable for fund units redeemed		97
Other accruals		3,723
Total liabilities		116,781
Net assets (equivalent to $15.32 per unit based on 1,390,894 units outstanding)	$	21,315,188

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

F-134

American Bar Association Members/State Street Collective Trust

2020 Retirement Date Fund

Statement of Operations

	For the period August 2, 2006(a) to December 31, 2006
Investment income	$	—
Expenses
State Street Bank and Trust Company—program fee		18,856
Retirement Date Fund management fee		5,296
Trustee, management and administration fees		4,861
ABA Retirement Funds—program fee		2,226
Compliance consultant fees		1,780
Legal and audit fees		1,761
Reports to unitholders		907
Registration fees		193
Other fees		858
Total expenses		36,738
Net investment loss		(36,738	)
Net realized and unrealized gain on investments in affiliated fund
Net realized gain		179,052
Change in net unrealized appreciation (depreciation)		901,092
Net realized and unrealized gain		1,080,144
Net increase in net assets resulting from operations	$	1,043,406

(a) Commencement of operations.

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

F-135

American Bar Association Members/State Street Collective Trust

2020 Retirement Date Fund

Statement of Changes in Net Assets

	For the period August 2, 2006(a) to December 31, 2006
From operations
Net investment loss	$	(36,738	)
Net realized gain		179,052
Change in net unrealized appreciation (depreciation)		901,092
Net increase in net assets resulting from operations		1,043,406
From unitholder transactions
Proceeds from units issued		22,740,046
Cost of units redeemed		(2,468,264	)
Net increase in net assets resulting from unitholder transactions		20,271,782
Net increase in net assets		21,315,188
Net Assets
Beginning of period		—
End of period	$	21,315,188
Number of units
Outstanding—beginning of period		—
Issued		1,553,381
Redeemed		(162,487	)
Outstanding—end of period		1,390,894

(a) Commencement of operations.

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

F-136

American Bar Association Members/State Street Collective Trust

2020 Retirement Date Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the period August 2, 2006(a) to December 31, 2006
Investment income†	$	0.00
Net expenses(†)††		(0.04	)
Net investment loss		(0.04	)
Net realized and unrealized gain		1.36
Net increase in unit value		1.32
Net asset value at beginning of period		14.00
Net asset value at end of period	$	15.32
Ratios/Supplemental Data:
Ratio of net expenses to average net assets*††		0.69	%
Ratio of net investment loss to average net assets*		(0.69	)%
Portfolio turnover**†††		16	%
Total return**		9.43	%
Net assets at end of period (in thousands)	$	21,315

* Annualized.

** Not annualized.

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

†† 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 its assets.

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

(a) Commencement of operations.

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

F-137

American Bar Association Members/State Street Collective Trust

2030 Retirement Date Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments in affiliated fund, at value:
State Street Bank and Trust Company—SSgA Age-Based 2030 Securities Lending Series Fund (cost $14,466,212 and units of 1,228,462)	$	15,272,239
Receivable for fund units sold		212,536
Total assets		15,484,775
LIABILITIES
Payable for fund units redeemed		25,095
Payable for investments purchased		187,441
State Street Bank and Trust Company—program fee payable		4,346
Retirement Date Fund management fee payable		3,641
Trustee, management and administration fees payable		1,123
ABA Retirement Funds—program fee payable		515
Other accruals		2,550
Total liabilities		224,711
Net assets (equivalent to $17.76 per unit based on 859,275 units outstanding)	$	15,260,064

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

F-138

American Bar Association Members/State Street Collective Trust

2030 Retirement Date Fund

Statement of Operations

	For the period August 2, 2006(a) to December 31, 2006
Investment income	$	—
Expenses
State Street Bank and Trust Company—program fee		12,957
Retirement Date Fund management fee		3,641
Trustee, management and administration fees		3,343
ABA Retirement Funds—program fee		1,530
Compliance consultant fees		1,224
Legal and audit fees		1,211
Reports to unitholders		624
Registration fees		133
Other fees		592
Total expenses		25,255
Net investment loss		(25,255	)
Net realized and unrealized gain on investments in affiliated fund
Net realized gain		52,645
Change in net unrealized appreciation (depreciation)		806,027
Net realized and unrealized gain		858,672
Net increase in net assets resulting from operations	$	833,417

(a) Commencement of operations.

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

F-139

American Bar Association Members/State Street Collective Trust

2030 Retirement Date Fund

Statement of Changes in Net Assets

	For the period August 2, 2006(a) to December 31, 2006
From operations
Net investment loss	$	(25,255	)
Net realized gain		52,645
Change in net unrealized appreciation (depreciation)		806,027
Net increase in net assets resulting from operations		833,417
From unitholder transactions
Proceeds from units issued		15,400,274
Cost of units redeemed		(973,627	)
Net increase in net assets resulting from unitholder transactions		14,426,647
Net increase in net assets		15,260,064
Net Assets
Beginning of period		—
End of period	$	15,260,064
Number of units
Outstanding—beginning of period		—
Issued		915,619
Redeemed		(56,344	)
Outstanding—end of period		859,275

(a) Commencement of operations.

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

F-140

American Bar Association Members/State Street Collective Trust

2030 Retirement Date Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the period August 2, 2006(a) to December 31, 2006
Investment income†	$	0.00
Net expenses(†)††		(0.05	)
Net investment loss		(0.05	)
Net realized and unrealized gain		1.81
Net increase in unit value		1.76
Net asset value at beginning of period		16.00
Net asset value at end of period	$	17.76
Ratios/Supplemental Data:
Ratio of net expenses to average net assets*††		0.69	%
Ratio of net investment loss to average net assets*		(0.69	)%
Portfolio turnover**†††		6	%
Total return**		11.00	%
Net assets at end of period (in thousands)	$	15,260

* Annualized.

** Not annualized.

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

†† 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 its assets.

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

(a) Commencement of operations.

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

F-141

American Bar Association Members/State Street Collective Trust

2040 Retirement Date Fund

Statement of Assets and Liabilities

	December 31, 2006
ASSETS
Investments in affiliated fund, at value:
State Street Bank and Trust Company—SSgA Age-Based 2040 Securities Lending Series Fund (cost $11,271,248 and units of 937,549)	$	11,903,128
Receivable for fund units sold		67,382
Total assets		11,970,510
LIABILITIES
Payable for investments purchased		66,644
State Street Bank and Trust Company—program fee payable		3,389
Retirement Date Fund management fee payable		2,688
Trustee, management and administration fees payable		876
Payable for fund units redeemed		738
ABA Retirement Funds—program fee payable		402
Other accruals		1,932
Total liabilities		76,669
Net assets (equivalent to $19.99 per unit based on 594,990 units outstanding)	$	11,893,841

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

F-142

American Bar Association Members/State Street Collective Trust

2040 Retirement Date Fund

Statement of Operations

	For the period August 3, 2006(a) to December 31, 2006
Investment income	$	—
Expenses
State Street Bank and Trust Company—program fee		9,570
Retirement Date Fund management fee		2,688
Trustee, management and administration fees		2,468
ABA Retirement Funds—program fee		1,130
Compliance consultant fees		904
Legal and audit fees		894
Reports to unitholders		460
Registration fees		98
Other fees		436
Total expenses		18,648
Net investment loss		(18,648	)
Net realized and unrealized gain on investments in affiliated fund
Net realized gain		54,366
Change in net unrealized appreciation (depreciation)		631,880
Net realized and unrealized gain		686,246
Net increase in net assets resulting from operations	$	667,598

(a) Commencement of operations.

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

F-143

American Bar Association Members/State Street Collective Trust

2040 Retirement Date Fund

Statement of Changes in Net Assets

	For the period August 3, 2006(a) to December 31, 2006
From operations
Net investment loss	$	(18,648	)
Net realized gain		54,366
Change in net unrealized appreciation (depreciation)		631,880
Net increase in net assets resulting from operations		667,598
From unitholder transactions
Proceeds from units issued		11,569,250
Cost of units redeemed		(343,007	)
Net increase in net assets resulting from unitholder transactions		11,226,243
Net increase in net assets		11,893,841
Net Assets
Beginning of period		—
End of period	$	11,893,841
Number of units
Outstanding—beginning of period		—
Issued		612,554
Redeemed		(17,564	)
Outstanding—end of period		594,990

(a) Commencement of operations.

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

F-144

American Bar Association Members/State Street Collective Trust

2040 Retirement Date Fund

Financial Highlights

(For a unit outstanding throughout the period)

	For the period August 3, 2006(a) to December 31, 2006
Investment income†	$	0.00
Net expenses(†)††		(0.06	)
Net investment loss		(0.06	)
Net realized and unrealized gain		2.05
Net increase in unit value		1.99
Net asset value at beginning of period		18.00
Net asset value at end of period	$	19.99
Ratios/Supplemental Data:
Ratio of net expenses to average net assets*††		0.69	%
Ratio of net investment loss to average net assets*		(0.69	)%
Portfolio turnover**†††		8	%
Total return**		11.06	%
Net assets at end of period (in thousands)	$	11,894

* Annualized.

** Not annualized.

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

†† 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 its assets.

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

(a) Commencement of operations.

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

F-145

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements

1.    Description of the Trust

American Bar Association Members/State Street Collective Trust (the “Trust” or the “Collective Trust”) was organized on August 8, 1991 under the American Bar Association Members/State Street Collective Trust Declaration of Trust as amended and restated on December 5, 1991 and as amended thereafter. Since December 1, 2004, State Street Bank and Trust Company of New Hampshire (“State Street” or the “Trustee”) has acted as trustee of the Collective Trust. The Trust is maintained exclusively for the collective investment of monies administered on behalf of participants in the ABA Retirement Funds program (the “Program”). Ten separate collective investment funds (the “Funds”), the Structured Portfolio Service (the “Portfolios”) and the Retirement Date Funds (also the “Funds”) are established under the Trust. The Structured Portfolio Service offers three approaches to diversifying investments by stipulating various allocations among the Funds. The Retirement Date Funds are a group of five balanced investment funds, each of which is designed to correspond to a particular time horizon to retirement. The Funds and Portfolios are investment options under the Program, which is sponsored by the ABA Retirement Funds (“ARF”) (formerly called the American Bar Retirement Association). 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. Since July 1, 2004, the debt portion of the Balanced Fund has been invested through the American Bar Association Members/State Street Collective Trust Intermediate Bond Fund. Prior to July 1, 2004, the debt portion had been invested in separately owned securities. As of December 31, 2006, 35.1% of the Fund’s net assets were invested in the American Bar Association Members/State Street Collective Trust Intermediate Bond Fund.

Index Equity Fund—replication of the total return of the Russell 3000 Index. Currently invests 100% of the Fund’s 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 annual 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 December 31, 2006, 31.8% 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 annual 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

F-146

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

December 31, 2006, 23.6% 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 annual financial statements are available from State Street Bank upon request.

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. Currently invests in common stocks and the State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund, a separate State Street Bank collective investment fund which invests in securities contained in the Russell 2000 Index. As of December 31, 2006, 3.2% of the Fund’s net assets were invested in the State Street Bank and Trust Company Russell 2000 Index Securities Lending Fund. This underlying fund’s annual financial statements are available from State Street Bank upon request.

Stable Asset Return Fund (“SARF”)—current income consistent with preserving principal and maintaining liquidity through investment in quality short-term instruments, investment contracts and synthetic investment contracts of insurance companies, banks and financial institutions. Currently, SARF 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 (“YES”), a separate State Street Bank collective investment fund. The financial statements of YES and SAFT 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.

Retirement Date Funds—effective August 1, 2006, the Retirement Date Funds seek to provide a series of balanced investment funds each of which is designed to correspond to a particular time horizon to retirement. The five Retirement Date Funds, designated as the Lifetime Income Retirement Date Fund, 2010 Retirement Date Fund, 2020 Retirement Date Fund, 2030 Retirement Date Fund and 2040 Retirement Date Fund, respectively, offers five separate “target retirement date” strategies, each with a distinct asset mix. With the exception of the Lifetime Income Retirement Date Fund, which is designed for those currently retired, each Retirement Date Fund’s asset mix will, over time, become progressively more conservative as the specified target retirement date draws nearer.

The Retirement Date Funds utilize a broad range of asset classes and an annual rebalancing process to provide diversification of returns and risks consistent with the stated time period to retirement. Investment in each such asset class is obtained by investing in index strategies or other pooled strategies

F-147

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

with low tracking error. Each of the Funds currently invests 100% of the Fund’s assets in a separate State Street Bank and Trust Company collective investment fund listed below.

Lifetime Income Retirement Date Fund—invests in the State Street Bank and Trust Company—SSgA Age-Based Income Securities Lending Series Fund.

2010 Retirement Date Fund—invests in the State Street Bank and Trust Company -SSgA Age-Based 2010 Securities Lending Series Fund.

2020 Retirement Date Fund—invests in the State Street Bank and Trust Company—SSgA Age-Based 2020 Securities Lending Series Fund.

2030 Retirement Date Fund—invests in the State Street Bank and Trust Company—SSgA Age-Based 2030 Securities Lending Series Fund.

2040 Retirement Date Fund—invests in the State Street Bank and Trust Company—SSgA Age-Based 2040 Securities Lending Series Fund.

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

All the Funds may invest in YES, a collective investment fund advised by State Street Global Advisors, a division of State Street Bank. The annual financial statements of YES are available from State Street Bank upon request.

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

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

State Street is a non-depository trust company established under the laws of the State of New Hampshire and is a wholly-owned subsidiary of State Street Bank. State Street has assumed responsibility for administering and providing investment options for the Program under the Structured Portfolio Service  agreement. 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. State Street has delegated to State Street Bank the responsibility to provide services to the Collective Trust on behalf of State Street. In addition, State Street Bank is the primary custodian, provides account and investment information to employers and participants, receives all plan contributions, effects investment and transfer transactions and distributes all benefits provided by the plans to the participants or, in the case of some individually designed plans, to the trustees of such plans.

2.    Summary of Significant Accounting Policies

The 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.

F-148

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

A.    Security Valuation

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

State Street, acting through a valuation committee, uses the fair value of a security, including a non-U.S. security, when State Street Bank determines that the closing market price on the primary exchange where the security is traded is not readily available or no longer accurately reflects the value of the security at the time of calculation of its net asset value. In making the fair value determination, State Street endeavors to value the security at the amount the owner might reasonably expect to receive upon the security’s current sale. In so doing, the valuation committee considers all factors it deems appropriate, including, if relevant, external factors such as general market developments and news events.

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

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

Certain other types of securities, including those discussed below in this paragraph, may be priced using fair value rather than market prices. For instance, State Street Bank may use a pricing matrix to determine the value of fixed income securities that do not trade daily. A pricing matrix is a means of valuing a debt security on the basis of current market prices for other debt securities and historical trading patterns in the market for fixed income securities. To the extent that a Fund invests in the shares of bank collective trust funds or of other registered open-end investment companies that are not traded on an exchange (mutual funds), such shares are valued at their net asset values per share as reported by the funds. Each of these funds may, under certain circumstances, use fair value pricing in determining their net asset values. In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements”. FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. The Trust is currently evaluating the impact the adoption of FAS 157 will have on the Trust’s financial statement disclosures.

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.

F-149

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

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

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

The short-term portfolio instruments of YES 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.

B.    Stable Asset Return Fund

SARF invests in SAFT, whose investments include insurance company, bank and financial institution investment contracts and investments in YES. On a daily basis SARF accrues dividend income based on the income credited by SAFT. SARF does not distribute income and any increase to the net assets is reflected by an increase to the unit value. Each month the dividend income earned by SARF is reinvested into SAFT. As a result of its investment in SAFT, SARF is subject to the specialized accounting provisions described below. The Statement of Assets and Liabilities presents the fair value of the investment contracts held by SAFT with the adjustment to contract value. The Statement of Operations and Changes in Net Assets were prepared on a contract value basis. Since SARF is fully invested in SAFT, the Schedule of Investments of SAFT is also presented. Following are the accounting policies of SAFT:

i.    New Accounting Guidance

On December 29, 2005, FASB issued FASB Staff Position AAG INV-1, Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Audit Guide and Defined-Contribution Health and Welfare and Pension Plans (the “FSP”). The FSP: a.) describes the limited circumstances in which the net assets of an investment company shall reflect the contract value (which generally equals the principal balance plus accrued interest) of certain investments that it holds, b.) provides a definition of a fully benefit-responsive investment contract, and c.) provides guidance on financial statement presentation and disclosure of fully benefit-responsive investment contracts. The Fund has adopted the FSP as of and for the year ended December 31, 2006. Additional disclosures required by the FSP are reflected below and in the accompanying financial statements.

ii.    Basis of Accounting

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

iii.    Value of Investments

Investments in bank, insurance company and other financial institution investment contracts (“GICs”) are stated at fair value. As provided in the FSP, an investment contract is generally permitted to reflect an adjustment to contract value to the extent it is fully benefit-responsive and held by a trust

F-150

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

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

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

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

Synthetic investment contracts represent individual assets placed in a trust, with ownership by the Fund; a third party issues a wrapper that guarantees that participant transactions are executed at contract value. Individual assets of the synthetic investment contract are generally valued at representative quoted market prices. Short-term securities, if any, are stated at amortized cost, which approximates market value. Debt securities are valued on the basis of valuations furnished by a pricing service approved by the Trustee, which determines valuations using methods based on market transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Investments in regulated investment companies or collective investment funds are valued at the net asset value per share/unit on the valuation date. Securities for which market quotations are not readily available, or have quotations which management believes are not appropriate, are valued at fair value as determined in good faith by the Trustee. The fair value of the wrap contracts is determined using the market approach discounting methodology which incorporates the difference between current market level rates for contract level wrap fees and the wrap fee being charged. The difference is calculated as a dollar value and discounted by the prevailing interpolated swap rate as of period end.

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

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

A synthetic GIC is a wrap contract paired with an underlying investment or investments, usually a portfolio of high-quality, intermediate term fixed income securities. The portfolio is owned by the Fund. The Fund purchases a wrapper contract from an insurance company or other financial services institution. The portfolio, coupled with the wrap contract, attempts to replicate the characteristics of a traditional GIC. A synthetic GIC attempts to protect principal and accumulated interest and credits a stated interest rate for a specified period of time (e.g. monthly or quarterly). Investment gains and losses

F-151

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

are amortized over the expected duration through the calculation of the interest rate applicable to the Fund on a prospective basis (the “Crediting Rate”). The Crediting Rate is primarily based on the current yield-to-maturity of the covered investments, plus or minus amortization of the difference between the market value and contract value of the covered investments over the duration of the covered investments at the time of computation. The Crediting Rate is most impacted by the change in the annual effective yield to maturity of the underlying securities, but is also affected by the differential between the contract value and the market value of the covered investments. This difference is amortized over the duration of the covered investments. Depending on the change in duration from each reset period, the magnitude of the impact to the Crediting Rate of the contract to market difference is heightened or lessened. The Crediting Rate can be adjusted periodically and is usually adjusted either monthly or quarterly, but in no event is the Crediting Rate less than zero.

iv.    Events Limiting Contract Value Treatment

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

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

For example, retirement benefit payments which occur because an employer has offered a subsidized early retirement program will not transact at contract value unless the scope of the program is not material or the investment contract includes a “contract value corridor”. Whether an employer initiated event is probable is foremost within the knowledge of the employer, but in the normal course may be communicated to the investment manager of the Fund. While the investment manager may take action to minimize or eliminate the impact of the employer initiated event, there is no assurance that the issuer will continue to transact at contract value once the corridor is used. In that case, the Fund would be unable to maintain the ability to transact at contract value. As of December 31, 2006, the occurrence of an event that would limit the ability of the Fund to transact at contract value with the participants in the Fund is not probable.

v.    Termination Events by the Issuer

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

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

F-152

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

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

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

vi.    Investment Transactions and Income

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

vii.    Issuances and Redemptions of SAFT Units

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

viii.    Industry Concentration of Investments

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

F-153

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

ix.    Other Information Required by the FSP

At December 31, 2006, all investment contracts held by the Fund were deemed fully benefit-responsive within the meaning of the FSP. The change in the difference between the fair value and contract value of the trust’s fully benefit-responsive investment contracts during 2006 is reflected below:

	December 31, 2006		December 31, 2005		Change
Net assets at fair value	$	841,217,184	$	872,953,248	$	(31,736,064	)
Net assets (at contract value)		848,305,700		880,493,612		(32,187,912	)
Adjustment to contract value		7,088,516		7,540,364		(451,848	)

Sensitivity Analysis

The following tables are intended to provide the analyses of the sensitivity of Crediting Rate to future interest changes as required by the FSP. These are estimates calculated based on current Crediting Rate calculations, and are not intended to serve as a projection or guarantee of future rates of return to be earned by the Fund.

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

	Weighted Average Credit Interest Rate		50% Decrease		25% Decrease		25% Increase		50% Increase
December 31, 2006	4.94	%
March 31, 2007			3.50	%	3.64	%	3.82	%	3.86	%
June 30, 2007			3.31	%	3.56	%	3.99	%	4.16	%
September 30, 2007			3.14	%	3.50	%	4.13	%	4.41	%
December 31, 2007			3.00	%	3.44	%	4.26	%	4.63	%

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

	Weighted Average Credit Interest Rate		50% Decrease		25% Decrease		25% Increase		50% Increase
December 31, 2006	4.94	%
March 31, 2007			3.70	%	3.73	%	3.67	%	3.59	%
June 30, 2007			3.48	%	3.64	%	3.86	%	3.92	%
September 30, 2007			3.30	%	3.57	%	4.02	%	4.20	%
December 31, 2007			3.13	%	3.50	%	4.16	%	4.45	%

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

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

Average yields
Based on actual income (1)	4.16	%
Based on interest rate credited to participants (2)	4.88	%

(1) Computed by dividing the annualized one-day actual earnings of the Fund on December 31, 2006 by the fair value of investments on December 31, 2006.

(2) Computed by dividing the annualized one-day earnings credited to participants on December 31, 2006 by the fair value of investments on December 31, 2006.

F-154

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

C.    Security Transactions and Related Investment Income

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

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

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

All securities lending income earned by the Funds in the Trust is credited on a cash basis generally in the following month after it is earned. This method is applied to the income from both the Funds lending securities directly and to certain Funds that invest in collective investment funds which lend a portion of their securities.

D.    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.

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.

E.    Income Taxes

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

F.    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.

F-155

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

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.

G.    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.

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

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

F-156

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

At December 31, 2006, the Intermediate Bond Fund held the following futures contracts:

Futures Contracts	Number of Contracts		Notional Cost			Settlement Month	Unrealized Appreciation/ (Depreciation)
Long
Eurodollar Futures	44		$	10,439,550		June 2007	$	(14,850	)
Eurodollar Futures	1,247			296,004,848		September 2007		(107,336	)
Eurodollar Futures	247			58,786,000		March 2008		(55,575	)
Euro CME Futures	390			93,026,042		June 2008		(269,417	)
EURIBOR Futures.	58			18,391,741		June 2007		(32,466	)
Germany Federal Republic Bonds 10yr	12			1,881,430		March 2007		(44,071	)
LIBOR Futures	58			13,451,610		June 2007		(32,416	)
U.K. Treasury Bonds.	3			644,180		March 2007		(8,814	)
U.K. Treasury Bonds.	106			24,588,610		September 2007		(61,281	)
U.S. Treasury Notes 5yr.	1,046			110,473,385		March 2007		(578,010	)
								(1,204,236	)
Short
U.S. Treasury Notes 10yr.	(712	)		(77,376,438	)	March 2007		858,688
							$	(345,548	)

I.    Forward Foreign Currency Contracts

The Intermediate Bond Fund and the International Equity Fund may use forward foreign currency contracts to facilitate transactions in foreign securities or as a hedge against the foreign currency exposure of either specific transactions or portfolio positions. When entering into a forward foreign currency contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Such contracts are valued based upon the difference in the forward exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, and any resulting unrealized gains or losses are recorded in the Fund’s financial statements. The Fund records realized gains or losses at the time the forward contract is extinguished by entry into a closing transaction or by delivery of the currency. Risks in foreign currency contracts arise from the possible inability of counterparties to meet the contracts’ terms and from movements in currency values. As of December 31, 2006, 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)
Purchase	Euro	403,000	$	530,336	01/04/2007	$	1,569
Sale	Euro	403,000		535,037	01/04/2007		3,132
Sale	Euro	456,000		600,580	01/04/2007		(1,277	)
Sale	Euro	403,000		531,153	02/04/2007		(1,609	)
Purchase	Pound Sterling	3,021,000		5,928,933	01/04/2007		(11,696	)
Sale	Pound Sterling	3,021,000		5,944,431	01/04/2007		27,194
Sale	Pound Sterling	3,021,000		5,930,021	02/06/2007		11,640
						$	28,953

F-157

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

J.    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 realized gains or losses.

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

At December 31, 2006, the Intermediate Bond Fund held the following interest rate swap contracts:

			Rate Type		Unrealized Appreciation (Depreciation)
Notional Amount	Swap Counterparty	Termination Date	Floating Rate	Fixed Rate
3,500,000 GBP	Barclays (a)	06/15/2009	6 Month GBP LIBOR	5.00%	$	(34,473	)
110,000,000 JPY	Barclays (b)	06/20/2016	6 Month JPY LIBOR	2.00%		(7,265	)
8,500,000 USD	Lehman Brothers (a)	06/20/2037	3 Month USD LIBOR	5.00%		(189,313	)
260,000,000 JPY	Merrill Lynch (b)	06/20/2016	6 Month JPY LIBOR	2.00%		(10,028	)
18,300,000 USD	Morgan Stanley (a)	06/20/2037	3 Month USD LIBOR	5.00%		(407,215	)
6,800,000 EUR	Morgan Stanley (a)	06/16/2014	6 Month EUR LIBOR	4.00%		192,138
42,000,000 USD	UBS (a)	06/18/2009	3 Month USD LIBOR	5.00%		107,239
26,000,000 USD	UBS (a)	06/20/2009	3 Month USD LIBOR	5.00%		(87,743	)
400,000 EUR	UBS (a)	10/15/2010	CPI-France	2.1455%		7,570
20,000,000 USD	UBS (b)	06/20/2012	3 Month USD LIBOR	5.00%		205,629
1,900,000 USD	UBS (a)	06/20/2037	3 Month USD LIBOR	5.00%		(43,891	)
					$	(267,352	)

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

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

K.    Option and Swaption Contracts

The Intermediate Bond Fund may purchase or write option contracts to manage exposure to fluctuations in interest rates or hedge the fair value of other Fund investments. The premium paid by a Fund for the purchase of a call or put option is included in the Fund’s Statement of Assets and

F-158

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

Liabilities as an investment and subsequently marked-to-market to reflect the current market value of the option purchased. If an option which the Fund has purchased expires on its stipulated expiration date, the Fund realizes a loss for the amount of the cost of the option. If the Fund enters into a closing transaction, it realizes a gain or loss, depending on whether the proceeds from the sale are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid.

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

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

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

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

F-159

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

A summary of the written call option and swaption contracts for the year ended December 31, 2006 are as follows:

Written Call Option/Swaption Contracts	Number of Contracts		Premium
Outstanding, beginning of year	605		$	92,959
Options written	85		$	786
Options exercised	—			—
Options expired	(690	)		(93,745	)
Options closed	—			—
Outstanding, end of year	—		$	—

At December 31, 2006, the Fund did not hold any open written call or written put option contracts.

L.    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.

M.    Indemnifications

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.

N.    Prior Year Balance Reclassifications

Certain reclassifications have been made to the 2005 amounts to conform to the 2006 presentation.

3.    Investment Advisory, Investment Management and Related Party Transactions

State Street has retained the services of the sub-advisors listed below to advise it with respect to its investment responsibility and has allocated the assets of certain of the Funds among the investment advisors. Each investment advisor recommends to State Street investments and reinvestments of the assets allocated to it in accordance with the investment policies of the applicable Fund as described above. State Street exercises discretion with respect to the selection and retention of the investment advisors and may remove, upon consultation with ARF, an investment advisor at any time.

F-160

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

A fee is paid to each investment advisor for certain of the Funds based on the value of the assets allocated to that investment advisor and the respective breakpoints agreed to in the advisor’s contract. These fees are accrued on a daily basis and paid monthly or quarterly from the assets. Actual fees paid to each investment advisor during the three-month period are listed below.

Investment Advisor	Fee Rate Range Highest to Lowest
AllianceBernstein L.P. (Large-Cap Value Equity)	.50% to .15%
Ariel Capital Management (Mid-Cap Value Equity)	.75% to .50%
Capital Guardian Trust Company (Large-Cap Growth Equity and Balanced)	.50% to .225%	*
JP Morgan Fleming Asset Management Limited (International Equity)	.75% to .45%
Pacific Investment Management Company (Intermediate Bond)	.50% to .25%
Philadelphia International Advisors LP (International Equity)	.75% to .45%
RCM Capital Management LLC (Large-Cap Growth Equity)	.70% to .25%
Smith Asset Management Group, LP (Small-Cap Equity)	.85% to .45%
T. Rowe Price Associates, Inc. (Large-Cap Growth Equity)	.50% to .35%
Turner Investment Partners (Mid-Cap Growth Equity)	.65% to .55%
Wellington Management Company LLP (Mid-Cap Value Equity)	.75% to .55%
Wellington Management Company LLP (Small-Cap Equity)	.90% to .70%

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

Investment Advisor	Fees for the Period Ended December 31, 2006
AllianceBernstein L.P. (Large-Cap Value Equity)	$	796,879
Ariel Capital Management (Mid-Cap Value Equity)		320,971	(a)
Capital Guardian Trust Company (Balanced)		677,092
Capital Guardian Trust Company (Large-Cap Growth Equity)		577,678
J.P. Morgan Fleming Asset Management Limited (International Equity)		786,512
Pacific Investment Management Company (Intermediate Bond)		1,235,383
Philadelphia International Advisors LP (International Equity)		587,092
RCM Capital Management LLC (Large-Cap Growth Equity)		148,275	(b)
Smith Asset Management Group, LP (Small-Cap Equity)		881,232
T. Rowe Price Associates, Inc. (Large-Cap Growth Equity)		776,192	(c)
Turner Investment Partners (Mid-Cap Growth Equity)		673,359
Wellington Management Company LLP (Mid-Cap Value Equity)		81,398	(d)
Wellington Management Company LLP (Small-Cap Equity)		1,213,833
	$	8,755,896

(a) For the period January 1, 2006 through October 31, 2006.

(b) For the period January 1, 2006 through February 28, 2006.

(c) For the period March 1, 2006 through December 31, 2006.

(d) For the period November 1, 2006 through December 31, 2006.

A separate program fee (“Program fee”) is paid to each of State Street Bank and ARF. 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. (State Street does not receive any fees or payments in respect of expenses from the Collective Trust. Rather, State Street is entitled to payment for services from State Street Bank.)

F-161

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

The ARF Program fee is based on the value of Program assets and the following annual fee rates in effect during the year ended December 31, 2006:

Value of Program Assets	Rate of ARF Program Fee
First $500 million	.075	%
Next $850 million	.065	%
Next $1.15 billion	.035	%
Next $1.5 billion	.025	%
Over $4.0 billion	.015	%

ARF received Program fees of $1,703,052 for the year ended December 31, 2006. These fees are allocated to each Fund based on net asset value.

Effective October 1, 2005, ARF and State Street Bank agreed to adjust the State Street Bank Program fee based upon the following schedule:

Value of Program Assets	Rate of State Street Bank Program Fee
First $2.0 billion	.40	%
Next $1.0 billion	.31	%
Next $1.0 billion	.21	%
Over $4.0 billion	.13	%

Effective May 1, 2006, project fees related to the establishment and offering of the telephonic delivery of investment advice by CitiStreet Advisors LLC totaling $75,000 was added to the State Street Program fee. This one-time fee was accrued by the Funds from May 1, 2006 through December 31, 2006.

Effective August 1, 2006, a one-time project fee related to the establishment and offering of the Retirement Date Funds of $400,000 was added to the State Street Bank Program fee payable. The fee was accrued over a period beginning August 1, 2006 through December 31, 2006.

For the year ended December 31, 2006, State Street Bank received program fees of $13,638,109.

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 ARF 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 year and .01% of any such assets in excess of $50 million. The payment is made during the following year. The accrued reduction for the year ended December 31, 2006 totaled $41,050 and is allocated to each Fund based on net asset value.

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

A fee is paid to State Street Bank for its management, administration and custody of the assets in the investment options (other than Self-Managed Brokerage Accounts and Equitable Real Estate Accounts).

F-162

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

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 at the following rates:

Value of Assets in all Funds	Rate
First $1.0 billion	.217	%*
Next $1.8 billion	.067	%
Over $2.8 billion	.029	%

* Effective August 1, 2006, the trustee, management and administration fee payable to State Street Bank was increased from .211% to the currently disclosed rate.

For the year ended December 31, 2006, State Street Bank received trustee, management and administration fees of $3,688,405.

The Retirement Date Funds are subject to a management fee of .10% of the total net assets invested in the Retirement Date Funds, payable to State Street Bank. The fee is accrued daily and paid monthly. For the period ended December 31, 2006, State Street Bank received Retirement Date Fund management fees of $18,543.

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

During the year ended December 31, 2006, the Program’s record keeper reimbursed certain Funds for trading losses attributable to processing errors. The Funds and the net increase from payments made was as follows:

Fund	Amounts Reimbursed
Index Equity Fund	$	62
Large-Cap Growth Equity Fund		22
Large-Cap Value Equity Fund		20
Small-Cap Equity Fund		407

F-163

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

4.    Purchases and Sales of Securities

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

	Year Ended December 31, 2006
	Purchases		Sales
Balanced Fund	$	80,808,430	$	135,050,753
Index Equity Fund		26,231,470		70,092,742
Intermediate Bond Fund		101,925,706		70,680,492
International Equity Fund		92,636,671		72,689,679
Large-Cap Growth Equity Fund		405,610,165		506,695,229
Large-Cap Value Equity Fund		75,960,685		95,608,684
Mid-Cap Growth Equity Fund		178,737,663		169,121,583
Mid-Cap Value Equity Fund		89,315,847		87,013,214
Small-Cap Equity Fund		246,151,346		296,079,397
Conservative Structured Portfolio Service		14,428,443		14,695,056
Moderate Structured Portfolio Service		40,817,052		50,187,405
Aggressive Structured Portfolio Service		32,507,902		36,728,689
Lifetime Income Retirement Date Fund(a)		16,781,783		5,683,295
2010 Retirement Date Fund(b)		17,519,993		2,299,445
2020 Retirement Date Fund(c)		22,616,490		2,363,933
2030 Retirement Date Fund(c)		15,044,445		630,878
2040 Retirement Date Fund(d)		11,820,670		603,788

(a) For the period August 9, 2006 through December 31, 2006.

(b) For the period August 8, 2006 through December 31, 2006.

(c) For the period August 2, 2006 through December 31, 2006.

(d) For the period August 3, 2006 through December 31, 2006.

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

	Year Ended December 31, 2006
	Purchases		Sales
Intermediate Bond Fund	$	1,581,327,704	$	1,489,344,644

5.    Risks Associated with Investments of the Trust

American Depositary Receipts (“ADRs”) represent ownership of foreign securities on deposit with a domestic custodian bank. Certain Funds maintain investments in ADRs, as well as direct investments in foreign securities, which involve special risks. These securities may be subject to foreign government taxes that reduce their attractiveness. Other risks of investing in such securities include political or economic instability in the country involved, the difficulty of predicting international trade patterns and the possibility of the imposition of exchange controls. Foreign issuers generally are not subject to uniform accounting, auditing and financial reporting standards comparable to those applicable to domestic issuers. There is generally less regulation of stock exchanges, brokers, banks and companies abroad than in the United States. With respect to certain foreign countries, there is a possibility of expropriation or diplomatic developments, which could adversely affect investment in these countries.

F-164

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

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 the Funds’ lending agent, to certain brokers and other financial institutions (the “Borrowers”). The Borrowers provide cash, securities or letters of credit as collateral against loans in 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. Cash collateral is invested in the State Street Quality D Short-Term Investment Fund.

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

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

F-165

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—(Continued)

At December 31, 2006, the Funds’ market value of securities on loan and collateral received for securities loaned was as follows:

Fund	Market Value of Loaned Securities		Collateral Value
Balanced	$	16,501,756	$	16,933,801
Intermediate Bond*		32,751,099		28,291,250
International Equity		27,752,908		29,098,096
Large-Cap Growth Equity		30,018,146		30,732,915
Large-Cap Value Equity		16,224,864		16,596,760
Mid-Cap Growth Equity		26,521,953		27,121,950
Mid-Cap Value Equity		21,041,004		21,557,078
Small-Cap Equity		87,669,138		89,893,523

* Collateral value includes non-cash collateral State Street Bank received in lieu of cash for securities on loan. All non-cash collateral held at December 31, 2006 was in the form of U.S. Treasury Obligations in amounts as follows:

Fund	Non-Cash Collateral Value
Intermediate Bond	$	5,131,250

Non-cash collateral received for securities on loan is held in a segregated account by the lending agent. The Funds receive a fee from the Borrowers to compensate for the revenue lost from the inability to generate income from the investment of cash collateral. The Funds are not entitled to any income from the securities. Should the borrowers fail to meet their obligations under the lending agreement, the Funds would take possession of the securities.

7.    Participant Ownership

As of December 31, 2006, three Participants owned 11.01%, 7.62% and 5.78%, respectively, of the outstanding Units of the Lifetime Income Retirement Date Fund, three Participants owned 15.87%, 11.18% and 5.57%, respectively, of the outstanding Units of the 2010 Retirement Date Fund and two Participants owned 6.57% and 5.22%, respectively, of the outstanding Units of the 2020 Retirement Date Fund.

F-166