UNITED STATES
                      SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, DC 20549

                                   FORM 10-Q

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

For the quarterly period ended June 30, 2006.

[ ] 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                       (I.R.S. Employer
     incorporation or organization)                      Identification No.)

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

                                (603) 589-4097
             (Registrant's Telephone Number, including Area Code)


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

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

         Indicate by check mark whether the registrant is a large accelerated
filer, an accelerated filer, or a non-accelerated filer.  See definition of
"accelerated filer" and "large accelerated filer" in Rule 1b-2 of the Exchange
Act. Large Accelerated Filer ___ Accelerated Filer  X  Non-Accelerated Filer ___
                                                   ---

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


<PAGE>



TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION ..........................................1

         Item 1. Financial Statements (Unaudited) ......................1

         Balanced Fund
                  Statement of Assets and Liabilities ..................1
                  Statement of Operations ..............................2
                  Statement of Changes in Net Assets ...................3
                  Financial Highlights .................................4

         Index Equity Fund
                  Statement of Assets and Liabilities ..................5
                  Statement of Operations ..............................6
                  Statement of Changes in Net Assets ...................7
                  Financial Highlights .................................8

         Intermediate Bond Fund
                  Statement of Assets and Liabilities ..................9
                  Statement of Operations .............................10
                  Statement of Changes in Net Assets ..................11
                  Financial Highlights ................................12

         International Equity Fund
                  Statement of Assets and Liabilities .................13
                  Statement of Operations .............................14
                  Statement of Changes in Net Assets ..................15
                  Financial Highlights ................................16

         Large-Cap Growth Equity Fund
                  Statement of Assets and Liabilities .................17
                  Statement of Operations .............................18
                  Statement of Changes in Net Assets ..................19
                  Financial Highlights ................................20

         Large-Cap Value Equity Fund
                  Statement of Assets and Liabilities .................21
                  Statement of Operations .............................22
                  Statement of Changes in Net Assets ..................23
                  Financial Highlights ................................24

         Mid-Cap Growth Equity Fund
                  Statement of Assets and Liabilities .................25
                  Statement of Operations .............................26
                  Statement of Changes in Net Assets ..................27
                  Financial Highlights ................................28

         Mid-Cap Value Equity Fund


                                       i
<PAGE>

                  Statement of Assets and Liabilities .................29
                  Statement of Operations .............................30
                  Statement of Changes in Net Assets ..................31
                  Financial Highlights ................................32

         Small-Cap Equity Fund
                  Statement of Assets and Liabilities .................33
                  Statement of Operations .............................34
                  Statement of Changes in Net Assets ..................35
                  Financial Highlights ................................36

         Stable Asset Return Fund
                  Statement of Assets and Liabilities .................37
                  Statement of Operations .............................38
                  Statement of Changes in Net Assets ..................39
                  Financial Highlights ................................40

         Structured Portfolio Service - Conservative Portfolio
                  Statement of Assets and Liabilities .................41
                  Statement of Operations .............................42
                  Statement of Changes in Net Assets ..................43
                  Financial Highlights ................................44

         Structured Portfolio Service - Moderate Portfolio
                  Statement of Assets and Liabilities .................45
                  Statement of Operations .............................46
                  Statement of Changes in Net Assets ..................47
                  Financial Highlights ................................48

         Structured Portfolio Service - Aggressive Portfolio
                  Statement of Assets and Liabilities .................49
                  Statement of Operations .............................50
                  Statement of Changes in Net Assets ..................51
                  Financial Highlights ................................52

         Notes to Unaudited Financial Statements ......................53

         Item 2. Management's Discussion and Analysis of Financial
                 Condition and Results of Operations ..................67

         Item 4. Controls and Procedures ..............................81

PART II. OTHER INFORMATION ............................................81

         Item 2. Unregistered Sales of Equity Securities and
                 Use of Proceeds ......................................81

         Item 6. Exhibits .............................................81

SIGNATURES ............................................................83


                                       ii
<PAGE>

PART I.  FINANCIAL INFORMATION.

Item 1. FINANCIAL STATEMENTS (UNAUDITED).

         American Bar Association Members/ State Street Collective Trust
                                  Balanced Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                     June 30, 2006
                                                                                   ------------------
                                     Assets
<S>                                                                                 <C>
  Investments, at value (cost $235,356,744) ....................................    $     287,300,689 (a)
  Investments in affiliated issuers, at value (cost $25,303,480) ...............           25,303,480
  Investments in Intermediate Bond Fund (cost $156,139,196
    and units of 8,595,101) ....................................................          163,175,795
  Cash .........................................................................                  968
  Receivable for investments sold ..............................................              743,361
  Dividends and interest receivable ............................................              258,371
                                                                                   ------------------
    Total assets ...............................................................          476,782,665
                                                                                   ------------------
                                  Liabilities
  Payable for collateral received on securities loaned .........................           22,771,744
  Payable for investments purchased ............................................              348,534
  Investment advisory fee payable ..............................................              169,520
  State Street Bank and Trust Company--program fee payable .....................               78,323
  Payable for fund units redeemed ..............................................               58,038
  Trustee, management and administration fees payable ..........................               21,956
  ABA Retirement Funds--program fee payable ....................................               10,234
  Other accruals ...............................................................               44,861
                                                                                   ------------------
    Total liabilities ..........................................................           23,503,210
                                                                                   ------------------
Net Assets  (equivalent to $81.94 per unit based on 5,531,975 units outstanding)   $      453,279,455
                                                                                   ==================
</TABLE>

(a)   Includes securities on loan with a value of $22,249,480.

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


                                       1
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                  Balanced Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                   For the period        For the period
                                                                                  April 1, 2006 to     January 1, 2006 to
                                                                                   June 30, 2006         June 30, 2006
                                                                                 ------------------    ------------------
<S>                                                                              <C>                   <C>
Investment income
    Dividends (net of foreign tax expense of $4,195 and $7,353, respectively)   $         1,079,842    $        2,198,464
    Dividends- affiliated issuers ............................................               57,739                87,507
    Securities lending income, net ...........................................                4,918                10,790
                                                                                 ------------------    ------------------
                 Total investment income .....................................            1,142,499             2,296,761
                                                                                 ------------------    ------------------
Expenses
    Investment advisory fee ..................................................              169,521               340,309
    State Street Bank and Trust Company--program fee .........................              245,074               489,199
    ABA Retirement Funds--program fee ........................................               31,577                63,419
    Trustee, management and administration fees ..............................               67,771               136,336
    Reports to unitholders ...................................................               11,176                23,030
    Legal and audit fees .....................................................               18,343                37,799
    Compliance consultant fees ...............................................               21,967                45,268
    Registration fees ........................................................                2,383                 4,910
    Other fees ...............................................................                9,163                18,886
                                                                                 ------------------    ------------------
                 Total expenses ..............................................              576,975             1,159,156
                                                                                 ------------------    ------------------
Net investment income ........................................................              565,524             1,137,605
                                                                                 ------------------    ------------------
Net realized and unrealized gain (loss) on:
           Investments .......................................................            3,738,445            11,456,647
           Intermediate Bond Fund ............................................              225,001               568,880
                                                                                 ------------------    ------------------
                 Net realized gain ...........................................            3,963,446            12,025,527
                                                                                 ------------------    ------------------
           Change in net unrealized appreciation (depreciation) on investments           (9,750,587)           (7,627,277)
                                                                                 ------------------    ------------------
                 Net realized and unrealized gain (loss) .....................           (5,787,141)            4,398,250
                                                                                 ------------------    ------------------
Net increase (decrease) in net assets resulting from operations ..............   $       (5,221,617)   $        5,535,855
                                                                                 ==================    ==================
</TABLE>

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


                                       2
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                  Balanced Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                   For the period        For the period
                                                                                  April 1, 2006 to     January 1, 2006 to
                                                                                   June 30, 2006          June 30, 2006
                                                                                 ------------------    ------------------
<S>                                                                              <C>                   <C>
From operations
    Net investment income ....................................................   $          565,524    $        1,137,605
    Net realized gain ........................................................            3,963,446            12,025,527
    Change in net unrealized appreciation (depreciation) .....................           (9,750,587)           (7,627,277)
                                                                                 ------------------    ------------------
           Net increase (decrease) in net assets resulting from operations ...           (5,221,617)            5,535,855
                                                                                 ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ...............................................            3,719,008             5,721,540
    Cost of units redeemed ...................................................          (11,694,137)          (26,917,612)
                                                                                 ------------------    ------------------
             Net decrease in net assets resulting from unitholder transactions           (7,975,129)          (21,196,072)
                                                                                 ------------------    ------------------
             Net decrease in net assets ......................................          (13,196,746)          (15,660,217)
Net Assets
    Beginning of period ......................................................          466,476,201           468,939,672
                                                                                 ------------------    ------------------
    End of period ............................................................   $      453,279,455    $      453,279,455
                                                                                 ==================    ==================

Number of units
    Outstanding-beginning of period ..........................................            5,627,853             5,787,593
        Issued ...............................................................               45,169                69,246
        Redeemed .............................................................             (141,047)             (324,864)
                                                                                 ------------------    ------------------

    Outstanding-end of period ................................................            5,531,975             5,531,975
                                                                                 ==================    ==================
</TABLE>

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


                                       3
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                  Balanced Fund
                              Financial Highlights
                                    Unaudited


                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                          For the period         For the period
                                                         April 1, 2006 to      January 1, 2006 to
                                                          June 30, 2006          June 30, 2006
                                                        ------------------     ------------------
<S>                                                     <C>                    <C>
Investment income+ ..................................   $             0.21     $             0.41
Net expenses(+)++ ...................................                (0.11)                 (0.21)
                                                        ------------------     ------------------
Net investment income ...............................                 0.10                   0.20
Net realized and unrealized gain (loss) .............                (1.05)                  0.72
                                                        ------------------     ------------------
Net increase (decrease) in unit value ...............                (0.95)                  0.92
Net asset value at beginning of period ..............                82.89                  81.02
                                                        ------------------     ------------------
Net asset value at end of period ....................   $            81.94     $            81.94
                                                        ==================     ==================

Ratio of net expenses to average net assets*++ ......                 0.50%                  0.50%
Ratio of net investment income to average net assets*                 0.49%                  0.49%
Portfolio turnover**+++ .............................                    5%                     9%
Total return** ......................................                (1.15)%                 1.14%
Net assets at end of period (in thousands) ..........   $          453,279     $          453,279
</TABLE>


---------------
*     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 either the collective investment
      funds or 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, portfolio turnover reflects purchases and sales of such
      collective investment fund, rather than portfolio turnover of the
      underlying portfolio of such collective investment fund.

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


                                       4
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                Index Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    June 30, 2006
                                                                                   ----------------
                                     Assets
<S>                                                                                <C>
 Investments in affiliated fund, at value:
 State Street Bank and Trust Company Russell 3000 Index Securities
 Lending Fund (cost $358,853,348 and units of 39,366,758) ......................   $    421,184,946
 Receivable for fund units sold ................................................             79,751
                                                                                   ----------------
  Total assets .................................................................        421,264,697
                                                                                   ----------------
                                  Liabilities
 Payable for fund units redeemed ...............................................            226,264
 State Street Bank and Trust Company--program fee payable ......................            113,222
 Trustee, management and administration fees payable ...........................             31,706
 ABA Retirement Funds--program fee payable .....................................             14,223
 Legal and audit fees payable...................................................             22,903
 Other accruals ................................................................             40,949
                                                                                   ----------------
  Total liabilities ............................................................            449,267
                                                                                   ----------------
Net Assets (equivalent to $32.86 per unit based on 12,806,419 units outstanding)   $    420,815,430
                                                                                   ================
</TABLE>

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


                                       5
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                Index Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                For the period       For the period
                                                                               April 1, 2006 to    January 1, 2006 to
                                                                                June 30, 2006        June 30, 2006
                                                                            ----------------------------------------
<S>                                                                         <C>                   <C>
Investment income
    Securities lending income from underlying affiliated fund ...........   $           16,979    $           34,171
                                                                            ------------------    ------------------
                 Total investment income ................................               16,979                34,171
                                                                            ------------------    ------------------
Expenses
    State Street Bank and Trust Company--program fee ....................              349,846               686,977
    ABA Retirement Funds--program fee ...................................               45,069                89,052
    Trustee, management and administration fees .........................               96,727               191,436
    Reports to unitholders ..............................................               15,951                32,322
    Legal and audit fees ................................................               26,181                53,050
    Compliance consultant fees ..........................................               31,355                63,534
    Registration fees ...................................................                3,401                 6,891
    Other fees ..........................................................               13,079                26,506
                                                                            ------------------    ------------------
                 Total expenses .........................................              581,609             1,149,768
                                                                            ------------------    ------------------
Net investment loss .....................................................             (564,630)           (1,115,597)
                                                                            ------------------    ------------------
Net realized and unrealized gain (loss) on investments in affiliated fund
           Net realized gain ............................................              194,479               540,957
           Change in net unrealized appreciation (depreciation) .........           (8,601,123)           12,510,724
                                                                            ------------------    ------------------

                 Net realized and unrealized gain (loss) ................           (8,406,644)           13,051,681
                                                                            ------------------    ------------------
Net increase (decrease) in net assets resulting from operations .........   $       (8,971,274)   $       11,936,084
                                                                            ==================    ==================
</TABLE>

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


                                       6
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                Index Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                   For the period         For the period
                                                                                  April 1, 2006 to      January 1, 2006 to
                                                                                    June 30, 2006          June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment loss .......................................................   $         (564,630)   $       (1,115,597)
    Net realized gain .........................................................              194,479               540,957
    Change in net unrealized appreciation (depreciation) ......................           (8,601,123)           12,510,724
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets resulting from operations .           (8,971,274)           11,936,084
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................            9,169,873            15,306,030
    Cost of units redeemed ....................................................           (3,590,021)           (9,129,116)
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from unitholder transactions            5,579,852             6,176,914
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets ...........................           (3,391,422)           18,112,998
Net Assets
    Beginning of period .......................................................          424,206,852           402,702,432
                                                                                  ------------------    ------------------
    End of period .............................................................   $      420,815,430    $      420,815,430
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................           12,639,216            12,621,390
        Issued ................................................................              275,474               462,141
        Redeemed ..............................................................             (108,271)             (277,112)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................           12,806,419            12,806,419
                                                                                  ==================    ==================
</TABLE>

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


                                       7
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                                Index Equity Fund
                              Financial Highlights
                                    Unaudited

                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                        For the period        For the period
                                                       April 1, 2006 to      January 1, 2006 to
                                                         June 30, 2006         June 30, 2006
                                                      ------------------     ------------------
<S>                                                   <C>                    <C>
Investment income+(a) .............................   $             0.00     $             0.00
Net expenses(+)++ .................................                (0.05)                 (0.09)
                                                      ------------------     ------------------
Net investment loss ...............................                (0.05)                 (0.09)
Net realized and unrealized gain (loss) ...........                (0.65)                  1.04
                                                      ------------------     ------------------
Net increase (decrease) in unit value .............                (0.70)                  0.95
Net asset value at beginning of period ............                33.56                  31.91
                                                      ------------------     ------------------
Net asset value at end of period ..................   $            32.86     $            32.86
                                                      ==================     ==================

Ratio of net expenses to average net assets*++ ....                 0.55%                  0.55%
Ratio of net investment loss to average net assets*                (0.54)%                (0.54)%
Portfolio turnover**+++ ...........................                    1%                     4%
Total return** ....................................                (2.09)%                 2.98%
Net assets at end of period (in thousands) ........   $          420,815     $          420,815
</TABLE>


-------------
*     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 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 such
      collective investment fund, rather than portfolio turnover of the
      underlying portfolio of such collective investment fund.
(a)   Amounts less than $0.005 per unit are rounded to zero.

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


                                       8
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                             Intermediate Bond Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                            June 30, 2006
                                                                                            -------------
                                     Assets

<S>                                                                                          <C>
Investments, at value (cost $489,475,410) ................................................   $ 480,889,221 (a)
Investments in affiliated issuers, at value (cost $103,318,195) ..........................    103,318,195
Foreign currency, at value (cost $237,389) ...............................................        239,574
Cash .....................................................................................            425
Receivable for investments sold ..........................................................     67,880,781
Interest receivable ......................................................................      2,070,721
Swap contracts, at value .................................................................        714,607
Receivable for fund units sold ...........................................................        262,675
Receivable for futures variation margin ..................................................        232,945
Gross unrealized appreciation of forward currency exchange contracts .....................        101,859
                                                                                             ------------
  Total assets ...........................................................................    655,711,003
                                                                                             ------------
                                   Liabilities
Payable for investments purchased ........................................................    111,141,680
Payable for collateral received on securities loaned .....................................     90,123,000
Swap contracts, at value .................................................................      4,045,564
State Street Bank and Trust Company--program fee payable .................................        123,424
Investment advisory fee payable ..........................................................        100,505
Trustee, management and administration fees payable ......................................         34,569
Payable for fund units redeemed ..........................................................         23,215
Gross unrealized depreciation of forward currency exchange contracts .....................         22,747
ABA Retirement Funds--program fee payable ................................................         16,110
Other accruals ...........................................................................         69,269
                                                                                             ------------
  Total liabilities ......................................................................    205,700,083
                                                                                             ------------
Net Assets  (equivalent to $18.98 per unit based on 23,708,981 units outstanding) ........   $450,010,920
                                                                                             ============
</TABLE>

(a)   Includes securities on loan with a value of $88,301,111.

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


                                       9
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                             Intermediate Bond Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period      For the period
                                                                                     April 1, 2006     January 1, 2006
                                                                                   to June 30, 2006    to June 30, 2006
                                                                                   ------------------------------------
<S>                                                                                <C>                 <C>
Investment income
    Dividends ..................................................................   $         41,660    $         83,319
    Interest - unaffiliated issuers ............................................          5,645,659          10,901,234
    Securities lending income ..................................................             10,676              25,178
                                                                                   ----------------    ----------------
                 Total investment income .......................................          5,697,995          11,009,731
                                                                                   ----------------    ----------------
Expenses
    Investment advisory fee ....................................................            305,989             610,004
    State Street Bank and Trust Company---program fee ..........................            375,595             744,099
    ABA Retirement Funds---program fee .........................................             48,392              96,457
    Trustee, management and administration fees ................................            103,852             207,350
    Reports to unitholders .....................................................             17,128              35,029
    Legal and audit fees .......................................................             28,112              57,492
    Compliance consultant fees .................................................             33,667              68,853
    Registration fees ..........................................................              3,652               7,468
    Other fees .................................................................             14,047              28,727
                                                                                   ----------------    ----------------
                 Total expenses ................................................            930,434           1,855,479
                                                                                   ----------------    ----------------
Net investment income ..........................................................          4,767,561           9,154,252
                                                                                   ----------------    ----------------
Net realized and unrealized gain (loss)
    Net realized gain (loss) on:
           Investments .........................................................         (5,640,029)           (781,370)
           Foreign currency transactions and forward currency exchange contracts            550,155             681,201
           Swap contracts ......................................................         (2,183,559)         (2,156,742)
           Written options .....................................................             (4,584)             (7,176)
           Futures contracts ...................................................         (1,899,855)         (3,091,497)
                                                                                   ----------------    ----------------
                 Net realized (loss) ...........................................         (9,177,872)         (5,355,584)
                                                                                   ----------------    ----------------
    Change in net unrealized appreciation (depreciation) on:
           Investments .........................................................          2,600,026          (6,443,676)
           Foreign currency transactions and forward currency exchange contracts             91,929             182,379
           Written options .....................................................            (47,586)            (21,603)
           Futures contracts ...................................................           (303,224)         (1,619,193)
           Swap contracts ......................................................            841,413            (205,717)
                                                                                   ----------------    ----------------
                 Change in net unrealized appreciation (depreciation) ..........          3,182,558          (8,107,810)
                                                                                   ----------------    ----------------

                 Net realized and unrealized loss ..............................         (5,995,314)        (13,463,394)
                                                                                   ----------------    ----------------
Net decrease in net assets resulting from operations ...........................   $     (1,227,753)   $     (4,309,142)
                                                                                   ================    ================
</TABLE>

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


                                       10
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                             Intermediate Bond Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                               For the period      For the period
                                                                                              April 1, 2006 to   January 1, 2006 to
                                                                                               June 30, 2006       June 30, 2006
                                                                                              -------------------------------------
<S>                                                                                           <C>                 <C>
From operations
    Net investment income .................................................................   $      4,767,561    $      9,154,252
    Net realized loss .....................................................................         (9,177,872)         (5,355,584)
    Change in net unrealized appreciation (depreciation) ..................................          3,182,558          (8,107,810)
                                                                                              ----------------    ----------------
              Net decrease in net assets resulting from operations ........................         (1,227,753)         (4,309,142)
                                                                                              ----------------    ----------------
From unitholder transactions
    Proceeds from units issued ............................................................          1,397,448           8,298,120
    Cost of units redeemed ................................................................         (5,058,980)         (8,022,633)
                                                                                              ----------------    ----------------
              Net increase (decrease)  in net assets resulting from unitholder transactions         (3,661,532)            275,487
                                                                                              ----------------    ----------------
              Net decrease in net assets ..................................................         (4,889,285)         (4,033,655)
Net Assets
    Beginning of period ...................................................................        454,900,205         454,044,575
                                                                                              ----------------    ----------------
    End of period .........................................................................   $    450,010,920    $    450,010,920
                                                                                              ================    ================

Number of units
    Outstanding-beginning of period .......................................................         23,901,905          23,695,486
        Issued ............................................................................             73,213             434,131
        Redeemed ..........................................................................           (266,137)           (420,636)
                                                                                              ----------------    ----------------

    Outstanding-end of period .............................................................         23,708,981          23,708,981
                                                                                              ================    ================
</TABLE>


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


                                       11
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                             Intermediate Bond Fund
                              Financial Highlights
                                    Unaudited
                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                         For the period       For the period
                                                        April 1, 2006 to     January 1, 2006 to
                                                          June 30, 2006         June 30, 2006
                                                        ---------------------------------------
<S>                                                     <C>                   <C>
Investment income+ ..................................   $            0.24     $            0.46
Net expenses(+)++ ...................................               (0.04)                (0.08)
                                                        -----------------     -----------------
Net investment income ...............................                0.20                  0.38
Net realized and unrealized loss ....................               (0.25)                (0.56)
                                                        -----------------     -----------------
Net decrease in unit value ..........................               (0.05)                (0.18)
Net asset value at beginning of period ..............               19.03                 19.16
                                                        -----------------     -----------------
Net asset value at end of period ....................   $           18.98     $           18.98
                                                        =================     =================

Ratio of net expenses to average net assets*++ ......                0.82%                 0.82%
Ratio of net investment income to average net assets*                4.22%                 4.06%
Portfolio turnover** ................................                  91%                  197%
Total return** ......................................               (0.26)%               (0.94)%
Net assets at end of period (in thousands) ..........   $         450,011     $         450,011
</TABLE>


-----------------
*     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 funds in
      which the Fund invests a portion of its assets.




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


                                       12
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            International Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    June 30, 2006
                                                                                  ------------------
                                     Assets
<S>                                                                                <C>
  Investments, at value (cost $177,979,413) ...................................    $     237,130,958 (a)
  Investments in affilated issuers, at value (cost $44,855,575) ...............           44,855,575
  Foreign currency, at value (cost $616,417) ..................................              623,804
  Receivable for fund units sold ..............................................              669,686
  Dividends receivable ........................................................              396,089
  Receivable for investments sold .............................................              285,436
  Tax reclaims receivable .....................................................              151,043
                                                                                  ------------------
    Total assets ..............................................................          284,112,591
                                                                                  ------------------
                                  Liabilities
  Due to custodian ............................................................              639,023
  Payable for collateral received on securities loaned ........................           39,765,995
  Payable for investments purchased ...........................................              683,673
  Investment advisory fee payable .............................................              109,158
  State Street Bank and Trust Company--program fee payable ....................               64,007
  Trustee, management and administration fees payable .........................               17,908
  ABA Retirement Funds--program fee payable ...................................                8,332
  Tax withholding payable .....................................................                4,613
  Other accruals ..............................................................               35,351
                                                                                  ------------------
    Total liabilities .........................................................           41,328,060
                                                                                  ------------------
Net Assets  (equivalent to $27.41 per unit based on 8,857,300 units outstanding)  $      242,784,531
                                                                                  ==================
</TABLE>

(a)   Includes securities on loan with a value of $37,884,694.

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


                                       13
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            International Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                      For the period       For the period
                                                                                     April 1, 2006 to     January 1, 2006 to
                                                                                       June 30, 2006        June 30, 2006
                                                                                    ----------------------------------------
<S>                                                                                 <C>                   <C>
Investment income
    Dividends (net of foreign tax expense of $263,481 and $287,728, respectively)   $        2,716,238    $        4,044,765
    Dividends- affiliated issuers ...............................................               64,026               136,698
    Securities lending income, net ..............................................               48,828                66,082
                                                                                    ------------------    ------------------
                 Total investment income ........................................            2,829,092             4,247,545
                                                                                    ------------------    ------------------
Expenses
    Investment advisory fee .....................................................              340,067               653,859
    State Street Bank and Trust Company--program fee ............................              200,387               379,599
    ABA Retirement Funds--program fee ...........................................               25,817                49,198
    Trustee, management and administration fees .................................               55,408               105,754
    Reports to unitholders ......................................................                9,137                17,825
    Legal and audit fees ........................................................               14,996                29,255
    Compliance consulatant fees .................................................               17,959                35,034
    Registration fees ...........................................................                1,948                 3,800
    Other fees ..................................................................                7,492                14,619
                                                                                    ------------------    ------------------
                 Total expenses .................................................              673,211             1,288,943
                                                                                    ------------------    ------------------
Net investment income ...........................................................            2,155,881             2,958,602
                                                                                    ------------------    ------------------
Net realized and unrealized gain (loss)
    Net realized gain on:
           Investment securities ................................................            3,335,360            10,797,526
           Foreign currency .....................................................               40,803                60,924
                                                                                    ------------------    ------------------
                 Net realized gain ..............................................            3,376,163            10,858,450
                                                                                    ------------------    ------------------
    Change in net unrealized appreciation (depreciation) on:
           Investment securities ................................................           (6,452,735)            7,176,989
           Foreign currency .....................................................               10,147                23,527
                                                                                    ------------------    ------------------
           Change in net unrealized appreciation (depreciation) .................           (6,442,588)            7,200,516
                                                                                    ------------------    ------------------

                 Net realized and unrealized gain (loss) ........................           (3,066,425)           18,058,966
                                                                                    ------------------    ------------------
Net increase (decrease) in net assets resulting from operations .................   $         (910,544)   $       21,017,568
                                                                                    ==================    ==================
</TABLE>

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


                                       14
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            International Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period         For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                     June 30, 2006         June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $        2,155,881    $        2,958,602
    Net realized gain .........................................................            3,376,163            10,858,450
    Change in net unrealized appreciation (depreciation) ......................           (6,442,588)            7,200,516
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets resulting from operations .             (910,544)           21,017,568
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................           12,618,875            24,793,668
    Cost of units redeemed ....................................................           (2,758,389)           (5,132,911)
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from unitholder transactions            9,860,486            19,660,757
                                                                                  ------------------    ------------------
              Net increase in net assets ......................................            8,949,942            40,678,325
Net Assets
    Beginning of period .......................................................          233,834,589           202,106,206
                                                                                  ------------------    ------------------
    End of period .............................................................   $      242,784,531    $      242,784,531
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................            8,510,919             8,133,807
        Issued ................................................................              449,818               916,218
        Redeemed ..............................................................             (103,437)             (192,725)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................            8,857,300             8,857,300
                                                                                  ==================    ==================
</TABLE>

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


                                       15
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            International Equity Fund
                              Financial Highlights
                                    Unaudited


                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                          For the period        For the period
                                                         April 1, 2006 to      January 1, 2006 to
                                                          June 30, 2006          June 30, 2006
                                                        ------------------     ------------------
<S>                                                     <C>                    <C>
Investment income+ ..................................   $             0.32     $             0.50
Net expenses(+)++ ...................................                (0.08)                 (0.15)
                                                        ------------------     ------------------
Net investment income ...............................                 0.24                   0.35
Net realized and unrealized gain (loss) .............                (0.30)                  2.21
                                                        ------------------     ------------------
Net increase (decrease) in unit value ...............                (0.06)                  2.56
Net asset value at beginning of period ..............                27.47                  24.85
                                                        ------------------     ------------------
Net asset value at end of period ....................   $            27.41     $            27.41
                                                        ==================     ==================

Ratio of net expenses to average net assets*++ ......                 1.12%                  1.12%
Ratio of net investment income to average net assets*                 3.57%                  2.57%
Portfolio turnover** ................................                    7%                    18%
Total return** ......................................                (0.22)%                10.30%
Net assets at end of period (in thousands) ..........   $          242,785     $          242,785
</TABLE>


-----------------
*     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 funds in
      which the Fund invests a portion is its assets.

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


                                       16
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                          Large-Cap Growth Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                      June 30, 2006
                                                                                    ------------------
                                     Assets
<S>                                                                                  <C>
  Investments, at value (cost $471,039,620) .....................................    $     512,674,992 (a)
  Investments in affiliated issuers, at value (cost $199,978,279) ...............          263,398,245
  Cash ..........................................................................                  694
  Receivable for investments sold ...............................................            2,425,752
  Dividends and interest receivable .............................................              432,517
                                                                                    ------------------
    Total assets ................................................................          778,932,200
                                                                                    ------------------
                                  Liabilities
  Payable for collateral received on securities loaned ..........................           18,061,444
  Payable for investments purchased .............................................            1,945,563
  Investment advisory fee payable ...............................................              222,193
  State Street Bank and Trust Company--program fee payable ......................              204,902
  Payable for fund units redeemed ...............................................               85,967
  Trustee, management and administration fees payable ...........................               57,480
  ABA Retirement Funds--program fee payable .....................................               26,768
  Other accruals ................................................................              118,766
                                                                                     ------------------
    Total liabilities ...........................................................           20,723,083
                                                                                    ------------------
Net Assets  (equivalent to $49.05 per unit based on 15,456,467 units outstanding)   $      758,209,117
                                                                                    ==================
</TABLE>

(a)   Includes securities on loan with a value of $17,653,846.

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


                                       17
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                          Large-Cap Growth Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                   For the period       For the period
                                                                                  April 1, 2006 to    January 1, 2006 to
                                                                                    June 30, 2006        June 30, 2006
                                                                                 ----------------------------------------
<S>                                                                              <C>                   <C>
Investment income
    Dividends (net of foreign tax expense of $3,694 and $6,425, respectively.)   $        1,421,806    $        3,026,461
    Dividends- affiliated issuers ............................................              162,367               273,959
    Securities lending income, net ...........................................                8,517                18,705
                                                                                 ------------------    ------------------
                 Total investment income .....................................            1,592,690             3,319,125
                                                                                 ------------------    ------------------
Expenses
    Investment advisory fee ..................................................              386,980               744,934
    State Street Bank and Trust Company--program fee .........................              644,406             1,294,396
    ABA Retirement Funds--program fee ........................................               83,033               167,814
    Trustee, management and administration fees ..............................              178,207               360,767
    Reports to unitholders ...................................................               29,387                60,956
    Legal and audit fees .....................................................               48,232               100,046
    Compliance consultant fees ...............................................               57,763               119,816
    Registration fees ........................................................                6,265                12,995
    Other fees ...............................................................               24,098                49,989
                                                                                 ------------------    ------------------
                 Total expenses ..............................................            1,458,371             2,911,713
                                                                                 ------------------    ------------------
Net investment income ........................................................              134,319               407,412
                                                                                 ------------------    ------------------
Net realized and unrealized gain (loss) on investments
    Net realized gain- unaffiliated issuers ..................................            2,142,657            51,421,972
    Net realized gain- affiliated issuers ....................................            2,100,717             5,398,592
                                                                                 ------------------    ------------------
                 Net realized gain ...........................................            4,243,374            56,820,564
                                                                                 ------------------    ------------------

    Change in net unrealized appreciation (depreciation) on investments ......          (32,648,333)          (60,955,675)
                                                                                 ------------------    ------------------

                 Net realized and unrealized loss ............................          (28,404,959)           (4,135,111)
                                                                                 ------------------    ------------------
Net decrease in net assets resulting from operations .........................   $      (28,270,640)   $       (3,727,699)
                                                                                 ==================    ==================
</TABLE>

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


                                       18
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                          Large-Cap Growth Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period        For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                     June 30, 2006        June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $          134,319    $          407,412
    Net realized gain .........................................................            4,243,374            56,820,564
    Change in net unrealized appreciation (depreciation) on investments .......          (32,648,333)          (60,955,675)
                                                                                  ------------------    ------------------
              Net decrease in net assets resulting from operations ............          (28,270,640)           (3,727,699)
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................            4,851,248            11,437,313
    Cost of units redeemed ....................................................          (20,142,774)          (39,126,192)
                                                                                  ------------------    ------------------
              Net decrease in net assets resulting from unitholder transactions          (15,291,526)          (27,688,879)
                                                                                  ------------------    ------------------
              Net decrease in net assets ......................................          (43,562,166)          (31,416,578)
Net Assets
    Beginning of period .......................................................          801,771,283           789,625,695
                                                                                  ------------------    ------------------
    End of period .............................................................   $      758,209,117    $      758,209,117
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................           15,763,462            16,007,462
        Issued ................................................................               96,351               226,500
        Redeemed ..............................................................             (403,346)             (777,495)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................           15,456,467            15,456,467
                                                                                  ==================    ==================
</TABLE>

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


                                       19
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                          Large-Cap Growth Equity Fund
                              Financial Highlights
                                    Unaudited

                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                         For the period          For the period
                                                        April 1, 2006 to       January 1, 2006 to
                                                          June 30, 2006           June 30, 2006
                                                        ------------------     ------------------

<S>                                                     <C>                    <C>
Investment income+ ..................................   $             0.10     $             0.21
Net expenses(+)++ ...................................                (0.09)                 (0.18)
                                                        ------------------     ------------------
Net investment income ...............................                 0.01                   0.03
Net realized and unrealized loss ....................                (1.82)                 (0.31)
                                                        ------------------     ------------------
Net decrease in unit value ..........................                (1.81)                 (0.28)
Net asset value at beginning of period ..............                50.86                  49.33
                                                        ------------------     ------------------
Net asset value at end of period ....................   $            49.05     $            49.05
                                                        ==================     ==================

Ratio of net expenses to average net assets*++ ......                 0.75%                  0.74%
Ratio of net investment income to average net assets*                 0.07%                  0.10%
Portfolio turnover**+++ .............................                    8%                    42%
Total return** ......................................                (3.56)%                (0.57)%
Net assets at end of period (in thousands) ..........   $          758,209     $          758,209
</TABLE>


-----------------
*     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 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 such
      collective investment fund, rather than portfolio turnover of the
      underlying portfolio of such collective investment fund.

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


                                       20
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Large-Cap Value Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                      June 30, 2006
                                                                                    ------------------
                                     Assets
<S>                                                                                  <C>
  Investments, at value (cost $248,693,297) .....................................    $     300,312,236 (a)
  Investments in affiliated issuers, at value (cost $87,747,160) ................          114,871,526
  Cash ..........................................................................                  293
  Receivable for investments sold ...............................................            2,150,459
  Dividends and interest receivable .............................................              387,821
                                                                                    ------------------
    Total assets ................................................................          417,722,335
                                                                                    ------------------
                                  Liabilities
  Payable for collateral received on securities loaned ..........................           13,295,194
  Payable for investments purchased .............................................            1,799,247
  Payable for fund units redeemed ...............................................              382,438
  State Street Bank and Trust Company--program fee payable ......................              108,550
  Investment advisory fee payable ...............................................               63,718
  Trustee, management and administration fees payable ...........................               30,390
  ABA Retirement Funds--program fee payable .....................................               14,151
  Other accruals ................................................................               60,964
                                                                                    ------------------
    Total liabilities ...........................................................           15,754,652
                                                                                    ------------------
Net Assets  (equivalent to $38.59 per unit based on 10,417,644 units outstanding)   $      401,967,683
                                                                                    ==================
</TABLE>

(a)   Includes securities on loan with a value of $12,985,291.

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


                                       21
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Large-Cap Value Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                     For the period       For the period
                                                                                    April 1, 2006 to    January 1, 2006 to
                                                                                      June 30, 2006        June 30, 2006
                                                                                   ----------------------------------------
<S>                                                                                <C>                   <C>
Investment income
    Dividends (net of foreign tax expense of $4,370, and $4,432, respectively) .   $        1,776,769    $        3,495,569
    Dividends- affiliated issuers ..............................................               97,987               157,967
    Securities lending income, net .............................................                7,966                13,401
                                                                                   ------------------    ------------------
                 Total investment income .......................................            1,882,722             3,666,937
                                                                                   ------------------    ------------------
Expenses
    Investment advisory fee ....................................................              195,378               386,118
    State Street Bank and Trust Company--program fee ...........................              334,867               655,003
    ABA Retirement Funds--program fee ..........................................               43,143                84,905
    Trustee, management and administration fees ................................               92,593               182,519
    Reports to unitholders .....................................................               15,270                30,813
    Legal and audit fees .......................................................               25,062                50,572
    Compliance consultant fees .................................................               30,015                60,564
    Registration fees ..........................................................                3,255                 6,569
    Other fees .................................................................               12,522                25,268
                                                                                   ------------------    ------------------
                 Total expenses ................................................              752,105             1,482,331
                                                                                   ------------------    ------------------
Net investment income ..........................................................            1,130,617             2,184,606
                                                                                   ------------------    ------------------

Net realized and unrealized gain (loss)
    Net realized gain on:
           Investments- unaffiliated issuers ...................................            5,970,344            14,058,257
           Investments- affiliated issuers .....................................              644,680             2,064,906
                                                                                   ------------------    ------------------
                 Net realized gain .............................................            6,615,024            16,123,163
                                                                                   ------------------    ------------------

    Change in net unrealized appreciation (depreciation) on:
           Investments .........................................................           (5,819,552)            5,086,735
                                                                                   ------------------    ------------------
           Change in net unrealized appreciation (depreciation) ................           (5,819,552)            5,086,735
                                                                                   ------------------    ------------------

                 Net realized and unrealized gain ..............................              795,472            21,209,898
                                                                                   ------------------    ------------------
Net increase in net assets resulting from operations ...........................   $        1,926,089    $       23,394,504
                                                                                   ==================    ==================
</TABLE>

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


                                       22
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Large-Cap Value Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period        For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                    June 30, 2006         June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $        1,130,617    $        2,184,606
    Net realized gain .........................................................            6,615,024            16,123,163
    Change in net unrealized appreciation (depreciation) on investments .......           (5,819,552)            5,086,735
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from operations ............            1,926,089            23,394,504
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................            5,799,606            10,823,271
    Cost of units redeemed ....................................................           (7,923,104)          (15,021,888)
                                                                                  ------------------    ------------------
              Net decrease in net assets resulting from unitholder transactions           (2,123,498)           (4,198,617)
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets ...........................             (197,409)           19,195,887
Net Assets
    Beginning of period .......................................................          402,165,092           382,771,796
                                                                                  ------------------    ------------------
    End of period .............................................................   $      401,967,683    $      401,967,683
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................           10,472,644            10,529,361
        Issued ................................................................              149,745               281,983
        Redeemed ..............................................................             (204,745)             (393,700)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................           10,417,644            10,417,644
                                                                                  ==================    ==================
</TABLE>

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


                                       23
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Large-Cap Value Equity Fund
                              Financial Highlights
                                    Unaudited
                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                         For the period         For the period
                                                        April 1, 2006 to       January 1, 2006 to
                                                          June 30, 2006          June 30, 2006
                                                        ------------------     ------------------

<S>                                                     <C>                    <C>
Investment income+ ..................................   $             0.18     $             0.35
Net expenses(+)++ ...................................                (0.07)                 (0.14)
                                                        ------------------     ------------------
Net investment income ...............................                 0.11                   0.21
Net realized and unrealized gain ....................                 0.08                   2.03
                                                        ------------------     ------------------
Net increase in unit value ..........................                 0.19                   2.24
Net asset value at beginning of period ..............                38.40                  36.35
                                                        ------------------     ------------------
Net asset value at end of period ....................   $            38.59     $            38.59
                                                        ==================     ==================

Ratio of net expenses to average net assets*++ ......                 0.75%                  0.75%
Ratio of net investment income to average net assets*                 1.12%                  1.10%
Portfolio turnover**+++ .............................                    5%                     9%
Total return** ......................................                 0.49%                  6.16%
Net assets at end of period (in thousands) ..........   $          401,968     $          401,968
</TABLE>


---------------
*     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 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 such
      collective investment fund, rather than portfolio turnover of the
      underlying portfolio of such collective investment fund.

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


                                       24
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Mid-Cap Growth Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                     June 30, 2006
                                                                                   ------------------
                                     Assets
<S>                                                                                 <C>
  Investments, at value (cost $100,028,983) ....................................   $      112,258,575 (a)
  Investments in affiliated issuers, at value (cost $30,832,355) ...............           30,832,355
  Cash .........................................................................                  161
  Receivable for investments sold ..............................................            3,412,928
  Receivable for fund units sold ...............................................              180,219
  Dividends and interest receivable ............................................               39,087
                                                                                   ------------------
  Total assets .................................................................          146,723,325
                                                                                   ------------------
                                  Liabilities
  Payable for collateral received on securities loaned .........................           26,986,478
  Payable for investments purchased ............................................            3,848,851
  Investment advisory fee payable ..............................................              176,771
  State Street Bank and Trust Company--program fee payable .....................               30,386
  Trustee, management and administration fees payable ..........................                8,502
  ABA Retirement Funds--program fee payable ....................................                3,960
  Other accruals ...............................................................               16,579
                                                                                   ------------------
  Total liabilities ............................................................           31,071,527
                                                                                   ------------------
Net Assets  (equivalent to $21.95 per unit based on 5,269,735 units outstanding)   $      115,651,798
                                                                                   ==================
</TABLE>

(a)   Includes securities on loan with a value of $26,313,621.

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


                                       25
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Mid-Cap Growth Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                    For the period        For the period
                                                                   April 1, 2006 to     January 1, 2006 to
                                                                     June 30, 2006        June 30, 2006
                                                                  ----------------------------------------
<S>                                                               <C>                   <C>
Investment income
    Dividends .................................................   $          104,426    $          495,558
    Dividends--affiliated issuer ..............................               55,383                97,985
    Securities lending income, net ............................               16,026                28,038
                                                                  ------------------    ------------------
                 Total investment income ......................              175,835               621,581
                                                                  ------------------    ------------------
Expenses
    Investment advisory fee ...................................              176,771               335,418
    State Street Bank and Trust Company--program fee ..........               95,448               179,044
    ABA Retirement Funds--program fee .........................               12,297                23,204
    Trustee, management and administration fees ...............               26,391                49,877
    Reports to unitholders ....................................                4,352                 8,396
    Legal and audit fees ......................................                7,143                13,780
    Compliance consultant fees ................................                8,553                16,501
    Registration fees .........................................                  928                 1,790
    Other fees ................................................                3,571                 6,885
                                                                  ------------------    ------------------
                 Total expenses ...............................              335,454               634,895
                                                                  ------------------    ------------------
Net investment loss ...........................................             (159,619)              (13,314)
                                                                  ------------------    ------------------
Net realized and unrealized gain (loss) on investments
    Net realized gain on:
           Investments ........................................            2,846,947             5,087,177
                                                                  ------------------    ------------------
    Change in net unrealized appreciation (depreciation) on:
           Investments ........................................          (11,448,924)           (2,539,339)
                                                                  ------------------    ------------------

                 Net realized and unrealized gain (loss) ......           (8,601,977)            2,547,838
                                                                  ------------------    ------------------
Net increase (decrease) in net assets resulting from operations   $       (8,761,596)   $        2,534,524
                                                                  ==================    ==================
</TABLE>

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


                                       26
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Mid-Cap Growth Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period       For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                    June 30, 2006         June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment loss .......................................................   $         (159,619)   $          (13,314)
    Net realized gain .........................................................            2,846,947             5,087,177
    Change in net unrealized appreciation (depreciation) on investments .......          (11,448,924)           (2,539,339)
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets resulting from operations .           (8,761,596)            2,534,524
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................           17,702,078            28,504,629
    Cost of units redeemed ....................................................           (4,843,321)           (6,427,231)
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from unitholder transactions           12,858,757            22,077,398
                                                                                  ------------------    ------------------
              Net increase in net assets ......................................            4,097,161            24,611,922
Net Assets
    Beginning of period .......................................................          111,554,637            91,039,876
                                                                                  ------------------    ------------------
    End of period .............................................................   $      115,651,798    $      115,651,798
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................            4,735,321             4,324,917
        Issued ................................................................              758,541             1,238,529
        Redeemed ..............................................................             (224,127)             (293,711)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................            5,269,735             5,269,735
                                                                                  ==================    ==================
</TABLE>

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


                                       27
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                           Mid-Cap Growth Equity Fund
                              Financial Highlights
                                   Unaudited
                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                       For the period          For the period
                                                      April 1, 2006 to       January 1, 2006 to
                                                        June 30, 2006           June 30, 2006
                                                      ------------------     ------------------
<S>                                                   <C>                    <C>
Investment income+ ................................   $             0.03     $             0.13
Net expenses(+)++ .................................                (0.07)                 (0.13)
                                                      ------------------     ------------------
Net investment loss ...............................                (0.04)                  0.00 (a)
Net realized and unrealized gain (loss) ...........                (1.57)                  0.90
                                                      ------------------     ------------------
Net increase (decrease) in unit value .............                (1.61)                  0.90
Net asset value at beginning of period ............                23.56                  21.05
                                                      ------------------     ------------------
Net asset value at end of period ..................   $            21.95     $            21.95
                                                      ==================     ==================

Ratio of net expenses to average net assets*++ ....                 1.17%                  1.17%
Ratio of net investment loss to average net assets*                (0.56)%                (0.02)%
Portfolio turnover** ..............................                   39%                    61%
Total return** ....................................                (6.83)%                 4.28%
Net assets at end of period (in thousands) ........   $          115,652     $          115,652
</TABLE>


---------------
*     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 funds in
      which the Fund invests a portion of its assets.
(a)   Less than $.005 per unit.

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


                                       28
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            Mid-Cap Value Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    June 30, 2006
                                                                                   ----------------
                                     Assets

<S>                                                                                <C>
  Investments, at value (cost $60,094,150) .....................................   $     64,262,933 (a)
  Investments in affiliated issuers, at value (cost $9,904,295) ................          9,904,295
  Cash .........................................................................                234
  Receivable for fund units sold ...............................................            121,262
  Dividends and interest receivable ............................................             84,955
                                                                                   ----------------
  Total assets .................................................................         74,373,679
                                                                                   ----------------
                                  Liabilities
  Payable for collateral received on securities loaned .........................          8,538,851
  Payable for investments purchased ............................................             58,614
  Payable for fund units redeemed ..............................................              7,955
  Investment advisory fee payable ..............................................             31,005
  State Street Bank and Trust Company--program fee payable .....................             17,904
  Trustee, management and administration fees payable ..........................              5,008
  ABA Retirement Funds--program fee payable ....................................              2,326
  Other accruals ...............................................................             10,148
                                                                                   ----------------
  Total liabilities ............................................................          8,671,811
                                                                                   ----------------
Net Assets  (equivalent to $14.75 per unit based on 4,453,338 units outstanding)   $     65,701,868
                                                                                   ================
</TABLE>


(a)   Includes securities on loan with a value of $8,290,286.

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


                                       29
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            Mid-Cap Value Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                 For the period         For the period
                                                                                April 1, 2006 to      January 1, 2006 to
                                                                                  June 30, 2006          June 30, 2006
                                                                                ----------------------------------------
<S>                                                                             <C>                   <C>
Investment income
    Dividends (net of foreign tax expense of $1,045 and $1,813, respectively)   $          197,067    $          399,069
    Dividends- affiliated issuers ...........................................               17,605                34,635
    Securities lending income, net ..........................................                6,765                 8,696
                                                                                ------------------    ------------------
                 Total investment income ....................................              221,437               442,400
                                                                                ------------------    ------------------
Expenses
    Investment advisory fee .................................................               95,776               190,976
    State Street Bank and Trust Company--program fee ........................               55,343               109,695
    ABA Retirement Funds--program fee .......................................                7,130                14,220
    Trustee, management and administration fees .............................               15,304                30,570
    Reports to unitholders ..................................................                2,524                 5,164
    Compliance consultant fees ..............................................                4,961                10,149
    Legal and audit fees ....................................................                4,142                 8,474
    Registration fees .......................................................                  538                 1,101
    Other fees ..............................................................                2,070                 4,235
                                                                                ------------------    ------------------
                 Total expenses .............................................              187,788               374,584
                                                                                ------------------    ------------------
Net investment income .......................................................               33,649                67,816
                                                                                ------------------    ------------------
Net realized and unrealized gain (loss) on investments
    Net realized gain on:
           Investments ......................................................            1,221,715             2,671,527
    Change in net unrealized appreciation (depreciation) on:
           Investments ......................................................           (3,240,534)           (3,048,726)
                                                                                ------------------    ------------------
                 Net realized and unrealized loss ...........................           (2,018,819)             (377,199)
                                                                                ------------------    ------------------
Net decrease in net assets resulting from operations ........................   $       (1,985,170)   $         (309,383)
                                                                                ==================    ==================
</TABLE>

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


                                       30
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            Mid-Cap Value Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period        For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                    June 30, 2006         June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $           33,649    $           67,816
    Net realized gain .........................................................            1,221,715             2,671,527
    Change in net unrealized appreciation (depreciation) on investments .......           (3,240,534)           (3,048,726)
                                                                                  ------------------    ------------------
              Net decrease in net assets resulting from operations ............           (1,985,170)             (309,383)
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................            2,970,771             5,163,479
    Cost of units redeemed ....................................................           (3,336,722)           (5,293,552)
                                                                                  ------------------    ------------------
              Net decrease in net assets resulting from unitholder transactions             (365,951)             (130,073)
                                                                                  ------------------    ------------------
              Net decrease in net assets ......................................           (2,351,121)             (439,456)
Net Assets
    Beginning of period .......................................................           68,052,989            66,141,324
                                                                                  ------------------    ------------------
    End of period .............................................................   $       65,701,868    $       65,701,868
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................            4,476,865             4,461,597
        Issued ................................................................              197,431               342,422
        Redeemed ..............................................................             (220,958)             (350,681)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................            4,453,338             4,453,338
                                                                                  ==================    ==================
</TABLE>

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


                                       31
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            Mid-Cap Value Equity Fund
                              Financial Highlights
                                    Unaudited
                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                          For the period         For the period
                                                         April 1, 2006 to      January 1, 2006 to
                                                           June 30, 2006         June 30, 2006
                                                        ------------------     ------------------
<S>                                                     <C>                    <C>
Investment income+ ..................................   $             0.05     $             0.10
Net expenses(+)++ ...................................                (0.04)                 (0.08)
                                                        ------------------     ------------------
Net investment income ...............................                 0.01                   0.02
Net realized and unrealized loss ....................                (0.46)                 (0.09)
                                                        ------------------     ------------------
Net decrease in unit value ..........................                (0.45)                 (0.07)
Net asset value at beginning of period ..............                15.20                  14.82
                                                        ------------------     ------------------
Net asset value at end of period ....................   $            14.75     $            14.75
                                                        ==================     ==================

Ratio of net expenses to average net assets*++ ......                 1.13%                  1.13%
Ratio of net investment income to average net assets*                 0.20%                  0.20%
Portfolio turnover** ................................                    9%                    16%
Total return** ......................................                (2.96)%                (0.47)%
Net assets at end of period (in thousands) ..........   $           65,702     $           65,702
</TABLE>


----------------
*     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 funds in
      which the Fund invests a portion of its assets.

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


                                       32
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                              Small-Cap Equity Fund
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                     June 30, 2006
                                                                                   ------------------
                                     Assets
<S>                                                                                 <C>
  Investments, at value (cost $250,169,423) ....................................        $ 281,164,920 (a)
  Investments in affiliated issuers, at value (cost $140,841,542) ..............          143,087,440
  Cash .........................................................................                5,311
  Receivable for investments sold ..............................................            3,301,826
  Receivable for fund units sold ...............................................              230,953
  Dividends and interest receivable ............................................              130,754
                                                                                   ------------------
    Total assets ...............................................................          427,921,204
                                                                                   ------------------
                                  Liabilities
  Payable for collateral received on securities loaned .........................          103,505,561
  Payable for investments purchased ............................................            2,339,072
  Investment advisory fee payable ..............................................              166,881
  State Street Bank and Trust Company--program fee payable .....................               86,250
  Trustee, management and administration fees payable ..........................               24,196
  ABA Retirement Funds--program fee payable ....................................               11,260
  Other accruals ...............................................................               49,927
                                                                                   ------------------
    Total liabilities ..........................................................          106,183,147
                                                                                   ------------------
Net Assets  (equivalent to $70.30 per unit based on 4,576,933 units outstanding)   $      321,738,057
                                                                                   ==================
</TABLE>

(a)   Includes securities on loan with a value of $100,913,647.

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


                                       33
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                              Small-Cap Equity Fund
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                            For the period        For the period
                                                                           April 1, 2006 to     January 1, 2006 to
                                                                             June 30, 2006        June 30, 2006
                                                                          ----------------------------------------
<S>                                                                       <C>                   <C>
Investment income
    Dividends .........................................................   $          457,675    $          865,183
    Dividends- affiliated issuers .....................................               94,988               201,458
    Securities lending income, net ....................................               59,853               106,666
                                                                          ------------------    ------------------
                 Total investment income ..............................              612,516             1,173,307
                                                                          ------------------    ------------------
Expenses
    Investment advisory fee ...........................................              529,708             1,055,194
    State Street Bank and Trust Company--program fee ..................              276,805               547,400
    ABA Retirement Funds--program fee .................................               35,667                70,965
    Trustee, management and administration fees .......................               76,551               152,558
    Reports to unitholders ............................................               12,622                25,741
    Legal and audit fees ..............................................               20,717                42,249
    Compliance consultant fees ........................................               24,811                50,598
    Registration fees .................................................                2,691                 5,488
    Other fees ........................................................               10,351                21,109
                                                                          ------------------    ------------------
                 Total expenses .......................................              989,923             1,971,302
                                                                          ------------------    ------------------
Net investment loss ...................................................             (377,407)             (797,995)
                                                                          ------------------    ------------------
Net realized and unrealized gain on investments
    Net realized gain on:
           Investments- unaffiliated issuers ..........................            1,606,694             7,285,903
           Investments- affiliated issuers ............................              828,656             2,197,762
                                                                          ------------------    ------------------
                 Net realized gain ....................................            2,435,350             9,483,665
                                                                          ------------------    ------------------
    Change in net unrealized appreciation (depreciation) on investments          (28,870,321)            1,541,600
                                                                          ------------------    ------------------

                 Net realized and unrealized gain (loss) ..............          (26,434,971)           11,025,265
                                                                          ------------------    ------------------
Net increase (decrease) in net assets resulting from operations .......   $      (26,812,378)   $       10,227,270
                                                                          ==================    ==================
</TABLE>

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


                                       34
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                              Small-Cap Equity Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                              For the period        For the period
                                                                                             April 1, 2006 to     January 1, 2006 to
                                                                                               June 30, 2006        June 30, 2006
                                                                                             -----------------    -----------------
<S>                                                                                          <C>                  <C>
From operations
    Net investment loss ..................................................................   $        (377,407)   $        (797,995)
    Net realized gain ....................................................................           2,435,350            9,483,665
    Change in net unrealized appreciation (depreciation) on investments ..................         (28,870,321)           1,541,600
                                                                                             -----------------    -----------------
              Net increase (decrease) in net assets resulting from operations ............         (26,812,378)          10,227,270
                                                                                             -----------------    -----------------

From unitholder transactions
    Proceeds from units issued ...........................................................           9,363,318           12,050,534
    Cost of units redeemed ...............................................................          (7,301,488)         (15,292,360)
                                                                                             -----------------    -----------------
              Net increase (decrease) in net assets resulting from unitholder transactions           2,061,830           (3,241,826)
                                                                                             -----------------    -----------------
              Net increase (decrease) in net assets ......................................         (24,750,548)           6,985,444
Net Assets
    Beginning of period ..................................................................         346,488,605          314,752,613
                                                                                             -----------------    -----------------
    End of period ........................................................................   $     321,738,057    $     321,738,057
                                                                                             =================    =================

Number of units
    Outstanding-beginning of period ......................................................           4,555,994            4,628,769
        Issued ...........................................................................             124,858              161,563
        Redeemed .........................................................................            (103,919)            (213,399)
                                                                                             -----------------    -----------------

    Outstanding-end of period ............................................................           4,576,933            4,576,933
                                                                                             =================    =================
</TABLE>

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


                                       35
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                              Small-Cap Equity Fund
                              Financial Highlights
                                    Unaudited

                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                        For the period         For the period
                                                       April 1, 2006 to      January 1, 2006 to
                                                        June 30, 2006          June 30, 2006
                                                      ------------------     ------------------
<S>                                                   <C>                    <C>
Investment income+ ................................   $             0.13     $             0.26
Net expenses(+)++ .................................                (0.22)                 (0.43)
                                                      ------------------     ------------------
Net investment loss ...............................                (0.09)                 (0.17)
Net realized and unrealized gain (loss) ...........                (5.66)                  2.47
                                                      ------------------     ------------------
Net increase (decrease) in unit value .............                (5.75)                  2.30
Net asset value at beginning of period ............                76.05                  68.00
                                                      ------------------     ------------------
Net asset value at end of period ..................   $            70.30     $            70.30
                                                      ==================     ==================

Ratio of net expenses to average net assets*++ ....                 1.19%                  1.19%
Ratio of net investment loss to average net assets*                (0.45)%                (0.48)%
Portfolio turnover**+++ ...........................                   19%                    34%
Total return** ....................................                (7.56)%                 3.38%
Net assets at end of period (in thousands) ........   $          321,738     $          321,738
</TABLE>


-----------------
*     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 colllective 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 such
      collective investment fund, rather than portfolio turnover of the
      underlying portfolio of such collective investment fund.

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


                                       36
<PAGE>

        American Bar Association Members/ State Street Collective Trust
                           Stable Asset Return Fund
                      Statement of Assets and Liabilities
                                   Unaudited
<TABLE>
<CAPTION>


                                                                                               June 30, 2006
                                                                                           -----------------------
<S>                                                                                        <C>
                                    Assets
Investments in affiliated fund, at contract value:
  State Street Bank ABA Members/Pooled Stable Asset Fund Trust
  (cost $882,877,564 and units of 882,877,564)                                                        $ 882,877,564
  Total assets....................................................................           -----------------------
                                                                                                        882,877,564
                                                                                             -----------------------

                                 Liabilities
  Payable for fund units redeemed.................................................                        2,234,494
  State Street Bank and Trust Company--program fee payable........................                          239,812
  Trustee, management and administration fees payable.............................                           67,178
  ABA Retirement Funds--program fee payable ......................................                           31,286
  Other accruals..................................................................                          133,067
                                                                                             -----------------------
     Total liabilitiess.........................................................                          2,705,837
                                                                                             -----------------------
Net Assets (equivalent to $31.19 per unit based on 28,222,076 units
outstanding)....................................................................                      $ 880,171,727
                                                                                             =======================

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

</TABLE>


                                       37
<PAGE>

        American Bar Association Members/ State Street Collective Trust
                           Stable Asset Return Fund
                            Statement of Operations
                                   Unaudited
<TABLE>
<CAPTION>

                                                                                      For the period         For the period
                                                                                     April 1, 2006 to      January 1, 2006 to
                                                                                       June 30, 2006          June 30, 2006
                                                                                  --------------------  -----------------------
<S>                                                                               <C>                   <C>
Interest income--affiliated.....................................................  $          9,892,868  $           19,379,543
                                                                                  --------------------  -----------------------
Expenses
    State Street Bank and Trust Company--program fee............................              721,788                1,422,310
    ABA Retirement Funds--program fee...........................................               92,982                  184,367
    Trustee, management and administration fees.................................              199,543                  396,320
    Reports to unitholders......................................................               32,912                   66,946
    Legal and audit fees........................................................               54,018                  109,878
    Compliance consultant fees..................................................               64,691                  131,589
    Registration fees...........................................................                7,017                   14,273
    Other fees..................................................................               26,992                   54,902
                                                                                  --------------------  -----------------------
                  Total expenses................................................            1,199,943                2,380,585
                                                                                  --------------------  -----------------------
Net investment income and net increase in net assets resulting from operations..  $         8,692,925   $           16,998,958
                                                                                  ====================  =======================

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

</TABLE>


                                       38
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                            Stable Asset Return Fund
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                             For the period       For the period
                                                                                            April 1, 2006 to    January 1, 2006 to
                                                                                              June 30, 2006       June 30, 2006
                                                                                           -----------------    -----------------
<S>                                                                                        <C>                  <C>
From operations
    Net investment income and net increase in net assets resulting from operations .....   $       8,692,925    $      16,998,958
                                                                                           -----------------    -----------------
From unitholder transactions
    Proceeds from units issued .........................................................          32,904,756           47,116,117
    Cost of units redeemed .............................................................         (25,424,370)         (54,443,502)
                                                                                           -----------------    -----------------
              Net increase (decrease) in net assets resulting from unitholder
                transactions ...........................................................           7,480,386           (7,327,385)
                                                                                           -----------------    -----------------
              Net increase in net assets ...............................................          16,173,311            9,671,573
Net Assets
    Beginning of period ................................................................         863,998,416          870,500,154
                                                                                           -----------------    -----------------
    End of period ......................................................................   $     880,171,727    $     880,171,727
                                                                                           =================    =================

Number of units
    Outstanding-beginning of period ....................................................          27,981,251           28,463,595
        Issued .........................................................................           1,060,061            1,522,183
        Redeemed .......................................................................            (819,236)          (1,763,702)
                                                                                           -----------------    -----------------

    Outstanding-end of period ..........................................................          28,222,076           28,222,076
                                                                                           =================    =================
</TABLE>

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

                                       39
<PAGE>
<TABLE>
<CAPTION>


                             American Bar Association Members/ State Street Collective Trust
                                                 Stable Asset Return Fund
                                                   Financial Highlights
                                                        Unaudited
                                      (For a unit outstanding throughout the period)


                                                                                   For the period               For the period
                                                                                April 1, 2006 to June        January 1, 2006 to
                                                                                      30, 2006                   June 30, 2006
                                                                               -----------------------     -----------------------
<S>                                                                            <C>                          <C>
Investment income+...........................................................                  $ 0.35                       $ 0.69
Net expenses(+)++............................................................                   (0.04)                       (0.08)
                                                                               -----------------------     -----------------------
Net investment income........................................................                    0.31                         0.61
                                                                               -----------------------     -----------------------
Net increase in unit value...................................................                    0.31                         0.61
Net asset value at beginning of period.......................................                   30.88                        30.58
                                                                               -----------------------     -----------------------
Net asset value at end of period.............................................                 $ 31.19                      $ 31.19
                                                                               =======================     =======================
Ratio of net expenses to average net assets*++...............................                    0.55%                        0.55%
Ratio of net investment income to average net assets*........................                    4.00%                        4.00%
Total return**...............................................................                    1.00%                        1.99%
Net assets at end of period (in thousands)...................................                 $880,172                    $880,172
</TABLE>


-----------------
*     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 funds in
      which the Fund invests a portion of its assets.

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


                                       40
<PAGE>

         American Bar Association Members/ State Street Collective Trust
              Structured Portfolio Service - Conservative Portfolio
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                                June 30, 2006
                                                                                              ------------------
                                     Assets
<S>                                                                                           <C>
American Bar Association Members / State Street Collective Trust investment funds, at value
    Stable Asset Return Fund (cost $19,164,611 and units of 655,790) ......................   $       20,456,981
    Intermediate Bond Fund (cost $23,069,017 and units of 1,257,140) ......................           23,866,477
    Large Cap Value Equity Fund (cost $3,796,012 and units of 123,715) ....................            4,773,296
    Large Cap Growth Equity Fund (cost $4,169,557 and units of 97,310) ....................            4,773,296
    Index Equity Fund (cost $7,957,195 and units of 290,534) ..............................            9,546,591
    International Equity Fund (cost $3,566,918 and units of 174,149) ......................           4,773,296.
        Receivable for collective investments sold ........................................               47,348
                                                                                              ------------------
      Total assets ........................................................................           68,237,285
                                                                                              ------------------
                                  Liabilities
      Payable for portfolio units redeemed ................................................               47,348
                                                                                              ------------------
        Total liabilities .................................................................               47,348
                                                                                              ------------------
Net Assets (equivalent to $20.50 per unit based on 3,326,996 units outstanding) ...........   $       68,189,937
                                                                                              ==================
</TABLE>


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


                                       41
<PAGE>

         American Bar Association Members/ State Street Collective Trust
              Structured Portfolio Service - Conservative Portfolio
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                            For the period        For the period
                                                                           April 1, 2006 to     January 1, 2006 to
                                                                            June 30, 2006          June 30, 2006
                                                                          ------------------    ------------------
<S>                                                                       <C>                   <C>
Investment income .....................................................   $               --    $               --
                                                                          ------------------    ------------------
Net realized and unrealized gain (loss) on collective investment funds:
      Net realized gain ...............................................              590,551             1,502,179
      Change in net unrealized appreciation (depreciation) ............             (801,963)             (352,319)
                                                                          ------------------    ------------------
           Net realized and unrealized gain (loss) ....................             (211,412)            1,149,860
                                                                          ------------------    ------------------
Net increase (decrease)  in net assets resulting from operations ......   $         (211,412)   $        1,149,860
                                                                          ==================    ==================
</TABLE>

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


                                       42
<PAGE>

         American Bar Association Members/ State Street Collective Trust
              Structured Portfolio Service - Conservative Portfolio
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period        For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                    June 30, 2006          June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $               --    $               --
    Net realized gain on investments ..........................................              590,551             1,502,179
    Change in net unrealized appreciation (depreciation) ......................             (801,963)             (352,319)
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets resulting from operations .             (211,412)            1,149,860
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................            4,895,072             7,068,097
    Cost of units redeemed ....................................................           (1,706,728)           (3,999,056)
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from unitholder transactions            3,188,344             3,069,041
                                                                                  ------------------    ------------------
              Net increase in net assets ......................................            2,976,932             4,218,901
Net Assets
    Beginning of period .......................................................           65,213,005            63,971,036
                                                                                  ------------------    ------------------
    End of period .............................................................   $       68,189,937    $       68,189,937
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................            3,172,016             3,177,803
        Issued ................................................................              238,463               344,755
        Redeemed ..............................................................              (83,483)             (195,562)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................            3,326,996             3,326,996
                                                                                  ==================    ==================
</TABLE>

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


                                       43
<PAGE>

         American Bar Association Members/ State Street Collective Trust
              Structured Portfolio Service - Conservative Portfolio
                              Financial Highlights
                                    Unaudited


                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                         For the period         For the period
                                                        April 1, 2006 to      January 1, 2006 to
                                                         June 30, 2006           June 30, 2006
                                                       ------------------     ------------------
<S>                                                    <C>                    <C>
Investment income ..................................   $             0.00     $             0.00
Net expenses .......................................                 0.00                   0.00
                                                       ------------------     ------------------
Net investment income ..............................                 0.00                   0.00
Net realized and unrealized gain (loss) ............                (0.06)                  0.37
                                                       ------------------     ------------------
Net increase (decrease) in unit value ..............                (0.06)                  0.37
Net asset value at beginning of period .............                20.56                  20.13
                                                       ------------------     ------------------
Net asset value at end of period ...................   $            20.50     $            20.50
                                                       ==================     ==================

Ratio of net expenses to average net assets+ .......                 0.00%                  0.00%
Ratio of net investment income to average net assets                 0.00%                  0.00%
Portfolio turnover*++ ..............................                    4%                     9%
Total return* ......................................                (0.29)%                 1.84%
Net assets at end of period (in thousands) .........   $           68,190     $           68,190
</TABLE>


----------------
*     Not annualized.
+     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.
++    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.

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


                                       44
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                Structured Portfolio Service - Moderate Portfolio
                       Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                                June 30, 2006
                                                                                              ------------------
                                     Assets
<S>                                                                                           <C>
American Bar Association Members / State Street Collective Trust investment funds, at value
  Stable Asset Return Fund (cost $23,515,617 and units of 807,035) ..........................   $       25,174,978
  Intermediate Bond Fund (cost $72,753,354 and units of 3,978,191) ..........................           75,524,933
  Large Cap Value Equity Fund (cost $17,248,925 and units of 587,238) .......................           22,657,480
  Large Cap Growth Equity Fund (cost $19,313,175 and units of 461,903) ......................           22,657,480
  Index Equity Fund (cost $46,655,058 and units of 1,762,164) ...............................           57,902,449
  Mid-Cap Value Equity Fund (cost $4,222,641 and units of 341,296) ..........................            5,034,996
  Mid-Cap Growth Equity Fund (cost $4,070,543 and units of 229,406) .........................            5,034,996
  International Equity Fund (cost $26,051,852 and units of 1,377,730) .......................           37,762,467
  Receivable for collective investments sold ................................................              288,695
                                                                                                ------------------
      Total assets ..........................................................................          252,038,474
                                                                                                ------------------
                                  Liabilities
        Payable for portfolio units redeemed ................................................              288,695
                                                                                                ------------------
            Total liabilities ...............................................................              288,695
                                                                                                ------------------
Net Assets (equivalent to $22.38 per unit based on 11,248,667 units outstanding) ............   $      251,749,779
                                                                                                ==================
</TABLE>


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


                                       45
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                Structured Portfolio Service - Moderate Portfolio
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                            For the period        For the period
                                                                           April 1, 2006 to     January 1, 2006 to
                                                                             June 30, 2006        June 30, 2006
                                                                          ----------------------------------------
<S>                                                                       <C>                   <C>
Investment income .....................................................   $               --    $               --
                                                                          ------------------    ------------------
Net realized and unrealized gain (loss) on collective investment funds:
      Net realized gain ...............................................            2,356,818             4,677,045
      Change in net unrealized appreciation (depreciation) ............           (4,776,821)            1,821,713
                                                                          ------------------    ------------------

           Net realized and unrealized gain (loss) ....................           (2,420,003)            6,498,758
                                                                          ------------------    ------------------
Net increase (decrease) in net assets resulting from operations .......   $       (2,420,003)   $        6,498,758
                                                                          ==================    ==================
</TABLE>

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


                                       46
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                Structured Portfolio Service - Moderate Portfolio
                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period        For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                    June 30, 2006         June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $               --    $               --
    Net realized gain on investments ..........................................            2,356,818             4,677,045
    Change in net unrealized appreciation (depreciation) ......................           (4,776,821)            1,821,713
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets resulting from operations .           (2,420,003)            6,498,758
                                                                                  ------------------    ------------------

From unitholder transactions
    Proceeds from units issued ................................................            5,360,462            15,594,728
    Cost of units redeemed ....................................................           (4,335,970)           (6,585,584)
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from unitholder transactions            1,024,492             9,009,144
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets ...........................           (1,395,511)           15,507,902
Net Assets
    Beginning of period .......................................................          253,145,290           236,241,877
                                                                                  ------------------    ------------------
    End of period .............................................................   $      251,749,779    $      251,749,779
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................           11,203,199            10,844,908
        Issued ................................................................              238,329               696,791
        Redeemed ..............................................................             (192,861)             (293,032)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................           11,248,667            11,248,667
                                                                                  ==================    ==================
</TABLE>

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


                                       47
<PAGE>

         American Bar Association Members/ State Street Collective Trust
                Structured Portfolio Service - Moderate Portfolio
                              Financial Highlights
                                    Unaudited

                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                         For the period         For the period
                                                        April 1, 2006 to      January 1, 2006 to
                                                         June 30, 2006          June 30, 2006
                                                       ------------------     ------------------
<S>                                                    <C>                    <C>
Investment income ..................................   $             0.00     $             0.00
Net expenses .......................................                 0.00                   0.00
                                                       ------------------     ------------------
Net investment income ..............................                 0.00                   0.00
Net realized and unrealized gain (loss) ............                (0.22)                  0.60
                                                       ------------------     ------------------
Net increase (decrease) in unit value ..............                (0.22)                  0.60
Net asset value at beginning of period .............                22.60                  21.78
                                                       ------------------     ------------------
Net asset value at end of period ...................   $            22.38     $            22.38
                                                       ==================     ==================

Ratio of net expenses to average net assets+ .......                 0.00%                  0.00%
Ratio of net investment income to average net assets                 0.00%                  0.00%
Portfolio turnover*++ ..............................                    3%                     6%
Total return* ......................................                (0.97)%                 2.75%
Net assets at end of period (in thousands) .........   $          251,750     $          251,750
</TABLE>


----------------

*     Not annualized.
+     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.
++    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.

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


                                       48
<PAGE>

          American Bar Association Members/ State Street Collective Trust
                Structured Portfolio Service - Aggressive Portfolio
                        Statement of Assets and Liabilities
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                                   June 30, 2006
                                                                                                 ------------------
                                     Assets
<S>                                                                                              <C>
American Bar Association Members / State Street Collective Trust investment funds, at value
   Intermediate Bond Fund (cost $26,362,161 and units of 1,430,641) ..........................   $       27,160,352
   Large Cap Value Equity Fund (cost $17,623,621 and units of 610,084) .......................           23,538,972
   Large Cap Growth Equity Fund (cost $20,421,922 and units of 479,873) ......................           23,538,972
   Index Equity Fund (cost $45,263,256 and units of 1,653,159) ...............................           54,320,704
   Mid-Cap Value Equity Fund (cost $4,491,926 and units of 368,211) ..........................            5,432,070
   Mid-Cap Growth Equity Fund (cost $4,189,414 and units of 247,498) .........................            5,432,070
   Small Cap Equity Fund (cost $4,517,630 and units of 77,275) ...............................            5,432,070
   International Equity Fund (cost $24,186,327 and units of 1,321,229) .......................           36,213,803
   Receivable for collective investments sold ................................................              233,468
                                                                                                 ------------------
       Total assets .........................................................................           181,302,481
                                                                                                 ------------------
                                  Liabilities
   Payable for portfolio units redeemed .....................................................               233,468
                                                                                                 ------------------
       Total liabilities ....................................................................               233,468
                                                                                                 ------------------
Net assets (equivalent to $23.83 per unit based on 7,598,453 units outstanding) .............    $      181,069,013
                                                                                                 ==================
</TABLE>

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


                                       49
<PAGE>

         American Bar Association Members/ State Street Collective Trust
               Structured Portfolio Service - Aggressive Portfolio
                             Statement of Operations
                                    Unaudited

<TABLE>
<CAPTION>
                                                                           For the period         For the period
                                                                          April 1, 2006 to      January 1, 2006 to
                                                                            June 30, 2006         June 30, 2006
                                                                          ----------------------------------------

<S>                                                                       <C>                   <C>
Investment income .....................................................   $               --    $               --
                                                                          ------------------    ------------------
Net realized and unrealized gain (loss) on collective investment funds:
      Net realized gain ...............................................            1,290,362             3,099,442
      Change in net unrealized appreciation (depreciation) ............           (4,265,073)            3,185,410
                                                                          ------------------    ------------------
           Net realized and unrealized gain (loss) ....................           (2,974,711)            6,284,852
                                                                          ------------------    ------------------
Net increase (decrease) in net assets resulting from operations .......   $       (2,974,711)   $        6,284,852
                                                                          ==================    ==================
</TABLE>

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


                                       50
<PAGE>

         American Bar Association Members/ State Street Collective Trust
               Structured Portfolio Service - Aggressive Portfolio

                       Statement of Changes in Net Assets
                                    Unaudited

<TABLE>
<CAPTION>
                                                                                    For the period        For the period
                                                                                   April 1, 2006 to     January 1, 2006 to
                                                                                     June 30, 2006        June 30, 2006
                                                                                  ------------------    ------------------
<S>                                                                               <C>                   <C>
From operations
    Net investment income .....................................................   $               --    $               --
    Net realized gain on investments ..........................................            1,290,362             3,099,442
    Change in net unrealized appreciation (depreciation) ......................           (4,265,073)            3,185,410
                                                                                  ------------------    ------------------
              Net increase (decrease) in net assets resulting from operations .           (2,974,711)            6,284,852
                                                                                  ------------------    ------------------
From unitholder transactions
    Proceeds from units issued ................................................            6,214,498            13,446,731
    Cost of units redeemed ....................................................           (2,860,694)           (6,897,188)
                                                                                  ------------------    ------------------
              Net increase in net assets resulting from unitholder transactions            3,353,804             6,549,543
                                                                                  ------------------    ------------------
              Net increase in net assets ......................................              379,093            12,834,395
Net Assets
    Beginning of period .......................................................          180,689,920           168,234,618
                                                                                  ------------------    ------------------
    End of period .............................................................   $      181,069,013    $      181,069,013
                                                                                  ==================    ==================

Number of units
    Outstanding-beginning of period ...........................................            7,459,111             7,324,928
        Issued ................................................................              257,082               560,340
        Redeemed ..............................................................             (117,740)             (286,815)
                                                                                  ------------------    ------------------

    Outstanding-end of period .................................................            7,598,453             7,598,453
                                                                                  ==================    ==================
</TABLE>

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


                                       51
<PAGE>

         American Bar Association Members/ State Street Collective Trust
               Structured Portfolio Service - Aggressive Portfolio
                              Financial Highlights
                                    Unaudited

                 (For a unit outstanding throughout the period)

<TABLE>
<CAPTION>
                                                         For the period          For the period
                                                        April 1, 2006 to      January 1, 2006 to
                                                         June 30, 2006          June 30, 2006
                                                       ------------------     ------------------
<S>                                                    <C>                    <C>
Investment income ..................................   $             0.00     $             0.00
Net expenses .......................................                 0.00                   0.00
                                                       ------------------     ------------------
Net investment income ..............................                 0.00                   0.00
Net realized and unrealized gain (loss) ............                (0.39)                  0.86
                                                       ------------------     ------------------
Net increase (decrease) in unit value ..............                (0.39)                  0.86
Net asset value at beginning of period .............                24.22                  22.97
                                                       ------------------     ------------------
Net asset value at end of period ...................   $            23.83     $            23.83
                                                       ==================     ==================

Ratio of net expenses to average net assets+ .......                 0.00%                  0.00%
Ratio of net investment income to average net assets                 0.00%                  0.00%
Portfolio turnover*++ ..............................                    3%                     7%
Total return* ......................................                (1.61)%                 3.74%
Net assets at end of period (in thousands) .........   $          181,069     $          181,069
</TABLE>

----------------
*     Not annualized.
+     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.
++    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.

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


                                       52
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited 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 American Bar Association Members
Retirement Program (the "Program"). Ten separate collective investment funds
(the "Funds") and the Structured Portfolio Service (the "Portfolios") are
established under the Trust. The Structured Portfolio Service offers three
approaches to diversifying investments by stipulating various allocations among
the Funds. The Funds and Portfolios are investment options under the Program,
which is sponsored by the 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 June 30,
      2006, 36.0% 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 June 30, 2006, 31.7% 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 June 30, 2006, 23.7% 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.


                                       53
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

            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 June 30, 2006, 10.7%
      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 are available from State Street Bank upon
      request.

            Structured Portfolio Service

                  Conservative--higher current investment income and some
            capital appreciation.

                  Moderate--high current investment income and greater capital
            appreciation.

                  Aggressive--long-term growth of capital and lower current
            investment income.

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

      All the Funds may invest in 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 nondepository 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. 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.


                                       54
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

2.    Summary of Significant Accounting Policies

      The accompanying statements of assets and liabilities and the related
statements of operations and of changes in net assets and certain financial data
have been prepared in conformity with accounting principles generally accepted
in the United States of America. Such principles were applied on a basis
consistent with those reflected in the 2005 Annual Report on Form 10-K of the
Trust as filed with the Securities and Exchange Commission. The accompanying
financial data should be read in conjunction with these Notes to the Financial
Statements. In the opinion of management, the accompanying financial statements
contain all adjustments (consisting of normal recurring accruals) necessary to
present fairly the financial position of the Balanced Fund, Index Equity Fund,
Intermediate Bond Fund, International Equity Fund, Large-Cap Growth Equity Fund,
Large-Cap Value Equity Fund, Mid-Cap Growth Equity Fund, Mid-Cap Value Equity
Fund, Small-Cap Equity Fund, Stable Asset Return Fund, Conservative Structured
Portfolio Service, Moderate Structured Portfolio Service and Aggressive
Structured Portfolio Service as of June 30, 2006 and the results of each of
their operations, the changes in each of their net assets and certain financial
data for the three and six month periods ended June 30, 2006.

      The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements. The
policies are in accordance with accounting principles generally accepted in the
United States of America and provisions of the Trust agreement:

      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.

      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


                                       55
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

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.

      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.

      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.

      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.

      Stable Asset Return Fund: SARF invests in SAFT, whose investments include
insurance company, bank and financial institution investment contracts and
investments in YES. 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. As
the contracts are benefit-responsive and the Fund's investors are participants
in qualified benefit plans, the insurance company, bank and financial
institution investment contracts are maintained by SAFT at contract value (cost
plus accrued interest). The values of SARF's investments in collective
investment funds are based on the net asset values of such respective collective
investment funds.

      The rate at which SARF credits returns to participant accounts ("crediting
rate") can change as the difference between market value and book value of the
covered assets changes. As a result, the crediting rate will generally reflect,
over time, movements in prevailing interest rates. However, at times it may be
less (e.g., when the fair value of the "wrapped" assets is less than contract
value) or more (e.g., when the fair value of the "wrapped" assets exceeds
contract value) than the prevailing interest rate or the actual income earned on
the covered assets. The degree of any increase or decrease in the crediting rate
will depend on the amount of the difference and duration of SARF's portfolio.
The crediting rate may also be affected by increases and decreases of the amount
of covered assets under the wrapper agreement as a result of contributions to
and redemptions of Fund shares resulting from participant transactions. Thus, to
the extent the crediting rate remains below prevailing interest rates,
participants contributing to SARF will share in that lower crediting rate;
similarly, to the extent the crediting rate exceeds current market rates,
withdrawing participants will cede any benefit related to that higher crediting
rate to the remaining participants.

      In December 2005, the Financial Accounting Standards Board ("FASB") issued
FASB Staff Position Nos. AAG INV-1 and SOP 94-4-1, "Reporting of Fully
Benefit-Responsive Investment Contracts Held by Certain Investment Companies
Subject to the AICPA Investment Company Guide and Defined-Contribution Health
and Welfare and Pension Plans" ("FSP") that gave guidance in the use of contract
value accounting for benefit-responsive investment contracts owned by certain
investment companies utilized exclusively by defined-contribution and health and
welfare benefit plans. The FSP required several changes in financial statement
presentation and disclosure, including presentation of both the fair value and
contract value of benefit-responsive investment contracts. SARF currently
provides for transactions to be made on a contract value basis and the new
reporting requirements are not intended to alter how participants transact with
the Fund. The FSP includes a condition to the continued use of contract value
accounting, that the portion of SARF's net assets that is not held in trust for
the benefit of participants in qualified employer-sponsored defined-contribution
plans, which amounted to less than 1% of the Fund at June 30, 2006, is not
permitted to increase after January 15, 2006, except for the reinvestment of
income earned. Effective January 15, 2006, SARF no longer accepts contributions
from non-defined-contribution plans. The Trust does not expect the adoption of
the provisions of the FSP to impact the use of contract value accounting by
SAFT, and therefore, by SARF. The FSP is effective for financial statements for
annual periods ending after December 15, 2006.


                                       56
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

      B.    Security Transactions and Related Investment Income

      Security transactions are accounted for on the trade date (the date on
which the order to buy or sell is executed). Interest income is recorded on the
accrual basis. Dividend income is recorded on the ex-dividend date. Interest
income is increased by accretion of discount and reduced by amortization of
premium. Realized gains and losses are reported on the basis of the identified
cost of securities delivered. 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, realized and unrealized gains and losses reported by a Fund may
include a component attributable to investment income of the underlying funds.

      C.    Foreign Currency Transactions

      The accounting records of the Funds and Portfolios are maintained in U.S.
dollars. Investment securities and other assets and liabilities denominated in a
foreign currency are translated into U.S. dollars at the prevailing rates of
exchange at period-end. Purchases and sales of securities, income and expenses
are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.

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

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

      D.    Income Taxes

      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.

      E.    Sales and Redemptions of Units of Participation and Distributions

      The units offered represent interests in the Funds and Portfolios
established under the Trust. The Trust may offer and sell an unlimited number of
units. Each unit will be offered and sold daily at the offering Fund's or
Portfolio's net asset value.

      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.


                                       57
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

      F.    TBA Commitments and Roll Transactions

      The Balanced Fund and Intermediate Bond Fund may enter into TBA (to be
announced) commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price for a TBA has
been established, the principal value has not been finalized. However, the
amount of the TBA commitment will not fluctuate more than 1.0% from the
principal amount. These Funds hold, and maintain until the settlement date, cash
or liquid securities in an amount sufficient to meet the purchase price. TBA
commitments may be considered securities in themselves, and involve a risk of
loss if the value of the security to be purchased declines prior to the
settlement date, and such risk is in addition to the risk of decline in the
value of these Funds' other assets. These contracts also present a risk from the
potential inability of counterparties to meet their contractual obligations.
During the period prior to settlement, these Funds will not be entitled to
accrue interest and/or receive principal payments. Unsettled TBA commitments are
valued at the current market value of the underlying securities, generally
according to the procedures described under "Security Valuation" above. These
Funds may dispose of a commitment prior to settlement if the Fund's advisor
deems it appropriate to do so. Upon settlement date, these Funds may take
delivery of the securities or defer (roll) the delivery to the next month.

      G.    Futures Contracts

      The Intermediate Bond Fund may use, on a limited basis, futures contracts
to manage exposure to the bond market, and as a substitute for acquiring market
positions in securities comparable to those held by the Fund (with respect to
the portion of its portfolio that is held in cash items). Buying futures tends
to increase a fund's exposure to the underlying instrument. Selling futures
tends to decrease a fund's exposure to the underlying instrument, or hedge other
investments. Futures contracts involve, to varying degrees, credit and market
risks.

      The Fund enters into futures contracts only on exchanges or boards of
trade where the exchange or board of trade acts as the counterparty to the
transaction. Thus, credit risk on such transactions is limited to the failure of
the exchange or board of trade. Losses in value may arise from changes in the
value of the underlying instruments or from illiquidity in the secondary market
for the contracts. In addition, there is the risk that there may not be an exact
correlation between a futures contract and the underlying index.

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

      At June 30, 2006, the Intermediate Bond Fund held the following futures
contracts:


<TABLE>
<CAPTION>
                                                                                                                   Unrealized
                                                                                                                  Appreciation/
Futures Contracts                              Number of Contracts      Notional Cost      Settlement Month      (Depreciation)
-----------------                              -------------------      -------------      ----------------      --------------
Long
----
<S>                                            <C>                     <C>                 <C>                 <C>
Eurodollar Futures..............                      1,038            $    245,537,495          March 2007    $      (465,695)
Eurodollar Futures..............                         70                  16,574,247           June 2007            (38,497)
Eurodollar Futures..............                        168                  39,897,900      September 2007           (195,300)
Eurodollar Futures..............                         20                   4,732,393       December 2007             (5,143)
Eurodollar Futures..............                        310                  73,381,591          March 2008           (105,341)
Eurodollar Futures..............                        328                  77,941,000       December 2008           (471,500)
Germany Federal Republic Bonds..                         12                   1,775,778      September 2006             (7,437)
U.K. Treasury Bonds.............                          3                     609,366      September 2006             (5,380)
U.S. Treasury Bonds.............                         11                   1,172,016      September 2006              1,203
U.S. Treasury Notes 5yr.........                        960                  99,826,262      September 2006           (556,262)
                                                                                                               ----------------
                                                                                                                    (1,849,352)

Short
-----
U.S. Treasury Notes  10yr.......                      (522)                 (54,823,859)       September 2006           87,265
                                                                                                               ----------------
                                                                                                               $    (1,762,087)
                                                                                                               ================
</TABLE>


                                       58
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

      H.    Forward Foreign Currency Contracts

      The Intermediate Bond Fund and the International Equity Fund may use
forward foreign currency contracts to facilitate transactions in foreign
securities or as a hedge against the foreign currency exposure of either
specific transactions or portfolio positions. When entering into a forward
foreign currency contract, the Fund agrees to receive or deliver a fixed
quantity of foreign currency for an agreed-upon price on an agreed-upon future
date. Such contracts are valued based upon the difference in the forward
exchange rates at the dates of entry into the contracts and the forward rates at
the reporting date, and any resulting unrealized gains or losses are recorded in
the Fund's financial statements. The Fund records realized gains or losses at
the time the forward contract is extinguished by entry into a closing
transaction or by delivery of the currency. Risks in foreign currency contracts
arise from the possible inability of counterparties to meet the contracts' terms
and from movements in currency values. As of June 30, 2006, the Intermediate
Bond Fund held the following forward foreign currency contracts:

<TABLE>
<CAPTION>
                                                                                         Unrealized
                                Principal Amount                        Settlement      Appreciation/
Type         Currency          Covered by Contract   US Dollar Cost        Date        (Depreciation)
----         -------------     -------------------   --------------     ----------     --------------
<S>          <C>               <C>                   <C>                <C>            <C>
Purchased    Euro                        2,927,000    $   3,683,366      07/20/06      $       62,282
Sold         Euro                          105,000          132,291      07/20/06              (2,077)
Purchased    Euro                          754,000          970,262      07/31/06              (4,613)
Sold         Euro                        5,165,000        6,654,070      07/31/06              39,245
Purchased    Japanese Yen               11,137,000           97,581      08/15/06                 332
Sold         Japanese Yen              546,774,000        4,790,968      08/15/06             (16,057)
                                                                                       --------------
                                                                                       $       79,112
                                                                                       ==============
</TABLE>

      I.    Interest Rate Swap Contracts

      The Intermediate Bond Fund may invest in swap contracts. A swap is an
agreement to exchange the return generated by one instrument for the return
generated by another instrument. The Fund uses interest rate swap contracts to
manage its exposure to interest rates. Interest rate swap contracts typically
represent the exchange of commitments to make variable rate and fixed rate
payments with respect to a notional amount of principal. Swap contracts may have
a term of one to ten years, but typically require periodic interim settlement in
cash, at which time the specified variable interest rate is reset for the next
settlement period. During the period that the swap contract is open, the
contract is marked-to-market as the net amount due to or from the Fund in
accordance with the terms of the contract based on the closing level of the
interest accrual through valuation date. Changes in the value of swap contracts
are recorded as unrealized gains or losses. Periodic cash settlements on
interest rate swaps are recorded as adjustments to 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 Advisor to the Fund. The Fund
bears the market risk arising from any change in interest rates.


                                       59
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements


      At June 30, 2006, the Intermediate Bond Fund held the following interest
rate swap contracts:

<TABLE>
<CAPTION>
                                                                     Rate Type
                                                                                             Unrealized
     Notional               Swap          Termination                                       Appreciation
      Amount            Counterparty         Date          Floating Rate      Fixed Rate   (Depreciation)
      ------            ------------         ----          -------------      ----------   --------------
<S>                 <C>                  <C>            <C>                   <C>          <C>
    7,000,000 USD   Bank of America (a)   12/20/2016    3 Month USD LIBOR       5.00%      $      (85,351)
   24,400,000 USD   Lehman Brothers (b)   12/20/2016    3 Month USD LIBOR       5.00%            (303,960)
    6,800,000 EUR   Morgan Stanley (a)    06/16/2014    6 Month EUR LIBOR       5.00%             272,556
  260,000,000 JPY   Merrill Lynch (b)     12/15/2015    6 Month JPY LIBOR       2.00%              20,352
  110,000,000 JPY   Barclays (b)          12/15/2015    6 Month JPY LIBOR       2.00%               9,350
   26,000,000 USD   UBS (a)               12/20/2008    3 Month USD LIBOR       5.00%            (27,478)
      400,000 EUR   UBS (a)               10/15/2010        CPI-France          2.1455%              (727)
   20,000,000 USD   UBS (b)               12/20/2011    3 Month USD LIBOR       5.00%             175,419)
   18,300,000 USD   Morgan Stanley (b)    12/20/2036    3 Month USD LIBOR       5.00%            (156,132)
                                                                                           --------------
                                                                                           $      (95,971)
                                                                                           ---------------
</TABLE>

(a)   Fund receives the fixed rate and pays the floating rate.
(b)   Fund receives the floating rate and pays the fixed rate.

      J.    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 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.


                                       60
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

      Entering into option and swaption contracts involves, to varying degrees,
the elements of credit, market and interest rate risk in excess of the amounts
reported in the Statement of Assets and Liabilities. 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.

      A summary of the written call options and swaptions for the six month
period ended June 30, 2006 is as follows:

<TABLE>
<CAPTION>
Written Call Option/Swaption Contracts              Number of Contracts          Premium
--------------------------------------               ------------------    ------------------
<S>                                                  <C>                   <C>
Outstanding, beginning of year ...................                  605    $           92,959
                                                     ==================    ==================
Options written ..................................                   --                    --
Options exercised ................................                   --                    --
Options expired ..................................                 (605)              (92,959)
Options closed ...................................                   --                    --
                                                     ------------------    ------------------
Outstanding, end of period .......................                   --    $               --
                                                     ==================    ==================
</TABLE>

      At June 30, 2006, the Fund did not hold any written call or written put
option contracts.

      K.    Use of Estimates

      The preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.

      L.    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.

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.

      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.


                                       61
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

<TABLE>
<CAPTION>
                                                                                           Fee Rate Range
Investment Advisor                                                                        Highest to Lowest
------------------                                                                        -----------------
<S>                                                                                         <C>
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 .60%
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 (Small-Cap Equity) ........................               .90% to .70%
* Subject to a 5% reduction based on aggregate fees.
</TABLE>

<TABLE>
<CAPTION>
                                                                                       Fees for the
                                                                                  Six Month Period Ended
Investment Advisor                                                                    June 30, 2006
------------------                                                                    -------------
<S>                                                                                    <C>
AllianceBernstein L.P. (Large-Cap Value Equity)..............................          $     386,118
Ariel Capital Management (Mid-Cap Value Equity)..............................                190,976
Capital Guardian Trust Company (Balanced)....................................                340,309
Capital Guardian Trust Company (Large-Cap Growth Equity).....................                291,716
J.P. Morgan Fleming Asset Management Limited (International Equity)..........                377,114
Pacific Investment Management Company (Intermediate Bond)....................                610,004
Philadelphia International Advisors LP (International Equity)................                276,745
RCM Capital Management LLC (Large-Cap Growth Equity).........................                148,275 (a)
T. Rowe Price Associates, Inc. (Large-Cap Growth Equity) ....................                304,943 (b)
Smith Asset Management Group, LP (Small-Cap Equity) .........................                448,816
Turner Investment Partners (Mid-Cap Growth Equity)...........................                335,418
Wellington Management Company LLP (Small-Cap Equity) ........................                606,378
                                                                                        ------------
                                                                                        $  4,316,812
</TABLE>
(a)   For the period January 1, 2006 through February 28, 2006.
(b)   For the period March 1, 2006 through June 30, 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.)

      The ARF Program fee is based on the value of Program assets and the
following annual fee rates in effect during the six month period ended June 30,
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 $843,601 for the six month period ended June
30, 2006. These fees are allocated to each Fund based on net asset value.


                                       62
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

      Effective October 1, 2005, ARF and State Street Bank agreed to adjust the
State Street Bank Program fee based upon the following schedule:


                                 Rate of State Street Bank
Value of Program Assets                 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 to participants by
CitiStreet Advisors LLC totaling $75,000 was added to the State Street Program
fee. This one-time fee will be accrued by the Funds from May 1, 2006 through
December 31, 2006.

      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 preceding year and .01% of any such assets in excess of $50 million.
The accrued reduction for the six month period ended June 30, 2006 totaled
$20,258 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 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, 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). 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                           .211%
Next $1.8 billion                            .067%
Over $2.8 billion                            .029%

      State Street Bank received program fees of $6,527,979 and trustee,
management and administration fees of $1,813,488 the six month period ended June
30, 2006.

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


                                       63
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

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:

<TABLE>
<CAPTION>
                                                                           Six Month Period
                                                                          Ended June 30, 2006
                                                          ----------------------------------------------------
                                                              Purchases                          Sales
                                                          -------------------           ----------------------
<S>                                                       <C>                           <C>
Balanced Fund........................................          $  40,494,585                  $   61,679,683
Index Equity Fund....................................             15,150,195                      26,184,248
Intermediate Bond Fund...............................             61,215,159                      22,403,603
International Equity Fund............................             57,303,545                      41,422,679
Large-Cap Growth Equity Fund.........................            329,042,671                     359,542,386
Large-Cap Value Equity Fund..........................             37,025,648                      48,383,414
Mid-Cap Growth Equity Fund...........................             84,294,930                      64,118,428
Mid-Cap Value Equity Fund............................             10,569,344                      10,765,912
Small-Cap Equity Fund................................            109,749,324                     119,067,735
Conservative Structured Portfolio Service............              8,953,637                       5,884,597
Moderate Structured Portfolio Service................             24,381,162                      15,372,018
Aggressive Structured Portfolio Service..............             19,037,801                      12,488,258
</TABLE>

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

<TABLE>
<CAPTION>
                                                                           Six Month Period
                                                                          Ended June 30, 2006
                                                          ----------------------------------------------------
                                                              Purchases                          Sales
                                                          -------------------           ----------------------
<S>                                                       <C>                           <C>

Intermediate Bond Fund..................................  $       694,739,940           $          708,539,477
</TABLE>


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. 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


                                       64
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

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.

      At June 30, 2006, the Funds' market value of securities on loan and
collateral received for securities loaned was as follows:

<TABLE>
<CAPTION>
                                                                Market Value of
Fund                                                           Loaned Securities       Collateral Value
----                                                           -----------------       ----------------
<S>                                                            <C>                     <C>
Balanced*.............................................         $      22,249,480       $     22,771,744
Intermediate Bond.....................................                88,301,111             90,123,000
International Equity..................................                37,884,694             39,765,995
Large-Cap Growth Equity ..............................                17,653,846             18,061,444
Large-Cap Value Equity................................                12,985,291             13,295,194
Mid-Cap Growth Equity.................................                26,313,621             26,986,478
Mid-Cap Value Equity..................................                 8,290,286              8,538,851
Small-Cap Equity......................................               100,913,647            103,505,561
</TABLE>

* Collateral value includes non-cash collateral State Street Bank received in
lieu of cash for securities on loan. All non-cash collateral held at June 30,
2006 was in the form of U.S. Government Treasury Obligations in amounts as
follows:

                                                         Non-Cash
Fund                                                 Collateral Value
----                                                 ----------------
Balanced............                                     $ 3,776


      Non-cash collateral received for securities on loan is held in a
segregated account by the lending agent. 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.


                                       65
<PAGE>

         American Bar Association Members/State Street Collective Trust

                     Unaudited Notes to Financial Statements

7.    Subsequent Event

      Effective on or about August 1, 2006, State Street expects to offer five
Retirement Date Funds as investment options under the Program. Upon
establishment of the Retirement Date Funds, State Street Bank will be paid a fee
for its management of the assets in the Retirement Date Funds at the annual rate
of 0.10% of the assets of the Retirement Date Funds.

      Effective August 1, 2006, the trust, management and administration fee
payable to State Street Bank and described in Note 3 will be increased as
follows:

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, a one-time project fee related to the
establishment and offering of the Retirement Date Funds of $400,000 will be
added to the Program fee payable as described in Note 3. The fee will be accrued
over a period beginning August 1, 2006 through December 31, 2006.


                                       66
<PAGE>

Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS.

Stable Asset Return Fund

      The Stable Asset Return Fund invests primarily in investment contracts
issued by insurance companies, banks or other financial institutions. The
Stable Asset Return Fund also invests in high quality money market
instruments, including obligations of the United States government, notes,
bonds and similar debt instruments of corporations, commercial paper,
certificates of deposit and time deposits, bankers' acceptances, variable and
indexed notes and repurchase agreements.

      For the quarter ended June 30, 2006, the Stable Asset Return Fund
experienced a total return, net of expenses, of 1.00%. By comparison, a
combination of the Ryan Labs Three Year GIC Index and the iMoneyNet MFR Prime
Institutional Money Market Fund Average, weighted 70%/30%, respectively,
produced an investment record of 0.98% for the same period. For the six months
ended June 30, 2006, the Fund experienced a total return, net of expenses, of
1.99%, compared to an investment record of 1.89% for the combination benchmark
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 quarter ended June 30, 2006. During the quarter, the general level of
interest rates continued to rise and the yield curve remained relatively flat
with just a slight inversion. Trades for the quarter consisted primarily of
buying commercial mortgage-backed securities as well as investments in
seasoned hybrid adjustable rate mortgage-backed securities, continuing the
theme of the additional value the market is placing on their future conversion
to a floating rate instrument in a rising interest rate environment.
Guaranteed investment contracts offered very little value relative to other
market sectors. Overall, the Fund is positioned in anticipation of yield curve
steepening in the second half of 2006. The Federal Open Market Committee
("FOMC") continued to raise the Federal Funds rate during the quarter,
increasing the rate by 25 basis points on both May 10th and June 29th to bring
the rate to 5.25%. Throughout the quarter, short term interest rate movements
were volatile due to mixed messages from the FOMC and economic data indicating
varying levels of strength or weakness. The FOMC's statement at its June 29th
meeting focused on data dependency, so continued volatility is expected during
the third quarter. Floating rate securities remain a core cash investment.

      The Stable Asset Return Fund outperformed the combination benchmark for
the six month period ended June 30, 2006. The general level of interest rates
continued to rise and the yield curve remained relatively flat with just a
slight inversion. Trades year-to-date continue to consist primarily of buying
commercial mortgage-backed securities as well as investments in seasoned
hybrid adjustable rate mortgage-backed securities, continuing the theme of the
additional value the market is placing on their future conversion to a
floating rate instrument in a rising interest rate environment. Guaranteed
investment contracts offered very little value relative to other market
sectors. Overall, the Fund is positioned in anticipation of yield curve
steepening in the second half of 2006.


                                      67
<PAGE>


Intermediate Bond Fund

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

      For the quarter ended June 30, 2006, the Intermediate Bond Fund
experienced a total return, net of expenses, of (0.26)%. By comparison, the
Lehman Brothers Aggregate Bond Index produced an investment record of (0.08)%
for the same period. For the six months ended June 30, 2006, the Fund
experienced a total return, net of expenses, of (0.94)%, compared to an
investment record of (0.72)% for the Lehman Brothers Aggregate Bond Index 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.

      The Intermediate Bond Fund, which is advised by Pacific Investment
Management Company LLC, underperformed the Lehman Brothers Aggregate Bond
Index for the quarter ended June 30, 2006. Interest rate strategies detracted
from performance. An above benchmark duration negatively impacted performance
as interest rates rose across the yield curve. An emphasis on short to
intermediate maturities also negatively impacted performance as the yield
curve flattened. For sector strategies, mortgage coupon and security selection
added value although overall mortgages were flat relative to Treasuries. An
underweight to corporate bonds, which lagged Treasuries as investors' risk
appetites abated, was another positive contributor to performance. A modest
allocation to Treasury Inflation Protected Securities ("TIPS") benefited the
portfolio as real return bonds outpaced like-duration nominal bonds as most
real yields rose less than nominal yields. Modest exposure to emerging market
bonds was modestly negative for performance; reducing these holdings prior to
the downturn in emerging market bonds mitigated the impact on returns.
Exposure to the Euro and yen helped the Fund as these currencies gained
relative to the dollar.

      The Intermediate Bond Fund underperformed the Lehman Brothers Aggregate
Bond Index for the six month period ended June 30, 2006. Interest rate
strategies detracted from performance for the period. An above benchmark
duration negatively impacted performance as interest rates rose across the
yield curve during the first half of the year. An emphasis on short to
intermediate maturities also negatively impacted performance as the yield
curve flattened. An underweight to corporate bonds, which lagged Treasuries as
investors' risk appetites abated, was a positive contributor to performance
during the second quarter but this strategy was negative for the first half of
the year as corporate bonds outperformed Treasuries for the period. Modest
exposure to emerging market bonds was modestly negative for performance for
the second quarter; reducing these holdings prior to the downturn in emerging
market bonds mitigated the impact on returns for the first half of the year.
Exposure to the Euro and yen helped the Fund for the quarter and first half of
the year as these currencies gained relative to the dollar.

Balanced Fund


                                      68
<PAGE>


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

      For the quarter ended June 30, 2006, the Balanced Fund experienced a
total return, net of expenses, of (1.15)%. 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 (1.02)% for the same
period. For the six months ended June 30, 2006, the Fund experienced a total
return, net of expenses, of 1.14%, compared to an investment record of 1.38%
for the combination benchmark for the same period. The Russell 1000 Index and
the Lehman Brothers Aggregate Bond Index do not include an allowance for the
fees that an investor would pay for investing in the securities that comprise
the indices or for fund expenses.

      For the quarter ended June 30, 2006, the equity segment of the Balanced
Fund, which is advised with the assistance of Capital Guardian Trust Company,
underperformed the Russell 1000 Index. During the second quarter stock
selection benefited results, especially in the areas of industrials, consumer
discretionary and health care. The primary detractor from returns for the
quarter was the segment's substantial overweight position in information
technology stocks.

      For the quarter ended June 30, 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. Interest
rate strategies detracted from performance. An above benchmark duration
negatively impacted performance as interest rates rose across the yield curve.
An emphasis on short to intermediate maturities also negatively impacted
performance as the yield curve flattened. For sector strategies, mortgage
coupon and security selection added value although overall mortgages were flat
relative to Treasuries. An underweight to corporate bonds, which lagged
Treasuries as investors' risk appetites abated, was another positive
contributor to performance. A modest allocation to TIPS benefited the
portfolio as real return bonds outpaced like-duration nominal bonds as most
real yields rose less than nominal yields. Modest exposure to emerging market
bonds was modestly negative for performance; reducing these holdings prior to
the downturn in emerging market bonds mitigated the impact on returns.
Exposure to the Euro and yen helped the debt segment as these currencies
gained relative to the dollar.

      For the six months ended June 30, 2006, the equity segment of the
Balanced Fund, which is advised with the assistance of Capital Guardian Trust
Company, underperformed the Russell 1000 Index. For the year-to-date, stock
selection in healthcare, energy and industrials helped performance while stock
selection in financials and an overweight in information technology stocks
hurt performance.

      For the six months ended June 30, 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. Interest
rate strategies detracted from performance for the period. An above benchmark
duration negatively impacted performance as interest rates rose across the
yield curve during the first half of the year. An emphasis on short to
intermediate


                                      69
<PAGE>


maturities also negatively impacted performance as the yield curve flattened.
An underweight to corporate bonds, which lagged Treasuries as investors' risk
appetites abated, was a positive contributor to performance during the second
quarter but this strategy was negative for the first half of the year as
corporate bonds outperformed Treasuries for the period. Modest exposure to
emerging market bonds was modestly negative for performance for the second
quarter; reducing these holdings prior to the downturn in emerging market
bonds mitigated the impact on returns for the first half of the year. Exposure
to the Euro and yen helped the debt segment for the quarter and first half of
the year as these currencies gained relative to the dollar.

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 are believed to be 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 Russell 1000 stocks with a greater than average
value orientation. The remainder of the Large-Cap Value Equity Fund is
actively managed.

      For the quarter ended June 30, 2006, the Large-Cap Value Equity Fund
experienced a total return, net of expenses, of 0.49%. By comparison, the
Russell 1000 Value Index produced an investment record of 0.59% for the same
period. For the six months ended June 30, 2006, the Fund experienced a total
return, net of expenses, of 6.16%, compared to an investment record of 6.56%
for the Russell 1000 Value Index for the same period. The Russell 1000 Value
Index does not include an allowance for the fees that an investor would pay
for investing in the securities that comprise that index or for fund expenses.

      For the quarter ended June 30, 2006, the actively managed segment of the
Large-Cap Value Equity Fund, which is advised with the assistance of
AllianceBernstein L.P., underperformed the Russell 1000 Value Index. Relative
performance was helped by stock selection within the consumer growth sector,
particularly positions in Comcast and CBS. Comcast benefited from strength in
its internet-based phone service rollout and subscription growth for high
speed internet. Meanwhile, shares of CBS rose after the company reported good
television ratings. Additionally, CBS sold Paramount Parks for a
higher-than-expected price and plans to devote the proceeds to share buybacks.
Relative returns were hurt by stock selection within the energy sector,
especially positions in Rowan, Diamond Offshore Drilling and GlobalSantaFe.
The offshore drillers pulled back from their recent strong performance as
natural gas prices fell, reflecting above-normal natural gas inventories due
to an unseasonably warm winter. Research, however, continues to suggest strong
earnings growth for offshore drillers as major oil producers are expected to
continue increasing their spending.

      The performance of the indexed segment of the Large-Cap Value Equity
Fund for the quarter ended June 30, 2006 was consistent with the Russell 1000
Value Index after taking into account expenses.


                                      70
<PAGE>


      For the six month period ended June 30, 2006, the actively managed
segment of the Large-Cap Value Equity Fund, which is advised with the
assistance of AllianceBernstein L.P., underperformed the Russell 1000 Value
Index. During the six-month time period, before fees, the segment performed in
line with its benchmark, the Russell 1000 Value Index. Stock selection within
the consumer staples and financial sectors detracted from relative returns.
Portfolio investments within the energy and consumer growth sectors, on the
other hand, added value. Chief detractors included Intel and Owens Illinois.
The underweight of outperforming Bellsouth also detracted from relative
performance. Key contributors were Corning, CSX and Marathon Oil.

      The performance of the indexed segment of the Large-Cap Value Equity
Fund for the six month period ended June 30, 2006 was consistent with the
Russell 1000 Value Index after taking into account expenses.

Large-Cap Growth Equity Fund

      The Large-Cap Growth Equity Fund invests primarily in common stocks and
other equity-type securities of companies with market 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 Russell 1000 securities with a greater than average growth orientation.
The remainder of the Large-Cap Growth Equity Fund is actively managed. The
Large-Cap Growth Equity Fund seeks to achieve, over an extended period of
time, total returns that are comparable to or superior to those attained by
broad measures of the domestic stock market.

      For the quarter ended June 30, 2006, the Large-Cap Growth Equity Fund
experienced a total return, net of expenses, of (3.56)%. By comparison, the
Russell 1000 Growth Index produced an investment record of (3.90)% for the
same period. For the six months ended June 30, 2006, the Fund experienced a
total return, net of expenses, of (0.57)%, compared to an investment record of
(0.93)% for the Russell 1000 Growth Index 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.

      The segment of the Large-Cap Growth Equity Fund which is advised with
the assistance of Capital Guardian Trust Company outperformed the Russell 1000
Growth Index for the quarter ended June 30, 2006. During the second quarter
the segment benefited from targeted holdings outside the index. Stock
selection benefited results, especially in the areas of consumer
discretionary, health care and industrials. The primary detractor from returns
for the quarter was the segment's substantial overweight position in
information technology stocks.

      The other actively segment of the Large-Cap Growth Equity Fund, which is
advised with the assistance of T. Rowe Price Associates, Inc., underperformed
the Russell 1000 Growth Index for the quarter ended June 30, 2006. Consumer
discretionary holdings (Garmin, Kohl's,


                                      71
<PAGE>


International Game Technology and Amazon.com) aided relative results on strong
stock selection, notably in household durables and multiline retail. The
telecommunication services sector showed slightly positive relative
performance. Information technology stocks (Juniper Networks and Microsoft)
declined during the period, and an overweight position in that sector
detracted from performance. Stock selection in the semiconductors and
semiconductor equipment and computers and peripherals sectors also detracted
from performance. Several holdings were hurt by concerns over SEC
investigations into potential options backdating practices. Stock selection in
the industrials and business services sector (Southwest Airlines) detracted
from relative results, as did an underweight position in the consumer staples
sector. Stock selection in the health care sector detracted with industry
weakness led by health care providers and services (UnitedHealth Group), which
declined on concerns about cost pressures related to Medicare, slowing
enrollment growth and options backdating.

      The performance of the indexed segment of the Fund for the quarter ended
June 30, 2006 was consistent with the Russell 1000 Growth Index after taking
into account expenses.

      The segment of the Large-Cap Growth Equity Fund which is advised with
the assistance of Capital Guardian Trust Company outperformed the Russell 1000
Growth Index for the six month period ended June 30, 2006. During the second
quarter the segment benefited from targeted holdings outside the index. For
the year-to-date, stock selection in healthcare and energy helped performance
while stock selection in financials and overweight in information technology
stocks hurt performance.

      The other actively managed segment of the Large-Cap Growth Equity Fund,
advised with the assistance of RCM Capital Management LLC until February 28,
2006, and thereafter with the assistance of T. Rowe Price Associates, Inc.,
underperformed the Russell 1000 Growth Index for the six month period ended
June 30, 2006. RCM outperformed during the period they advised as stock
selection added to performance. 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 and tobacco and computers and peripherals sectors aided
performance. Overweight in the internet software and services and
semiconductors sectors and underweight in the communications equipment sector
detracted from performance. Since March 1, 2006 the segment has underperformed
for the reasons noted above.

      The performance of the indexed segment of the Fund for the six month
period ended June 30, 2006 was consistent with the Russell 1000 Growth Index
after taking into account expenses.

Index Equity Fund

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


                                      72
<PAGE>


      For the quarter ended June 30, 2006, the Index Equity Fund experienced a
total return, net of expenses, of (2.09)%. By comparison, the Russell 3000
Index produced an investment record of (1.98)% for the same period. For the
six months ended June 30, 2006, the Fund experienced a total return, net of
expenses, of 2.98%, compared to an investment record of 3.23% for the Russell
3000 Index 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 quarter was consistent
with the Russell 3000 Index after taking into account expenses.

      The performance of the Index Equity Fund for the six month period was
consistent with the Russell 3000 Index after taking into account expenses.

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
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 Investment Advisor consider undervalued.

      For the quarter ended June 30, 2006, the Mid-Cap Value Equity Fund,
which is advised with the assistance of Ariel Capital Management, LLC,
experienced a total return, net of expenses, of (2.96)%. By comparison, the
Russell Mid-Cap Value Index produced an investment record of (0.56)% for the
same period. For the six months ended June 30, 2006, the Fund experienced a
total return, net of expenses, of (0.47)%, compared to an investment record of
7.02% for the Russell Mid-Cap Value Index for the same period. The Russell
Mid-Cap Value Index does not include an allowance for the fees that an
investor would pay for investing in the securities that comprise that index or
for fund expenses.

      The Mid-Cap Value Equity Fund underperformed the Russell Mid-Cap Value
Index for the quarter ended June 30, 2006. During the quarter, the portfolio
was positively impacted by some holdings whose management made key decisions
to unlock shareholder value. Notably, one of the most controversial names,
Tribune Co. shares rose 19.0% as the result of plans to repurchase 25% of its
outstanding stock by borrowing $2 billion and selling off non-core assets. To
this end, Tribune has already sold television stations in Atlanta and Albany.
Some of the Fund's holdings had short-term setbacks that negatively impacted
performance. Career Education Corp.'s shares fell 20.8% on lower earnings
driven by an enrollment slowdown. Declining enrollment numbers should reverse
once regulatory issues overshadowing the company are resolved. Accordingly,
the position was increased on the stock's recent weakness.

      The Mid-Cap Value Equity Fund underperformed the Russell Mid-Cap Value
Index for the six month period ended June 30, 2006. During the first six
months of 2006, the portfolio was


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<PAGE>


positively impacted by several holdings. Notably, ARAMARK Corp. shares traded
up 19.7% after the company's Chairman and Chief Executive Officer submitted a
proposal to take the company private at a price of $32 per share. Conversely,
some of the holdings had short-term setbacks that hurt performance. Carnival
Corp.'s stock declined 21.1% as a result of lowered earnings guidance due to
fewer bookings, higher fuel costs and a change in accounting procedures.
Despite short-term setbacks, due to continued faith in the brand and in
Carnival's leadership, the position was increased based on the stock's recent
weakness.

Mid-Cap Growth Equity Fund

      The Mid-Cap Growth Equity Fund invests primarily in common stocks and
other equity-type securities of companies with market capitalizations between
$1 billion and $12 billion at the time of investment. The Fund emphasizes
sectors and securities that State Street and the Investment Advisor believe
have strong earnings growth potential. The Mid-Cap Growth Equity Fund seeks to
achieve, over an extended period of time, total returns comparable to or
superior to those attained by broad measures of the domestic stock market.

      For the quarter ended June 30, 2006, the Mid-Cap Growth Equity Fund,
which is advised by Turner Investment Partners, experienced a total return,
net of expenses, of (6.83)%. By comparison, the Russell Mid-Cap Growth Index
produced an investment record of (4.69)% for the same period. For the six
months ended June 30, 2006, the Fund experienced a total return, net of
expenses, of 4.28%, compared to an investment record of 2.56% for the Russell
Mid-Cap Growth Index 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 Mid-Cap Growth Equity Fund underperformed the Russell Mid-Cap Growth
Index for the quarter ended June 30, 2006. During the quarter, stock selection
within the portfolio was strongest in the producer durable (+0.6% vs. the
benchmark) and consumer staples (+0.5% vs. the benchmark) sectors, while
technology (-1.8% vs. the benchmark) and healthcare (-0.7% vs. the benchmark)
detracted from performance. While strong stock selection within producer
durables was broad based, holdings in the technology equipment industry were
the leading contributors to portfolio performance. Varian Semiconductor was up
16% while Crown Castle International Corp. gained 22% during the quarter.
Varian, a producer of ion implantation equipment used in the manufacture of
semiconductors, has been executing well in Japan and expects to expand
operations in the area. Crown Castle International Corp., which leases space
on its towers to wireless companies, saw a significant upswing driven by the
anticipated FCC spectrum auction this summer.

      Consumer staples was led by Hansen Natural Corp. (1.5% weighting), which
gained an astonishing 51% during the period, as its Monster energy brand
drinks continue to take market share and as Red Bull continues to lose. The
fundamentals remain strong for the energy drinks category and Hansen.

      In technology, questions regarding corporate stock option backdating
impacted several of the Fund's large holdings, including F5 Networks, which
fell 26%, Openwave Systems, which


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<PAGE>


was down 44%, and JDS Uniphase, which lost 39%. F5 Networks, a provider of
application delivery networking, was down for the quarter due to the option
back dating dilemma and intensifying competitive landscape. JDS Uniphase, a
provider of communications test and measurement solutions and optical
products, announced June guidance slightly below estimates due to various one
time factors. General business trends appear intact. Exposure to F5 Networks
and JDS Uniphase was reduced amid the stock option concerns. However, the Fund
continues to hold the stocks based on some of the positive long-term growth
prospects mentioned above.

      The healthcare sector was the other significant relative detractor for
the second quarter. Management service providers hurt performance. Humana Inc.
lost 21% of its value during the holding period and Cerner Corp. gave back
21%. Humana, a health benefits company, traded down for the quarter given
heightened scrutiny around pricing in the managed care sector combined with
execution risk. Cerner, a supplier of healthcare information technology,
posted disappointing backlog numbers during the most recent earnings release.

      The Mid-Cap Growth Equity Fund outperformed the Russell Mid-Cap Growth
Index for the six month period ended June 30, 2006. For the year-to-date
period ending June 30th, the Fund outperformed the benchmark. When analyzing
the Fund's performance and attribution combining the first and second quarters
of this year, the producer durables, consumer staples and financial services
sectors contributed the most to performance versus the benchmark while the
healthcare and autos and transportation sectors detracted from the relative
performance.

      Within producer durables, performance contribution was broad-based among
industries. Mining equipment manufacturer Joy Global Inc. advanced 31% while
electronic instrument company Itron Inc. was up 48% for the six-month period.
The consumer staples sector as a group advanced 41% during the first half of
the year, with much of this advance led by Hansen Natural Corp. (+142%).
Holdings in the financial services sector outpaced that of the index: 6.6% vs.
3.1%. Much of the sector's performance was driven by asset sensitive companies
such as CB Richard Ellis Group Inc. (+27%) and Affiliated Managers Group Inc.
(+9%).

      Weighing on performance for the year-to-date period was security
selection within the healthcare sector (-3.9% for the portfolio vs. 0.6% vs.
the benchmark), which represented 15% of the portfolio on average. Health
services companies struggled the most, including Express Scripts Inc., Cerner
Corp. and Omnicare Inc. Although autos and transportation posted a healthy
return of 11% and contributed positively to the Fund, the Fund's 3% position
in the sector lagged the benchmark and eroded 0.3% of relative performance.

Small-Cap Equity Fund

      The Small-Cap Equity Fund invests primarily in equity securities of
companies with market capitalizations of $2.5 billion or less at the time of
investment. These companies may include new companies and companies that may
benefit from new technologies, new product or service development or
management changes. The Small-Cap Equity Fund seeks to achieve, over an
extended period of time, total returns comparable to or superior to those
attained by broad measures of the domestic stock market. A segment of the Fund
is invested to replicate the


                                      75
<PAGE>


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.

      For the quarter ended June 30, 2006, the Small-Cap Equity Fund
experienced a total return, net of expenses, of (7.56)%. By comparison, the
Russell 2000 Index produced an investment record of (5.02)% for the same
period. For the six months ended June 30, 2006, the Fund experienced a total
return, net of expenses, of 3.38%, compared to an investment record of 8.21%
for the Russell 2000 Index 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
Wellington Asset Management Company, LLP underperformed the Russell 2000 Index
for the quarter ended June 30, 2006. A bottom-up investment approach was the
primary driver behind negative performance in the second quarter. Stock
selection suffered across most sectors, with the exception of the utilities,
telecommunication services and health care sectors. Below is a summary of key
performance drivers during the second quarter.

      Security selection in the information technology sector detracted from
relative performance, due in part to holdings such as Sapient Corporation and
Plantronics Inc. The holding in Sapient declined as preliminary first quarter
earnings results were below expectations. However, Sapient maintains strong
fundamentals and demand is healthy, so positions were increased during the
second quarter. Plantronics, like Sapient, announced lower-than-expected
earnings. The consumer discretionary sector also performed poorly due to
security selection. The segment's overweight position in underperforming
stocks such as Fleetwood Enterprises detracted from performance. Fleetwood
Enterprises, which produces recreational vehicles, divested its non-core
assets and is undergoing cost restructuring, which hurt the stock in the
second quarter. However, belief is that the stock will bounce back and the
holding will be maintained. Stock selection in the utilities sector was
positive, primarily due to the strong performance of non-benchmark holding UGI
Corp, a distributor of propane and butane. UGI announced earlier in the year
that it would acquire PG Energy, a gas distributor, which pushed the stock
price up during the second quarter. The segment's overweight position in El
Paso Electric, a public utility company, also contributed to performance.
Fundamentals and retail growth for El Paso remain strong due to customer
growth at the utility and low cost wholesale generator. Despite negative
absolute returns, relative performance in the health care sector was positive
in the second quarter, attributable to strong returns from holdings in
Magellan Health Services and Diagnostic Products. Magellan performed well as a
result of contract wins and the successful acquisition of National Imaging
Associates, a radiology benefit management service company. Diagnostic
Products' share price increased significantly upon the announcement that the
company would be acquired by Siemens. The segment benefited from not holding
many of the benchmark names that declined across the telecommunication
services sector. At the same time, the segment held an overweight position in
long-distance carrier General Communications, which contributed significantly
to performance. General Communications' consumer revenues improved during the
second quarter, driven by an increase in video and wireless penetration.


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<PAGE>


      The portion of the Small-Cap Equity Fund advised with the assistance of
Smith Asset Management Group, L.P. underperformed the Russell 2000 Index for
the quarter ended June 30, 2006. Stock selection was good within the energy
and healthcare sectors in the quarter as energy stocks returned 11.1% versus
4.0% for the benchmark, and healthcare stock returns were -7.5% vs. -9.2%. For
the quarter the energy and utility sectors were the only positive returning
sectors. Performance for the quarter was driven predominantly by negative
stock selection within 5 sectors compared to the benchmark: consumer
discretionary (-15.6% vs. -6.8%), consumer staples (-26.5% vs. -1.0%),
financials (-5.2% vs. -1.7%), information technology (-13.0% vs. -10.5%), and
materials (-36.4% vs. -5.1%). The segment's strategy is to invest in companies
with higher expected growth, better quality and governance, and lower
price-to-earnings ratios than the companies in its benchmark, but these
qualities were not rewarded in the cautious climate of the second quarter. The
segment's strategy continued to have strong positive earnings surprise
prediction. Of the 91 companies reporting surprises during the quarter, 84% of
them exceeded what had been predicted by analysts versus only 63% for the
Russell 2000 Index. Four of the best performing stocks for the quarter were
Celadon Group (51.0%), Universal Compression Holdings (24.3%), OMI Corp.
(20.7%) and NS Group (19.7%). Celadon Group is one of North America's largest
truck load carriers in terms of revenues with operations in the United States,
Mexico and Canada. The company has reported better than expected earnings for
nine quarters in a row. Universal Compression Holdings is the second largest
natural gas compression services company in the world. On May 9 the company
reported earnings for the March quarter of $0.68, 10% better than expected,
and raised guidance for the June quarter and full year. OMI Corp. provides
seaborne transportation services for crude oil and petroleum products in the
international shipping markets. The company reported 6% better earning than
expected for the March quarter on April 24, and raised its guidance for the
June quarter and full year on June 15 due to continued firm tanker day rates.
NS Group manufactures and markets seamless and welded tubular steel products
which are used primarily in the drilling for and production of oil and gas.
March quarter earnings were 27% above expectations, and estimates have risen
sharply for the June quarter and full year. Neoware Systems (-60.2%), Jos. A.
Bank Clothiers (-44.9%), Omnivision Technologies (-30.1%) and Headwaters, Inc.
(-27.5%) were the four largest contributors to poor stock performance in the
quarter. Neoware Systems, Jos. A. Bank, and Headwaters were sold. Omnivision
is still held as it has not violated the sell discipline. In fact, Omnivision
reported better than expected April quarter earnings in mid-June and raised
revenue guidance for the July quarter. The segment's energy weighting grew
from 8.7% to 9.5% which resulted in a 2.6% over-weighting versus the benchmark
weight of 6.9% at May 31. The June 30 reconstitution of the Russell 2000 Index
resulted in a weighting of 5.7% for energy. Financial exposure was increased
from 14.0% to 17.9%. However, the segment is still underweight in this sector
as the index weight at June 30 of 22.6% is up from 20.6% at May 31. Materials
were reduced from 2.3% to 0.2% compared the new index weight of 4.4%. Staples
declined by 1.7% to 1.0%. The new index weight for staples was unchanged at
2.8%. Other sector changes within the segment were relatively small. Sector
weight changes of note in the Russell 2000 Index not already mentioned are a
drop for industrials from 15.9% to 14.2% and an increase in the weight of
consumer discretionary stocks from 13.7% to 15.6%.

      The performance of the indexed segment of the Small-Cap Equity Fund for
the quarter ended June 30, 2006 underperformed the Russell 2000 Index due to
trading during the reconstitution of index.


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<PAGE>


      The portion of the Small-Cap Equity Fund advised with the assistance of
Wellington Asset Management Company, LLP underperformed the Russell 2000 Index
for the six month period ended June 30, 2006. A bottom-up investment approach
produced weak relative results in the first six months of the year, with
underperformance in eight of the ten broad market sectors. Poor stock
selection in the information technology and materials sectors detracted from
performance relative to the Russell 2000 Index. Within the technology sector,
non-benchmark holding Red Hat detracted significantly from performance. Red
Hat announced early in the second quarter its planned acquisition of JBoss.
Due to net operating losses during the quarter, investor sentiment toward Red
Hat was negative; however, the company has a strong pipeline with innovative
ideas which are expected to accelerate revenue growth. Security selection
within the materials sector detracted from performance year-to-date, due in
large part to the segment's overweight position in Cleveland-Cliffs, an iron
ore pellet producer. The decrease in the price of iron ore pellets directly
contributed to deteriorating earnings during the first half of the year. The
top-performing sectors year-to-date were consumer staples and health care. The
consumer staples sector contributed to returns due to strong security
selection. In particular, the segment's holding in Wild Oats Markets, which
exceeded earnings forecasts and has implemented innovative in-store marketing
techniques, contributed significantly to performance. Year-to-date, the health
care sector also aided relative results, helped by overweights in strong
performers like Magellan Health Services and WellCare Health Plan.

      The portion of the Small-Cap Equity Fund advised with the assistance of
Smith Asset Management Group, L.P. underperformed the Russell 2000 Index for
the six month period ended June 30, 2006. Performance attribution for the
year-to-date period shows roughly one-third of the negative excess return due
to industry group weighting variances and higher price to book relative to the
benchmark. In addition, the portfolio has suffered from a severe negative
performance pattern associated with higher growth companies.

      The indexed segment of the Small-Cap Equity Fund underperformed the
Russell 2000 Index for the six months ended June 30, 2006 due to trading
during the reconstitution of the index.

International Equity Fund

      The International Equity Fund's investment objective is to seek
long-term growth of capital through investment primarily in common stocks of
established non-U.S. companies. The Fund intends to diversify investments
broadly among countries of the Far East and Europe, as well as in South
Africa, Australia, Canada and other areas. The International Equity Fund seeks
to achieve, over an extended period of time, total returns comparable to or
superior to broad measures of the international (non-U.S.) stock market.

      For the quarter ended June 30, 2006, the International Equity Fund
experienced a total return, net of expenses, of (0.22)%. By comparison, the
Morgan Stanley Capital International All-Country World Ex-U.S. Free Index (the
"MSCI AC World Ex-U.S. Index") produced an investment record of 0.00% for the
same period. For the six months ended June 30, 2006, the Fund experienced a
total return, net of expenses, of 10.30%, compared to an investment record


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<PAGE>


of 9.68% for the MSCI AC World Ex-U.S. Index 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 with the assistance
of JPMorgan Asset Management (London) Limited slightly outperformed the MSCI
AC World Ex-U.S. Index for the quarter ended June 30, 2006. Emerging markets
and continental Europe contributed positively to performance. In addition to
being underweight the emerging markets (which underwent a severe correction
during the quarter), a number of holdings defied market pressures and posted
gains. Most notable among these were China Life Insurance and Shinsagae (a
Korean retailer). Meanwhile, a strong showing in continental Europe was
spearheaded by energy and materials companies, with ENI, Total and Lafarge
leading the charge. In contrast, stock selection in the United Kingdom and
Japan detracted from performance. Overweight positions in Wolseley (a
distributor of plumbing and heating fixtures) and Smith & Nephew (a maker of
orthopedic products) combined with a lack of exposure to AstraZeneca (a drug
company) undermined performance in the United Kingdom. In Japan, Nitto Denko
(a chemical manufacturer), Nidec (a maker of miniature motors, most notably
used in disk drives and iPods) and Nikko Cordial (a brokerage/investment
banking house) were the main detractors.

      The segment of the International Equity Fund advised with the assistance
of Philadelphia International Advisors, LP slightly outperformed the MSCI AC
World Ex-U.S. Index for the quarter ended June 30, 2006. Japan was the key
positive for the quarter on the back of strong stock selection as well as an
underweight position. The portfolio's underweight position in emerging markets
also contributed to the relative returns versus the index. On a sector basis,
stock selection was particularly strong in the information technology and
financial sectors.

      The segment of the International Equity Fund advised by JP Morgan Asset
Management (London) Limited outperformed the MSCI AC World Ex-U.S. Index for
the six month period ended June 30, 2006. Solid stock selection in emerging
markets and the Pacific basin combined with an underweight position in Japan
have accounted for much of the out-performance. Among emerging market
holdings, China Life Insurance, Petrobras (a Brazilian oil company) and
Telekom Indonesia have been exemplary performers while in the Pacific Basin,
BHP Billiton (an Australian mining company) led the pack. In contrast, stock
selection in the United Kingdom and North America has lagged. In the United
Kingdom, holdings fared poorly in the health care sector, where the segment
lacked exposure to AstraZeneca and was overweight in Smith & Nephew. In North
America, Talisman Energy and Shoppers Drug Mart (a Canadian retailer) weighed
down performance.

      The segment of the International Equity Fund advised by Philadelphia
International Advisors, L.P. outperformed the MSCI AC World Ex-U.S. Index for
the six month period ended June 30, 2006. Year-to-date, robust mergers and
acquisitions activity within the segment combined with solid stock picking
within the Japanese market led the segment to outperform the index by a nice
margin.

Structured Portfolio Service


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<PAGE>


      The portfolios of the Structured Portfolio Service invest in the Funds
described above according to conservative, moderate and aggressive
allocations. Funds in the Conservative Portfolio are allocated as follows:
Stable Asset Return Fund, 30%; Intermediate Bond Fund, 35%; Large-Cap Value
Equity Fund, 7%; Large-Cap Growth Equity Fund, 7%; Index Equity Fund, 14%; and
International Equity Fund, 7%. Funds in the Moderate Portfolio are allocated
as follows: Stable Asset Return Fund 10%; Intermediate Bond Fund, 30%;
Large-Cap Value Equity Fund, 9%; Large-Cap Growth Equity Fund, 9%; Index
Equity Fund, 23%; Mid-Cap Value Equity Fund, 2%; Mid-Cap Growth Equity Fund,
2%; and International Equity Fund, 15%. Funds in the Aggressive Portfolio are
allocated as follows: Intermediate Bond Fund, 15%; Large-Cap Value Equity
Fund, 13%; Large-Cap Growth Equity Fund, 13%; Index Equity Fund, 30%; Mid-Cap
Value Equity Fund, 3%; Mid-Cap Growth Equity Fund, 3%; Small-Cap Equity Fund,
3%; and International Equity Fund, 20%.

      For the quarter ended June 30, 2006, the Structured Portfolio Service
experienced a total return, net of expenses, of (0.29)% for the Conservative
Portfolio, (0.97)% for the Moderate Portfolio, and (1.61)% for the Aggressive
Portfolio.

      For the six month period ended June 30, 2006, the Structured Portfolio
Service experienced a total return, net of expenses, of 1.84% for the
Conservative Portfolio, 2.75% for the Moderate Portfolio, and 3.74% for the
Aggressive Portfolio.

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


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<PAGE>


Item 4. 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 June 30, 2006. However, an error made in preparing one of the
Collective Trust's funds financial highlight data was not timely detected by
management in its review of preliminary drafts. The Collective Trust
investigated the error and determined the review control scheduled to be
executed was not performed.

      Internal Control Over Financial Reporting: No change in the Collective
Trust's internal control over financial reporting occurred during the
Collective Trust's last fiscal quarter ended June 30, 2006 that has materially
affected, or is reasonably likely to materially affect, the Collective Trust's
internal control over financial reporting. However, in response to the error
noted above the Collective Trust does anticipate changes in internal controls
for the fiscal quarter ending September 30, 2006 to mitigate occurrence of
data input error in preparation of the Collective Trust's financial
statements.


PART II. OTHER INFORMATION.

Item 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

      During the quarter ended June 30, 2006, the Collective Trust issued an
aggregate of approximately $168,000,000 in unregistered Units. Such Units were
offered and sold at their net asset value in reliance upon the exemption from
registration under Rule 180 promulgated under the Securities Act of 1933
relating to exemption from registration of interests and participations issued
in connection with certain H.R. 10 plans. Proceeds received by the Collective
Trust from the sale or transfer of the Units are applied to the applicable Fund
or portfolio of the Structured Portfolio Service.

Item 6. EXHIBITS


31.1* Certification of Philip J. 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.


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<PAGE>

32.1* Certification of Philip J. 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.


                                      82

<PAGE>

                                  SIGNATURES

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


                                    AMERICAN BAR ASSOCIATION MEMBERS/
                                    STATE STREET COLLECTIVE TRUST


August 11, 2006                     By:   /s/ Philip J. Lussier
                                          ----------------------
                                          Name:  Philip J. Lussier
                                          Title: Chief Executive Officer



August 11, 2006                     By:   /s/ Beth M. Halberstadt
                                          ------------------------
                                          Name:  Beth M. Halberstadt
                                          Title: Chief Financial Officer

                                      83

<PAGE>

EXHIBIT INDEX

31.1* Certification of Philip J. 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 J. 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.


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