-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, LSwEY7rJNDgS8+OuCWwm928HwUIRjPTGXXNfmSLxnJAnhKIDIiZY5ZTFvzx0J6Fg Aw4yedNVFOgQknHt/ghjpQ== 0000950136-96-000222.txt : 19960502 0000950136-96-000222.hdr.sgml : 19960502 ACCESSION NUMBER: 0000950136-96-000222 CONFORMED SUBMISSION TYPE: 485BPOS PUBLIC DOCUMENT COUNT: 10 FILED AS OF DATE: 19960430 EFFECTIVENESS DATE: 19960430 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES /NY/ CENTRAL INDEX KEY: 0000727920 STANDARD INDUSTRIAL CLASSIFICATION: INSURANCE AGENTS BROKERS & SERVICES [6411] IRS NUMBER: 135570651 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 485BPOS SEC ACT: 1933 Act SEC FILE NUMBER: 033-75616 FILM NUMBER: 96554166 BUSINESS ADDRESS: STREET 1: 787 SEVENTH AVE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125541234 485BPOS 1 POST-EFFECTIVE AMENDMENT AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION ON APRIL 30, 1996 ============================================================================== REGISTRATION NO. 33-75616 SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 ---------------- FORM N-4 REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 [ ] Pre-Effective Amendment No. [ ] Post-Effective Amendment No. 3 [X] AND/OR REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 [ ] Amendment No. [ ] (CHECK THE APPROPRIATE BOX OR BOXES) ---------------- THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES (EXACT NAME OF REGISTRANT) ---------------- THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES (NAME OF DEPOSITOR) 787 SEVENTH AVENUE, NEW YORK, NEW YORK 10019 (ADDRESS OF INSURANCE COMPANY'S PRINCIPAL EXECUTIVE OFFICES) DEPOSITOR'S TELEPHONE NUMBER, INCLUDING AREA CODE: (212) 554-1272 ---------------- ANTHONY A. DREYSPOOL VICE PRESIDENT AND SENIOR COUNSEL THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES 787 SEVENTH AVENUE, NEW YORK, NEW YORK 10019 (NAME AND ADDRESS OF AGENT FOR SERVICE) ---------------- PLEASE SEND COPIES OF ALL COMMUNICATIONS TO: PETER E. PANARITES JOHN R. TOWERS Freedman, Levy, Kroll & Simonds Senior Vice President 1050 Connecticut Avenue, N.W., Suite 825 and General Counsel Washington, D.C. 20036 State Street Bank and Trust Company 225 Franklin Street Boston, Massachusetts 02110 ---------------- STATE STREET BANK AND TRUST COMPANY, IN ITS CAPACITY AS SOLE TRUSTEE, HAS SIGNED THIS REGISTRATION STATEMENT ON BEHALF OF CERTAIN LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS DESCRIBED HEREIN. Approximate Date of Proposed Public Offering: Continuous It is proposed that the filing will become effective (check appropriate box) [ ] immediately upon filing pursuant to paragraph (b) of Rule 485 [X] on May 1, 1996 pursuant to paragraph (b) of Rule 485 [ ] 60 days after filing pursuant to paragraph (a)(1) of Rule 485 [ ] on May 1, 1996 pursuant to paragraph (a)(1) of Rule 485 [ ] 75 days after filing pursuant to paragraph (a)(2) [ ] on (date) pursuant to paragraph (a)(3) of Rule 485. If appropriate, check the following box: [ ] this post-effective amendment designates a new effective date for previously filed post-effective amendment. ============================================================================== CROSS REFERENCE SHEET SHOWING LOCATION OF INFORMATION IN PROSPECTUS
FORM N-4 ITEM PROSPECTUS CAPTION 1. Cover Page ....................................... Cover Page 2. Definitions ...................................... Not Applicable 3. Synopsis ......................................... Summary 4. Condensed Financial Information .................. Condensed Financial Information 5. General Description of Registrant, Depositor, and Portfolio Companies ........................ Investment Options; Equitable Life and State Street 6. Deductions and Expenses .......................... Deductions and Charges; Charges Based on Amounts Invested in the Program; Plan and Transaction Expenses; Deductions and Charges Related to the Lifecycle Fund Group Trusts and Underlying Funds 7. General Description of Variable Annuity Contracts ...................................... The Program 8. Annuity Period ................................... The Program--Benefit Payment Options 9. Death Benefit .................................... The Program--Benefits Payable After the Death of a Participant 10. Purchases and Contract Value ..................... The Funds--How We Calculate the Value of Amounts Allocated to the Equity Index & Lifecycle Funds; The Program--When Transactions are Effective--Minimum Investments--Making Contributions to the Program--Benefit Payment Options 11. Redemptions ...................................... The Program--Distributions from the Investment Options--Benefit Payments Options 12. Taxes ............................................ Federal Income Tax Considerations 13. Legal Proceedings ................................ Miscellaneous 14. Table of Contents of the Statement of Additional Table of Contents of the Statement of Additional Information .................................... Information
FORM N-4 ITEM STATEMENT OF ADDITIONAL INFORMATION CAPTION 15. Cover Page ....................................... Cover Page 16. Table of Contents ................................ Table of Contents 17. General Information and History .................. Not Applicable
CROSS REFERENCE SHEET SHOWING LOCATION OF INFORMATION IN STATEMENT OF ADDITIONAL INFORMATION
FORM N-4 ITEM STATEMENT OF ADDITIONAL INFORMATION CAPTION 18. Services ................................. Not Applicable 19. Purchase of Securities Being Offered .... Underwriter 20. Underwriters ............................. Underwriter 21. Calculation of Performance Data .......... Not Applicable 22. Annuity Payments ......................... Provisions of the ADA Plan--Contributions to Qualified Plans--Contributions to the ADA Retirement Plan 23. Financial Statements ..................... Financial Statements
American Dental Association Members Retirement Program Prospectus - May 1, 1996 - ----------------------------------------------------------------------------- The American Dental Association Members Retirement Program offers you ten investment options from which to choose. This prospectus describes three of the seven Separate Accounts under the group annuity contract issued by THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES: THE EQUITY INDEX FUND, THE LIFECYCLE FUND--CONSERVATIVE AND THE LIFECYCLE FUND--MODERATE. This prospectus also describes the Lifecycle Fund Group Trusts in which the two Lifecycle Funds invest. The Lifecycle Fund Group Trusts are collective investment funds maintained by State Street Bank and Trust Company ("State Street"). THE PROGRAM The American Dental Association Members Retirement Program offers ADA members and other eligible persons the choice of several plans to accumulate retirement savings for themselves and their employees. THE INVESTMENT OPTIONS The Program allows you to choose from ten Investment Options. The Investment Options are: Seven Separate Accounts or "Funds": Three Guaranteed Options: o Growth Equity Fund o 3 year Guaranteed Rate Account o Aggressive Equity Fund o 5 year Guaranteed Rate Account o ADA Foreign Fund o Money Market Guarantee Account o Equity Index Fund o Real Estate Fund o Lifecycle Fund--Conservative o Lifecycle Fund--Moderate The Aggressive Equity Fund, ADA Foreign Fund and the Equity Index Fund each invest in shares of a corresponding mutual fund, the MFS Emerging Growth Fund, the Templeton Foreign Fund and The Seven Seas Series S&P 500 Index Fund ("Seven Seas S&P 500 Index Fund"), respectively. We refer to these as the "underlying mutual funds." The Lifecycle Funds--Conservative and Moderate ("Lifecycle Funds") each invest in units of a corresponding group trust maintained by State Street. We refer to these as the "Lifecycle Fund Group Trusts." The Lifecycle Fund Group Trusts in turn invest in units of collective investment funds of State Street. We refer to these as the "Underlying Funds." The Underlying Funds are the S&P 500 Flagship Fund, Russell 2000 Fund, Daily EAFE Fund, Daily Government/ Corporate Bond Fund, and Short Term Investment Fund. The prospectuses for the underlying mutual funds and our separate prospectus for all of the Investment Options, except the Equity Index and Lifecycle Funds, describe in detail the investment objectives, policies and risks of these Funds and should be read carefully and retained for future reference. Copies of these prospectuses may be obtained by writing or calling as indicated below. THIS PROSPECTUS DESCRIBES IN DETAIL ONLY THE EQUITY INDEX FUND, LIFECYCLE FUNDS, LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS. (Cover page continued.) The Equitable Life Assurance Society of the United States P.O. Box 2486 G.P.O. New York, NY 10116 Calls for current participants: Calls for all others: 1-800-223-5790 1-800-523-1125 This prospectus provides important information you should be aware of before investing. Additional information is included in the Statement of Additional Information (the "SAI") dated May 1, 1996, which has been filed with the Securities and Exchange Commission. Parts of the SAI have been incorporated by reference into this prospectus. A table of contents for the SAI appears at page 43 of this prospectus. To obtain a copy of the SAI free of charge, complete the SAI request form on page 43 and mail it to us, or call or write at the above address. KEEP THIS PROSPECTUS FOR FUTURE REFERENCE. - ----------------------------------------------------------------------------- NONE OF THE SECURITIES DESCRIBED IN THIS PROSPECTUS HAS BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION, NOR HAS THE SECURITIES AND EXCHANGE COMMISSION PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. UNITS OF THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS MAINTAINED BY STATE STREET ARE NOT DEPOSITS OR OBLIGATIONS OF, OR INSURED, GUARANTEED, OR ENDORSED BY, THE U.S. GOVERNMENT, ANY BANK, THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER AGENCY, ENTITY OR PERSON, AND INVOLVE INVESTMENT RISKS INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SUMMARY THE PROGRAM The American Dental Association Members Retirement Program consists of several types of retirement plans and two retirement plan Trusts, the Master Trust and the Pooled Trust. Each of the Trusts invests exclusively in the group annuity contracts described in this prospectus. The purpose of the Program is to provide members of the American Dental Association (the "ADA") and their employees with a program to invest, accumulate, and then distribute funds for retirement. The Program is sponsored by the ADA, and the Trustees under the Master and Pooled Trusts are the members of the Council on Insurance of the ADA (the "Trustees"). The Program had 20,072 participants and $1.0 billion in assets at December 31, 1995. EQUITABLE LIFE The Equitable Life Assurance Society of the Unites States ("Equitable Life") is a diversified financial services organization serving a variety of insurance, investment management and investment banking customers. We are one of the largest life insurance companies in the United States, and have been in business since 1859. In this prospectus, the terms "we," "our," and "us" mean Equitable Life. STATE STREET State Street is a Massachusetts trust company that, among other things, provides a variety of investment-related services to pension and mutual funds. Through its institutional investment arm, State Street Global Advisors ("SSGA"), State Street offers a selection of investment products with management styles ranging from indexed to fully active. As of December 31, 1995, State Street ranked as the second largest U.S. manager of tax-exempt assets and the largest manager of international index assets. THE INVESTMENT OPTIONS Ten Investment Options are available under the Program. Seven of the Investment Options are Separate Accounts, or Funds, consisting of six Equity Funds and the Real Estate Fund. The Funds operate like mutual funds in many ways. However, because of exclusionary provisions, they are not subject to regulation under the Investment Company Act of 1940 (the "1940 Act"). The three additional Investment Options are guaranteed options funded through our general account. They include two Guaranteed Rate Accounts and the Money Market Guarantee Account. ONLY THREE OF THESE INVESTMENT OPTIONS ARE DESCRIBED IN DETAIL IN THIS PROSPECTUS: THE EQUITY INDEX FUND AND THE TWO LIFECYCLE FUNDS (COLLECTIVELY REFERRED TO AS "THE FUNDS"). FOR ADDITIONAL INFORMATION ON THE OTHER AVAILABLE INVESTMENT OPTIONS, PLEASE REFER TO OUR SEPARATE PROSPECTUS FOR THOSE OPTIONS. THE EQUITY INDEX FUND (Separate Account No. 195) Invests in shares of the Seven Seas S&P 500 Index Fund, which seeks to achieve a total return that parallels the return of the Standard & Poor's 500 Composite Stock Price Index, by investing in the stocks in the Index. State Street serves as the investment advisor to Seven Seas S&P 500 Index Fund. THE LIFECYCLE FUND--CONSERVATIVE (Separate Account No. 197) Invests in units of the Lifecycle Fund Group Trust--Conservative, maintained by State Street, which in turn invests in units of the five Underlying Funds maintained by State Street to provide current collective income and a low to moderate growth of capital. 3 THE LIFECYCLE FUND--MODERATE (Separate Account No. 198) Invests in units of the Lifecycle Fund Group Trust--Moderate, maintained by State Street, which in turn invests in units of five Underlying Funds maintained by State Street to provide growth of capital and a reasonable level of current income. There is no assurance that the Funds will achieve their respective objectives. No person is authorized by Equitable Life or by State Street to give any information or make any representations other than those contained in this prospectus or in other printed or written material issued by these companies, and you should not rely on any other information or representation. YOUR CHOICE OF RETIREMENT PLANS As an employer, you can use the Program to adopt our profit-sharing (including a 401(k) feature) or defined contribution pension master plan or our self-directed prototype plan. You can also have your own individually-designed plan and use our Pooled Trust as a funding vehicle. See The Program for additional information on your choices. FUND EXPENSES TRANSACTION EXPENSES Transaction expenses are charges you pay when you buy or sell units of the Funds.
Sales Load None Deferred Sales Charge None Surrender Fees None Transfer or Exchange Fee None
If you annuitize your account, premium taxes and other fees may apply. ANNUAL FUND OPERATING EXPENSES Operating expenses for the Funds are paid out of each Fund's assets. Equitable Life deducts three types of operating expenses from the assets of each Fund: a Program expense charge to compensate Equitable Life and the ADA for the costs incurred in connection with the Program, an Administration fee which covers the costs related to providing administration services in connection with offering the Funds, and other expenses--such as legal, auditing, and accounting--borne directly by the Funds. No management fees are paid to us by the Equity Index Fund and the Lifecycle Funds, although, as discussed below, a management fee is paid to State Street for managing the assets of the Seven Seas S&P 500 Index Fund underlying the Equity Index Fund and the Lifecycle Fund Group Trusts underlying the Lifecycle Funds. Premium taxes may also be applicable. For a more detailed discussion of fees and charges, see Deductions and Charges. For a discussion of the calculation of Fund unit values, see How We Calculate the Value of Amounts Allocated to the Funds. EQUITY INDEX FUND. No transaction charges are incurred by the Equity Index Fund when it purchases or redeems shares of the Seven Seas S&P 500 Index Fund, but the underlying mutual fund incurs its own operating expenses. No deduction is made from the assets of the Seven Seas S&P 500 Index Fund to compensate State Street for managing the assets of that Fund. State Street has voluntarily agreed to waive up to the full amount of its investment management fee of .10% to the extent that total expenses exceed 4 .15% of average daily net assets of the Seven Seas S&P 500 Index Fund on an annual basis. Deductions are made from the assets of the Seven Seas S&P 500 Index Fund to pay for expenses borne directly by the Fund, such as 12b-1 fees, the costs of printing prospectuses and the costs for providing various services to the Fund, such as legal, accounting, and auditing. For a more detailed description of charges and expenses incurred by the Seven Seas S&P 500 Index Fund, see the prospectus for that Fund. The fees and charges which are deducted from the assets of the Equity Index Fund and the Seven Seas S&P 500 Index Fund are illustrated in the table presented below. This table does not reflect other charges which are specific to the various plans participating in the Program, such as enrollment, record maintenance and reporting fees. The expenses shown in the table are based on average Program assets in the Equity Index Fund during the year ended December 31, 1995, restated to reflect current applicable fees.
INVESTMENT PROGRAM MANAGEMENT EXPENSE ADMINISTRATION OTHER FEE CHARGE FEE EXPENSES 12B-1 FEE TOTAL Equity Index Fund None 0.66% 0.15% 0.63%(2) None 1.44% Seven Seas S&P 500 Index Fund(1) 0.00%(3) None None 0.13% 0.06% 0.19%(3) TOTAL 0.00%(3) 0.66% 0.15% 0.76%(2) 0.06% 1.63%(3)
(1) Source: The Seven Seas Series Fund Prospectus dated December 29, 1995. (2) Includes expenses incurred in connection with the organization of the Equity Index Fund. Organizational expenses were initially paid by us and we are being reimbursed from the Fund over a five year period. Organizational expenses were $33,917 and are being amortized over the period which ends December 31, 1998. (3) State Street voluntarily agrees to waive up to the full amount of its management fee of .10% to the extent that total expenses exceed .15% on an annual basis. This agreement will remain in effect until further notice. (See Note 1.) If the waiver agreement is terminated, the full amount of State Street's management fee may be assessed and the total Fund expenses may increase. LIFECYCLE FUNDS. No transaction charges are incurred by the Lifecycle Funds when units of a corresponding Lifecycle Fund Group Trust are purchased or redeemed, but annual operating expenses are incurred by each Lifecycle Fund Group Trust. A deduction is made from the assets of each Lifecycle Fund Group Trust to compensate State Street for managing the assets of the Group Trust. State Street does not receive a fee for managing the assets of the Underlying Funds in which a Lifecycle Fund Group Trust invests. State Street may receive fees for managing the assets of other collective investment funds in which the Funds may invest on a temporary basis, and for managing the mutual funds in which assets of the Underlying Funds may be invested. State Street has agreed to reduce its management fee charged each of the Lifecycle Fund Group Trusts to offset any management fees State Street receives attributable to the Group Trusts' investment in such other collective investment funds and mutual funds. Other expenses are deducted from the assets of each Lifecycle Fund Group Trust and Underlying Fund to pay for services, such as legal and auditing, provided directly to each Lifecycle Fund Group Trust. State Street also receives an administration fee deducted from the assets of each Lifecycle Fund Group Trust, to compensate it for providing various recordkeeping and accounting services to the Group Trust. In addition, other expenses are deducted from the assets of the Underlying Funds for custodial services provided to those Funds. The fees and charges which are deducted from the assets of the Lifecycle Funds, the Lifecycle Fund Group Trusts and the Underlying Funds are illustrated in the table below. This table does not reflect other charges which are specific to the various plans participating in the Program, such as enrollment, record maintenance and reporting fees. See Plan and Transaction Expenses. 5
INVESTMENT PROGRAM MANAGEMENT EXPENSE ADMINISTRATION OTHER FEE CHARGE FEE EXPENSES TOTAL Lifecycle Fund - Conservative None 0.66% 0.15% 0.80%(1) 1.61% Lifecycle Fund Group Trust - Conservative 0.17% None 0.82%(2) 1.14%(1&3) 2.13% Underlying Funds(4): S&P 500 Flagship Fund None None None --%(4&6) --%(5&6) Russell 2000 Fund None None None 0.10%(4) 0.10%(5) Daily EAFE Fund None None None 0.20%(4) 0.20%(5) Daily Government/Corporate Bond Fund None None None 0.01%(4) 0.01%(5) Short Term Investment Fund None None None --%(4&6) --%(5&6)
INVESTMENT PROGRAM MANAGEMENT EXPENSE ADMINISTRATION OTHER FEE CHARGE FEE EXPENSES TOTAL Lifecycle Fund - Moderate None 0.66% 0.15% 0.22%(1) 1.03% Lifecycle Fund Group Trust - Moderate 0.17% None 0.17%(2) 0.18%(1&3) 0.52% Underlying Funds(4): S&P 500 Flagship Fund None None None --%(4&6) --%(5&6) Russell 2000 Fund None None None 0.10%(4) 0.10%(5) Daily EAFE Fund None None None 0.20%(4) 0.20%(5) Daily Government/Corporate Bond Fund None None None 0.01%(4) 0.01%(5) Short Term Investment Fund None None None --%(4&6) --%(5&6)
(1) These include a charge at the annual rate of .03% of the value of the respective assets in the Lifecycle Funds--Conservative and Moderate to compensate Equitable Life for additional legal, accounting and other potential expenses resulting from the inclusion of the Lifecycle Fund Group Trusts and Underlying Funds maintained by State Street among the Investment Options described in this prospectus and the SAI. Other expenses also include costs incurred by Equitable Life and State Street in connection with the organization of the Lifecycle Funds. Organizational expenses were initially paid by Equitable Life and State Street and are being reimbursed from the Lifecycle Funds over a five year period. Organizational expenses were $150,087 and will be amortized pro rata, based on the assets of each Fund, over the period ending June 30, 2000. On December 8, 1995, the Program's balance in the Balanced Fund (approximately $70 million) was transferred to the Lifecycle Fund--Moderate. The much larger balance in that Fund results in a much lower ratio of Other Expenses to Total Assets compared to the corresponding ratio for the Lifecycle Fund--Conservative. (2) Based on the Lifecycle Funds' Group Trusts--Conservative and Moderate current fixed fee of $11,100 per year, per fund and average net assets for 1995. (3) Based on the Lifecycle Funds' Group Trusts--Conservative and Moderate average net assets for 1995. (4) Other expenses of the Underlying Funds are based on expenses incurred by each Fund during 1995. (5) The fees, charges and expenses columns of the Lifecycle Funds are not totalled in the tables because the expense percentages reflected for the Underlying Funds may change due to the annual review and revision of the targeted percentage investments by each Group Trust in the Underlying Funds. (6) Less than 0.01%. 6 EXAMPLES You would pay the following expenses on a $1,000 investment over the time period indicated for each Fund listed below, assuming a 5% annual rate of return. The Examples include all annual fund operating expenses listed in the tables above plus an estimate of average plan and transaction charges over the time periods indicated for a $1,000 initial investment, assuming the account is not annuitized. The estimate is computed by aggregating all record maintenance and report fees, and enrollment fees, divided by the average assets for the same period. See ADA Members Retirement Plan, Prototype Self-Directed Plan and Individually-designed Plan Fees. Although the Program has no minimum contribution, the minimum amount that can be converted to an annuity is $3,500. There are no surrender charges, so the amounts would be the same, whether or not you withdraw all or a portion of your Account Balance.
1 YEAR 3 YEAR 5 YEAR 10 YEAR Equity Index Fund(1) $16.90(1) $ 52.37(1) $90.19(1) $196.11(1) Lifecycle Fund - Conservative 38.03 115.36 Lifecycle Fund - Moderate 16.09 49.91
The purpose of these tables and examples is to assist you in understanding the various costs and expenses that will be incurred, either directly or indirectly, when amounts are invested in the Funds. FUTURE EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN. IN ADDITION, THE 5% RATE OF RETURN IN THE EXAMPLE IS NOT AN ESTIMATE OR GUARANTEE OF FUTURE PERFORMANCE. (1) The returns shown reflect the waiver of a .10% investment management fee by State Street. CONDENSED FINANCIAL INFORMATION EQUITY INDEX FUND: SEPARATE ACCOUNT NO. 195 Condensed financial information for the Seven Seas S&P 500 Index Fund is contained in the prospectus for that Fund, copies of which may be obtained by calling an Account Executive. Those financial statements, however, do not reflect the Program expense charge, and the daily accrual of direct expenses deducted from amounts held in Separate Account No. 195, the Equity Index Fund. Unit values for the Equity Index Fund are shown below and do reflect the deduction of Program expense charges and daily accrual of direct expenses. The Equity Index Fund was established at $10.00 on February 1, 1994, the date this Fund began operations. Hypothetical Unit Values for periods prior to the availability of the Equity Index Fund under the Program were calculated by applying the Program expense charge during those periods plus .15% in estimated other expenses to the historical investment experience of the Seven Seas S&P 500 Index Fund. The Seven Seas S&P 500 Index Fund commenced operations in 1992.
EQUITY INDEX FUND Unit value as of: December 31, 1992 .......... $ 9.06 December 31, 1993 .......... $ 9.64 December 31, 1994 .......... $ 9.71 December 31, 1995 .......... $13.12 Number of Units outstanding at December 31, 1995 (000's) .................... 1,483
7 LIFECYCLE FUND--CONSERVATIVE: SEPARATE ACCOUNT NO. 197 A unit value for the Lifecycle Fund--Conservative on December 31, 1995 is shown below and reflects the deduction of Program expense charges and daily accrual of direct expenses. The Lifecycle Fund-- Conservative began operations on May 1, 1995. The value for a Lifecycle Fund--Conservative unit was established at $10.00 on that date.
LIFECYCLE FUND-- CONSERVATIVE Unit value as of: December 31, 1995 ........... $10.59 Number of Units outstanding at December 31, 1995 (000's) 281
LIFECYCLE FUND--MODERATE: SEPARATE ACCOUNT NO. 198 A unit value for the Lifecycle Fund--Moderate on December 31, 1995 is shown below and reflects the deduction of Program expense charges and daily accrual of direct expenses. The Lifecycle Fund-- Moderate began operations on May 1, 1995. The value for a Lifecycle Fund--Moderate Unit was established at $10.00 on that date.
LIFECYCLE FUND-- MODERATE Unit value as of: December 31, 1995 ........... $11.01 Number of Units outstanding at December 31, 1995 (000's) 6,924
FULL FINANCIAL STATEMENTS. The financial statements of Separate Account No. 195, 197 and 198 and the Consolidated Financial Statements of Equitable Life are contained in the SAI. 8 SELECTED FINANCIAL DATA LIFECYCLE FUND GROUP TRUSTS The selected financial data below provides information with respect to investment income, expenses, and investment performance for each Lifecycle Fund Group Trust attributable to each unit outstanding for the period indicated. The selected financial data has been audited by Price Waterhouse LLP, independent accountants, as stated in their reports included in the SAI. The selected financial data should be read in conjunction with the full financial statements of the Lifecycle Fund Group Trusts, which appear in the SAI.
PERIOD ENDED DECEMBER 31, 1995* LIFECYCLE FUND GROUP TRUST-CONSERVATIVE Net investment income (loss)** ................................ $ (0.08) Net realized and unrealized gain (loss) ....................... 0.81 Net increase (decrease) ....................................... 0.73 Net asset value Beginning of period ........................................... 10.00 End of period ................................................. $ 10.73 ======= Total return (%)*** ........................................... 7.30 ======= Ratio of expenses to average net assets (a) ................... 2.13% Ratio of net investment income (loss) to average net assets (a) .......................................................... (1.04)% Portfolio turnover ............................................ 131% Net assets, end of period (000s) .............................. $ 2,983 LIFECYCLE FUND GROUP TRUST-MODERATE Net investment income (loss)** ................................ $ (0.01) Net realized and unrealized gain (loss) ....................... 1.14 ------- Net increase (decrease) ....................................... 1.13 ------- Net asset value Beginning of period ........................................... 10.00 End of period ................................................. $ 11.13 ======= Total return (%)*** ........................................... 11.30 ======= Ratio of expenses to average net assets (a) ................... 0.52% Ratio of net investment income (loss) to average net assets (a) .......................................................... (0.07)% Portfolio turnover ............................................ 30% Net assets, end of period (000s) .............................. $76,246 =======
- ------------ (a) Annualized. * Investment operations commenced on May 5, 1995. ** Net investment income has been calculated based upon an average of monthly units outstanding. *** Total return calculation (not annualized) is based on the value of a single unit of participation outstanding throughout the period. It represents the percentage change in the net asset value per unit between the beginning and end of the period. The calculation includes only those expenses charged directly to the Fund. 9 UNDERLYING FUNDS The selected financial data below provides information with respect to investment income, expenses, and investment performance for each Underlying Fund attributable to each Underlying Fund unit outstanding for the periods indicated. The selected financial data has been audited by Price Waterhouse LLP, independent accountants, as stated in their reports included in the SAI. The selected financial data should be read in conjunction with the full financial statements of the Underlying Funds, which appear in the SAI.
YEAR ENDED DECEMBER 31, --------------------------------------------------------- 1995 1994 1993 1992 1991 ---------- --------- --------- --------- -------- S&P 500 FLAGSHIP FUND Net investment income** ........... $ 2.24 $ 1.90 $ 1.81 $ 1.54 $ 1.62 Net realized and unrealized gain (loss) ........................... 24.26 (0.93) 4.55 3.04 12.01 Distribution of securities lending fee income ....................... 0.00 0.00 (0.01) (0.01) (0.01) ------ ------ ------ ------ ------ Net increase (decrease) ........... 26.50 0.97 6.35 4.57 13.62 Net asset value ................... Beginning of year ................. 70.56 69.59 63.24 58.67 45.05 ------ ------ ------ ------ ------ End of year ....................... $97.06 $70.56 $69.59 $63.24 $58.67 ====== ====== ====== ====== ====== Total return(%)*** ................ 37.56 1.39 10.06 7.81 30.26 ====== ====== ====== ====== ====== Ratio of expenses to average net assets ........................... --%* --%* --%* --%* --%* Ratio of net investment income to average net assets ............... 2.66% 2.88% 2.68% 2.58% 3.01% Portfolio turnover ................ 10% 12% 22% 19% 11% Net assets, end of year (000s) .... $15,135,000 $8,258,327 $5,753,446 $4,233,017 $3,371,193
10
YEAR ENDED DECEMBER 31, PERIOD ENDED -------------------------------- DECEMBER 31, 1995 1994 1993 1992**** -------- -------- -------- ------------ RUSSELL 2000 FUND Net investment income** ...................... $ 0.03 $ 0.21 $ 0.17 $ 0.04 Net realized and unrealized gain (loss) ..... 3.61 (0.46) 1.83 1.07 Distribution of securities lending fee income (0.01) (0.01) 0.00 0.00 -------- -------- -------- -------- Net increase (decrease) ...................... 3.63 (0.26) 2.00 1.11 Net asset value Beginning of period .......................... 12.85 13.11 11.11 10.00 -------- -------- -------- -------- End of period ................................ $ 16.48 $ 12.85 $ 13.11 $ 11.11 ======== ======== ======== ======== Total return (%)*** .......................... 28.33 (1.98) 18.00 11.10(a) ======== ======== ======== ======== Ratio of expenses to average net assets ..... 0.10% 0.07% 0.09% 0.39%(a) Ratio of net investment income to average net assets ...................................... 1.80% 1.61% 1.37% 1.88%(a) Portfolio turnover ........................... 103% 48% 35% 1% Net assets, end of year (000s) ............... $536,849 $372,107 $451,119 $148,285
YEAR ENDED DECEMBER 31, PERIOD ENDED -------------------- DECEMBER 31, 1995 1994 1993**** -------- -------- ------------ DAILY EAFE FUND Net investment income (loss)** ...................... $ 0.25 $ 0.19 $ (0.01) Distribution of securities lending fee income ...... (0.01) 0.00 0.00 Net realized and unrealized gain (loss) ............. 0.99 0.59 (0.13) ------- -------- -------- Net increase (decrease) ............................. 1.23 0.78 (0.14) Net asset value ..................................... Beginning of period ................................. 10.64 9.86 10.00 ------- -------- -------- End of period ....................................... $ 11.87 $ 10.64 $ 9.86 ======= ======== ======== Total return (%)*** ................................. 11.64 7.91 (1.40)(a) ======= ======== ======== Ratio of expenses to average net assets ............. 0.20% 0.19% 0.57%(a) Ratio of net investment income to average net assets 2.22% 1.88% (0.14)%(a) Portfolio turnover .................................. 9% 47% 28% Net assets, end of year (000s) ...................... $75,760 $139,678 $229,612
11 CAPITAL PRINTING SYSTEMS]
YEAR ENDED DECEMBER 31, PERIOD ENDED ------------------------ DECEMBER 31, 1995 1994 1993**** ---------- ---------- ------------ DAILY GOVERNMENT/CORPORATE FUND Net investment income** ............................. $ 0.70 $ 0.73 $ 0.11 Net realized and unrealized gain (loss) ............. 1.17 (1.05) (0.17) ---------- ---------- -------- Net increase (decrease) ............................. 1.87 (0.32) (0.06) Net asset value Beginning of period ................................. 9.62 9.94 10.00 ---------- ---------- -------- End of period ....................................... $ 11.49 $ 9.62 $ 9.94 ========== ========== ======== Total return*** ..................................... 19.44% (3.22)% (3.27)%(a) ========== ========== ======== Ratio of expenses to average net assets ............. 0.01% 0.01% 0.02% (a) Ratio of net investment income to average net assets 6.53% 6.81% 5.94% (a) Portfolio turnover .................................. 611% 144% 23% Net assets, end of year (000s) ...................... $1,991,393 $1,540,440 $322,680
SHORT-TERM INVESTMENT FUND
YEAR ENDED DECEMBER 31, --------------------------------------------------- 1995 1994 1993 1992 1991 ------------ ---------- ---------- ---------- ----------- Net investment income** ...... $0.0604 $0.0424 $0.0336 $0.0402 $0.0630 Net realized gain (loss) ..... 0.0000 0.0000 0.0000 0.0000 0.0000 ------- ------- ------- ------- Net change in net assets resulting from operations ... $0.0604 $0.0424 $0.0336 $0.0402 $0.0630 ======= ======= ======= ======= Distributions from net investment income ............ $0.0604 $0.0424 $0.0336 $0.0402 $0.0630 ======= ======= ======= ======= Total return*** ............... 6.21% 4.32% 3.41% 4.09% 6.49% Ratio of expenses to average net assets ................... --%* --%* --%* --%* --%* Ratio of net investment income to average net assets ........ 6.04% 4.24% 3.36% 4.02% 6.30% Net Assets, end of year (000s) $12,393,148 $9,239,219 $12,657,842 $10,016,685 $8,149,591
- ------------ (a) Annualized. * Less than 0.01% ** Net investment income per unit has been calculated based upon an average of monthly units outstanding. *** Total return calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of each year. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. **** The Russell 2000 Fund commenced operations on October 31, 1992; the Daily EAFE Fund commenced operations on September 30, 1993; the Daily Government/Corporate Fund commenced operations on October 25, 1993. 12 INVESTMENT OPTIONS Ten INVESTMENT OPTIONS are available under the Program. Three of these are discussed below: the Equity Index Fund and the two Lifecycle Funds--Conservative and Moderate. Also discussed are the Lifecycle Fund Group Trusts in which the Lifecycle Funds invest and the Underlying Funds in which the Lifecycle Fund Group Trusts invest. Each of the Funds discussed below has a different investment objective that it seeks to achieve by following specific investment policies. The investment objective of these Funds can only be changed by the Trustees. THERE IS NO ASSURANCE THAT THE INVESTMENT OBJECTIVES OF ANY OF THESE FUNDS WILL BE MET. See Risks and Investment Techniques. THE EQUITY INDEX FUND OBJECTIVE. The Equity Index Fund seeks to achieve a total return which parallels that of the Standard & Poor's 500 Composite Stock Price Index (the "S&P 500 Index") by investing in a mutual fund designated by the Trustees, Seven Seas S&P 500 Index Fund (a portfolio of The Seven Seas Series S&P Index Fund--"The Seven Seas Series Fund"). There is no assurance that this objective will be met. INVESTMENT POLICIES. The Equity Index Fund will invest 100 percent of its assets in shares of the Seven Seas S&P 500 Index Fund. THE SEVEN SEAS S&P 500 INDEX FUND. The Seven Seas S&P 500 Index Fund's investment objective is to emulate the total return of the S&P 500 Index. The Seven Seas S&P 500 Index Fund seeks to achieve its objective by investing in all 500 stocks in the S&P 500 Index in proportion to their weightings in the S&P 500 Index. To the extent that all 500 stocks cannot be purchased, the Seven Seas S&P 500 Index Fund will purchase a representative sample of the stocks listed in the S&P 500 Index in proportion to their weightings. The Seven Seas Series Fund was organized as a Massachusetts business trust and is registered under the 1940 Act as an open-end diversified management investment company. As a series mutual fund, The Seven Seas Series Fund issues shares in different investment portfolios, one of which is the Seven Seas S&P 500 Index Fund. The investment adviser of the Seven Seas S&P 500 Index Fund is State Street. "S&P 500" IS A TRADEMARK OF STANDARD & POOR'S CORPORATION THAT HAS BEEN LICENSED FOR USE BY THE SEVEN SEAS SERIES FUND. THE SEVEN SEAS SERIES FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY STANDARD & POOR'S CORPORATION, AND STANDARD & POOR'S CORPORATION MAKES NO REPRESENTATION REGARDING THE ADVISABILITY OF INVESTING IN THE SEVEN SEAS SERIES FUND. The S&P 500 Index is composed of 500 common stocks which are chosen by Standard and Poor's Corporation to best capture the price performance of a large cross-section of the United States publicly traded stock market. The S&P 500 Index is structured to approximate the general distribution of industries in the United States economy. The inclusion of a stock in the S&P 500 Index in no way implies that Standard & Poor's Corporation believes the stock to be an attractive investment, nor is Standard & Poor's a sponsor of or in any way affiliated with the Seven Seas S&P 500 Index Fund or the Equity Index Fund. The 500 securities, most of which trade on the New York Stock Exchange, represent approximately 75 percent of the market value of all common stocks. Each stock in the S&P 500 Index is weighted by market capitalization. That is, each security is weighted by its total market value relative to the total market values of all the securities in the S&P 500 Index. Component stocks included in the S&P 500 Index 13 are chosen with the aim of achieving a distribution at the index level representative of the various components of the United States gross national product and therefore do not represent the 500 largest companies. Aggregate market value and trading activity are also considered in the selection process. A limited percentage of the S&P 500 Index may include Canadian securities. No other foreign securities are eligible for inclusion. For further information about the Seven Seas S&P 500 Index Fund, see The Seven Seas Series Fund's prospectus and the related statement of additional information. Free additional copies of The Seven Seas Series Fund prospectus and copies of the related statement of additional information may be obtained by calling an Equitable Life Account Executive. Participants and employers should carefully read the prospectus of The Seven Seas Series Fund before they allocate contributions or transfer amounts to the Equity Index Fund. VOTING RIGHTS. The Seven Seas Series Fund does not hold annual meetings of shareholders. If a meeting of shareholders is held, they may vote on such matters as election of trustees and any other matters requiring a vote by shareholders under the 1940 Act. Equitable Life will vote the shares of the Seven Seas S&P 500 Index Fund allocated to the Equity Index Fund in accordance with instructions received from employers, participants or trustees, as appropriate, in the Equity Index Fund. Each employer, participant or trustee, as appropriate, will be allowed to instruct Equitable Life on how to vote shares of the Seven Seas S&P 500 Index Fund in proportion to their interest in the Equity Index Fund as of the record date for the shareholder meeting. Equitable Life will abstain from voting shares for which no instructions are received. Employers, participants or trustees will receive periodic reports about the Seven Seas S&P 500 Index Fund and proxy materials together with a voting instruction form, in connection with shareholder meetings. The costs of soliciting voting instructions from participants will be borne by the Seven Seas S&P 500 Index Fund. LIFECYCLE FUNDS--CONSERVATIVE AND MODERATE Each Lifecycle Fund is a separate account of Equitable Life. Contributions may be made to the Lifecycle Fund --Conservative and/or the Lifecycle Fund--Moderate. Each of the Lifecycle Funds invests in a Lifecycle Fund Group Trust--Conservative or Moderate having identical investment objectives and policies as the Lifecycle Fund to which it relates. In turn each of the Lifecycle Fund Group Trusts invests in a mix of Underlying Funds. The following table diagrams this investment structure: UNDERLYING FUNDS ------------------- | Lifecycle Fund- | | Conservative | | (SA 197) | ------------------- ------------------- | Lifecycle Fund | | Group Trust | | Conservative | ------------------- ------------ ----------- --------- ---------------- -------------- | S&P 500 | | Russell | | Daily | | Daily Gov't. | | Short Term | | Flagship | | 2000 | | EAFE | | Corporate | | Investment | | Fund | | Fund | | Fund | | Bond Fund | | Fund | ------------ ----------- --------- ---------------- -------------- ------------------- | Lifecycle Fund- | | Moderate | | (SA 198) | ------------------- ------------------ | Lifecycle Fund | | Group Trust- | | Moderate | ------------------ ------------ ----------- --------- ---------------- -------------- | S&P 500 | | Russell | | Daily | | Daily Gov't. | | Short Term | | Flagship | | 2000 | | EAFE | | Corporate | | Investment | | Fund | | Fund | | Fund | | Bond Fund | | Fund | ------------ ----------- --------- ---------------- -------------- 14 THE LIFECYCLE FUND GROUP TRUSTS The Lifecycle Fund Group Trusts are collective investment funds maintained by State Street. Each Lifecycle Fund Group Trust is organized as a common law trust under Massachusetts law, and because of exclusionary provisions, is not subject to regulation under the 1940 Act. There are two Lifecycle Fund Group Trusts: the Lifecycle Fund Group Trust--Conservative and the Lifecycle Fund Group Trust--Moderate. State Street serves as the trustee and investment manager to each of these Group Trusts. Each of the Lifecycle Fund Group Trusts attempts to achieve its investment objective by investing in a mix of underlying collective investment funds (the "Underlying Funds") maintained by State Street and offered exclusively to tax exempt retirement plans. LIFECYCLE FUND GROUP TRUST--CONSERVATIVE OBJECTIVE. The Lifecycle Fund Group Trust--Conservative seeks to provide current income and a low to moderate growth of capital. There is no assurance that this objective will be met. INVESTMENT POLICIES. The Lifecycle Fund Group Trust--Conservative seeks to achieve its objective by investing 100% of its assets in units of a mix of Underlying Funds in accordance with certain target percentage weightings. The table below shows the mix of Underlying Funds targeted by the Lifecycle Fund Group Trust--Conservative.
S&P 500 Flagship Fund 15% Russell 2000 Fund 10% Daily EAFE Fund 5% Daily Government/Corporate Bond Fund 50% Short Term Investment Fund 20%
The target percentages shown above are reviewed annually by the ADA Trustees and may be revised as recommended, subject to State Street's approval. State Street, as investment manager of the Lifecycle Fund Group Trust--Conservative, from time to time makes adjustments in the mix of Underlying Funds as needed to maintain, to the extent practicable, the target percentages in each of the Underlying Funds. LIFECYCLE FUND GROUP TRUST--MODERATE OBJECTIVE. The Lifecycle Fund Group Trust--Moderate seeks to provide growth of capital and a reasonable level of current income. There is no assurance that this objective will be met. INVESTMENT POLICIES. The Lifecycle Fund Group Trust--Moderate intends to achieve its investment objective by investing 100% of its assets in units of a mix of Underlying Funds in accordance with certain target percentage weightings. The table below shows the mix of Underlying Funds targeted by the Lifecycle Fund Group Trust--Moderate.
S&P 500 Flagship Fund 35% Russell 2000 Fund 10% Daily EAFE Fund 30% Daily Government/Corporate Bond Fund 15% Short Term Investment Fund 10%
The target percentages shown above are reviewed annually by the ADA Trustees and may be revised as recommended, subject to State Street's approval. State Street, as investment manager of the Lifecycle Fund Group Trust--Moderate, from time to time makes adjustments in the mix of Underlying Funds as needed to maintain, to the extent practicable, the target percentages in each of the Underlying Funds. 15 THE UNDERLYING FUNDS Like the Lifecycle Fund Group Trusts, the Underlying Funds are collective investment funds maintained by State Street and offered exclusively to tax exempt retirement plans. Unlike the Lifecycle Fund Group Trusts, however, which are available only under the ADA Program, the Underlying Funds may receive contributions from other tax exempt retirement plans. The Underlying Funds are organized as common law trusts under Massachusetts law, and because of exclusionary provisions, are not subject to regulation under the 1940 Act. State Street serves as trustee and investment manager to each of the Underlying Funds. S&P 500 FLAGSHIP FUND OBJECTIVE. The investment objective of the S&P 500 Flagship Fund ("Flagship Fund") is to replicate, as closely as possible, the total return of the S&P 500 Index. "S&P 500" is a trademark of Standard & Poor's Corporation that has been licensed for use by the Flagship Fund. The Flagship Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's Corporation, and Standard & Poor's Corporation makes no representation regarding the advisability of investing in this Fund. For further information on the S&P 500 Index, see the discussion of the Equity Index Fund under Investment Options. INVESTMENT POLICIES. The Flagship Fund intends to achieve its objective by investing in all 500 stocks in the S&P 500 Index. In order to provide 100% equity exposure, the Flagship Fund may hold up to 25% of its value in S&P 500 futures contracts in lieu of cash equivalents. U.S. Treasury Bills and other short-term cash equivalents owned by the Flagship Fund will be held as collateral for the futures contracts. For additional discussion related to the investment policies of the Flagship Fund, see discussion below under Risks and Investment Techniques and the Statement of Additional Information. RUSSELL 2000 FUND OBJECTIVE. The investment objective of the Russell 2000 Fund ("2000 Fund") is to replicate, as closely as possible, the return of the Russell 2000 Index maintained by Frank Russell Company ("Frank Russell"). The 2000 Fund will invest its assets in the units of two other collective investment funds maintained by State Street known as the Russell 2000 Value Fund and the Russell 2000 Growth Fund. These Funds seek to replicate corresponding sub-indices of the Russell 2000 Index maintained by Frank Russell. The Russell 2000 Value Fund invests in the shares of approximately 1,400 issues included in the Russell 2000 Index. The Russell 2000 Growth Fund invests in the shares of approximately 1,450 issues included in the Russell 2000 Index. The Russell 2000 Value and Growth Funds were established on February 1, 1995. Before this date, the 2000 Fund invested directly in shares of companies included in the Russell 2000 Index. The Russell 2000 Index is a broadly diversified small capitalization index consisting of approximately 2,000 common stocks. It is a subset of the larger Russell 3000 Index. The Russell 3000 Index consists of the largest 3,000 publicly traded stocks of U.S. domiciled corporations and includes large, medium and small capitalization stocks. As such, the Russell 3000 Index represents approximately 98 percent of the total market capitalization of all U.S. stocks that trade on the New York and American Stock Exchanges and in the NASDAQ over-the-counter market. The Russell 2000 Index consists of the approximately 2,000 smallest stocks within the Russell 3000 Index and is, therefore, a broadly diversified index of small capitalization stocks. INVESTMENT POLICIES. The Russell 2000 Value Fund and the Russell 2000 Growth Fund together will not hold all of the approximately 2,000 issues that comprise the Russell 2000 Index because of the relative 16 illiquidity of many of the securities. Instead, these Funds will hold a representative sample of the securities in the Russell 2000 Index. The 2000 Fund is constructed so that, in the aggregate, its market capitalization, industry and fundamental characteristics resemble those of the Russell 2000 Index. The 2000 Fund will indirectly hold the top 80% of the capitalization of the Russell 2000 Index and a sample of the remaining 20% of that index. The composition of the Russell 2000 Index is updated monthly to reflect changes in the stock market capitalization of companies in the Index. Once a year, companies that no longer qualify for the Index because of fluctuations of market capitalization are replaced. The rate of change in the securities included in the Russell 2000 Index is significant, often higher than 20 percent a year of the total market capitalization of the Index. The 2000 Fund is neither sponsored by nor affiliated with Frank Russell. Frank Russell's only relationship to the 2000 Fund is the licensing of the use of the Russell 2000 Stock Index. Frank Russell is the owner of the trademarks and copyrights relating to the Russell indices. For additional discussion related to the investment policies of the 2000 Fund, see discussion below under Risks and Investment Techniques and the Statement of Additional Information. DAILY EAFE FUND OBJECTIVE. The investment objective of the Daily EAFE Fund is to closely match the performance of the Morgan Stanley Capital International EAFE Index ("EAFE Index") while providing daily liquidity. INVESTMENT POLICIES. The Daily EAFE Fund seeks to achieve its objective by investing directly in each of the foreign markets which comprise the EAFE Index. The EAFE Index is a broadly diversified international index consisting of more than 1,000 companies traded on the markets of Europe, Australia, New Zealand and the Far East. The investments may include equity securities, equity-based derivatives, futures contracts, index swaps and foreign exchange contracts. The Daily EAFE Fund also may acquire interest-bearing cash equivalents, notes and other short-term instruments, including foreign currency time deposits or call accounts. As of December 31, 1995, Japan (40.9%) and the United Kingdom (16.9%) dominated the market capitalization of the EAFE Index, with companies located in Germany, France, Switzerland and Hong Kong also being well represented on the Index. The Index covers a wide spectrum of industries, with the banking and finance industry constituting 26.9%, consumer goods 19.8%, services 16.6%, capital equipment 12.8%, materials 10.7% of the market capitalization of the Index (as of December 31, 1995). Morgan Stanley Capital International, the creator of the EAFE Index, is neither a sponsor of nor affiliated with the Daily EAFE Fund. The Daily EAFE Fund will not be able to hold all of the more than 1,000 stocks that comprise the EAFE Index because of the costs involved. Instead the Daily EAFE Fund will hold a representative sample of the issues that comprise the EAFE Index. Stocks will be selected for inclusion in the Daily EAFE Fund based on country, market capitalization, industry weightings, and fundamental characteristics such as return variability, earnings valuation, and yield. In order to parallel the performance of the EAFE Index, the Daily EAFE Fund will invest in each country in approximately the same percentage as the country's weight in the EAFE Index. For additional discussion related to the investment policies of the Daily EAFE Fund, see discussion below under Risks and Investment Techniques and the Statement of Additional Information. 17 DAILY GOVERNMENT/CORPORATE BOND FUND OBJECTIVE. The investment objective of the Daily Government/Corporate Bond Fund ("GC Bond Fund") is to match or exceed the return of the Lehman Brothers Government/Corporate Bond Index. INVESTMENT POLICIES. The GC Bond Fund seeks to achieve its investment objective by making direct investment in marketable instruments and securities. In addition, the GC Bond Fund may make direct investments in (1) U.S. Government securities, including U.S. Treasury securities and other obligations issued or guaranteed as to interest and principal by the U.S. Government and its agencies and instrumentalities, (2) corporate securities, (3) asset backed securities, (4) mortgage backed securities including, but not limited to, collateralized mortgage obligations and real estate mortgage investment conduits, (5) repurchase and reverse repurchase agreements, (6) financial futures and option contracts, (7) interest rate exchange agreements and other swap agreements, (8) supranational and sovereign debt obligations including those of sub-divisions and agencies, and (9) other securities and instruments deemed by State Street, as trustee of the GC Bond Fund, to have characteristics consistent with the investment objective of this Fund. The securities in the GC Bond Fund will have a minimum credit rating when purchased of Baa3 by Moody's or BBB- by Standard & Poor's. For additional discussion related to the investment policies of the GC Bond Fund, see discussion below under Risks and Investment Techniques and the Statement of Additional Information. SHORT TERM INVESTMENT FUND OBJECTIVE. The investment objective of the Short Term Investment Fund ("STIF Fund") is to maintain a diversified portfolio of short-term securities. INVESTMENT POLICIES. The STIF Fund intends to achieve its objective by investing in money market securities rated at least A-1 by Standard and Poor's and P-1 by Moody's at the time of issuance. If the issuer has long-term debt outstanding, such debt should be rated at least "A" by Standard & Poor's or "A" by Moody's. The STIF Fund may purchase Yankee and Euro certificates of deposit, Euro time deposits, U.S. Treasury bills, notes and bonds, federal agency securities, corporate bonds, repurchase agreements and banker's acceptances. Most of the investments may have a range of maturity from overnight to 90 days. Twenty percent of the STIF Fund, however, may be invested in assets having a maturity in excess of 90 days but not more than thirteen months. For additional discussion regarding the investment policies of the STIF Fund, see discussion below under Risks and Investment Techniques and the Statement of Additional Information. VOTING RIGHTS: THE LIFECYCLE FUNDS Participants do not have any voting rights with respect to their investments in a Lifecycle Fund. Similarly, participants do not have any voting rights with respect to matters such as the selection of State Street as trustee or investment manager or investment adviser of a Lifecycle Fund Group Trust or Underlying Fund, or with respect to any changes in investment policy of any of these entities. RISKS AND INVESTMENT TECHNIQUES: LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS You should be aware that any investment in securities carries with it a risk of loss. The different investment objectives and policies of the Equity Index Fund and each of the Lifecycle Funds affect the return on these Funds. Additionally, there are market and financial risks inherent in any securities 18 investment. By market risks, we mean factors which do not necessarily relate to a particular issuer but which affect the way markets, and securities within those markets, perform. We sometimes describe market risk in terms of volatility, that is, the range and frequency of market value changes. Market risks include such things as changes in interest rates, general economic conditions and investor perceptions regarding the value of debt and equity securities. By financial risks we mean factors associated with a particular issuer which may affect the price of its securities, such as its competitive posture, its earnings and its ability to meet its debt obligations. The risk factors and investment techniques associated with the Underlying Funds in which the Lifecycle Fund Group Trusts invest are discussed below. The risks and investment techniques associated with investments by the Equity Index Fund in the Seven Seas S&P 500 Index Fund are discussed in the prospectus and Statement of Additional Information for that Fund. IN GENERAL. You should note that the Flagship Fund, the 2000 Fund and the Daily EAFE Fund are all index funds. An index fund is one that is not managed according to traditional methods of "active" investment management, which involve the buying and selling of securities based upon economic, financial and market analysis and investment judgment. Instead, such funds utilize a "passive" investment approach, attempting to duplicate the investment performance of their benchmark indices through automated statistical analytic procedures. For example, the Flagship Fund attempts to match the return of the S&P 500 Index by using automated statistical methods to make stock selections. Similar methods are employed in selecting stocks for the 2000 Fund and the Daily EAFE Fund. Still, such Funds, to the extent they invest in the various types of securities discussed below, are subject to the risks associated with each of these investments. Also, you should note that each of the Underlying Funds, for the purpose of investing uncommitted cash balances or to maintain liquidity to meet redemptions of Fund units, may invest temporarily and without limitation in certain short-term fixed income securities and other collective investment funds or registered mutual funds maintained or advised by State Street. The short-term fixed income securities in which an Underlying Fund may invest include obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies and instrumentalities and repurchase agreements collateralized by these obligations, commercial paper, bank certificates of deposit, banker's acceptances, and time deposits. Equity Securities. Certain of the Underlying Funds will invest in equity securities. Participants should be aware that equity securities fluctuate in value, often based on factors unrelated to the value of the issuer of the securities, and that fluctuations can be pronounced. The securities of the smaller companies in which some of the Underlying Funds may invest may be subject to more abrupt or erratic market movements than larger, more established companies, both because the securities typically are traded in lower volume and because the issuers typically are subject, to a greater degree, to changes in earnings and profits. FIXED-INCOME SECURITIES. Certain of the Underlying Funds will invest in fixed-income securities. Although these are interest-bearing securities which promise a stable stream of income, participants should be aware that the prices of such securities are affected by changes in interest rates and, therefore, are subject to the risk of market price fluctuations. The values of fixed-income securities also may be affected by changes in the credit rating or financial condition of the issuing entities. Once the rating of a portfolio security has been changed, State Street will consider all relevant circumstances in determining whether a particular Underlying Fund should continue to hold that security. Certain securities such as those rated Baa by Moody's and BBB by Standard & Poor's, may be subject to greater market fluctuations than lower yielding, higher rated fixed-income securities. Securities which are rated Baa by Moody's are considered medium grade obligations; they are neither highly protected nor poorly secured, and are 19 considered by Moody's to have speculative characteristics. Securities rated BBB by Standard & Poor's are regarded as having adequate capacity to pay interest and repay principal, and while such debt securities ordinarily exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for securities in this category than in higher rated categories. FOREIGN SECURITIES. The Daily EAFE Fund will invest in foreign securities. Such investments, however, entail special risks. Foreign securities markets generally are not as developed or efficient as those in the United States. Securities of some foreign issuers are less liquid and more volatile than securities of comparable U.S. issuers. Similarly, volume and liquidity in most foreign securities markets are less than in the United States and, at times, volatility of price can be greater than in the United States. In addition, there may be less publicly available information about a non-U.S. issuer, and non-U.S. issuers generally are not subject to uniform accounting and financial reporting standards, practices and requirements comparable to those applicable to U.S. issuers. Because evidences of ownership of foreign securities usually are held outside the United States, each of the Underlying Funds investing in foreign securities will be subject to additional risks. Such risks include possible adverse political and economic developments, possible seizure or nationalization of foreign deposits, and possible adoption of governmental restrictions which might adversely affect the payment of principal and interest on the foreign securities or might restrict the payment of principal and interest to investors located outside the country of the issuers, whether from currency blockage or otherwise. Custodial expenses for a portfolio of non-U.S. securities generally are higher than for a portfolio of U.S. securities. Since foreign securities purchased by the Underlying Funds often are completed in currencies of foreign countries, the value of these securities as measured in U.S. dollars may be affected favorably or unfavorably by changes in currency rates and exchange control regulations. Some currency exchange costs may be incurred when an Underlying Fund changes investments from one country to another. Furthermore, some of these securities may be subject to brokerage or stamp taxes levied by foreign governments, which have the effect of increasing the cost of such investment. Income received by sources within foreign countries may be reduced by any withholding and other taxes imposed by such countries. FUTURES CONTRACTS. Certain of the Underlying Funds may invest in futures contracts. A purchase of a futures contract is the acquisition of a contractual right and obligation to acquire the underlying security at a specified price on a specified date. Although futures contracts by their terms may call for the actual delivery or acquisition of the underlying security, in most cases the contractual obligation is terminated before the settlement date of the contract without delivery of the security. The Underlying Fund will incur brokerage fees when it purchases and sells futures contracts. The Underlying Funds will not purchase futures contracts for speculation. Futures contracts are used to increase the liquidity of each Underlying Fund and for hedging purposes. Transactions in futures contracts entail certain risks and transaction costs to which an Underlying Fund would not otherwise be subject, and the Underlying Fund's ability to purchase futures contracts may be limited by market conditions or regulatory limits. Because the value of a futures contract depends primarily on changes in the value of the underlying securities, the value of the futures contracts purchased by the Underlying Fund generally reflects changes in the values of the underlying stocks or bonds. The risks inherent in the use of futures contracts include: (1) imperfect correlation between the price of the futures contracts and movements in the prices in the underlying securities; and (2) the possible absence of a liquid secondary market for any particular instrument at any time. 20 An Underlying Fund also may engage in foreign futures transactions. Unlike trading on domestic futures exchanges, trading on foreign futures exchanges is not regulated by the Commodity Futures Trading Commission ("CFTC") and may be subject to greater risks than trading on domestic exchanges. For example, some foreign exchanges are principal markets so that no common clearing facility exists and an investor may look only to the broker for performance of the contract. In addition, any profits that an Underlying Fund might realize from trading could be eliminated by adverse changes in the exchange rate, or such Underlying Fund could incur losses as a result of those changes. Transactions on foreign exchanges may include both futures which are traded on domestic exchanges and those which are not. SECURITIES OF MEDIUM AND SMALLER SIZED COMPANIES. Certain of the Underlying Funds may invest in the securities of medium and smaller sized companies with market capitalization of $500 million to $1.5 billion. Such companies may be dependent on the performance of only one or two products and, therefore, may be vulnerable to competition from larger companies with greater resources and to economic conditions affecting their market sector. Consequently, consistent earnings may not be as likely in such companies as they would be for larger companies. In addition, medium and smaller sized companies may be more dependent on access to equity markets to raise capital than larger companies with greater ability to support debt. Medium and smaller sized companies may be new, without long business or management histories, and perceived by the market as unproven. Their securities may be held primarily by insiders or institutional investors, which may have an impact on marketability. The price of these stocks may rise and fall more frequently and to a greater extent than the overall market. LENDING OF SECURITIES. Certain of the Underlying Funds may from time to time lend securities from their portfolios to brokers, dealers and financial institutions and receive collateral consisting of cash, securities issued or guaranteed by the U.S. Government, or irrevocable letters of credit issued by major banks. Cash collateral will be invested in various collective investment funds maintained by State Street. The net income from such investments will increase the return to the Underlying Funds. All securities lending transactions in which the Underlying Funds engage will comply with the prohibited transaction provisions of the Employee Retirement Income Security Act of 1974 ("ERISA") and related regulations. INVESTMENTS BY THE STIF FUND. Each of the Lifecycle Fund Group Trusts will, and certain of the Underlying Funds may, invest in the STIF Fund. This Fund intends to invest, among other things, in various U.S. Government Obligations, U.S. dollar-denominated instruments issued by foreign banks and foreign branches of U.S. banks, "when-issued" securities, and to enter into repurchase agreements with various banks and broker-dealers. The STIF Fund's activities with respect to each of these investments are discussed below. The STIF Fund may invest in a variety of U.S. Government obligations, including bills and notes issued by the U.S. Treasury and securities issued by agencies of the U.S. Government. The STIF Fund also may invest in U.S. dollar-denominated instruments issued by foreign banks and foreign branches of U.S. banks, a type of investment that may involve special risks. Such banks may not be required to maintain the same financial reserves or capital that are required of U.S. banks. Restrictions on loans to single borrowers, prohibitions on certain self-dealing transactions, and other regulations designed to protect the safety and solvency of U.S. banks may not be applicable to foreign banks and foreign branches of U.S. banks. In addition, investments of this type may involve the unique risks associated with investments in foreign securities described above. The STIF Fund may commit to purchasing securities on a "when-issued" basis, such that payment for and delivery of a security will occur after the date that this Fund commits to purchase the security. The 21 payment obligation and the interest rate that will be received on the security are each fixed at the time of the purchase commitment. Prior to payment and delivery, however, the STIF Fund will not receive interest on the security, and will be subject to the risk of loss if the value of the when-issued security is less than the purchase price at time of delivery. Finally, the STIF Fund may enter into repurchase agreements with various banks and broker-dealers. In a repurchase agreement transaction, the STIF Fund acquires securities (usually U.S. Government obligations) for cash and obtains a simultaneous commitment from the seller to repurchase the securities at an agreed-upon price and date. The resale price is in excess of the acquisition price and reflects an agreed-upon rate of interest unrelated to the coupon rate on the purchased security. In these transactions, the securities purchased by the STIF Fund will have a total value at least equal to the amount of the repurchase price and will be held by State Street or a third-party custodian until repurchased. State Street will continually monitor the value of the underlying securities to verify that their value, including accrued interest, always equals or exceeds the repurchase price. HOW WE CALCULATE THE VALUE OF AMOUNTS ALLOCATED TO THE EQUITY INDEX AND LIFECYCLE FUNDS CONTRIBUTIONS AND TRANSFERS: PURCHASE OF FUND UNITS. The portion of each contribution or transfer allocated to the Equity Index Fund or the Lifecycle Funds will be used to purchase Units. Your interest in each Fund is represented by the value of the Units credited to your Account for that Fund. The number of Units purchased by a contribution or transfer to a Fund is calculated by dividing the amount allocated by the Unit Value calculated as of the close of business on the day we receive your contribution or transfer instruction. The number of Units credited to your Account will not vary because of any subsequent fluctuation in the Unit Value, but the value of a Unit fluctuates with the investment experience of the Fund. In other words, the Unit Value will reflect the investment income and realized and unrealized capital gains and losses of that Fund as well as the deductions and charges we make to the Fund. HOW WE DETERMINE THE UNIT VALUE. We determine the Unit Value for the Equity Index Fund and each of the Lifecycle Funds at the end of each business day. The Unit Value for each of these Funds is calculated by first determining a gross unit value, which reflects only investment performance, and then adjusting it for Fund expenses to obtain the Fund Unit Value. We determine the gross unit value by multiplying the gross unit value for the preceding business day by the net investment factor for that subsequent business day. We calculate the net investment factor as follows: o First, we take the value of the Fund's assets at the close of business on the preceding business day. o Next, we add the investment income and capital gains, realized and unrealized, that are credited to the assets of the Fund during the business day for which we are calculating the net investment factor. o Then we subtract the capital losses, realized and unrealized, charged to the Fund during that business day. o Finally, we divide this amount by the value of the Fund's assets at the close of the preceding business day. 22 The Fund Unit Value is calculated on every business day by multiplying the Fund Unit Value for the last business day of the previous month by the net change factor for that business day. The net change factor for each business day is equal to (a) minus (b) where: (a) is the gross unit value for that business day divided by the gross unit value for the last business day of the previous month and; (b) is the charge to the Fund for that month for the daily accrual of fees and other expenses times the number of days since the end of the preceding month. The Equity Index Fund's investments in the Seven Seas S&P 500 Index Fund will be valued at the underlying mutual fund's net asset value per share. The investments made by each of the Lifecycle Funds in units of the corresponding Lifecycle Fund Group Trust will be valued at the net asset value of the units of such Lifecycle Fund Group Trust. The units of each of the Lifecycle Fund Group Trusts will be valued each business day as of the close of the regular trading session of the New York Stock Exchange (currently 4 p.m. Eastern time). A business day is any business day on which the New York Stock Exchange is open for business. The net asset value of each unit is computed by dividing the current value of the assets of each Lifecycle Fund Group Trust, less its liabilities, by the number of units outstanding and rounding to the nearest cent. Investments made by each Lifecycle Fund Group Trust in the Underlying Funds will be valued at the Underlying Fund's net asset value per unit. The units of each Underlying Fund are valued each business day in a manner that is similar to the method used for valuing units of the Lifecycle Fund Group Trusts daily. Assets of the Flagship Fund, 2000 Fund, Daily EAFE Fund and the GC Bond Fund are valued on the basis of readily available market values or, if no such values are available, on the basis of fair values as determined in good faith by State Street. Assets of the STIF Fund are valued at amortized cost. Under this method of valuation, securities purchased by the STIF Fund, such as bonds, notes, commercial paper, certificates of deposit, or other evidences of indebtedness, are recorded at original cost and valued daily by adjusting for premium amortization or discount accretion. 23 EQUITABLE LIFE AND STATE STREET EQUITABLE LIFE Equitable Life is a diversified financial services organization serving a broad spectrum of insurance, investment management and investment banking customers. We are a New York stock life insurance company and our Home Office is located at 787 Seventh Avenue, New York, New York 10019. Founded in 1859, we are one of the largest life insurance companies in the United States. We are authorized to sell life insurance and annuities in all fifty states, the District of Columbia, Puerto Rico and the Virgin Islands. We maintain local offices throughout the United States. Equitable Life is a wholly-owned subsidiary of The Equitable Companies Incorporated (the "Holding Company"). The largest stockholder of the Holding Company is AXA S.A. AXA beneficially owns 60.6% of the outstanding shares of common stock of the Holding Company plus convertible preferred stock. Under its investment arrangements with Equitable Life and the Holding Company, AXA is able to exercise significant influence over the operations and capital structure of the Holding Company and its subsidiaries, including Equitable Life. AXA, a French company, is the holding company for an international group of insurance and related financial service companies. Equitable Life, the Holding Company and their subsidiaries managed assets of approximately $195.3 billion as of December 31, 1995. THE SEPARATE ACCOUNTS Each of the seven Funds is a separate account of Equitable Life; we own all of the assets of the separate accounts. A separate account is a separate investment account which we use to support our group annuity contracts, and for other purposes permitted by applicable law. We keep the assets of each separate account segregated from our general account and from any other separate accounts we may have. Although the assets of the Funds are our property, our obligation to you under the group annuity contract equals the value of your accumulation in each Fund. Income, gains and losses, whether or not realized, from assets invested in the Funds are, in accordance with the group annuity contract, credited to or charged against each Fund without regard to our other income, gains or losses. The portion of each Fund's assets we hold on your behalf may not be used to satisfy obligations that may arise out of any other business we conduct. We may, however, transfer amounts owed to us, such as fees and expenses, to our general account at any time. We may make these transfers even if the Fund in question does not have sufficient liquidity to make all withdrawals requested by participants. The separate account which we call the Equity Index Fund was established on February 1, 1994. The separate accounts which we call the Lifecycle Funds were established on May 1, 1995. The Funds are governed by the laws and regulations of the state of New York, where we are domiciled, and may also be governed by laws of other states in which we do business. The Equity Index Fund and Lifecycle Funds are used exclusively for the ADA Program. Because of exclusionary provisions, the Separate Accounts are not subject to regulations under the 1940 Act. We do not manage the Equity Index Fund or the Lifecycle Funds. We act in accordance with the investment policies established by the Trustees. STATE STREET State Street is a trust company established under the laws of the Commonwealth of Massachusetts. It is a wholly-owned subsidiary of State Street Boston Corporation, a publicly held bank holding company 24 registered under the Federal Bank Holding Company Act of 1956, as amended. State Street's home office is located at 225 Franklin Street, Boston, Massachusetts 02110. Through its institutional investment arm, SSGA, State Street provides a comprehensive array of investment products that span the spectrum from indexed to fully active investment management approaches. Its customers include corporate, union, and public pension plans, endowments, foundations and other financial institutions in the U.S. and abroad. As of December 31, 1995, State Street was ranked the second largest U.S. manager of tax-exempt assets and the largest manager of international index assets. It had total assets of $220 billion under management at December 31, 1995. THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS Each of the Lifecycle Fund Group Trusts and the Underlying Funds (referred to collectively herein as "Trust" or "Trusts") is a collective investment fund maintained by State Street. Although similar in many respects to mutual funds, a collective investment fund is excluded from regulation under the 1940 Act if it is maintained by a bank and consists only of assets of tax qualified retirement plans. The Trusts and Underlying Funds each satisfy both of these requirements, and are not subject to the 1940 Act as otherwise applicable to mutual funds. Each Trust is operated by a single corporate trustee (State Street), which is responsible for all aspects of the Trust, including portfolio management, administration and custody. Under the Trusts, participants have no voting rights with respect to the selection of State Street, as trustee, the selection of the Trust's investment adviser or manager, or changes to any investment policy of the Trust. State Street is subject to supervision and examination by the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Massachusetts Commissioner of Banks. This, however, does not provide any protection against loss that may be experienced as a result of an investment in the Trusts. Further, State Street is required to comply with ERISA, to the extent applicable, in connection with the administration of the Program. TAX STATUS OF THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS. Each Trust is a tax-exempt group trust established pursuant to Revenue Ruling 81-100. As a tax-exempt group trust, each Trust is not subject to federal income tax unless the Trust generates unrelated business taxable income as defined in the Code ("UBTI"). It is the policy of State Street not to invest any portion of the assets of a Trust in a manner that will generate UBTI. If State Street determines, however, that a proposed investment cannot be structured to avoid UBTI and that the projected after-tax return on that investment is sufficient to justify the making of such investment, then State Street may elect to make that investment. In the unlikely event that any UBTI is incurred by a Trust, it is anticipated that any tax thereon would be reported and paid by the Trust as an expense of such Trust. 25 INVESTMENT PERFORMANCE MEASURING THE INVESTMENT PERFORMANCE OF THE FUNDS We recognize that the performance of the Funds that you invest your retirement savings in is important to you. The purpose of this discussion is to give you an overview of how our Funds have performed in the past year. OF COURSE, PAST PERFORMANCE CANNOT BE USED TO PREDICT FUTURE PERFORMANCE. Fund performance is most often measured by the change in the value of fund units over time. Unlike typical mutual funds, which usually distribute earnings annually, separate account funds reinvest all earnings. As described previously, the unit value calculations for the Funds include all earnings, including dividends and realized and unrealized capital gains. Changes in the unit values can be expressed in terms of the Fund's annual percentage change, its average annual change, or its cumulative change over a period of years. Each of these measurements is valuable on its own. In addition, it often is helpful to compare the Fund's performance with the results of unmanaged market indices. The following tables and graphs provide a historical view of the Funds' investment performance. The information presented includes performance results for each Fund, along with data representing unmanaged market indices. Financial statements for the Funds can be found in the SAI. UNMANAGED MARKET INDICES Unmanaged market indices, or "benchmarks," while providing a broader perspective on relative performance, are only a tool for comparison. Performance data for the unmanaged market indices do not reflect any deductions for investment advisory, brokerage or other expenses of the type typically associated with an actively managed fund. This effectively overstates the rate of return of the market indices relative to that which would be available to a typical investor, and limits the usefulness of these indices in assessing the performance of the Funds. Since the Funds do not distribute dividends or interests, the market indices have been adjusted to reflect reinvestment of dividends and interest to provide greater comparability. We have presented data for the following unmanaged indices. Both of these may be appropriate comparative measures of performance for the Funds. o CONSUMER PRICE INDEX (URBAN CONSUMERS -- NOT SEASONALLY ADJUSTED) "CPI" -- an index of inflation. o STANDARD AND POOR'S 500 INDEX ("S&P 500") -- an unmanaged weighted index of the securities of 500 industrial, transportation, utility and financial companies widely regarded by investors as representative of the stock market. This index should not be confused with the performance of the Equity Index Fund nor that of the Seven Seas Series S&P 500 Index Fund, which seek to emulate the results of the S&P 500 Index. See The Investment Options -- The Equity Index Fund for more information. 26 HOW PERFORMANCE DATA ARE PRESENTED We have shown performance on several different bases: o The annual percentage changes in Fund Unit Values, o The average annual percentage change in Fund Unit Values, and o The total value as of December 31, 1995 of a $10,000 investment made on January 1, 1993. THE FUNDS' PERFORMANCE SHOWN MAY NOT REPRESENT YOUR ACTUAL EXPERIENCE AND IT DOES NOT REPRESENT THE EFFECT OF THE RECORD MAINTENANCE AND REPORT OR ENROLLMENT FEES. The annual percentage change in Fund unit values represents the percentage increase or decrease in unit values from the beginning of one year to the end of that year. During any year unit values will, of course, increase or decrease reflecting fluctuations in the securities markets. The average annual rates of return are time-weighted, assume an investment at the beginning of each period, and include the reinvestment of investment income. Performance data for the Equity Index Fund reflects the performance of Separate Account No. 195 for the period beginning February 1, 1994. For periods prior to February 1, 1994, hypothetical performance is shown, which reflects the performance of the Seven Seas S&P 500 Index Fund beginning 1993, the first full year after that Fund began operations. For these hypothetical calculations we have applied the Program expense charge during those periods plus .15% in estimated other expenses to the historical investment experience of the Seven Seas Series S&P 500 Index Fund. No results are shown for periods prior to 1993, as the State Street S&P 500 Index Fund began operations during 1992. Performance data for the Lifecycle Funds are shown for the period when the Funds commenced operations on May 1, 1995 through December 31, 1995. ANNUAL PERCENTAGE CHANGE IN FUND UNIT VALUES
EQUITY LIFECYCLE FUNDS-- LIFECYCLE FUNDS-- INDEX CONSERVATIVE MODERATE S&P 500 CPI 1995 35.1% 5.9% 10.1% 37.5% 2.9% 1994 0.7 -- -- 1.3 2.7 1993 6.4 -- -- 10.0 2.7
AVERAGE ANNUAL PERCENTAGE CHANGE IN FUND UNIT VALUES -- YEARS ENDING DECEMBER 31, 1995
LIFECYCLE EQUITY FUNDS-- LIFECYCLE INDEX CONSERVATIVE FUNDS-- MODERATE S&P 500 CPI 1 Year 35.1% 5.9% 10.1% 37.5% 2.9% 2 Year 16.7 -- -- 18.1 2.8 3 year 13.1 -- -- 15.3 2.8
PAST PERFORMANCE IS NOT AN INDICATION OF FUTURE PERFORMANCE. NO PROVISIONS HAVE BEEN MADE FOR THE EFFECT OF TAXES ON INCOME AND GAINS OR UPON DISTRIBUTIONS. 27 THE PROGRAM The purpose of this section is to explain the ADA Members Retirement Program in more detail. Although we have described important aspects of the Program, you should understand that the provisions of your plan and the Participation Agreement will define the scope of the Program and its specific terms and conditions. This section is for employers, and for the purposes of this section, "you" and "your" refer to you in that role although you may also be a participant in the plan. EMPLOYERS WHO MAY PARTICIPATE IN THE PROGRAM If you are a sole proprietor, a partner or a shareholder in a professional corporation, your practice, as an employer, can adopt the Program if you or at least one of your fellow partners or shareholders is a member of: o the ADA, o one of its constituent or component societies, or o an ADA-affiliated organization whose participation in the Program has been approved by the Council on Insurance of the ADA. ADA constituent or component societies may also adopt the Program for their own employees within certain limitations imposed by the Internal Revenue Code. CHOICES FOR THE EMPLOYER The ADA Members Retirement Program gives you a variety of approaches to choose from. You can: o Adopt our Master Plan, which gives you options as to types of plans and plan provisions. The Master Plan uses the Program Investment Options as the exclusive investment choices. o Adopt the Self-Directed Prototype plan, which gives additional flexibility to choose investments, or o Maintain your own individually-designed plan, but use the Investment Options as an investment for your plan. SUMMARY OF THE PLANS AND TRUSTS THE MASTER PLAN -- Under the Master Plan, you will automatically receive a full range of services from Equitable Life, including your choice of the Investment Options, plan-level and participant-level recordkeeping, benefit payments and tax withholding and reporting. o The Master Plan is a defined contribution master plan which can be adopted as a profit sharing plan (including an optional 401(k) feature), a defined contribution pension plan, or both. THE SELF-DIRECTED PROTOTYPE PLAN -- is a defined contribution prototype plan which can be used to combine the Program Investment Options with individual investments such as stocks and bonds. Employers must also adopt the Pooled Trust and maintain a minimum of $25,000 in the Trust at all times. We provide recordkeeping services only for plan assets held in the Pooled Trust. THE ADA MEMBERS POOLED TRUST FOR RETIREMENT PLANS -- is an investment vehicle to be used by those who have an individually designed qualified retirement plan. The Pooled Trust is for investment only and can be used for both defined benefit and defined contribution plans. We provide participant-level or plan-level recordkeeping services for plan assets held in the Pooled Trust. 28 INFORMATION ON JOINING THE PROGRAM Our Retirement Program Specialists are available to answer your questions about joining the Program. To reach one of our Retirement Program Specialists, call or write to us at:
By Phone 1-800-523-1125, ext. 2608 From Alaska, 0-201-392-5331, collect Specialists are available from 9 a.m. to 5 p.m. Eastern Time, Monday through Friday. By Regular Mail The ADA Members Retirement Program c/o Equitable Life Box 2011 Secaucus, New Jersey 07096 By Registered, Certified or The ADA Members Retirement Program c/o Equitable Life 200 Plaza Overnight Mail Drive, Second Floor Secaucus, New Jersey 07094
CHOOSING THE RIGHT PLAN Choosing the right plan depends on your own unique set of circumstances. Although Equitable Life's Retirement Program Specialists can help explain the Program, you and your tax advisors must decide which plan is best for you. GETTING STARTED IN THE PROGRAM AFTER CHOOSING A PLAN To adopt the Master Plan, you must complete a Participation Agreement. If you have your own plan and wish to use the Pooled Trust as an investment option, the trustee of your plan must complete the appropriate Participation Agreement. Our Retirement Program Specialists can help you complete the Participation Agreement for review by your tax advisor. To adopt our prototype self-directed plan, you must complete the prototype plan adoption agreement and a Participation Agreement for the Pooled Trust. In addition, you must also arrange separately for plan level accounting and brokerage services. We provide recordkeeping services only for plan assets held in the Pooled Trust. You can use any plan recordkeeper of your choice or you can arrange through us to hire Trust Consultants, Inc. at a special rate. You can also arrange through us brokerage services from our affiliate, Pershing Discount Brokerage Services, at special rates or use the services of any other broker. 29 COMMUNICATING WITH US AFTER YOU ENROLL
By Phone To Reach an Account 1-800-223-5790 (9 a.m. to 5 p.m. Eastern Time, Monday Executive through Friday) To Reach the Account 1-800-223-5790 (24 Hours) Investment Management ("AIM") System: - --------------------------------------------------------------------------------------------- By Regular Mail (Other than The ADA Members Retirement Program Box 2486 G.P.O. New contribution checks) York, New York 10116 - --------------------------------------------------------------------------------------------- By Registered, Certified or The ADA Members Retirement Program c/o Equitable Life 200 Overnight Mail Plaza Drive, Second Floor Secaucus, New Jersey 07094 - --------------------------------------------------------------------------------------------- For Contribution Checks Only The Association Members Retirement Program P.O. Box 1599 Newark, New Jersey 07101-9764
YOUR RESPONSIBILITIES AS THE EMPLOYER Employers adopting the Master Plan are responsible for the plan and its administration. This includes certain responsibilities relating to the administration and continued qualification of your plan. See Your Responsibilities As Employer in the SAI for a list of responsibilities which you will have if you adopt the Master Plan. If you have an individually designed plan, you already have these responsibilities; they are not increased in any way by your adoption of the Pooled Trust for investment purposes only. It is your responsibility to determine that the terms of your plan are consistent with the provisions of the Pooled Trust and our practices described in this prospectus and the SAI. If you utilize our prototype self-directed plan, you will have responsibilities as the plan administrator and will also have to appoint a plan trustee; these responsibilities will be greater than those required by the adoption of the Master Plan. Again it is also your responsibility to determine that the terms of your plan are consistent with the provisions of the Pooled Trust and our practices described in this prospectus and the SAI. You should consult your legal advisor for an understanding of your legal responsibilities under the self-directed plan. We will give you guidance and assistance in the performance of your responsibilities. The ultimate responsibility, however, rests with you. WHEN TRANSACTIONS ARE EFFECTIVE A business day is any day both we and the New York Stock Exchange are open. Contributions, transfers, and allocation changes are normally effective on the business day they are received. Distribution requests are also effective on the business day they are received unless, as in the Master Plan, there are plan provisions to the contrary. However, we may have to delay the processing of any transaction which is not accompanied by a properly completed form or which is not mailed to the correct address. An Account 30 Executive will generally be available to speak with you each business day from 9 a.m. to 5 p.m. Eastern Time. We may, however, close due to emergency conditions. MINIMUM INVESTMENTS There is no minimum amount which must be invested if you adopt the Master Plan, or if you have your own individually-designed plan and use the Pooled Trust as an investment. If you adopt our self-directed prototype plan, you must keep at least $25,000 in the Pooled Trust at all times. MAKING CONTRIBUTIONS TO THE PROGRAM You should send contribution checks or money orders payable to The ADA Retirement Trust to the address shown under Communicating With Us After You Enroll. All contributions must be accompanied by a properly completed Contribution Remittance form which designates the amount to be allocated to each participant. Contributions are normally credited on the business day that we receive them, provided the remittance form is properly completed. Contributions are only accepted from the employer. Employees may not send contributions directly to the Program. OUR ACCOUNT INVESTMENT MANAGEMENT (AIM) SYSTEM We offer an automated telephone system for participants to transfer between investment options, obtain account information and change the allocation of future contributions. To use the AIM System, participants must have a Personal Security Code (PSC) number. If you have a touch-tone telephone you may make transfers on the AIM System. Procedures have been established by Equitable Life for its AIM System that are considered to be reasonable and are designed to confirm that instructions communicated by telephone are genuine. Such procedures include requiring certain personal identification information prior to acting on telephone instructions and providing written confirmation of instructions communicated by telephone. If Equitable Life does not employ reasonable procedures to confirm that instructions communicated by telephone are genuine, we may be liable for any losses arising out of any action on our part or any failure or omission to act as a result of our own negligence, lack of good faith or willful misconduct. In light of the procedures established, Equitable Life will not be liable for following telephone instructions that we reasonably believe to be genuine. We may discontinue the telephone transfer service at any time without notice. ALLOCATING CONTRIBUTIONS AMONG THE INVESTMENT OPTIONS Under the Master Plan, participants make all investment decisions. Under an individually-designed plan or our self-directed prototype plan, either the participants or the plan trustees make the investment allocation decisions, depending on the terms of the plan. Contributions may be allocated among any number of the Investment Options. Allocation instructions may be changed at any time, and as often as needed, by calling the AIM System. New instructions become effective on the business day we receive them. You may allocate employer contributions in different percentages than employee contributions. IF WE HAVE NOT RECEIVED VALID INSTRUCTIONS, WE WILL ALLOCATE YOUR CONTRIBUTIONS TO THE MONEY MARKET GUARANTEE ACCOUNT. 31 TRANSFERS AMONG THE INVESTMENT OPTIONS Participants in the Master Plan may make transfers on a daily basis without charge. Participants in other plans may make transfers whenever the plan allows them to do so. We do not charge a fee for transfers. (If an individually designed plan does not allow transfers by individual participants, only you as employer or trustee may make a transfer.) Participants may use the AIM System to transfer amounts among the investment options. All transfers are made as of the close of business on the day we receive the authorized instructions, provided we receive the request by 4:00 p.m. Eastern time. Transfer requests received after that time will be processed as of the close of business on the following business day. Transfers from the Equity Index Fund and the Lifecycle Funds are permitted at any time except if there is any delay in redemptions from the underlying mutual fund or, with respect to the Lifecycle Funds, the Lifecycle Fund Group Trusts in which they invest. See The Equity Index Fund and Lifecycle Fund- Conservative and Moderate. DISTRIBUTIONS FROM THE INVESTMENT OPTIONS There are two sets of rules that must be kept in mind when considering distributions or withdrawals from the Program. The first are the rules and procedures which apply to the Investment Options, exclusive of the provisions of your plan. These are discussed in this section. The second are the rules specific to your plan; these are discussed under When Distributions are Available to Participants. Amounts in the Equity Index Fund and the Lifecycle Funds are generally available for distribution at any time, subject to the provisions of your plan. However, there may be a delay for withdrawals from these Funds if there is any delay in the redemptions from the underlying mutual fund and the Lifecycle Fund Group Trusts. Please note that certain plan distributions may be subject to penalty or excise taxes. See The Program and Federal Income Tax Considerations for more details. Payments or withdrawals out of the Equity Index Fund and the Lifecycle Funds and application of proceeds to an annuity ordinarily will be made promptly upon request in accordance with Plan provisions. However, we can defer payments, applications and withdrawals from these Funds for any period during which the New York Stock Exchange is closed for trading, sales of securities are restricted or determination of the fair market value of assets of the Funds is not reasonably practicable because of an emergency. WHEN DISTRIBUTIONS ARE AVAILABLE TO PARTICIPANTS In addition to the rules and procedures generally applicable to investments in the Investment Options under the Program, there are other important rules regarding the distribution and benefit payment options for each type of plan. Distributions and benefit payment options under a qualified retirement plan are subject to extremely complicated legal requirements. Certain plan distributions may be subject to penalty or excise taxes. A general explanation of the federal income tax treatment of distributions and benefit payment options is provided in Federal Income Tax Considerations in both this prospectus and the SAI. If a participant retires, becomes disabled or terminates employment, the benefit payment options available should be discussed with a qualified financial advisor. Our Account Executives can also be of assistance. In general, under the Master Plan or our self-directed prototype plan, participants are eligible for benefits upon retirement, death or disability, or upon termination of employment with a vested benefit. ("Vested" refers to the nonforfeitable portion of your benefits under the plan.) Participants in an individually 32 designed plan are eligible for retirement benefits depending on the terms of that plan. See Benefit Payment Options and Federal Income Tax Considerations for more details. In most cases, benefits must begin no later than April 1 of the year after the participant reaches age 70-1/2. A participant (other than a more-than-10% owner in an unincorporated practice) may be exempt from this requirement only if a special election was filed with the employer before January 1, 1984. Under the Master Plan, self-employed persons may generally not receive a distribution prior to age 59-1/2 and employees generally may not receive a distribution prior to a separation from service. PARTICIPANT LOANS The Master Plan permits participants to borrow a portion (not to exceed $50,000) of his or her vested Account Balance (all plans combined), if the employer has elected this feature. If the participant is a sole proprietor, partner who owns more than 10% of the business, or a shareholder-employee of an S Corporation who owns more than 5% of the business, he or she presently may not borrow from his or her vested Account Balance without first obtaining a prohibited transaction exemption from the Department of Labor. Participants should consult with their attorneys or tax advisors regarding the advisability and procedures for obtaining such an exemption. Loans are also available under our self-directed prototype plan and under an individually designed plan if the terms of the plan allow them. Generally speaking, when a loan is taken, an amount equal to the loan is transferred out of the Investment Options and is set up as a loan account. While the loan is outstanding, the participant must pay interest on the loan. Any principal and interest paid will be added to the participant's loan account balance and will be taxable on distribution. If you fail to repay the loan when due, the amount of the unpaid balance may be taxable and subject to additional penalty taxes. The interest paid on a retirement plan loan may not be deductible. Loans from the plan should be applied for through the employer. Loans are subject to restrictions under federal tax laws and all plans of the employer are aggregated for purposes of these restrictions. Loan kits containing all necessary forms, along with an explanation of how interest rates are set, are available from our Account Executives. If a participant is married, written spousal consent will be required for a loan. BENEFIT PAYMENT OPTIONS We offer a variety of benefit payment options to participants who are eligible to receive benefits from a plan. However, many self-directed and individually-designed plans do not allow all of these options, so you should ask your employer for details on which of these options may be available. Your plan may allow for one or more of the following forms of distribution to be selected: o Qualified Joint and Survivor Annuity o Lump Sum Payment o Installment Payments o Life Annuity o Life Annuity -- Period Certain o Joint and Survivor Annuity o Joint and Survivor Annuity -- Period Certain o Cash Refund Annuity 33 See Types of Benefits in the SAI for detailed information regarding each of these options, and Procedures for Withdrawals, Distributions and Transfers in the SAI. The annuity options may be either fixed or variable except for the Cash Refund Annuity and the Qualified Joint and Survivor Annuity. Fixed annuities are available from insurance companies selected by the Trustees, which meet criteria established by the Trustees from time to time. Upon request, we will provide fixed annuity rate quotes available from one or more such companies. Participants may instruct us to withdraw all or part of their Account Balance and forward it to the annuity provider selected. Once we have distributed that amount to the company selected, we will have no further responsibility to the extent of the distribution. We provide the variable annuity options. Payments under variable annuity options reflect investment performance of the Growth Equity Fund. The minimum amount that can be used to purchase any type of annuity is $3,500. In most cases an annuity administrative charge of $350 will be deducted from the amount used to purchase an annuity from Equitable Life. Annuities purchased from other providers may also be subject to fees and charges. SPOUSAL CONSENT RULES If a participant is married and has an Account Balance greater than $3,500, federal law generally requires payment of a Qualified Joint and Survivor Annuity payable to the participant for life and then to the surviving spouse for life, unless the participant and spouse have properly waived that form of payment in advance. If a participant is married, the spouse must consent in writing before any type of withdrawal can be made. See Spousal Consent Requirements in the SAI. BENEFITS PAYABLE AFTER THE DEATH OF A PARTICIPANT If a participant dies before the entire benefit has been paid, the remaining benefits will be paid to the beneficiary. The law generally requires the entire benefit to be distributed no more than five years after death. There are two exceptions -- (1) if the benefit is payable to the spouse, the spouse may elect to receive benefits over his or her life or a fixed period measured by life expectancy beginning any time up to the date the participant would have attained age 70-1/2 or, if later, one year after the participant's death, and (2) a beneficiary who is not the participant's spouse may elect payments over his or her life or a fixed period measured by life expectancy, provided payments begin within one year of death. If, at death, a participant was already receiving benefits, the beneficiary can continue to receive benefits based on the payment option selected by the participant. To designate a beneficiary or to change an earlier designation, a participant must have the employer send us a beneficiary designation form. The spouse must consent in writing to a designation of any non-spouse beneficiary, as explained in Procedures for Withdrawals, Distributions and Transfers -- Spousal Consent Requirements in the SAI. If a participant in the Master Plan dies without designating a beneficiary, the vested benefit will automatically be paid to the spouse or, if the participant is not married, to the first surviving class of his or her (a) children, (b) parents and (c) brothers and sisters. If none of them survive, the participant's vested benefit will be paid to the participant's estate. If a participant in our prototype self-directed plan dies without designating a beneficiary, the vested benefit will automatically be paid to the spouse or, if the participant is not married, to the first surviving class of his or her (a) children, (b) grandchildren, (c) parents, (d) brothers and sisters and (e) nephews and nieces. If none of them survive, the participant's vested benefit will be paid to the participant's estate. Under the Master Plan, on the day we receive proof of death, we automatically transfer the participant's Account Balance in the Equity Index Fund or the Lifecycle Funds to the Money Market Guarantee Account unless the beneficiary gives us other written instructions. 34 DEDUCTIONS AND CHARGES There are two general types of expenses you may incur under the Program. The first is expenses which are based on amounts invested in the Program. These are deducted from the assets of a particular Fund in which you invest, or from the assets of an underlying vehicle in which such Fund invests. The expenses deducted from the Equity Index Fund and the Lifecycle Funds are the Program expense charge, the administration fee, and certain other expenses. These charges are deducted regardless of the type of plan you may have. The charges also apply to amounts being distributed under installment payout options. The charges deducted from the Seven Seas S&P 500 Index Fund in which the Equity Index Fund invests, the Lifecycle Fund Group Trusts in which the Lifecycle Funds invest, or the Underlying Funds in which the Lifecycle Fund Group Trusts invest, include investment management fees, administration fees, custodial fees and certain other expenses. These charges reduce the net asset value of The Seven Seas S&P 500 Index Fund and the Lifecycle Fund Group Trusts, and are ultimately reflected in the Unit Values of the Equity Index Fund and the Lifecycle Funds. See Investment Management Fee under Deductions and Charges Related to the Lifecycle Fund Group Trusts and Underlying Funds. The second type of charge is expenses which vary by the type of plan you have or which are charged for specific transactions. These are typically stated in terms of a defined dollar amount. Unless otherwise noted, fees which are set in fixed dollar amounts are deducted by reducing the number of Units in the Equity Index or Lifecycle Funds in which you invest. No deductions are made from contributions or withdrawals for sales expenses. The applicable deductions and charges are described in detail below. CHARGES BASED ON AMOUNTS INVESTED IN THE PROGRAM PROGRAM EXPENSE CHARGE We assess the Program expense charge against the combined value of Program assets in all of the Investment Options available under the Program, including Investment Options not described in this prospectus. The purpose of this charge is to cover the expenses incurred by Equitable Life and the ADA in connection with the Program. The Unit Values of the Equity Index and Lifecycle Funds reflect the deduction of this charge. The amount payable to us and the ADA is calculated as follows:
ANNUAL PROGRAM EXPENSE CHARGE Value of Program Assets Equitable Life ADA* Total First $400 million .650% .025% .675% Next $350 million .650 .020 .670 Over $750 million .650 .020 .670
* Currently, this charge has been reduced to 0.01% for all asset value levels, but the charge could in the future be increased to the levels shown in the table. 35 For all Investment Options (other than the Guaranteed Rate Accounts), including the Equity Index and Lifecycle Funds, the Program expense charge is calculated based on Program assets at the end of the second previous month, and is charged at a monthly rate of 1/12 of the relevant annual charge. For a description of the Program expense charge as it relates to the Guaranteed Rate Accounts, please refer to our separate prospectuses for these Investment Options. The portion of the Program expense charge paid to Equitable Life is applied toward the cost of maintenance of the Investment Options, promotion of the Program, commissions, administrative costs, such as enrollment and answering participant inquiries, and overhead expenses such as salaries, rent, postage, telephone, travel, legal, actuarial and accounting costs, office equipment and stationery. The ADA's part of this fee covers developmental and administrative expenses incurred in connection with the Program. The Trustees can direct Equitable Life to raise or lower the ADA's part of this fee to reflect their expenses in connection with the Program. Currently, this fee has been reduced to 0.01% for all asset value levels. During 1995, Equitable received $6,487,705 and the ADA received $104,687 under the Program expense charge then in effect. ADMINISTRATION FEE The computation of the Unit Values for the Equity Index and Lifecycle Funds also reflects the deduction of charges for administration. Equitable Life receives an administration fee at the annual rate of .15% of assets held in the Equity Index and Lifecycle Funds. This fee covers the costs related to providing administrative services in connection with the offering of these Funds. Equitable Life maintains records for all portfolio transactions and cash flow control, calculates Unit Values, and monitors compliance with the New York Insurance Law in connection with these Funds. OTHER EXPENSES BORNE DIRECTLY BY THE FUNDS Certain costs and expenses are charged directly to the Equity Index Fund and the Lifecycle Funds. These may include Securities and Exchange Commission filing fees and certain related expenses including printing of SEC filings, prospectuses and reports, mailing costs, financial accounting costs and outside auditing and legal expenses. By agreement with the ADA Trustees, Equitable Life imposes a charge at the annual rate of .03% of the value of the respective assets of the Lifecycle Funds-Conservative and Moderate to compensate it for additional legal, accounting and other potential expenses resulting from the inclusion of the Lifecycle Fund Group Trusts and Underlying Funds maintained by State Street among the Investment Options described in this prospectus. All of these costs are included as "Other Expenses" in the tables of Annual Fund Operating Expenses and Summary of Fund Expenses. The Equity Index Fund purchases and sells shares in the Seven Seas S&P 500 Index Fund at net asset value. The net asset value reflects charges for management, audit, legal, shareholder services, transfer agent and custodian fees. For a description of charges and expenses assessed by the Seven Seas S&P 500 Index Fund, which are indirectly borne by the Equity Index Fund, please refer to the prospectus for the Seven Seas S&P 500 Index Fund. In addition, the Lifecycle Funds purchase and sell units of each Lifecycle Fund Group Trust at net asset value, which reflects charges for management, administration and custodial services, and other expenses incurred by the Lifecycle Fund Group Trusts, as well as other expenses and custodial fees incurred by the Underlying Funds in which each Lifecycle Fund Group Trust invests. See discussion below under Deductions and Charges Related to the Lifecycle Fund Group Trusts and Underlying Funds. 36 PLAN AND TRANSACTION EXPENSES ADA RETIREMENT PLAN, PROTOTYPE SELF-DIRECTED PLAN AND INDIVIDUALLY- DESIGNED PLAN FEES RECORD MAINTENANCE AND REPORT FEE. At the end of each calendar quarter, we deduct a record maintenance and report fee from each participant's Account Balance. This fee is
ADA Members Retirement Plan participants .......... $3 per quarter Self-Directed Prototype Plan participants ......... $3 per quarter Participants in Pooled-Trust Arrangement .......... $1 per quarter
ENROLLMENT FEE. The employer must pay us a non-refundable enrollment fee of $25 for each participant enrolling under its plan. If we do not maintain individual participant records under an individually- designed plan, the employer is instead charged $25 for each plan or trust. If these charges are not paid by the employer, the amount may be deducted from subsequent contributions or from participants' Account Balances. PROTOTYPE SELF-DIRECTED PLAN FEES. Employers who participate in our prototype self-directed plan will incur additional fees not payable to us, such as brokerage and administration fees. INDIVIDUAL ANNUITY CHARGES ANNUITY ADMINISTRATIVE CHARGE. If a participant elects a variable annuity payment option, a $350 charge will usually be deducted from the amount used to purchase the annuity to reimburse us for administrative expenses associated with processing the application for the annuity and with issuing each month's annuity payment. Annuities purchased from other providers may also be subject to fees and charges. See Distributions From the Investment Options and Benefit Payment Options for details. PREMIUM TAXES. In certain jurisdictions, amounts used to purchase an annuity are subject to a premium tax (rates currently range up to 5%). Taxes depend, among other things, on your place of residence, applicable laws and the form or annuity benefit you select. We will deduct any premium taxes we pay based on your place of residence at the time the annuity payments begin. GENERAL INFORMATION ON FEES AND CHARGES The fees and charges described above may be changed at any time by the mutual consent of Equitable Life and the ADA. During 1995 we received total fees and charges under the Program of $9,232,986. 37 DEDUCTIONS AND CHARGES RELATED TO THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS In addition to the generally applicable Program fees and charges described above, fees and charges imposed by State Street are deducted from the assets of the Lifecycle Fund Group Trusts in which the Lifecycle Funds invest, or the Underlying Funds in which the Lifecycle Fund Group Trusts invest. Fees are paid to State Street for providing investment management services, and custodial services, and for other expenses incurred in connection with operating the Lifecycle Fund Group Trusts and the Underlying Funds. INVESTMENT MANAGEMENT FEE. A fee equal to .17% of the average annual net assets of each Lifecycle Fund Group Trust is paid to State Street for providing investment management services to the Group Trusts. No fee is paid to State Street for managing the assets of the Underlying Funds with respect to investments made in such Fund by each Lifecycle Fund Group Trust. State Street may receive fees for managing the assets of other collective investment funds in which the Funds may invest on a temporary basis, and for managing the mutual funds in which assets of the Underlying Funds may be invested. State Street has agreed to reduce its management fee charged each of the Lifecycle Fund Group Trusts to offset any management fees State Street receives attributable to the Group Trusts' investment in such other collective investment funds and mutual funds. FIXED ADMINISTRATION FEE. A deduction is made from the assets of each Lifecycle Fund Group Trust to compensate State Street for providing various recordkeeping and accounting services to such Trust and for periodically rebalancing the assets of each Trust to conform to the target percentage weightings for the Trust. This fee is currently fixed at $11,100 per year for each Group Trust. OTHER EXPENSES. Certain costs and expenses are charged directly to the Lifecycle Fund Group Trusts. These include legal and audit expenses and costs related to providing educational and other materials to ADA Program participants about the Lifecycle Fund investment options. In addition, participants indirectly incur expenses for audit and custodial services provided to the Underlying Funds and to the Russell 2000 Value and Growth Funds. State Street serves as custodian to each of these Funds. 38 FEDERAL INCOME TAX CONSIDERATIONS Current federal income tax rules relating to adoption of the Program and generally to distributions to participants under qualified retirement plans are outlined briefly below. These rules relating to contributions are outlined briefly in the SAI under Provisions of the ADA Plans. For purposes of this outline we have assumed that you are not a participant in any other qualified retirement plan. We have not attempted to discuss other current federal income tax rules that govern participation, vesting, funding or prohibited transactions, although some information on these subjects appears here and in the SAI; nor do we discuss the reporting and disclosure or fiduciary requirements of the Employee Retirement Income Security Act. In addition, we do not discuss the effect, if any, of state tax laws that may apply. FOR INFORMATION ON THESE MATTERS, WE SUGGEST THAT YOU CONSULT YOUR TAX ADVISOR. ADOPTING THE PROGRAM If you adopt an ADA Plan, you will not need IRS approval unless you adopt certain provisions. We will tell you whether it is desirable for you to submit your plan to the Internal Revenue Service for approval. If you make such a submission, you will have to pay an IRS user's fee. The Internal Revenue Service does not have to approve your adoption of the Pooled Trust. INCOME TAXATION OF DISTRIBUTIONS TO QUALIFIED PLAN PARTICIPANTS In this section, the word "you" refers to the plan participant. Amounts distributed to a participant from a qualified plan are generally subject to federal income tax as ordinary income when benefits are distributed to you or your beneficiary. Generally speaking, only your post-tax contributions, if any, are not taxed when distributed. LUMP SUM DISTRIBUTIONS. If your benefits are distributed to you in a lump sum after you have participated in the plan for at least five taxable years, you may be able to use five-year averaging. Under this method, the tax on the lump sum distribution is calculated separately from taxes on any other income you may have during the year. The tax is calculated at ordinary income tax rates in the year of the distribution, but as if it were your only income in each of five years. The tax payable is the sum of the five years' calculations. To qualify for five-year averaging, the distribution much consist of your entire balance in the plan and must be made in one taxable year of the recipient after you have attained age 59-1/2. Five-year averaging is available only for one lump sum distribution. If you were born before 1936, you may elect to have special rules apply to one lump sum distribution. You may elect either ten-year averaging using 1986 rates or five-year averaging using then current rates. In addition, you may elect separately to have the portion of your distribution attributable to pre-1974 contributions taxed at a flat 20% rate. ELIGIBLE ROLLOVER DISTRIBUTIONS. Many types of distributions from qualified plans are "eligible rollover distributions" that can be transferred directly to another qualified plan or individual retirement arrangement ("IRA"), or rolled over to another plan or IRA within 60 days of the receipt of the distribution. If a distribution is an "eligible rollover distribution," 20% mandatory federal income tax withholding will apply unless the distribution is directly transferred to a qualified plan or IRA. See Eligible Rollover Distributions and Federal Income Tax Withholding in the SAI for a more detailed discussion. 39 ANNUITY OR INSTALLMENT PAYMENTS. Each payment you receive is treated as ordinary income except where you have a "cost basis" in the benefit. Your cost basis is equal to the amount of your post-tax employee contributions, plus any employer contributions you were required to include in gross income in prior years. A portion of each annuity or installment payment you receive will be excluded from gross income. If you (and your survivor) continue to receive payments after your cost basis in the contract has been paid out, all amounts will be taxable. IN SERVICE WITHDRAWALS; HARDSHIP WITHDRAWALS. Some plans allow in-service withdrawals of after-tax contributions. The portion of each in-service withdrawal attributable to cost basis is received income tax-free. The portion that is attributable to earnings will be included in your gross income. Amounts contributed before January 1, 1987 to employer plans which on May 5, 1986 permitted such withdrawals are taxable withdrawals only to the extent that they exceed the amount of your cost basis. Other amounts are treated as partly a return of cost basis with the remaining portion treated as earnings. Amounts included in gross income under this rule may also be subject to the additional 10% penalty tax on premature distributions described below. In addition, 20% mandatory federal income tax withholding may also apply. PREMATURE DISTRIBUTIONS. You may be liable for an additional 10% penalty tax on all taxable amounts distributed before age 59-1/2 unless the distribution falls within a specified exception or is rolled over into an IRA or other qualified plan. The exceptions to the penalty tax include (a) distributions made on account of your death or disability, (b) distributions in the form of a life annuity or installments over your life expectancy (or the joint lives or life expectancies of you and your beneficiary), (c) distributions due to separation from active service after age 55 and (d) distributions used to pay deductible medical expenses. EXCESS DISTRIBUTIONS. You may be liable for a 15% excise tax on all distributions in excess of a threshold amount. All distributions you receive from qualified plans, IRAs and Section 403(b) tax deferred annuities are aggregated for this purpose, even if those plans were maintained by unrelated employers. For installment and annuity payments, the threshold amount is $155,000 in 1996. If you elect special averaging for a lump sum distribution received in 1995, you will owe the excise tax only to the extent your distribution exceeds five times the threshold for excess distributions (i.e., $775,000 in 1996). WITHHOLDING. In almost all cases, 20% mandatory income tax withholding will apply to all "eligible rollover distributions" that are not directly transferred to a qualified plan or IRA. If a distribution is not an eligible rollover distribution, the recipient may elect out of withholding. The rate of withholding depends on the type of distributions. See Eligible Rollover Distributions and Federal Income Tax Withholding in the SAI. Under the Master Plan, we will withhold the tax and send you the remaining amount. Under an individually designed plan or our prototype self-directed plan that uses the Pooled Trust for investment only, we will pay the full amount of the distribution to the plan's trustee. The trustee is then responsible for withholding federal income tax upon distributions to you or your beneficiary. OTHER TAX CONSEQUENCES Federal estate and gift and state and local estate, inheritance, and other tax consequences of participation in the Program depend on the residence and the circumstances of each participant or beneficiary. For complete information on federal, state, local and other tax considerations, you should consult a qualified tax advisor. 40 MISCELLANEOUS CHANGE OR DISCONTINUANCE OF THE PROGRAM. The group annuity contract has been amended from time to time, and may be amended in the future. No future change can affect annuity benefits in the course of payment. Provided certain conditions are met, we may terminate the offer of any of the Investment Options and offer new ones with different terms. Our contract with the Trustees may be terminated by us or the ADA. If our contract with the Trustees is terminated, we will not accept any further contributions or perform recordkeeping functions after the date of termination. At that time we would make arrangements with the Trustees as to the disposition of the assets in the Investment Options we provide, subject to the various restrictions related to investments in the Real Estate Fund, Money Market Guarantee Account, and the Guaranteed Rate Accounts. For a discussion of these restrictions, please refer to the prospectus for these Investment Options. You may be able to continue to invest amounts in the Investment Options we provide and elect payment of benefits through us if the Trustees make arrangements with us. AGREEMENT WITH STATE STREET. Equitable Life and State Street have entered into an Agreement with respect to various administrative, procedural, regulatory compliance and other matters relating to the availability of the Lifecycle Fund Group Trusts and Underlying Funds in the ADA Program through the Lifecycle Funds. The Agreement does not contain an expiration date and is intended to continue in effect indefinitely. However, the Agreement provides, among other things, that it may be terminated by Equitable Life upon three months prior written notice to State Street, or by State Street upon six months prior written notice to Equitable Life. In the event of a termination of the Agreement, State Street has the right, upon four months' prior notice to Equitable Life to require the redemption of all units of the Lifecycle Fund Group Trusts held by the Lifecycle Funds. Should we receive notice of a required redemption, we will advise you promptly in order to allow you adequate time to transfer to one or more of the other Investment Options. DISQUALIFICATION OF PLAN. If your plan is found not to qualify under the Internal Revenue Code, we may return the plan's assets to the employer, as the plan administrator or we may prevent plan participants from investing in the separate accounts. REPORTS. We send reports annually to employers showing the aggregate Account Balances of all participants and information necessary to complete annual IRS filings. REGULATION. Equitable Life is subject to regulation and supervision by the Insurance Department of the State of New York, which periodically examines Equitable Life's affairs. Equitable Life also is subject to the insurance laws and regulations of all jurisdictions in which it is authorized to do business. This regulation does not, however, involve any supervision of the investment policies of the Funds or of the selection of any investments except to determine compliance with the law of New York. Equitable Life is required to submit annual statements of its operations, including financial statements, to the insurance departments of the various jurisdictions in which it does business for purposes of determining solvency and compliance with local insurance laws and regulations. State Street is subject to supervision and examination by the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Massachusetts Commissioner of Banks. LEGAL PROCEEDINGS. Both Equitable Life and State Street are separately engaged in litigation of various kinds which, in the judgment of each company, is not of material importance in relation to each company's total assets. None of the litigation now in progress is expected to affect any assets of the Equity Index Fund or the Lifecycle Funds, or the Lifecycle Fund Group Trusts or the Underlying Funds in which the Group Trusts invest. 41 ADDITIONAL INFORMATION. A registration statement relating to the offering described in this prospectus has been filed with the Securities and Exchange Commission under the Securities Act of 1933. Certain portions of the Registration Statement have been omitted from this prospectus and the SAI pursuant to the rules and regulations of the Commission. The omitted information may be obtained by requesting a copy of the registration statement from the Commission's principal office in Washington, D.C., and paying the Commission's prescribed fees or by accessing the Securities and Exchange Commission's Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system. EXPERTS. The financial statements of Separate Account Nos. 195, 197 and 198 as of December 31, 1995 and for the period February 1, 1994 through December 31, 1995 for Separate Account No. 195 and for the Period May 1, 1995 through December 31, 1995 for Separate Account Nos. 197 and 198 included in the SAI, the condensed financial information for Separate Account No. 195, 197 and 198 as of December 31, 1995 included in this prospectus and the financial statements of Equitable Life as of December 31, 1995 and 1994 and for the years then ended included in the SAI, have been so included in reliance upon the reports of Price Waterhouse LLP, independent accountants, given on the authority of said firm as experts in auditing and accounting. For 1995, the selected financial data included in the prospectus and the audited financial statements included in the SAI for each of the Underlying Funds, the Lifecycle Fund Group Trust--Conservative and the Lifecycle Fund Group Trust--Moderate have been audited by Price Waterhouse LLP, independent accountants, as stated in their reports that appear in the SAI. The selected financial data included in the prospectus and the audited financial statements have been so included in reliance upon the report of Price Waterhouse LLP, independent accountants, given on the authority of said firm as experts in auditing and accounting. ACCEPTANCE. The employer or plan sponsor, as the case may be, is solely responsible for determining whether the Program is a suitable funding vehicle and should, therefore, carefully read the prospectus and other materials before entering into a Participation Agreement. 42 TABLE OF CONTENTS OF STATEMENT OF ADDITIONAL INFORMATION
PAGE The Contracts .......................................................... SAI-2 Your Responsibilities as Employer ...................................... SAI-2 Procedures for Withdrawals, Distributions and Transfers ................ SAI-3 Types of Benefits ...................................................... SAI-5 Provisions of the Master Plan .......................................... SAI-7 Additional Investment Policies and Techniques -- The Underlying Funds . SAI-11 Investment Restrictions ................................................ SAI-14 How the Assets of the Funds Are Valued ................................. SAI-15 How the Assets of the Underlying Funds Are Valued ...................... SAI-15 Transactions by the Underlying Funds ................................... SAI-17 Investment Management Fee .............................................. SAI-17 Underwriter ............................................................ SAI-18 Management ............................................................. SAI-19 Financial Statements ................................................... SAI-22
CLIP AND MAIL TO US TO RECEIVE A STATEMENT OF ADDITIONAL INFORMATION - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - To: The Equitable Life Assurance Society of the United States Box 2486 G.P.O. New York, NY 10116 Please send me a copy of the Statement of Additional Information for the American Dental Association Members Retirement Program Prospectus dated May 1, 1996 (State Street). Name - ----------------------------------------------------------------------------- Address: - ----------------------------------------------------------------------------- - ----------------------------------------------------------------------------- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - Copyright 1996 by The Equitable Life Assurance Society of the United States. All rights reserved. 43 TABLE OF CONTENTS
PAGE SUMMARY .................................................................................. 3 CONDENSED FINANCIAL INFORMATION .......................................................... 7 SELECTED FINANCIAL DATA .................................................................. 9 INVESTMENT OPTIONS ....................................................................... 13 THE EQUITY INDEX FUND .................................................................... 13 LIFECYCLE FUNDS -- CONSERVATIVE AND MODERATE ............................................. 14 THE LIFECYCLE FUND GROUP TRUSTS .......................................................... 15 Lifecycle Fund Group Trust -- Conservative .............................................. 15 Lifecycle Fund Group Trust -- Moderate .................................................. 15 THE UNDERLYING FUNDS ..................................................................... 16 S&P 500 Flagship Fund ................................................................... 16 Russell 2000 Fund ..................................................................... 16 Daily EAFE Fund ....................................................................... 17 Daily Government/Corporate Bond Fund .................................................. 18 Short Term Investment Fund ............................................................ 18 Voting Rights: The Lifecycle Funds .................................................... 18 Risks and Investment Techniques: Lifecycle Fund Group Trusts and Underlying Funds ..... 18 HOW WE CALCULATE THE VALUE OF AMOUNTS ALLOCATED TO THE EQUITY INDEX AND LIFECYCLE FUNDS ......................................................... 22 EQUITABLE LIFE AND STATE STREET .......................................................... 24 Equitable Life ......................................................................... 24 The Separate Accounts ................................................................. 24 State Street .......................................................................... 24 The Lifecycle Fund Group Trusts and Underlying Funds .................................. 25 INVESTMENT PERFORMANCE ................................................................. 26 Measuring the Investment Performance of the Funds ..................................... 26 Unmanaged Market Indices .............................................................. 26 How Performance Data Are Presented .................................................... 27 Annual Percentage Change in Fund Unit Values .......................................... 27 Average Annual Percentage Change in Fund Unit Values--Years Ending December 31, 1995 .. 27 THE PROGRAM .............................................................................. 28 Employers Who May Participate in the Program ........................................... 28 Choices for the Employer .............................................................. 28 Summary of the Plans and Trusts ....................................................... 28 44 PAGE Information on Joining the Program ....................................................... 29 Choosing the Right Plan ............................................................... 29 Getting Started In The Program After Choosing A Plan .................................. 29 Communicating With Us After You Enroll ................................................ 30 Your Responsibilities As the Employer ................................................. 30 When Transactions Are Effective ....................................................... 30 Minimum Investments ................................................................... 31 Making Contributions to the Program ................................................... 31 Our Account Investment Management (AIM) System ........................................ 31 Allocating Contributions Among the Investment Options ................................. 31 Transfers Among the Investment Options ................................................ 32 Distributions From the Investment Options ............................................. 32 When Distributions Are Available to Participants ...................................... 32 Participant Loans ..................................................................... 33 Benefit Payment Options ............................................................... 33 Spousal Consent Rules ................................................................. 34 Benefits Payable After the Death of a Participant ..................................... 34 DEDUCTIONS AND CHARGES ................................................................... 35 CHARGES BASED ON AMOUNTS INVESTED IN THE PROGRAM ......................................... 35 Program Expense Charge ................................................................. 35 Administration Fee .................................................................... 36 Other Expenses Borne Directly by the Funds ............................................ 36 PLAN AND TRANSACTION EXPENSES .......................................................... 37 ADA Retirement Plan, Prototype Self-Directed Plan and Individually-Designed Plan Fees . 37 Individual Annuity Charges ............................................................ 37 General Information On Fees and Charges ............................................... 37 DEDUCTIONS AND CHARGES RELATED TO THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS .. 38 FEDERAL INCOME TAX CONSIDERATIONS ........................................................ 39 Adopting the Program ................................................................... 39 Income Taxation of Distributions to Qualified Plan Participants ....................... 39 Other Tax Consequences ................................................................ 40 MISCELLANEOUS ............................................................................ 41 TABLE OF CONTENTS OF STATEMENT OF ADDITIONAL INFORMATION ................................. 43
45 - ----------------------------------------------------------------------------- STATEMENT OF ADDITIONAL INFORMATION - ----------------------------------------------------------------------------- MAY 1, 1996 AMERICAN DENTAL ASSOCIATION MEMBERS RETIREMENT PROGRAM Separate Account Units of interest under a group annuity contract with THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES, 787 Seventh Avenue, New York, New York 10019, which funds the American Dental Association Members Retirement Program. Toll-free telephone number 1-800-223-5790. - ----------------------------------------------------------------------------- This Statement of Additional Information is not a prospectus. It should be read in conjunction with the prospectus dated May 1, 1996 for the American Dental Association Members Retirement Program describing the Equity Index Fund and the Lifecycle Funds--Conservative and Moderate. A copy of the prospectus to which this Statement of Additional Information relates is available at no charge by writing to The Equitable Life Assurance Society of the United States ("Equitable Life"), at Box 2486 G.P.O., New York, New York 10116 or by calling our toll-free telephone number. The following information is contained primarily in the prospectus: Investment Objectives and Policies Investment Advisory Services Certain of the cross references in this Statement of Additional Information are contained in the prospectus dated May 1, 1996 to which this Statement of Additional Information relates. TABLE OF CONTENTS
PAGE ------ The Contracts ................................ SAI-2 Your Responsibilities as Employer ............ SAI-2 Procedures for Withdrawals, Distributions and Transfers ................................... SAI-3 Pre-Retirement Withdrawals .................. SAI-3 Benefit Distributions ....................... SAI-3 Spousal Consent Requirements ................ SAI-4 Eligible Rollover Distributions and Federal Income Tax Withholding ............. SAI-5 Types of Benefits ............................ SAI-5 Provisions of the Master Plan ................ SAI-7 Plan Eligibility Requirements ............... SAI-7 Contributions to Qualified Plans ............ SAI-7 Contributions to the Master Plan ............ SAI-7 Allocation of Contributions ............... SAI-9 The Master Plan and Section 404(c) of ERISA ................................... SAI-9 Vesting ................................... SAI-9 Additional Investment Policies and Techniques--The Underlying Funds ........... SAI-11 Investment Restrictions ...................... SAI-14 How the Assets of the Funds are Valued ...... SAI-15 How the Assets of the Underlying Funds are Valued ..................................... SAI-15 Transactions by the Underlying Funds ........ SAI-17 Investment Management Fee .................... SAI-17 Underwriter .................................. SAI-18 Management ................................... SAI-19 Financial Statements ......................... SAI-22
- ------------ Copyright 1996 by The Equitable Life Assurance Society of The United States. All rights reserved. ADDITIONAL INFORMATION ABOUT THE PROGRAM THE CONTRACTS The Program is primarily funded through a group annuity contract issued to the Trustees by Equitable Life. The contract governs the Investment Options that are provided by Equitable Life under the Program. The Trustees hold this contract for the benefit of employers and participants in the Program. In addition, the Trustees and Equitable Life have entered into an administrative services agreement that governs Equitable Life's duties relating to administrative support, recordkeeping and marketing for the Program. This agreement would under most circumstances terminate at the same time as the group annuity contract. YOUR RESPONSIBILITIES AS EMPLOYER If you adopt the Master Plan, you as the employer and plan administrator will have certain responsibilities, including: o sending us your contributions at the proper time and in the proper format; o maintaining all personnel records necessary for administering your plan; o determining who is eligible to receive benefits; o forwarding to us all the forms your employees are required to submit; o distributing summary plan descriptions and participant annual reports to your employees and former employees; o distributing our prospectuses and confirmation notices to your employees and, in some cases, former employees; o filing an annual information return for your plan with the Internal Revenue Service, if required; o providing us the information with which to run special non-discrimination tests, if you have a 401(k) plan or your plan accepts post-tax employee or employer matching contributions; o determining the amount of all contributions for each participant in the plan; o forwarding salary deferral and post-tax employee contributions to us; and o selecting interest rates and monitoring default procedures if you elect the loan provision in your plan. SAI-2 If you, as an employer, have an individually designed plan, your responsibilities will not be increased in any way by your adoption of the Pooled Trust for investment only. If you adopt our self-directed prototype plan, you will be completely responsible for administering the plan and complying with all of the reporting and disclosure requirements applicable to qualified plans, with the assistance of the recordkeeper of your choice. We will give you guidance and assistance in the performance of your responsibilities. The ultimate responsibility, however, rests with you. If you have questions about any of your obligations, you can contact Equitable Life's Account Executives at 1-800-223-5790 or write to us at Box 2486 G.P.O., New York, New York 10116. PROCEDURES FOR WITHDRAWALS, DISTRIBUTIONS AND TRANSFERS PRE-RETIREMENT WITHDRAWALS. Under the Master Plan, self-employed persons may generally not receive a distribution prior to age 59 1/2 , and employees may generally not receive a distribution prior to separation from service. However, if your employer maintains the Master Plan as a profit sharing plan, you may request distribution of benefits after you reach age 59 1/2 even if you are still working. If your employer maintains the Master Plan as a 401(k) plan and you are under age 59 1/2 , you may withdraw your own 401(k) contributions only if you can demonstrate financial hardship within the meaning of applicable Income Tax Regulations. Each withdrawal must be at least $1,000 (or, if less, your entire Account Balance or the amount of your hardship withdrawal under a 401(k) plan). If your employer terminates the plan, all amounts (subject to GRA restrictions) may be distributed to participants at that time. You may withdraw all or part of your Account Balance under the Master Plan attributable to post-tax employee contributions at any time, subject to any withdrawal restrictions applicable to the Investment Options, provided that you withdraw at least $300 at a time (or, if less, your Account Balance attributable to post-tax employee contributions). See Federal Income Tax Considerations in the prospectus. All benefit payments (including withdrawals due to plan terminations) will be paid in accordance with the rules described below under Benefit Distributions. All other withdrawals will be effected as of the close of business on the day we receive the properly completed form. If you are married, your spouse must consent in writing before you can make any type of withdrawal. See Spousal Consent Requirements below. Under the self-directed prototype plan you may receive a distribution upon attaining normal retirement age as specified in the plan, or upon separation from service. If your employer maintains the self-directed prototype plan as a profit sharing plan, an earlier distribution of funds that have accumulated after two years is available if you incur a financial hardship, as defined in the plan. In addition, if you are married, your spouse may have to consent in writing before you can make any type of withdrawal, except for the purchase of a Qualified Joint and Survivor Annuity. See Spousal Consent Requirements below. Under an individually designed plan, the availability of pre-retirement withdrawals depends on the terms of the plan. We suggest that you ask your employer what types of withdrawals are available under your plan. Transfers from the Equity Index Fund and the Lifecycle Funds--Conservative and Moderate are permitted daily except under infrequent circumstances when they may be subject to a delay. BENEFIT DISTRIBUTIONS. In order for you to begin receiving benefits under the Master Plan, your employer must send us your properly completed Election of Benefits form and, if applicable, Beneficiary Designation SAI-3 form. If we receive your properly completed forms on or before the 15th of the month, your benefits will commence as of the close of business on the first business day of the next month; if your forms arrive after the 15th, your benefits will commence as of the close of business on the first business day of the second following month. Under an individually designed plan and our self-directed prototype plan, your employer must send us a request for disbursement form. We will send single sum payments to your plan's trustee as of the close of business on the day we receive a properly completed form. If you wish to receive annuity payments, your plan's trustee may purchase a variable annuity contract from us. Fixed annuities are available from insurance companies selected by the Trustees. See Types of Benefits. Annuity payments will be paid directly to you and will commence as of the close of business on the first business day of the next month if we receive your properly completed forms on or before the 15th of the month. If we receive your properly completed forms after the 15th, annuity payments will commence as of the close of business on the first business day of the second following month. Transfers and withdrawals from the Equity Index Fund may be deferred if there is any delay in redemption of shares of the Seven Seas S&P 500 Index Fund. We generally do not expect any such delays. Transfers and withdrawals from the Lifecycle Funds--Conservative and Moderate may be deferred if there is any delay in redemption of units of the Lifecycle Fund Group Trusts. We generally do not expect any such delays. Please note that we use the value of your vested benefits at the close of business on the day payment is due to determine the amount of benefits you receive. We will not, therefore, begin processing your check until the following business day. You should expect your check to be mailed within five days after processing begins. Annuity checks can take longer. If you buy a fixed annuity, your check will come from the company you selected. If you are withdrawing more than $50,000 and you would like expedited delivery at your expense, you may request it on your election of benefits form. Distributions under a qualified retirement plan such as yours are subject to extremely complicated legal requirements. When you are ready to retire, we suggest that you discuss the available payment options with your employer. Our Account Executives can provide you or your employer with information. SPOUSAL CONSENT REQUIREMENTS. Under the Master Plan and the self-directed prototype plan, you may designate a non-spouse beneficiary any time after the earlier of the first day of the plan year in which you attain age 35 or the date on which you separate from service with your employer. If you designate a beneficiary other than your spouse prior to your reaching age 35, your spouse must consent to the designation and, upon your reaching age 35, must again give his or her consent or the designation will lapse. In order for you to make a withdrawal, elect a form of benefit other than a Qualified Joint and Survivor Annuity or designate a non-spouse beneficiary, your spouse must consent to your election in writing within the 90 day period before your annuity starting date. To consent, your spouse must sign on the appropriate line on your election of benefits or beneficiary designation form. Your spouse's signature must be witnessed by a notary public or plan representative. If you change your mind, you may revoke your election and elect a Qualified Joint and Survivor Annuity or designate your spouse as beneficiary, simply by filing the appropriate form. Your spouse's consent is not required for this revocation. It is also possible for your spouse to sign a blanket consent form. By signing this form, your spouse consents not just to a specific beneficiary or form of distribution, but gives you the right to name any beneficiary, or if applicable, form of distribution you want. Once you file such a form, you may change your election SAI-4 whenever you want, even without spousal consent. No spousal consent to a withdrawal or benefit in a form other than a Qualified Joint and Survivor Annuity is required under certain self-directed and individually designed profit sharing plans that do not offer life annuity benefits. ELIGIBLE ROLLOVER DISTRIBUTIONS AND FEDERAL INCOME TAX WITHHOLDING. All "eligible rollover distributions" are subject to mandatory federal income tax withholding of 20% unless the Participant elects to have the distribution directly rolled over to a qualified plan or individual retirement arrangement (IRA). An "eligible rollover distribution" is any distribution that is not one of a series of substantially equal periodic payments made (not less frequently than annually) (1) for the life (or life expectancy) of the plan Participant or the joint lives (or joint life expectancies) of the plan Participant and his or her designated beneficiary, or (2) for a specific period of 10 years or more. In addition, the following are not subject to mandatory 20% withholding: o certain corrective distributions under Internal Revenue Code (Code) Section 401(k) plans; o certain loans that are treated as distributions; and o a distribution to a beneficiary other than to a surviving spouse or a current or former spouse under a qualified domestic relations order. If a distribution is made to a Participant's surviving spouse, or to a current or former spouse under a qualified domestic relations order, the distribution may be an eligible rollover distribution, subject to mandatory 20% withholding, unless one of the exceptions described above applies. If a distribution is not an "eligible rollover distribution" income tax will be withheld from all taxable payments unless the recipient elects not to have income tax withheld. TYPES OF BENEFITS Under the Master Plan, and under most self-directed prototype plans, except as provided below, you may select one or more of the following forms of distribution once you are eligible to receive benefits. Please see Benefit Distributions under Procedures for Withdrawals, Distributions and Transfers. Not all of these distribution forms may be available to you, if your employer has adopted an individually designed plan or a self-directed prototype profit sharing plan that does not offer annuity benefits. We suggest you ask your employer what types of benefits are available under your plan. Fixed annuities are available from insurance companies selected by the Trustees, which meet criteria established by the Trustees from time to time. Fixed annuities are currently not available from Equitable Life. The types of fixed annuity benefits described below will be available through one or more of such companies. Upon your request, the companies will provide annuity benefit information. We will have no further responsibility for the amount used to purchase the annuity once it has been sent to the insurance company you select. The cost of a fixed annuity is determined by each insurance company based on its current annuity purchase rates. The amount of your monthly annuity benefit will depend on the type of annuity selected, your age and the age of your beneficiary if you select a joint and survivor annuity. An Equitable Life Account Executive has more details regarding the insurance companies currently providing annuity benefits under the Program. QUALIFIED JOINT AND SURVIVOR ANNUITY. An annuity providing equal monthly payments for your life and, after your death, for your surviving spouse's life. No payments will be made after you and your spouse die, even if you have received only one payment. THE LAW REQUIRES THAT IF THE VALUE OF YOUR VESTED BENEFITS SAI-5 EXCEEDS $3,500, YOU MUST RECEIVE A QUALIFIED JOINT AND SURVIVOR ANNUITY UNLESS YOUR SPOUSE CONSENTS IN WRITING TO A CONTRARY ELECTION. Please see Spousal Consent Requirements under Procedures for Withdrawals, Distributions and Transfers for an explanation of the procedures for electing not to receive a Qualified Joint and Survivor Annuity. LUMP SUM PAYMENT. A single payment of all or part of your vested benefits. If you take a lump sum payment of only part of your balance, it must be at least $1,000. IF YOUR VESTED BENEFIT IS $3,500 OR LESS, YOU WILL RECEIVE A LUMP SUM PAYMENT OF THE ENTIRE AMOUNT. PERIODIC INSTALLMENTS. Monthly, quarterly, semi-annual or annual payments over a period of at least three years, where the initial payment on a monthly basis is at least $300. You can choose either a time-certain payout, which provides variable payments over a specified period of time, or a dollar-certain payout, which provides level payments over a variable period of time. During the installment period, your remaining Account Balance will be invested in whatever Options you designate, other than the Real Estate Fund; each payment will be drawn pro rata from all the Options you have selected. If you die before receiving all the installments, we will make the remaining payments to your beneficiary. Except in the case of participant accounts transferred from defined contribution plans, we do not offer installments for benefits under the individually designed plans or our self-directed prototype plan. For special conditions applying to installment payments involving the Real Estate Fund and the Guaranteed Rate Accounts, please refer to the prospectus and SAI for these options. LIFE ANNUITY. An annuity providing monthly payments for your life. No payments will be made after your death, even if you have received only one payment. LIFE ANNUITY--PERIOD CERTAIN. An annuity providing monthly payments for your life or, if longer, a specific period of time. If you die before the end of that specified period, payments will continue to your beneficiary until the end of the period. Subject to legal limitations, you may specify a minimum payment period of 5, 10, 15 or 20 years; the longer the specified period, the smaller the monthly payments will be. JOINT AND SURVIVOR ANNUITY. An annuity providing monthly payments for your life and that of your beneficiary. You may specify the percentage of the annuity payment to be made to your beneficiary. Subject to legal limitations, that percentage may be 100%, 75%, 50%, or any other percentage you specify. JOINT AND SURVIVOR ANNUITY--PERIOD CERTAIN. An annuity providing monthly payments for your life and that of your beneficiary or, if longer, a specified period of time. If you and your beneficiary both die before the end of the specified period, payments will continue to your contingent beneficiary until the end of the period. Subject to legal limitations, you may specify a minimum payment period of 5, 10, 15 or 20 years and the percentage of the annuity payment to be made to your beneficiary (as noted above under Joint and Survivor Annuity); the longer the specified period, the smaller the monthly payments will be. CASH REFUND ANNUITY. An annuity providing equal monthly payments for your life with a guarantee that the sum of those payments will be at least equal to the portion of your vested benefits used to purchase the annuity. If upon your death the sum of the monthly payments to you is less than that amount, your beneficiary will receive a lump sum payment of the remaining guaranteed amount. Under a Qualified Joint and Survivor Annuity or a Cash Refund Annuity, the amount of the monthly payments is fixed at retirement and remains level throughout the distribution period. Under the Life Annuity, Life Annuity--Period Certain, Joint and Survivor Annuity and Joint and Survivor Annuity-- Period Certain, you may select either fixed or variable payments. All forms of variable annuity benefits under the Program will be provided by us. The payments under variable annuity options reflect the investment performance of the Growth Equity Fund. If you are interested in a variable annuity, when you are ready to select your benefit please call an Equitable Life Account Executive for the variable annuity prospectus supplement. SAI-6 PROVISIONS OF THE MASTER PLAN PLAN ELIGIBILITY REQUIREMENTS. Under the Master Plan, the employer specifies the eligibility requirements for its plan in the Participation Agreement. The employer may exclude any employee who has not attained a specified age (not to exceed 21) and completed a specified number of years (not to exceed two) in each of which he completed 1,000 hours of service. No more than one year of eligibility service may be required for a 401(k) arrangement. The employer may also exclude salaried dentists (those with no ownership interest in the practice), employees of related employers, leased employees and certain other types of employees at the employer's election, provided such exclusion does not cause the plan to discriminate in favor of "highly compensated" employees (defined below). The Master Plan provides that a partner or shareholder may, upon commencement of employment or upon first becoming eligible to participate in any qualified plan of the employer, make a one-time irrevocable election not to participate in the plan or to make a reduced contribution. This election applies to all plans of the employer, now and in the future, and should be discussed with your tax advisor. CONTRIBUTIONS TO QUALIFIED PLANS. Current federal income tax rules relating to contributions under qualified retirement plans are outlined briefly below. For purposes of this outline we have assumed that you are not a participant in any other qualified retirement plan. The employer's contributions to the plan are deductible in the year for which they are made. As a general rule, employer contributions must be made for any year by the due date (including extensions) for filing the employer's federal income tax return for that year. However, participants' salary deferrals under a 401(k) plan must be contributed by the employer as soon as practicable after the payroll period for which the deferral is made and regulations have been proposed for shortening the maximum time period for remitting contributions to the plan. If the employer contributes more to the plan than is deductible under the rules described below, the employer may be liable for a 10% penalty tax on that nondeductible amount and may risk disqualifying the plan. CONTRIBUTIONS TO THE MASTER PLAN. The employer makes annual contributions to its plan based on the plan's provisions. An employer that adopts the Master Plan as a profit sharing plan makes contributions in discretionary amounts to be determined annually. The aggregate employer contribution to the plan, including participants' salary deferrals under a 401(k) arrangement, is limited to 15% of all participants' compensation for the plan year. For plan purposes, compensation for self-employed persons does not include deductible plan contributions made on behalf of the self-employed person. A 401(k) arrangement is available as part of the profit sharing plan. Under a 401(k) arrangement, employees are permitted to make contributions to the plan on a pre-tax basis. The maximum amount that may be contributed by highly compensated employees is limited depending upon the amount that is contributed by non-highly compensated employees and the amount the employer designates as a nonforfeitable 401(k) contribution. In 1996, "highly compensated" employee for this purpose is (a) an owner of more than 5% of the practice, or (b) anyone with earnings of more than $100,000 from the practice, or (c) anyone with earnings of more than $66,000 from the practice who is among the highest paid 20% of employees, or (d) an officer of the practice with earnings of at least $60,000. In any event, the SAI-7 maximum amount each employee may defer is limited to $9,500 for 1996 reduced by that employee's salary reduction contributions to simplified employee pension (SEPs), employee contributions to tax deferred Section 403(b) annuities, and contributions deductible by the employee under a trust described under Section 501(c)(18) of the Code. If the employer adopts the Master Plan as a defined contribution pension plan, its contribution is equal to the percentage of each participant's compensation that is specified in the Participation Agreement. Under either type of plan, compensation in excess of $150,000 must be disregarded in making contributions. Contributions may be integrated with Social Security which means that contributions with respect to each participant's compensation in excess of the integration level may exceed contributions made with respect to compensation below the integration level, within limits imposed by the Code. Your Account Executive can help you determine the legally permissible contribution. Contributions on behalf of non-key employees must be at least 3% of compensation (or, under the profit sharing plan, the percentage contributed on behalf of key employees, if less than 3%). A "key employee" means (a) an owner of one of the ten largest (but more than 1/2 %) interests in the practice with earnings of more than $30,000, or (b) an officer of the practice with earnings of more than $60,000 or (c) an owner of more than 5% of the practice, or (d) an owner of more than 1% of the practice with earnings of more than $150,000. For purposes of (a), no more than 50 employees (or, if less, the greater of three or 10% of the employees) shall be treated as officers. Certain plans may also permit participants to make post-tax contributions. We will maintain a separate account to reflect each participant's post-tax contributions and the earnings (or losses) thereon. Post-tax contributions are now subject to complex rules under which the maximum amount that may be contributed by highly compensated employees is limited, depending on the amount contributed by non-highly compensated employees. BEFORE PERMITTING ANY HIGHLY-COMPENSATED EMPLOYEE TO MAKE POST-TAX CONTRIBUTIONS, THE EMPLOYER SHOULD MAKE SURE THAT ALL NON-DISCRIMINATION TESTS HAVE BEEN PASSED. If an employer employs only "highly compensated" employees (as defined above), post-tax contributions may not be made to the plan. In addition, the employer may make matching contributions to certain plans, i.e., contributions which are based upon the amount of post-tax or pre-tax 401(k) contributions made by plan participants. Special non-discrimination rules apply to matching contributions and may limit the amount of matching contributions that may be made on behalf of highly compensated employees. Contributions on behalf of each participant are limited to the lesser of $30,000 and 25% of his earnings (excluding, in the case of self-employed persons, all deductible plan contributions). The participant's post-tax contributions are taken into account for purposes of applying this limitation. Each participant's Account Balance equals the sum of the amounts accumulated in each Investment Option. We will maintain separate records of each participant's interest in each of the Investment Options attributable to employer contributions, 401(k) non-elective contributions, 401(k) elective contributions, post-tax employee contributions and employer matching contributions. Any amounts rolled over from the plan of a previous employer will also be accounted for separately. Our records will also reflect each participant's percentage of vesting (see below) in his Account Balance attributable to employer contributions and employer matching contributions. The participant will receive an individual confirmation of each transaction (including the deduction of record maintenance and report fees). The participant will also receive an annual statement showing his SAI-8 Account Balance in each Investment Option attributable to each type of contribution. Based on information supplied by you, we will run the required special non-discrimination test (Actual Deferral Percentage and Actual Contribution Percentage) applicable to 401(k) plans and plans that accept post-tax employee contributions or employer matching contributions. Elective deferrals to a 401(k) plan are subject to applicable FICA (social security), Medicare tax and FUTA (unemployment) taxes. They may also be subject to state income tax. ALLOCATION OF CONTRIBUTIONS. Contributions may be allocated among any number of the Investment Options. Allocation instructions may be changed at any time, and as often as needed, by filing a Change of Investment Allocation form or by calling the AIM System. New instructions become effective on the business day we receive them. Employer contributions may be allocated in different percentages than employee contributions. The allocation percentages elected for employer contributions will automatically apply to any 401(k) qualified non-elective contributions, qualified matching contributions and matching contributions. The allocation percentages for employee contributions will automatically apply to any post-tax employee contributions and 401(k) salary deferral contributions. IF WE HAVE NOT RECEIVED VALID INSTRUCTIONS, WE WILL ALLOCATE CONTRIBUTIONS TO THE MONEY MARKET GUARANTEE ACCOUNT. The Master Plan and Section 404(c) of ERISA. The Master Plan is a participant directed individual account plan designed to comply with the requirements of Section 404(c) of ERISA. Section 404(c) of ERISA, and the related Department of Labor (DOL) regulation, provide that if a participant or beneficiary exercises control over the assets in his or her plan account, plan fiduciaries will not be liable for any loss that is the direct and necessary result of the participant's or beneficiary's exercise of control. This means that if the Employer Plan complies with Section 404(c), participants can make and are responsible for the results of their own investment decisions. Section 404(c) plans must, among other things, make a broad range of investment choices available to Participants and beneficiaries and must provide them with enough information to make informed investment decisions. The ADA Program provides the broad range of investment choices and information that are needed in order to meet the requirements of Section 404(c). Our suggested summary plan descriptions, annual reports, prospectuses, and confirmation notices provide the required investment information; it is the employer's responsibility, however, to see that this information is distributed in a timely manner to participants and beneficiaries. You should read this information carefully before making your investment decisions. VESTING. Vesting refers to the nonforfeitable portion of a participant's Account Balance attributable to employer contributions under the Master Plan. The participant's Account Balance attributable to 401(k) contributions (including salary deferral, qualified non-elective and qualified matching contributions), post-tax employee contributions and to rollover contributions is nonforfeitable at all times. A participant will become fully vested in all benefits if still employed at death, disability, attainment of normal retirement age or upon termination of the plan. If the participant terminates employment before that time, any benefits that have not yet become vested under the plan's vesting schedule will be forfeitable. The normal retirement age is 65 under the Master Plan. SAI-9 Benefits must vest in accordance with any of the schedules below or one at least as favorable to participants:
SCHEDULE A SCHEDULE B SCHEDULE C YEARS OF VESTED VESTED VESTED SERVICE PERCENTAGE PERCENTAGE PERCENTAGE - ---------- ------------ ------------ ------------ 1 0% 0% 0% 2 100 20 0 3 100 40 100 4 100 60 100 5 100 80 100 6 100 100 100
If the plan requires more than one year of service for participation, it must use Schedule A or one at least as favorable to participants. SAI-10 ADDITIONAL INVESTMENT POLICIES AND TECHNIQUES -- THE UNDERLYING FUNDS The following discussion supplements the discussion of the investment policies and techniques of the Underlying Funds for the Lifecycle Fund Group Trusts included under the section entitled Investment Options in the prospectus. Also discussed hereunder are the investment restrictions applicable to investments made by such Underlying Funds. As a general matter, you should note that the Flagship Fund, the 2000 Fund, and the Daily EAFE Fund are index funds and, therefore, not "actively" managed like other collective investment funds. Each of these Underlying Funds utilizes a "passive" investment approach, attempting to duplicate the investment performance of its benchmark index through automated statistical analytic procedures. See the section of the prospectus entitled Investment Options--Risks and Investment Techniques for further discussion of this method of management. Therefore, some of the policies and investment techniques discussed below may not be engaged in to the same extent as if the Underlying Funds were actively managed. U.S. GOVERNMENT SECURITIES. The Underlying Funds may invest in securities issued or guaranteed by the U.S. Government or its agencies or instrumentalities, which include U.S. Treasury securities that differ in their interest rates, maturities and times of issuance. Treasury Bills have initial maturities of one year or less; Treasury Notes have initial maturities of one to ten years; and Treasury Bonds generally have initial maturities of greater than ten years. Some obligations issued or guaranteed by U.S. Government agencies and instrumentalities are supported by the full faith and credit of the U.S. Treasury; others, by the right of the issuer to borrow from the Treasury; others, by discretionary authority of the U.S. Government to purchase certain obligations of the agency or instrumentality; and others, only by the credit of the agency or instrumentality. These securities bear fixed, floating or variable rates of interest. Principal and interest may fluctuate based on generally recognized reference rates or the relationship of rates. While the U.S. Government provides financial support to such U.S. Government-sponsored agencies or instrumentalities, no assurance can be given that it will always do so, since it is not so obligated by law. FOREIGN GOVERNMENT OBLIGATIONS; SECURITIES OF SUPRANATIONAL ENTITIES. Certain of the Underlying Funds may invest in obligations issued or guaranteed by one or more foreign governments or any of their political subdivisions, agencies or instrumentalities that are determined by State Street to be of comparable quality to the other obligations in which such Underlying Fund may invest. Such securities also include debt obligations of supranational entities. Supranational entities include international organizations designated or supported by governmental entities to promote economic reconstruction or development and international banking institutions and related government agencies. The percentage of such Underlying Fund's assets invested in securities issued by foreign governments will vary depending on the relative yields of such securities, the economic and financial markets of the countries in which the investments are made and the interest rate climate of such countries. BANK OBLIGATIONS. The Underlying Funds may invest in bank obligations, including certificates of deposit, time deposits, bankers' acceptances and other short-term obligations of domestic banks, foreign subsidiaries of domestic banks, foreign branches of domestic banks, and domestic and foreign branches of foreign banks, domestic savings and loan associations and other banking institutions. With respect to such securities issued by foreign branches of domestic banks, foreign subsidiaries of domestic banks, and domestic and foreign branches of foreign banks, such Underlying Fund may be subject to additional investment risks that are different in some respects from those incurred by a fund which invests only in debt obligations of U.S. domestic issuers. These risks include possible future political and economic developments, the possible imposition of foreign withholding taxes on interest income payable on the securities, the possible establishment of exchange controls or the adoption of other foreign governmental restrictions which might adversely affect the payment of principal and interest on these securities and the possible seizure or nationalization of foreign deposits. SAI-11 Certificates of deposit are negotiable certificates evidencing the obligation of a bank to repay funds deposited with it for a specified period of time. Time deposits are non-negotiable deposits maintained in a banking institution for a specified period of time at a stated interest rate. Time deposits which may be held by such Underlying Fund will not benefit from insurance administered by the Federal Deposit Insurance Corporation. Bankers' acceptances are credit instruments evidencing the obligation of a bank to pay a draft drawn on it by a customer. These instruments reflect the obligation both of the bank and the drawer to pay the face amount of the instrument upon maturity. The other short-term obligations may include uninsured, direct obligations, bearing fixed, floating or variable interest rates. COMMERCIAL PAPER AND OTHER SHORT-TERM CORPORATE OBLIGATIONS. The Underlying Funds may invest in commercial paper. Commercial paper is short-term, unsecured promissory notes issued to finance short-term credit needs. Any commercial paper in which such Underlying Fund invests will consist only of direct obligations which, at the time of their purchase, are (a) rated not lower than Prime-1 by Moody's Investor Service ("Moody's"), A-1 by S&P, or any equivalent rating by any other nationally recognized statistical rating organization, (b) issued by companies having an outstanding unsecured debt issue currently rated not lower than Aa3 by Moody's or AA- by S&P, or any equivalent rating by any other nationally recognized statistical rating organization, or (c) if unrated, determined by State Street to be of comparable quality to those rated obligations which may be purchased by such Underlying Fund. REPURCHASE AGREEMENTS. The Underlying Funds may enter into repurchase agreements. Repurchase agreements involve the acquisition of an underlying debt instrument, subject to an obligation of the seller to repurchase, and to resell, the instrument at a fixed price usually not more than one week after its purchase. Certain costs may be incurred by an Underlying Fund in connection with the sale of the securities if the seller does not repurchase them in accordance with the repurchase agreement. In addition, if bankruptcy proceedings are commenced with respect to the seller of the securities, realization on the securities by an Underlying Fund may be delayed or limited. Each Underlying Fund will consider on an ongoing basis the creditworthiness of the institutions with which it enters into repurchase agreements. FLOATING AND VARIABLE RATE OBLIGATIONS. An Underlying Fund may purchase floating and variable rate demand notes and bonds, which are obligations ordinarily having stated maturities in excess of 13 months. Generally, the lender may demand repayment, and the borrower has a right to repay the loan prior to maturity. The interest rate generally fluctuates based on a published rate such as a bank's prime rate. Because these obligations are direct lending arrangements between the lender and borrower, it is not contemplated that such instruments generally will be traded, and there generally is no established secondary market for these obligations, although they are redeemable at face value. Accordingly, where the obligations are not secured by letters of credit or other credit support arrangements, the Underlying Fund's right to redeem is dependent on the ability of the borrower to pay principal and interest on demand. AMERICAN, EUROPEAN AND CONTINENTAL DEPOSITARY RECEIPTS. An Underlying Fund may invest in the securities of foreign issuers in the form of American Depositary Receipts ("ADRs") and European Depositary Receipts ("EDRs"). These securities may not necessarily be denominated in the same currency as the securities into which they may be converted. ADRs are receipts typically issued by a United States bank or trust company which evidence ownership of underlying securities issued by a foreign corporation. EDRs, which are sometimes referred to as Continental Depositary Receipts ("CDRs"), are receipts issued in Europe typically by non-United States banks and trust companies that evidence ownership of either foreign or domestic securities. SAI-12 FUTURES CONTRACTS. To the extent permitted by applicable regulations, an Underlying Fund is permitted to use financial futures as a substitute for a comparable market position in the underlying securities. An Underlying Fund may trade futures contracts in U.S. domestic markets or, to the extent permitted under applicable law, on exchanges located outside the United States. A stock index future obligates the seller to deliver (and the purchaser to take), effectively, an amount of cash equal to the difference between the value of a specific stock index at the close of the last trading day of the contract and the price at which the agreement is made. With respect to stock indexes that are permitted investments, each Underlying Fund intends to purchase and sell futures contracts on the stock index for which it can obtain the best price, with consideration also given to liquidity. Initially, when purchasing or selling futures contracts, an Underlying Fund will be required to deposit with its custodian in the broker's name an amount of cash or cash equivalents up to approximately 10% of the contract amount, which is returned to the Fund upon termination. This amount is subject to change. Subsequent payments to and from the broker will be made daily as the price of the index or securities underlying the futures contract fluctuates. Although an Underlying Fund intends to purchase or sell futures contracts only if there is an active market for such contracts, no assurance can be given that a liquid market will exist for any particular contract at any particular time. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the trading day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting the relevant Underlying Fund to substantial losses. INTEREST RATE AND EQUITY INDEX SWAPS. An Underlying Fund may enter into interest rate and index swaps. Interest-rate swaps are contracts in which one party agrees to pay interest at a floating rate for a specified period of time, while the counterparty agrees to pay interest at a fixed rate for the same period. Index swaps involve the exchange by an Underlying Fund with another party of cash flows based upon the performance of an index or a portion of an index of securities which usually include dividends. Each Underlying Fund will enter into swap transactions only if: (i) for transactions with maturities under one year, the counterparty has outstanding short-term paper rated at least A-1 by S&P, Prime-1 by Moody's, or any equivalent rating by any other nationally recognized statistical rating organization, or (ii) for transactions with maturities greater than one year, the counterparty has outstanding debt securities rated at least Aa by Moody's or AA by S&P, or any equivalent rating by any other nationally recognized statistical rating organization, or (iii) if unrated, State Street deems the counterparty's creditworthiness to be of equivalent quality. There is no limit on the amount of swap transactions that may be entered into by an Underlying Fund. The risk of loss with respect to swaps is generally limited to the net amount of payments that the Underlying Fund is contractually obligated to make. If the other party to a swap defaults, the Underlying Fund's risk of loss consists of the net amount of payments that the Underlying Fund contractually is entitled to receive. FOREIGN CURRENCY TRANSACTIONS. An Underlying Fund may engage in currency exchange transactions either on a spot (i.e., cash) basis at the rate prevailing in the currency exchange market, or through entering into forward contracts to purchase or sell currencies. A forward currency exchange contract involves an obligation to purchase or sell a specific currency at a future date, which must be more than two days from the date of the contract, at a price set at the time of the contract. These contracts are entered into in the interbank market conducted directly between currency traders (typically commercial banks or other financial institutions) and their customers. SAI-13 LENDING PORTFOLIO SECURITIES. An Underlying Fund may lend securities to brokers, dealers and other financial institutions. The Underlying Fund will receive collateral of cash, letters of credit or U.S. government securities. The Underlying Fund can increase its income through the investment of the collateral as well as the interest receivable on the loan. An Underlying Fund might experience a loss if the institution with which it has engaged in a portfolio loan transaction breaches its agreement. RATINGS. The ratings of Moody's, S&P, or any other nationally recognized statistical rating organizations represent their opinions as to the quality of the obligations which they undertake to rate. It should be emphasized, however, that ratings are relative and subjective and, although ratings may be useful in evaluating the safety of interest and principal payments, they do not evaluate the market value risk of such obligations. Each Underlying Fund will rely on State Street's judgment, analysis and experience in evaluating the creditworthiness of an issuer. INVESTMENT RESTRICTIONS EQUITY INDEX FUND. The Equity Index Fund will operate as discussed under Investment Options--Equity Index Fund in the prospectus, and will be subject to the investment policies and limitations described there. The prospectus for The Seven Seas Series Fund describes the investment objective, policies and limitations applicable to The Seven Seas S&P 500 Index Fund. A free copy of The Seven Seas Series Fund prospectus may be obtained by calling an Equitable Account Executive. LIFECYCLE FUNDS. The Lifecycle Funds will operate as discussed under Investment Options--Lifecycle Funds--The Lifecycle Fund Group Trusts -- Conservative and Moderate in the prospectus, and will be subject to the investment policies and limitations described therein. LIFECYCLE FUND GROUP TRUSTS. The Lifecycle Fund Group Trusts will operate as discussed in Investment Options--The Lifecycle Fund Group Trusts--Conservative and Moderate in the prospectus, and will be subject to the investment policies and limitations described therein. UNDERLYING FUNDS: COMMON INVESTMENT RESTRICTIONS. In addition to the limitations discussed above under Additional Investment Policies and Techniques and in the prospectus under Investment Options, each Underlying Fund will not: (1) Invest in securities for the purpose of obtaining control of management. (2) Engage in business of underwriting securities issued by others, except that an Underlying Fund will not be deemed to be an underwriter or to be engaged in underwriting by virtue of having purchased securities subject to legal or contractual restrictions on disposition. (3) Make short sales of securities or purchase any securities on margin, except for such short-term credits as are necessary for the clearance of transactions. An Underlying Fund may make initial margin deposits and variation margin payments in connection with transactions in futures contracts or related options. (4) Purchase or sell real estate or real estate mortgage loans, except that an Underlying Fund may invest in securities secured by real estate or interests in real estate, or securities issued by companies which invest in real estate or interests in real estate. (5) Pledge, mortgage or hypothecate its assets, except to the extent necessary to (1) secure any permitted borrowings, (2) engage in transactions that involve the purchase of securities on a when-issued or forward commitment basis, (3) deposit assets in escrow in connection with writing SAI-14 covered put and call options, and (4) deposit assets as initial or variation margin or collateral in connection with transactions in options, forward contracts, futures contracts (including those relating to indices), and options on futures contracts or indices. (6) Invest 25% or more of the value of its total assets in securities of companies primarily engaged in any one industry (other than the U.S. Government, its agencies and instrumentalities), except to the extent necessary to comply with the industry weightings of a particular index in accordance with such Underlying Fund's investment objective and policies. For purposes of this restriction, the concentration limit may be exceeded as a result of changes in the market value of portfolio securities in which an Underlying Fund invests. This limit, however, may not be exceeded as a result of investments made by an Underlying Fund. (7) Purchase or sell commodities or commodity futures contracts, except that an Underlying Fund may enter into futures contracts to the extent provided in such Underlying Fund's Declaration of Trust and as discussed under Additional Investment Policies and Techniques above and under Investment Options in the prospectus. While State Street is not required to observe the foregoing restrictions (except where otherwise required by law or governmental regulation), it currently does not intend to change any of these restrictions. HOW THE ASSETS OF THE FUNDS ARE VALUED The Equity Index Fund will invest all of its assets in the Seven Seas S&P 500 Index Fund. The asset value of the Seven Seas S&P 500 Index Fund is computed on a daily basis by the Seven Seas S&P 500 Index Fund. See the prospectus of The Seven Seas Series Fund for information on valuation methodology. The Lifecycle Funds--Conservative and Moderate will invest all of their assets in the Lifecycle Fund Group Trusts--Conservative and Moderate, respectively. The Group Trusts, in turn, will invest all of their assets in the Underlying Funds. The method of valuing the assets of each Underlying Fund is discussed below. The method used for valuing the units of the Group Trust and Underlying Funds is discussed under How We Calculate the Value of the Amounts Allocated to the Equity Index and Lifecycle Funds in the prospectus. HOW THE ASSETS OF THE UNDERLYING FUNDS ARE VALUED The assets of each Underlying Fund, other than the STIF Fund, will be valued in the following manner on a daily basis: o STOCKS listed on a national securities exchange or traded on the NASDAQ national market system are valued at the last sale price. If on a particular day there is no sale, such securities are valued at the latest available bid price reported on a composite tape. Other unlisted securities reported on the NASDAQ system are valued at inside (highest) quoted bid prices. o FOREIGN SECURITIES not traded directly, or in ADR form, in the United States, are valued at the last sale price in the local currency on an exchange in the country of origin. Foreign currency is converted into dollars at current exchange rates. o 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. SAI-15 o LONG-TERM PUBLICLY TRADED CORPORATE BONDS (i.e., maturing in more than one year) are valued at prices obtained from a bond pricing service of a major dealer in bonds when such prices are available; however, in circumstances where it is deemed appropriate to do so, an over-the-counter or exchange quotation may be used. o CONVERTIBLE PREFERRED STOCKS listed on national securities exchanges are valued at their last sale price or, if there is no sale, at the latest available bid price. o CONVERTIBLE BONDS and UNLISTED CONVERTIBLE PREFERRED STOCKS are valued at bid prices obtained from one or more major dealers in such securities; where there is a discrepancy between dealers, values may be adjusted based on recent premium spreads to the underlying common stock. o SHORT-TERM DEBT SECURITIES that mature in more than 60 days are valued at representative quoted prices. Short-term debt securities that mature in 60 days or less are valued at amortized cost, which approximates market value. State Street determines in good faith the fair values of securities and other assets that do not have a readily available market price in accordance with accepted accounting practices and applicable laws and regulations. Assets of the STIF Fund are valued at amortized cost on a daily basis. Under this method of valuation, securities purchased by the STIF Fund, such as bonds, notes, commercial paper, certificates of deposit, or other evidences of indebtedness, are recorded at original cost and adjusted daily for premium amortization or discount accretion. Use of the amortized cost method results in a value of portfolio securities that approximates the value computed by use of mark-to-market method (i.e., use of market values). Values computed under both methods approach each other the closer a debt obligation comes to maturity. In this regard, the STIF Fund will not hold debt obligations that have a remaining maturity of more than thirteen months. See discussion under Investment Options in the prospectus. SAI-16 TRANSACTIONS BY THE UNDERLYING FUNDS This section discusses the procedures followed by the Underlying Funds, with respect to the buying and selling of portfolio securities for these Funds. In connections with such transactions, the Underlying Funds pay brokerage commissions, transfer taxes, and other fees. Decisions to buy or sell securities for the Underlying Funds are made by State Street in accordance with the investment policies and restrictions of each Underlying Fund. Such decisions are made independently of the decisions made for other entities managed by State Street. There may be occasions, however, when the same investment decision is made for more than one account advised or managed by State Street. In such cases, State Street will allocate such purchases or sales among the affected accounts in as equitable a manner as it deems possible. The principal factors State Street will take into account in making this determination are the relative investment objectives of the affected client accounts, the relative sizes of the same or comparable securities held by or on behalf of such accounts, and the availability at the time of funds in each client account to make the investment. Portfolio securities held by one State Street client also may be held by one or more of its other clients. When two or more of State Street's clients are engaged in the simultaneous purchase or sale of securities, transactions are allocated as to amount in accordance with the formulae deemed to be equitable as to each client. There may be circumstances, however, when purchases or sales of portfolio securities for one or more of State Street's clients will have an adverse effect on other clients. In placing portfolio transactions for an Underlying Fund, State Street will seek the best price and most favorable execution available to such Fund. In this regard, State Street will take into account all factors which it considers relevant to making this decision, including the extent of any provision of any brokerage and research services to such Fund within the meaning of Section 28(e) of the Securities Exchange Act of 1934 ("1934 Act"), viewed in terms of either that particular transaction or the broker's or dealer's overall responsibilities to the Underlying Fund. State Street periodically will review the brokerage commissions paid by an Underlying Fund to determine whether the commissions paid over a particular period of time were reasonable in relation to the benefits provided to such Fund. It is possible that certain of the services received from a broker or dealer in connection with the execution of transactions will primarily benefit one or more other accounts for which State Street exercises discretion, or an Underlying Fund other than that for which the transaction was executed. Conversely, any given Underlying Fund may be the primary beneficiary of the service received as a result of portfolio transactions effected for such other accounts or Underlying Funds. The investment management fees paid to State Street are not reduced by reason of receipt of such brokerage and research services. INVESTMENT MANAGEMENT FEE No investment management fee was paid to State Street in 1995, with respect to the Program's investment, by the Seven Seas S&P 500 Index Fund, the underlying mutual fund in which the Equity Index Fund invests. SAI-17 UNDERWRITER Equico Securities, Inc. (Equico), a wholly-owned subsidiary of Equitable Life, may be deemed to be the principal underwriter of separate account units under the group annuity contract. On or about May 1, 1996, Equico Securities will change its name to EQ Financial Consultants, Inc. Equico is registered with the SEC as a broker-dealer under 1934 Act and is a member of the National Association of Securities Dealers, Inc. Equico's principal business address is 1755 Broadway, New York, NY 10019. The offering of the units under the contract is continuous. No underwriting commissions have been paid during any of the last three fiscal years with respect to units of interest under the contract. See Deductions and Charges in the prospectus. No person currently serves as underwriter for the Lifecycle Fund Group Trusts or the Underlying Funds. SAI-18 MANAGEMENT EQUITABLE LIFE Equitable Life is managed by its sole shareholder, The Equitable Companies Incorporated. Its directors and certain of its executive officers and their principal occupations are as follows:
DIRECTORS NAME PRINCIPAL OCCUPATION ---------------------------- --------------------------------------------------------------------- Claude Bebear Chairman and Chief Executive Officer, AXA, Chairman, The Equitable Companies Incorporated Christopher Brockson Chief Executive Officer, AXA Equity & Law Life Assurance Society Francoise Colloc'h Executive Vice President, Culture-Management-Communications, AXA *Henri de Castries Executive Vice President-Finance, AXA, Vice Chairman, The Equitable Companies Incorporated Joseph L. Dionne Chairman and Chief Executive Officer, The McGraw-Hill Companies *William T. Esrey Chairman, President and Chief Executive Officer, Sprint Corporation Jean-Rene Fourtou Chairman and Chief Executive Officer, Rhone Paulenc, S.A. Norman C. Francis President, Xavier University of Louisiana Donald J. Greene Counselor-at-Law, Partner, Le Boeuf, Lamb, Greene & MacRae Anthony J. Hamilton Chairman and Chief Executive Officer, Fox-Pitt, Kelton Limited John T. Hartley Director, Retired Chairman and Chief Executive Officer, Harris Corporation *John H.F. Haskell, Jr. Director and Managing Director, Dillon, Read & Co., Inc. *W. Edwin Jarmain President, Jarmain Group Inc. G. Donald Johnston, Jr. Retired Chairman and Chief Executive Officer, JWT Group, Inc. *Winthrop Knowlton Chairman, Knowlton Brothers, Inc. Arthur L. Liman Counsel-at-Law, Partner, Paul, Weiss, Rifkind, Wharton & Garrison George T. Lowy Counselor-at-Law, Partner, Cravath, Swaine & Moore Didier Pineau-Valencienne Chairman and Chief Executive Officer, Schneider, S.A. *George J. Sella, Jr. Retired Chairman of the Board and Chief Executive Officer, American Cyanamid Company *Dave H. Williams Chairman of the Board and Chief Executive Officer, Alliance Capital Management, L.P.
Unless otherwise indicated, the following persons have been involved in the management of Equitable Life in various executive positions during the last five years.
OFFICER-DIRECTORS NAME PRINCIPAL OCCUPATION - -------------------------- ----------------------------------------------------------------- *Joseph J. Melone Director, President and Chief Executive Officer, The Equitable Companies Incorporated; prior thereto, President and Chief Operating Officer; Chairman of the Board, Equitable Life; prior thereto, Chairman and Chief Executive Officer James M. Benson Director, Senior Executive Vice President and Chief Operating Officer, The Equitable Companies Incorporated; prior thereto, Senior Executive Vice President, Director, President and Chief Executive Officer, Equitable Life; prior thereto, President and Chief Operating Officer, President, Management Compensation Group
- ------------ *Member of Equitable Life's Investment Committee. SAI-19
OTHER OFFICERS NAME PRINCIPAL OCCUPATION* - ------------------------ ------------------------------------------------------------------- Jerry M. de St. Paer Senior Executive Vice President and Chief Financial Officer; prior thereto, Executive Vice President and Chief Financial Officer Robert E. Garber Executive Vice President and General Counsel William T. McCaffrey Director, Senior Executive Vice President and Chief Operating Officer, prior thereto, Executive Vice President and Chief Administrative Officer Peter D. Noris Executive Vice President and Chief Investment Officer Jose Suquet Executive Vice President and Chief Agency Officer Gordon G. Dinsmore Senior Vice President Alvin H. Fenichel Senior Vice President and Controller J. Thomas Liddle, Jr. Senior Vice President and Chief Valuation Actuary Kevin R. Byrne Vice President and Treasurer Paul J. Flora Vice President and Auditor Pauline Sherman Vice President, Secretary and Associate General Counsel
- ------------ * All positions are with Equitable Life. STATE STREET State Street is managed by its sole shareholder, State Street Boston Corporation. Its directors and certain of its executive officers and their principal occupations are as follows:
DIRECTORS NAME PRINCIPAL OCCUPATION - ----------------------------- ------------------------------------------------------------------- Tenley E. Albright, M.D. Chairman, Western Resources, Inc. Joseph A. Baute, Jr. Chairman, Nashua Corporation I. MacAllister Booth Retired Chairman, President and CEO, Polaroid Corporation James I. Cash, Jr. Harvard Business School Truman S. Casner, Esquire Partner Ropes & Gray Nader F. Darehshori Chairman, President and CEO, Houghton Mifflin Company Arthur L. Goldstein Chairman and CEO, Ionics, Incorporated Charles F. Kaye President, Transportation Investments, Inc. John M. Kucharski Chairman, President and CEO, EG&G Charles R. LaMantia President and CEO, Arthur D. Little, Inc. David B. Perini Chairman and President, Perini Corporation
SAI-20
DIRECTORS NAME PRINCIPAL OCCUPATION - ----------------------------- ------------------------------------------------------------------- Dennis J. Picard Chairman and CEO, Raytheon Company Alfred Poe President, Meal Enhancement Group, Campbell Soup Company Bernard W. Reznicek Dean of College of Business Administration, Creighton University Robert E. Weissman Chairman and CEO, The Dun & Bradstreet Corporation
OFFICER-DIRECTORS NAME PRINCIPAL OCCUPATION - ---------------------------- ------------------------------------------------------ Marshall N. Carter Chairman, and CEO State Street Bank, and Trust Company David A. Spina President and Chief Operating Officer State Street Bank and Trust Company William S. Edgerly Chairman Emeritus OTHER OFFICERS NAMES PRINCIPAL OCCUPATION* - ---------------------------- ------------------------------------------------------ A. Edward Allinson Executive Vice President George K. Bird, IV Executive Vice President Dale L. Carleton Executive Vice President Susan Comeau Executive Vice President James J. Darr Executive Vice President Howard H. Fairweather Executive Vice President Ronald E. Logue Executive Vice President Nicholas A. Lopardo Executive Vice President Jacques' Phillipe Marson Executive Vice President Ronald O'Kelley CFO, Treasurer, Executive Vice President Albert E. Peterson Executive Vice President William M. Reghitto Executive Vice President David J. Sexton Executive Vice President Stanley W. Shelton Executive Vice President
- ------------ * All positions are with State Street Bank and Trust Company. SAI-21 FINANCIAL STATEMENTS The financial statements of Equitable Life included in this Statement of Additional Information should be considered only as bearing upon the ability of Equitable Life to meet its obligations under the group annuity contract. They should not be considered as bearing upon the investment experience of the Equity Index Fund. The financial statements of Separate Account No. 195 reflect applicable fees, charges and other expenses under the Program as in effect during the periods covered. SEPARATE ACCOUNT NOS. 195, 197 AND 198:
Report of Independent Accountants-- ........................ SAI-25 Separate Account No. 195 (Equity Index Fund): Statement of Assets and Liabilities, December 31, 1995 ................ SAI-26 Statements of Operations and Changes in Net Assets for the Year Ended December 31, 1995 and the Period February 1, 1994 (commencement of operations) to December 31, 1994 .................................... SAI-27 Separate Account No. 197 (Lifecycle Fund--Conservative): Statement of Assets and Liabilities, December 31, 1995 ................ SAI-28 Statement of Operations and Changes in Net Assets for the Period May 1, 1995 (commencement of operations) to December 31, 1995 .............. SAI-29 Separate Account No. 198 (Lifecycle Fund--Moderate): Statement of Assets and Liabilities, December 31, 1995 ................ SAI-30 Statement of Operations and Changes in Net Assets for the Period May 1, 1995 (commencement of operations) to December 31, 1995 .............. SAI-31 Separate Account Nos. 195, 197 and 198: Notes to Financial Statements ......................................... SAI-32 THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Report of Independent Accountants-- ........................ SAI-34 Consolidated Balance Sheets, December 31, 1995 and 1994 ............... SAI-35 Consolidated Statements of Earnings for the Years Ended December 31, 1995, 1994 and 1993 ................................................. SAI-36 Consolidated Statements of Shareholders' Equity for the Years Ended December 31, 1995, 1994 and 1993 .................................... SAI-37 Consolidated Statements of Cash Flows for the Years Ended December 31, 1995, 1994 and 1993 ................................................. SAI-38 Notes to Consolidated Financial Statements ............................ SAI-39
The financial statements for each of the Underlying Funds reflect charges for operating expenses, but do not include any investment management, Program or other charges imposed against the respective assets of the Lifecycle Funds and Lifecycle Fund Group Trusts. The financial statements of the Underlying Funds do, however, indirectly reflect any investment management fees and other charges paid by the entities in which the Underlying Funds invest. SAI-22 STATE STREET BANK AND TRUST COMPANY-- LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Report of Independent Accountants-- ........................ SAI-74 Lifecycle Fund Group Trust--Conservative: Statement of Assets and Liabilities, December 31, 1995 ................ SAI-75 Statement of Operations for the Period Ended December 31, 1995 ........ SAI-76 Statement of Changes in Net Assets for the Period Ended December 31, 1995 ................................................................ SAI-77 Selected Per Unit Data ................................................ SAI-78 Notes to Financial Statements ......................................... SAI-79 STATE STREET BANK AND TRUST COMPANY-- LIFECYCLE FUND GROUP TRUST--MODERATE Report of Independent Accountants-- .......................... SAI-81 Lifecycle Fund Group Trust--Moderate: Statement of Assets and Liabilities, December 31, 1995 .................. SAI-82 Statement of Operations for the Period Ended December 31, 1995 .......... SAI-83 Statement of Changes in Net Assets for the Period Ended December 31, 1995 SAI-84 Selected Per Unit Data .................................................. SAI-85 Notes to Financial Statements ........................................... SAI-86 STATE STREET BANK AND TRUST COMPANY--UNDERLYING FUNDS FLAGSHIP FUND Report of Independent Accountants-- ...................... SAI-88 S&P 500 Flagship Fund and S&P 500 Index Fund with Futures: Combined Statement of Assets and Liabilities, December 31, 1995 ..... SAI-89 Combined Statement of Operations for the Year Ended December 31, 1995 SAI-90 Combined Statement of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 ........................................ SAI-91 S&P 500 Flagship Fund Selected Per Unit Data ........................ SAI-92 S&P 500 Index Fund with Futures Selected Per Unit Data .............. SAI-93 Notes to Combined Financial Statements .............................. SAI-94 Combined Schedule of Investments, December 31, 1995 ................. SAI-98 2000 FUND Report of Independent Accountants-- .................... SAI-109 Russell 2000 Fund: Statement of Assets and Liabilities, December 31, 1995 ............ SAI-110 Statement of Operations for the Year Ended December 31, 1995 ...... SAI-111 Statement of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 ................................................... SAI-112 Selected Per Unit Data ............................................ SAI-113 Notes to Financial Statements ..................................... SAI-114
The financial statements for the Russell 2000 Fund reflect direct investments made by this Fund in shares of companies included in the Russell 2000 Index. Beginning February 1, 1995, this Fund has invested in units of the Russell 2000 Value and Growth Funds, which in turn invest in shares of companies included in the Russell 2000 Index. SAI-23
DAILY EAFE FUND Report of Independent Accountants-- ...................... SAI-117 Daily EAFE Fund Non-Lending and Daily EAFE Fund: Combined Statement of Assets and Liabilities, December 31, 1995 ..... SAI-118 Combined Statement of Operations for the Year Ended December 31, 1995 SAI-119 Combined Statement of Changes in Net Assets for the Year Ended December 31, 1995 and Period Ended December 31, 1994 .............. SAI-120 Daily EAFE Fund Non-Lending Selected Per Unit Data .................. SAI-121 Daily EAFE Fund Selected Per Unit Data .............................. SAI-122 Notes to Combined Financial Statements .............................. SAI-123 Combined Schedule of Investments, December 31, 1995 ................. SAI-127 GC BOND FUND Report of Independent Accountants-- ........................ SAI-152 Daily Government/Corporate Fund: Statement of Assets and Liabilities, December 31, 1995 ................ SAI-153 Statement of Operations for the Year Ended December 31, 1995 .......... SAI-154 Statement of Changes in Net Assets for the Year Ended December 31, 1995 and Period Ended December 31, 1994 .................................. SAI-155 Selected Per Unit Data ................................................ SAI-156 Notes to Financial Statements ......................................... SAI-157 Schedule of Investments, December 31, 1995 ............................ SAI-159 STIF FUND Report of Independent Accountants-- ........................ SAI-164 Short Term Investment Fund: Statement of Assets and Liabilities, December 31, 1995 ................ SAI-165 Statement of Operations for the Year Ended December 31, 1995 .......... SAI-166 Statement of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 ....................................................... SAI-167 Selected Per Unit Data ................................................ SAI-168 Notes to Financial Statements ......................................... SAI-169 Schedule of Investments, December 31, 1995 ............................ SAI-171
SAI-24 REPORT OF INDEPENDENT ACCOUNTANTS To the Board of Directors of The Equitable Life Assurance Society of the United States and the participants in the American Dental Association Members Retirement Program In our opinion, the accompanying statement of assets and liabilities, and the related statement of operations and changes in net assets present fairly, in all material respects, the financial position of Separate Account Nos. 195, 197 and 198 of The Equitable Life Assurance Society of the United States ("Equitable Life") at December 31, 1995 and each of their results of operations and changes in net assets for the periods indicated, in conformity with generally accepted accounting principles. These financial statements are the responsibility of Equitable Life's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management and evaluating the overall financial statement presentation. We believe that our audits which included confirmation of shares owned in the underlying mutual funds with the transfer agent at December 31, 1995, provide a reasonable basis for the opinion expressed above. Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The unit information (appearing under "Condensed Financial Information" in the prospectus) is presented for the purpose of satisfying regulatory reporting requirements and is not a required part of the basic financial statements. Such unit information has been subjected to auditing procedures applied during the audit of the basic financial statements and, in our opinion, is fairly stated in all material respects in relation to the basic financial statements taken as a whole. PRICE WATERHOUSE LLP New York, New York February 7, 1996 SAI-25 SEPARATE ACCOUNT NO. 195 (THE EQUITY INDEX FUND) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statement of Assets and Liabilities December 31, 1995
ASSETS: Investments in shares of The Seven Seas S&P 500 Fund-at value (cost: $17,711,427) (Notes 2 and and 5) ........................................ $19,197,205 Receivable from Equitable Life's General Account 275,527 - -------------------------------------------------------------- Total assets ................................ 19,472,732 LIABILITIES--Accrued expenses .................. 23,486 - -------------------------------------------------------------- NET ASSETS ..................................... $19,449,246 ==============================================================
See Notes to Financial Statements. SAI-26 SEPARATE ACCOUNT NO. 195 OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statements of Operations and Changes in Net Assets
FOR THE PERIOD FEBRUARY 1, 1994* YEAR ENDED TO DECEMBER 31, 1995 DECEMBER 31, 1994 - ---------------------------------------------------------------------------------------------------------- FROM OPERATIONS: INVESTMENT INCOME (NOTE 2)--Dividends from The Seven Seas S&P 500 Fund .............................................................. $ 387,701 $ 119,933 EXPENSES--(NOTE 3) ................................................. (155,529) (51,438) - --------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME .............................................. 232,172 68,495 - --------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 2): Realized gain (loss) from share transactions ....................... 997,758 (46,318) Realized gain distribution from The Seven Seas S&P 500 Fund ....... 394,652 7,943 - --------------------------------------------------------------------------------------------------------- Net realized gain (loss) ........................................... 1,392,410 (38,375) - --------------------------------------------------------------------------------------------------------- Unrealized appreciation of investments: Beginning of period ................................................ 5,910 0 End of period ...................................................... 1,485,778 5,910 - --------------------------------------------------------------------------------------------------------- Change in unrealized appreciation .................................. 1,479,868 5,910 - --------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ............ 2,872,278 (32,465) - --------------------------------------------------------------------------------------------------------- Increase in net assets attributable to operations .................. 3,104,450 36,030 - --------------------------------------------------------------------------------------------------------- FROM CONTRIBUTIONS AND WITHDRAWALS: Contributions ...................................................... 22,746,218 9,471,003 Withdrawals ........................................................ (11,398,912) (4,509,543) - --------------------------------------------------------------------------------------------------------- Increase in net assets attributable to contributions and withdrawals ....................................................... 11,347,306 4,961,460 - --------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS ............................................. 14,451,756 4,997,490 NET ASSETS--BEGINNING OF PERIOD .................................... 4,997,490 -- - --------------------------------------------------------------------------------------------------------- NET ASSETS--END OF PERIOD .......................................... $ 19,449,246 $ 4,997,490 =========================================================================================================
- ------------ * Commencement of operations. See Notes to Financial Statements. SAI-27 SEPARATE ACCOUNT NO. 197 (THE LIFECYCLE FUND-CONSERVATIVE) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statement of Assets and Liabilities December 31, 1995
ASSETS: Investments in shares of the Lifecycle Fund Group Trust Conservative-at value (cost $2,873,803) (Note 2) ............................................ $2,983,991 Receivable from Equitable Life's General Account .... 2,788 - ------------------------------------------------------------------- Total assets ...................................... 2,986,779 LIABILITIES--Accrued expenses ........................ 13,142 - ------------------------------------------------------------------- NET ASSETS ........................................... $2,973,637 ===================================================================
See Notes to Financial Statements. SAI-28 SEPARATE ACCOUNT NO. 197 OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statement of Operations and Changes in Net Assets
FOR THE PERIOD MAY 1, 1995* TO DECEMBER 31, 1995 - -------------------------------------------------------------------------------------- FROM OPERATIONS: EXPENSES--(NOTE 3) ................................................. $ (23,691) - -------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 2): Realized gain from share transactions .............................. 41,403 Unrealized appreciation of investments ............................. 110,188 - -------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS .................... 151,591 - -------------------------------------------------------------------------------------- Increase in net assets attributable to operations .................. 127,900 - -------------------------------------------------------------------------------------- FROM CONTRIBUTIONS AND WITHDRAWALS: Contributions ...................................................... 4,323,495 Withdrawals ........................................................ (1,477,758) - -------------------------------------------------------------------------------------- Increase in net assets attributable to contributions and withdrawals ....................................................... 2,845,737 - -------------------------------------------------------------------------------------- INCREASE IN NET ASSETS ............................................. 2,973,637 NET ASSETS--BEGINNING OF PERIOD .................................... -- - -------------------------------------------------------------------------------------- NET ASSETS--END OF PERIOD .......................................... $ 2,973,637 ======================================================================================
- ------------ * Commencement of operations. See Notes to Financial Statements. SAI-29 SEPARATE ACCOUNT NO. 198 (THE LIFECYCLE FUND-MODERATE) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statement of Assets and Liabilities December 31, 1995
ASSETS: Investments in shares of the Lifecycle Fund Group Trust Moderate-at value (cost: $75,444,051) (Note 2) ........................................... $76,272,332 Receivable from Equitable Life's General Account ... 12,059 - ------------------------------------------------------------------- Total assets ..................................... 76,284,391 LIABILITIES--Accrued expenses ....................... 67,921 - ------------------------------------------------------------------- NET ASSETS .......................................... $76,216,470 ===================================================================
See Notes to Financial Statements. SAI-30 SEPARATE ACCOUNT NO. 198 OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statement of Operations and Changes in Net Assets
FOR THE PERIOD MAY 1, 1995* TO DECEMBER 31, 1995 - --------------------------------------------------------------------------------------- FROM OPERATIONS: EXPENSES--(NOTE 3) .................................................. $ (95,847) - --------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 2): Realized gain from share transactions ............................... 66,530 Unrealized appreciation of investments .............................. 828,281 - --------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS ..................... 894,811 - --------------------------------------------------------------------------------------- Increase in net assets attributable to operations ................... 798,964 - --------------------------------------------------------------------------------------- FROM CONTRIBUTIONS AND WITHDRAWALS: Contributions ....................................................... 77,246,884 Withdrawals ......................................................... (1,829,378) - --------------------------------------------------------------------------------------- Increase in net assets attributable to contributions and withdrawals 75,417,506 - --------------------------------------------------------------------------------------- INCREASE IN NET ASSETS .............................................. 76,216,470 NET ASSETS--BEGINNING OF PERIOD ..................................... -- - --------------------------------------------------------------------------------------- NET ASSETS--END OF PERIOD ........................................... $76,216,470 =======================================================================================
- ------------ * Commencement of operations. See Notes to Financial Statements. SAI-31 SEPARATE ACCOUNT NOS. 195, 197 AND 198 OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Notes to Financial Statements 1. Separate Account Nos. 195 (the Equity Index Fund), 197 (the Lifecycle Fund-Conservative) and 198 (the Lifecycle Fund-Moderate) (the Funds) of The Equitable Life Assurance Society of the United States (Equitable Life), a wholly-owned subsidiary of The Equitable Companies Incorporated, were established in conformity with the New York State Insurance Law. Pursuant to such law, to the extent provided in the applicable contracts, the net assets in the Funds are not chargeable with liabilities arising out of any other business of Equitable Life. Separate Account No. 195 was established as of the opening of business on February 1, 1994 and Separate Account Nos. 197 and 198 were established as of the opening of business on May 1, 1995 to solely fund the American Dental Association Members Retirement Trust and the American Dental Association Members Pooled Trust for Retirement Plans (Trusts) sponsored by the American Dental Association (ADA). Equitable Life is the investment manager for the Funds. The accompanying financial statements are prepared in conformity with generally accepted accounting principles (GAAP). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Separate Account No. 195 invests its assets in shares of the Seven Seas S&P 500 Fund, a portfolio of The Seven Seas Series Fund, which is registered under the Investment Company Act of 1940 as an open-end management investment company. The investment manager of the Seven Seas S&P 500 Fund is State Street Bank and Trust Company (State Street). Separate Account Nos. 197 and 198 invest their assets in shares of the Lifecycle Fund Group Trusts-- Conservative and Moderate, respectively. The Lifecycle Funds Group Trusts are collective investment funds maintained by State Street. Each Lifecycle Fund Group is organized as a common law trust under Massachusetts law, and, because of exclusionary provisions, are not subject to regulation under the Investment Company Act of 1940. State Street serves as the trustee and investment manager to each of these Group Trusts. 2. Realized gains and losses on investments include gains and losses on redemptions of the underlying fund's shares (determined on the identified cost basis) and capital gain distributions from the underlying funds. Dividends and realized gain distributions from underlying funds are recorded on ex-date. Investments in the Seven Seas S&P 500 Fund, the Lifecycle Funds--Conservative's and Moderate's investments in the Lifecycle Fund Group Trusts--Conservative and Moderate are valued at the underlying mutual fund's or trust's net asset value per share. 3. Charges and fees relating to the Funds are deducted in accordance with the terms of the contracts issued by Equitable Life to the Trusts. With respect to the American Dental Association Members Retirement Program, these expenses consist of program expense charge, direct expenses and record maintenance and report fee. These charges and fees are paid to Equitable Life by the Funds and are recorded as expenses in the accompanying Statements of Operations and Changes in Net Assets. 4. No Federal income tax based on net income or realized and unrealized capital gains was applicable to contracts participating in the Funds, by reason of applicable provisions of the Internal Revenue Code and no Federal income tax payable by Equitable Life will affect such contracts. Accordingly, no Federal income tax provision is required. SAI-32 SEPARATE ACCOUNT NOS. 195, 197 AND 198 OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Notes to Financial Statements (Concluded) 5. The Seven Seas S&P 500 Index Fund and the Lifecycle Fund Group Trusts have provided Equitable Life with the following information as of December 31, 1995. The Seven Seas S&P 500 Index Fund had total assets of $532.3 million and a net asset value per share of $13.55. Its five major industry group concentrations were as follows: Consumer Non-Durables (22.9%), Financials (13.7%), Utilities (12.5%), Technology (11.1%) and Healthcare (10.1%). The Lifecycle Fund Group Trust-Conservative had total assets of $3.0 million and a net asset value per share of $10.73. The Lifecycle Fund Group Trust-Moderate had total assets of $76.2 million and a net asset value per share of $11.13. SAI-33 REPORT OF INDEPENDENT ACCOUNTANTS To the Board of Directors and Shareholder of The Equitable Life Assurance Society of the United States In our opinion, the accompanying consolidated balance sheets and the related consolidated statements of earnings, of shareholder's equity and of cash flows present fairly, in all material respects, the financial position of The Equitable Life Assurance Society of the United States and its subsidiaries ("Equitable Life") at December 31, 1995 and 1994, and the results of their operations and their cash flows for each of the three years in the period ended December 31, 1995, in conformity with generally accepted accounting principles. These financial statements are the responsibility of Equitable Life's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for the opinion expressed above. As discussed in Note 2 to the consolidated financial statements, Equitable Life changed its methods of accounting for loan impairments in 1995, for postemployment benefits in 1994 and for investment securities in 1993. PRICE WATERHOUSE LLP New York, New York February 7, 1996 SAI-34 THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES CONSOLIDATED BALANCE SHEETS DECEMBER 31, 1995 AND 1994
1995 1994 ----------------- ----------------- (IN MILLIONS) ASSETS Investments: Fixed maturities: Available for sale, at estimated fair value............................. $ 15,899.9 $ 7,586.0 Held to maturity, at amortized cost..................................... - 5,223.0 Mortgage loans on real estate............................................. 3,638.3 4,018.0 Equity real estate........................................................ 3,916.2 4,446.4 Policy loans.............................................................. 1,976.4 1,731.2 Other equity investments.................................................. 621.1 678.5 Investment in and loans to affiliates..................................... 636.6 560.2 Other invested assets..................................................... 706.1 489.3 ----------------- ----------------- Total investments..................................................... 27,394.6 24,732.6 Cash and cash equivalents................................................... 774.7 693.6 Deferred policy acquisition costs........................................... 3,083.3 3,221.1 Amounts due from discontinued GIC Segment................................... 2,097.1 2,108.6 Other assets................................................................ 2,713.1 2,078.6 Closed Block assets......................................................... 8,612.8 8,105.5 Separate Accounts assets.................................................... 24,566.6 20,469.5 ----------------- ----------------- TOTAL ASSETS................................................................ $ 69,242.2 $ 61,409.5 ================= ================= LIABILITIES Policyholders' account balances............................................. $ 21,752.6 $ 21,238.0 Future policy benefits and other policyholders' liabilities................. 4,171.8 3,840.8 Short-term and long-term debt............................................... 1,899.3 1,337.4 Other liabilities........................................................... 3,379.5 2,300.1 Closed Block liabilities.................................................... 9,507.2 9,069.5 Separate Accounts liabilities............................................... 24,531.0 20,429.3 ----------------- ----------------- Total liabilities..................................................... 65,241.4 58,215.1 ----------------- ----------------- Commitments and contingencies (Notes 10, 12, 13, 14 and 15) SHAREHOLDER'S EQUITY Common stock, $1.25 par value 2.0 million shares authorized, issued and outstanding........................................................... 2.5 2.5 Capital in excess of par value.............................................. 2,913.6 2,913.6 Retained earnings........................................................... 781.6 484.0 Net unrealized investment gains (losses).................................... 338.2 (203.0) Minimum pension liability................................................... (35.1) (2.7) ----------------- ----------------- Total shareholder's equity............................................ 4,000.8 3,194.4 ----------------- ----------------- TOTAL LIABILITIES AND SHAREHOLDER'S EQUITY.................................. $ 69,242.2 $ 61,409.5 ================= =================
See Notes to Consolidated Financial Statements. SAI-35 THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES CONSOLIDATED STATEMENTS OF EARNINGS YEARS ENDED DECEMBER 31, 1995, 1994 AND 1993
1995 1994 1993 ----------------- ----------------- ----------------- (IN MILLIONS) REVENUES Universal life and investment-type product policy fee income...................................................... $ 771.0 $ 715.0 $ 644.5 Premiums...................................................... 606.8 625.6 599.1 Net investment income......................................... 2,127.7 2,030.9 2,599.3 Investment gains, net......................................... 5.3 91.8 533.4 Commissions, fees and other income............................ 886.8 845.4 1,717.2 Contribution from the Closed Block............................ 124.4 151.0 128.3 ----------------- ----------------- ----------------- Total revenues.......................................... 4,522.0 4,459.7 6,221.8 ----------------- ----------------- ----------------- BENEFITS AND OTHER DEDUCTIONS Interest credited to policyholders' account balances.......... 1,244.2 1,201.3 1,330.0 Policyholders' benefits....................................... 1,011.3 920.6 1,003.9 Other operating costs and expenses............................ 1,856.5 1,943.1 3,584.2 ----------------- ----------------- ----------------- Total benefits and other deductions..................... 4,112.0 4,065.0 5,918.1 ----------------- ----------------- ----------------- Earnings before Federal income taxes and cumulative effect of accounting change................................. 410.0 394.7 303.7 Federal income taxes.......................................... 112.4 101.2 91.3 ----------------- ----------------- ----------------- Earnings before cumulative effect of accounting change........ 297.6 293.5 212.4 Cumulative effect of accounting change, net of Federal income taxes................................................ - (27.1) - ----------------- ----------------- ----------------- Net Earnings.................................................. $ 297.6 $ 266.4 $ 212.4 ================= ================= =================
See Notes to Consolidated Financial Statements. SAI-36 THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES CONSOLIDATED STATEMENTS OF SHAREHOLDER'S EQUITY YEARS ENDED DECEMBER 31, 1995, 1994 AND 1993
1995 1994 1993 ----------------- ----------------- ----------------- (IN MILLIONS) Common stock, at par value, beginning of year................. $ 2.5 $ 2.5 $ 2.0 Increase in par value......................................... - - .5 ----------------- ----------------- ----------------- Common stock, at par value, end of year....................... 2.5 2.5 2.5 ----------------- ----------------- ----------------- Capital in excess of par value, beginning of year............. 2,913.6 2,613.6 2,273.9 Additional capital in excess of par value..................... - 300.0 340.2 Increase in par value......................................... - - (.5) ----------------- ----------------- ----------------- Capital in excess of par value, end of year................... 2,913.6 2,913.6 2,613.6 ----------------- ----------------- ----------------- Retained earnings, beginning of year.......................... 484.0 217.6 5.2 Net earnings.................................................. 297.6 266.4 212.4 ----------------- ----------------- ----------------- Retained earnings, end of year................................ 781.6 484.0 217.6 ----------------- ----------------- ----------------- Net unrealized investment (losses) gains, beginning of year... (203.0) 131.9 78.8 Change in unrealized investment gains (losses)................ 541.2 (334.9) (9.5) Effect of adopting new accounting standard.................... - - 62.6 ----------------- ----------------- ----------------- Net unrealized investment gains (losses), end of year......... 338.2 (203.0) 131.9 ----------------- ----------------- ----------------- Minimum pension liability, beginning of year.................. (2.7) (15.0) - Change in minimum pension liability........................... (32.4) 12.3 (15.0) ----------------- ----------------- ----------------- Minimum pension liability, end of year........................ (35.1) (2.7) (15.0) ----------------- ----------------- ----------------- TOTAL SHAREHOLDER'S EQUITY, END OF YEAR....................... $ 4,000.8 $ 3,194.4 $ 2,950.6 ================= ================= =================
See Notes to Consolidated Financial Statements. SAI-37 THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES CONSOLIDATED STATEMENTS OF CASH FLOWS YEARS ENDED DECEMBER 31, 1995, 1994 AND 1993
1995 1994 1993 ----------------- ----------------- ----------------- (IN MILLIONS) Net earnings.................................................. $ 297.6 $ 266.4 $ 212.4 Adjustments to reconcile net earnings to net cash provided (used) by operating activities: Net change in trading activities and broker-dealer related receivables/payables.............................. - - (4,177.8) Increase in matched resale agreements....................... - - (2,900.5) Increase in matched repurchase agreements................... - - 2,900.5 Investment gains, net of dealer and trading gains........... (5.3) (91.8) (160.8) Change in amounts due from discontinued GIC Segment......... - 57.3 47.8 General Account policy charges.............................. (769.7) (711.9) (623.4) Interest credited to policyholders' account balances........ 1,244.2 1,201.3 1,330.0 Changes in Closed Block assets and liabilities, net......... (69.6) (95.1) (73.3) Other, net.................................................. 627.1 7.8 (416.1) ----------------- ----------------- ----------------- Net cash provided (used) by operating activities.............. 1,324.3 634.0 (3,861.2) ----------------- ----------------- ----------------- Cash flows from investing activities: Maturities and repayments................................... 1,863.1 2,319.7 3,479.6 Sales....................................................... 8,901.4 5,661.9 7,399.2 Return of capital from joint ventures and limited partnerships.............................................. 65.2 39.0 119.5 Purchases................................................... (11,675.5) (7,417.6) (11,184.2) Decrease (increase) in loans to discontinued GIC Segment.... 1,226.9 (40.0) (880.0) Cash received on sale of 61% interest in DLJ................ - - 346.7 Other, net.................................................. (625.5) (371.1) (317.0) ----------------- ----------------- ----------------- Net cash (used) provided by investing activities.............. (244.4) 191.9 (1,036.2) ----------------- ----------------- ----------------- Cash flows from financing activities: Policyholders' account balances: Deposits.................................................. 2,414.9 2,082.7 2,410.7 Withdrawals............................................... (2,692.7) (2,887.4) (2,433.5) Net (decrease) increase in short-term financings............ (16.4) (173.0) 4,717.2 Additions to long-term debt................................. 599.7 51.8 97.7 Repayments of long-term debt................................ (40.7) (199.8) (64.4) Proceeds from issuance of Alliance units.................... - 100.0 - Payment of obligation to fund accumulated deficit of discontinued GIC Segment.................................. (1,215.4) - - Capital contribution from the Holding Company............... - 300.0 - Other, net.................................................. (48.2) - - ----------------- ----------------- ----------------- Net cash (used) provided by financing activities.............. (998.8) (725.7) 4,727.7 ----------------- ----------------- ----------------- Change in cash and cash equivalents........................... 81.1 100.2 (169.7) Cash and cash equivalents, beginning of year.................. 693.6 593.4 763.1 ----------------- ----------------- ----------------- Cash and Cash Equivalents, End of Year........................ $ 774.7 $ 693.6 $ 593.4 ================= ================= ================= Supplemental cash flow information Interest Paid............................................... $ 89.6 $ 34.9 $ 1,437.2 ================= ================= ================= Income Taxes (Refunded) Paid................................ $ (82.7) $ 49.2 $ 41.0 ================= ================= =================
See Notes to Consolidated Financial Statements. SAI-38 THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 1) ORGANIZATION The Equitable Life Assurance Society of the United States ("Equitable Life") converted to a stock life insurance company on July 22, 1992 and became a wholly owned subsidiary of The Equitable Companies Incorporated (the "Holding Company"). Equitable Life's insurance business, which is comprised of an Individual Insurance and Annuities segment and a Group Pension segment is conducted principally by Equitable Life and its wholly owned life insurance subsidiary, Equitable Variable Life Insurance Company ("EVLICO"). Equitable Life's investment management business, which comprises the Investment Services segment, is conducted principally by Alliance Capital Management L.P. ("Alliance"), Equitable Real Estate Investment Management, Inc. ("EREIM") and Donaldson, Lufkin and Jenrette, Inc. ("DLJ"), an investment banking and brokerage affiliate. AXA, a French holding company for an international group of insurance and related financial services companies is the Holding Company's largest shareholder, owning approximately 60.6% at December 31, 1995 (63.5% assuming conversion of Series E Convertible Preferred Stock held by AXA and 54.2% if all securities convertible into, or options on, common stock were to be converted or exercised). 2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Basis of Presentation and Principles of Consolidation ----------------------------------------------------- The accompanying consolidated financial statements are prepared in conformity with generally accepted accounting principles ("GAAP"). The accompanying consolidated financial statements include the accounts of Equitable Life and its wholly owned life insurance subsidiaries (collectively, the "Insurance Group"); non-insurance subsidiaries, principally Alliance, an investment advisory subsidiary and EREIM, a real estate investment management subsidiary; and those partnerships and joint ventures in which the Company has control and a majority economic interest (collectively, including its consolidated subsidiaries, the "Company"). The consolidated statement of earnings and cash flow for the year ended December 31, 1993 include the results of operations and cash flow of DLJ, an investment banking and brokerage affiliate, on a consolidated basis through December 15, 1993 (see Note 20). Subsequent to that date, DLJ is accounted for on the equity basis. The Closed Block assets and liabilities and results of operations are presented in the consolidated financial statements as single line items (see Note 6). Unless specifically stated, all disclosures contained herein supporting the consolidated financial statements exclude the Closed Block related amounts. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. All significant intercompany transactions and balances have been eliminated in consolidation other than intercompany transactions and balances with the Closed Block and the discontinued Guaranteed Interest Contract ("GIC") Segment (see Note 7). Certain reclassifications have been made in the amounts presented for prior periods to conform these periods with the 1995 presentation. SAI-39 Closed Block ------------ As of July 22, 1992, Equitable Life established the Closed Block for the benefit of certain classes of individual participating policies for which Equitable Life had a dividend scale payable in 1991 and which were in force on that date. Assets were allocated to the Closed Block in an amount which, together with anticipated revenues from policies included in the Closed Block, was reasonably expected to be sufficient to support such business, including provision for payment of claims, certain expenses and taxes, and for continuation of dividend scales payable in 1991, assuming the experience underlying such scales continues. Assets allocated to the Closed Block inure solely to the benefit of the holders of policies included in the Closed Block and will not revert to the benefit of the Holding Company. The plan of demutualization prohibits the reallocation, transfer, borrowing or lending of assets between the Closed Block and other portions of Equitable Life's General Account, any of its Separate Accounts or to any affiliate of Equitable Life without the approval of the New York Superintendent of Insurance. Closed Block assets and liabilities are carried on the same basis as similar assets and liabilities held in the General Account. The excess of Closed Block liabilities over Closed Block assets represents the expected future post-tax contribution from the Closed Block which would be recognized in income over the period the policies and contracts in the Closed Block remain in force. If the actual contribution from the Closed Block in any given period equals or exceeds the expected contribution for such period as determined at the establishment of the Closed Block, the expected contribution would be recognized in income for that period. Any excess of the actual contribution over the expected contribution would also be recognized in income to the extent that the aggregate expected contribution for all prior periods exceeded the aggregate actual contribution. Any remaining excess of actual contribution over expected contributions would be accrued in the Closed Block as a liability for future dividends to be paid to the Closed Block policyholders. If, over the period the policies and contracts in the Closed Block remain in force, the actual contribution from the Closed Block is less than the expected contribution from the Closed Block, only such actual contribution would be recognized in income. Discontinued Operations ----------------------- In 1991, the Company's management adopted a plan to discontinue the business operations of the GIC Segment, consisting of the Guaranteed Interest Contract and Group Non-Participating Wind-Up Annuities lines of business. The Company established a pre-tax provision for the estimated future losses of the GIC line of business and a premium deficiency reserve for the Group Non-Participating Wind-Up Annuities. Subsequent losses incurred have been charged to the allowance for future losses and the premium deficiency reserve. Total allowances are based upon management's best judgment and there is no assurance that the ultimate losses will not differ. Accounting Changes ------------------ In the first quarter of 1995, the Company adopted Statement of Financial Accounting Standards ("SFAS") No. 114, "Accounting by Creditors for Impairment of a Loan". This statement applies to all loans, including loans restructured in a troubled debt restructuring involving a modification of terms. This statement addresses the accounting for impairment of a loan by specifying how allowances for credit losses should be determined. Impaired loans within the scope of this statement are measured based on the present value of expected future cash flows discounted at the loan's effective interest rate, at the loan's observable market price or the fair value of the collateral if the loan is collateral dependent. The Company provides for impairment of loans through an allowance for possible losses. The adoption of this statement did not have a material effect on the level of these allowances or on the Company's consolidated statements of earnings and shareholder's equity. SAI-40 In the fourth quarter of 1994 (effective as of January 1, 1994), the Company adopted SFAS No. 112, "Employers' Accounting for Postemployment Benefits," which required employers to recognize the obligation to provide postemployment benefits. Implementation of this statement resulted in a charge for the cumulative effect of accounting change of $27.1 million, net of a Federal income tax benefit of $14.6 million. At December 31, 1993, the Company adopted SFAS No. 115, "Accounting for Certain Investments in Debt and Equity Securities," which expanded the use of fair value accounting for those securities that a company does not have positive intent and ability to hold to maturity. Implementation of this statement increased consolidated shareholder's equity by $62.6 million, net of deferred policy acquisition costs, amounts attributable to participating group annuity contracts and deferred Federal income tax. Beginning coincident with issuance of SFAS No. 115 implementation guidance in November 1995, the Financial Accounting Standards Board ("FASB") permitted companies a one-time opportunity, through December 31, 1995, to reassess the appropriateness of the classification of all securities held at that time. On December 1, 1995, the Company transferred $4,794.9 million of securities classified as held to maturity to the available for sale portfolio. As a result consolidated shareholder's equity increased by $126.2 million, net of deferred policy acquisition costs, amounts attributable to participating group annuity contracts and deferred Federal income tax. New Accounting Pronouncements ----------------------------- In January 1995, the FASB issued SFAS No. 120, "Accounting and Reporting by Mutual Life Insurance Enterprises and by Insurance Enterprises for Certain Long-Duration Participating Contracts," which permits, but does not require, stock life insurance companies with participating life contracts to account for those contracts in accordance with Statement of Position No. 95-1, "Accounting for Certain Insurance Activities of Mutual Life Insurance Enterprises". The Company has decided to retain the existing methodology to account for traditional participating policies and, therefore, will not adopt this statement. In March 1995, the FASB issued SFAS No. 121, "Accounting for the Impairment of Long-Lived Assets and for Long-Lived Assets to be Disposed Of," which requires that long-lived assets and certain identifiable intangibles be reviewed for impairment whenever events or changes in circumstances indicate the carrying amount of such assets may not be recoverable. The Company will implement this statement as of January 1, 1996. The cumulative effect of this accounting change will be a charge of $23.4 million, net of a Federal income tax benefit of $12.1 million, due to the writedown to fair value of building improvements relating to facilities being vacated beginning in 1996. The Company currently provides allowances for possible losses for other assets under the scope of this statement. Management has not yet determined the impact of this statement on assets to be held and used. In May 1995, the FASB issued SFAS No. 122, "Accounting for Mortgage Servicing Rights," which requires a mortgage banking enterprise to recognize rights to service mortgage loans for others as separate assets however those servicing rights are acquired. It further requires capitalized mortgage servicing rights be assessed for impairment based on the fair value of those rights. The Company will implement this statement as of January 1, 1996. Implementation of this statement will not have a material effect on the Company's consolidated financial statements. In October 1995, the FASB issued SFAS No. 123, "Accounting for Stock-Based Compensation". This statement defines a fair value based method of accounting for stock-based employee compensation plans while continuing to allow an entity to measure compensation cost for such plans using the intrinsic value based method of accounting. Management has decided to retain the current compensation cost methodology prescribed by Accounting Principles Board Opinion No. 25, "Accounting for Stock Issued to Employees". SAI-41 Valuation of Investments ------------------------ Fixed maturities, which the Company has both the ability and the intent to hold to maturity, are stated principally at amortized cost. Fixed maturities identified as available for sale are reported at estimated fair value. The amortized cost of fixed maturities is adjusted for impairments in value deemed to be other than temporary. Mortgage loans on real estate are stated at unpaid principal balances, net of unamortized discounts and valuation allowances. Effective with the adoption of SFAS No. 114 on January 1, 1995, the valuation allowances are based on the present value of expected future cash flows discounted at the loan's original effective interest rate or the collateral value if the loan is collateral dependent. However, if foreclosure is or becomes probable, the measurement method used is collateral value. Prior to the adoption of SFAS No. 114, the valuation allowances were based on losses expected by management to be realized on transfers of mortgage loans to real estate (upon foreclosure or in-substance foreclosure), on the disposition or settlement of mortgage loans and on mortgage loans management believed may not be collectible in full. In establishing valuation allowances, management previously considered, among other things the estimated fair value of the underlying collateral. Real estate, including real estate acquired in satisfaction of debt, is stated at depreciated cost less valuation allowances. At the date of foreclosure (including in-substance foreclosure), real estate acquired in satisfaction of debt is valued at estimated fair value. Valuation allowances on real estate held for the production of income are computed using the forecasted cash flows of the respective properties discounted at a rate equal to the Company's cost of funds; valuation allowances on real estate available for sale are computed using the lower of current estimated fair value, net of disposition costs, or depreciated cost. Policy loans are stated at unpaid principal balances. Partnerships and joint venture interests in which the Company does not have control and a majority economic interest are reported on the equity basis of accounting and are included either with equity real estate or other equity investments, as appropriate. Common stocks are carried at estimated fair value and are included in other equity investments. Short-term investments are stated at amortized cost which approximates fair value and are included with other invested assets. Cash and cash equivalents includes cash on hand, amounts due from banks and highly liquid debt instruments purchased with an original maturity of three months or less. All securities are recorded in the consolidated financial statements on a trade date basis. Investment Results and Unrealized Investment Gains (Losses) ----------------------------------------------------------- Net investment income and realized investment gains and losses (collectively, "investment results") related to certain participating group annuity contracts are passed through to the contractholders as interest credited to policyholders' account balances. Realized investment gains and losses are determined by specific identification and are presented as a component of revenue. Valuation allowances are netted against the asset categories to which they apply and changes in the valuation allowances are included in investment gains or losses. Unrealized investment gains and losses on fixed maturities available for sale and equity securities held by the Company are accounted for as a separate component of shareholder's equity, net of related deferred Federal income taxes, amounts attributable to the discontinued GIC Segment, Closed Block, participating group annuity contracts and deferred policy acquisition costs related to universal life and investment-type products. SAI-42 Recognition of Insurance Income and Related Expenses ---------------------------------------------------- Premiums from universal life and investment-type contracts are reported as deposits to policyholders' account balances. Revenues from these contracts consist of amounts assessed during the period against policyholders' account balances for mortality charges, policy administration charges and surrender charges. Policy benefits and claims that are charged to expense include benefit claims incurred in the period in excess of related policyholders' account balances. Premiums from traditional life and annuity policies with life contingencies generally are recognized as income when due. Benefits and expenses are matched with such income so as to result in the recognition of profits over the life of the contracts. This match is accomplished by means of the provision for liabilities for future policy benefits and the deferral and subsequent amortization of policy acquisition costs. For contracts with a single premium or a limited number of premium payments due over a significantly shorter period than the total period over which benefits are provided, premiums are recorded as income when due with any excess profit deferred and recognized in income in a constant relationship to insurance in force or, for annuities, the amount of expected future benefit payments. Premiums from individual health contracts are recognized as income over the period to which the premiums relate in proportion to the amount of insurance protection provided. Deferred Policy Acquisition Costs --------------------------------- The costs of acquiring new business, principally commissions, underwriting, agency and policy issue expenses, all of which vary with and are primarily related to the production of new business, are deferred. Deferred policy acquisition costs are subject to recoverability testing at the time of policy issue and loss recognition testing at the end of each accounting period. For universal life products and investment-type products, deferred policy acquisition costs are amortized over the expected average life of the contracts (periods ranging from 15 to 35 years and 5 to 17 years, respectively) as a constant percentage of estimated gross profits arising principally from investment results, mortality and expense margins and surrender charges based on historical and anticipated future experience, updated at the end of each accounting period. The effect on the amortization of deferred policy acquisition costs of revisions to estimated gross profits is reflected in earnings in the period such estimated gross profits are revised. The effect on the deferred policy acquisition cost asset that would result from realization of unrealized gains (losses) is recognized with an offset to unrealized gains (losses) in consolidated shareholder's equity as of the balance sheet date. For traditional life and annuity policies with life contingencies, deferred policy acquisition costs are amortized in proportion to anticipated premiums. Assumptions as to anticipated premiums are estimated at the date of policy issue and are consistently applied during the life of the contracts. Deviations from estimated experience are reflected in earnings in the period such deviations occur. For these contracts, the amortization periods generally are for the estimated life of the policy. For individual health benefit insurance, deferred policy acquisition costs are amortized over the expected average life of the contracts (10 years for major medical policies and 20 years for disability income products) in proportion to anticipated premium revenue at time of issue. Policyholders' Account Balances and Future Policy Benefits ---------------------------------------------------------- Policyholders' account balances for universal life and investment-type contracts are equal to the policy account values. The policy account values represent an accumulation of gross premium payments plus credited interest less expense and mortality charges and withdrawals. SAI-43 For traditional life insurance policies, future policy benefit and dividend liabilities are estimated using a net level premium method on the basis of actuarial assumptions as to mortality, persistency and interest established at policy issue. Assumptions established at policy issue as to mortality and persistency are based on the Insurance Group's experience which, together with interest and expense assumptions, provide a margin for adverse deviation. When the liabilities for future policy benefits plus the present value of expected future gross premiums for a product are insufficient to provide for expected future policy benefits and expenses for that product, deferred policy acquisition costs are written off and thereafter, if required, a premium deficiency reserve is established by a charge to earnings. Benefit liabilities for traditional annuities during the accumulation period are equal to accumulated contractholders' fund balances and after annuitization are equal to the present value of expected future payments. Interest rates used in establishing such liabilities range from 2.25% to 11.5% for life insurance liabilities and from 2.25% to 13.5% for annuity liabilities. Individual health benefit liabilities for active lives are estimated using the net level premium method, and assumptions as to future morbidity, withdrawals and interest which provide a margin for adverse deviation. Benefit liabilities for disabled lives are estimated using the present value of benefits method and experience assumptions as to claim terminations, expenses and interest. Claim reserves and associated liabilities for individual disability income and major medical policies were $639.6 million, $570.6 million at December 31, 1995 and 1994, respectively. Incurred benefits (benefits paid plus changes in claim reserves) and benefits paid for individual disability income and major medical policies are summarized as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Incurred benefits related to current year.......... $ 176.0 $ 188.6 $ 193.1 Incurred benefits related to prior years........... 67.8 28.7 106.1 ----------------- ---------------- ----------------- Total Incurred Benefits............................ $ 243.8 $ 217.3 $ 299.2 ================= ================ ================= Benefits paid related to current year.............. $ 37.0 $ 43.7 $ 48.9 Benefits paid related to prior years............... 137.8 132.3 123.1 ----------------- ---------------- ----------------- Total Benefits Paid................................ $ 174.8 $ 176.0 $ 172.0 ================= ================ =================
The amount of policyholders' dividends to be paid (including those on policies included in the Closed Block) is determined annually by Equitable Life's Board of Directors. The aggregate amount of policyholders' dividends is related to actual interest, mortality, morbidity and expense experience for the year and judgment as to the appropriate level of statutory surplus to be retained by Equitable Life. Equitable Life is subject to limitations on the amount of statutory profits which can be retained with respect to certain classes of individual participating policies that were in force on July 22, 1992 which are not included in the Closed Block and with respect to participating policies issued subsequent to July 22, 1992. Excess statutory profits, if any, will be distributed over time to such policyholders and will not be available to Equitable Life's shareholder. Earnings in excess of limitations are accrued as policyholders' dividends. At December 31, 1995, participating policies including those in the Closed Block represent approximately 27.2% ($58.4 billion) of directly written life insurance in force, net of amounts ceded. Participating policies represent primarily all of the premium income as reflected in the consolidated statements of earnings and in the results of the Closed Block. SAI-44 Federal Income Taxes -------------------- Equitable Life and its life insurance and non-life insurance subsidiaries file a consolidated Federal income tax return with the Holding Company and its non-life insurance subsidiaries. Current Federal income taxes are charged or credited to operations based upon amounts estimated to be payable or recoverable as a result of taxable operations for the current year. Deferred income tax assets and liabilities are recognized based on the difference between financial statement carrying amounts and income tax bases of assets and liabilities using enacted income tax rates and laws. Separate Accounts ----------------- Separate Accounts are established in conformity with the New York State Insurance Law and generally are not chargeable with liabilities that arise from any other business of the Insurance Group. Separate Accounts assets are subject to General Account claims only to the extent the value of such assets exceeds the Separate Accounts liabilities. Assets and liabilities of the Separate Accounts, representing net deposits and accumulated net investment earnings less fees, held primarily for the benefit of contractholders, and for which the Insurance Group does not bear the investment risk, are shown as separate captions in the consolidated balance sheets. The Insurance Group bears the investment risk on assets held in one Separate Account, therefore, such assets are carried on the same basis as similar assets held in the General Account portfolio. Assets held in the other Separate Accounts are carried at quoted market values or, where quoted values are not available, at estimated fair values as determined by the Insurance Group. The investment results of Separate Accounts on which the Insurance Group does not bear the investment risk are reflected directly in Separate Accounts liabilities. For the years ended December 31, 1995, 1994 and 1993, investment results of such Separate Accounts were $1,956.3 million, $676.3 million and $1,676.5 million, respectively. Deposits to all Separate Accounts are reported as increases in Separate Accounts liabilities and are not reported in revenues. Mortality, policy administration and surrender charges on all Separate Accounts are included in revenues. SAI-45 3) INVESTMENTS The following tables provide additional information relating to fixed maturities and equity securities:
GROSS GROSS AMORTIZED UNREALIZED UNREALIZED ESTIMATED COST GAINS LOSSES FAIR VALUE ----------------- ----------------- ---------------- --------------- (IN MILLIONS) DECEMBER 31, 1995 Fixed Maturities: Available for Sale: Corporate.......................... $ 10,910.7 $ 617.6 $ 118.1 $ 11,410.2 Mortgage-backed.................... 1,838.0 31.2 1.2 1,868.0 U.S. Treasury securities and U.S. government and agency securities................ 2,257.0 77.8 4.1 2,330.7 States and political subdivisions.. 45.7 5.2 - 50.9 Foreign governments................ 124.5 11.0 .2 135.3 Redeemable preferred stock......... 108.1 5.3 8.6 104.8 ----------------- ----------------- ---------------- --------------- Total Available for Sale............... $ 15,284.0 $ 748.1 $ 132.2 $ 15,899.9 ================= ================= ================ =============== Equity Securities: Common stock......................... $ 97.3 $ 49.1 $ 18.0 $ 128.4 ================= ================= ================ =============== December 31, 1994 Fixed Maturities: Available for Sale: Corporate.......................... $ 5,663.4 $ 34.6 $ 368.0 $ 5,330.0 Mortgage-backed.................... 686.0 2.9 44.8 644.1 U.S. Treasury securities and U.S. government and agency securities................ 1,519.3 6.7 71.9 1,454.1 States and political subdivisions.. 23.4 .1 .7 22.8 Foreign governments................ 43.8 .3 4.2 39.9 Redeemable preferred stock......... 108.4 .4 13.7 95.1 ----------------- ----------------- ---------------- --------------- Total Available for Sale............... $ 8,044.3 $ 45.0 $ 503.3 $ 7,586.0 ================= ================= ================ =============== Held to Maturity: Corporate.......................... $ 4,661.0 $ 67.9 $ 233.8 $ 4,495.1 U.S. Treasury securities and U.S. government and agency securities................ 428.9 4.6 44.2 389.3 States and political subdivisions.. 63.4 .9 3.7 60.6 Foreign governments................ 69.7 4.2 2.0 71.9 ================= ================= ================ =============== Total Held to Maturity................. $ 5,223.0 $ 77.6 $ 283.7 $ 5,016.9 ================= ================= ================ =============== Equity Securities: Common stock......................... $ 126.4 $ 31.2 $ 23.5 $ 134.1 ================= ================= ================ ===============
SAI-46 For publicly traded fixed maturities and equity securities, estimated fair value is determined using quoted market prices. For fixed maturities without a readily ascertainable market value, the Company has determined an estimated fair value using a discounted cash flow approach, including provisions for credit risk, generally based upon the assumption that such securities will be held to maturity. Estimated fair value for equity securities, substantially all of which do not have a readily ascertainable market value, has been determined by the Company. Such estimated fair values do not necessarily represent the values for which these securities could have been sold at the dates of the consolidated balance sheets. At December 31, 1995 and 1994, securities without a readily ascertainable market value having an amortized cost of $3,748.9 million and $3,980.4 million, respectively, had estimated fair values of $3,981.8 million and $3,858.7 million, respectively. The contractual maturity of bonds at December 31, 1995 is shown below:
AVAILABLE FOR SALE ------------------------------------ AMORTIZED ESTIMATED COST FAIR VALUE ---------------- ----------------- (IN MILLIONS) Due in one year or less................................................ $ 357.9 $ 360.0 Due in years two through five.......................................... 3,773.1 3,847.1 Due in years six through ten........................................... 4,709.8 4,821.8 Due after ten years.................................................... 4,497.1 4,898.2 Mortgage-backed securities............................................. 1,838.0 1,868.0 ---------------- ----------------- Total.................................................................. $ 15,175.9 $ 15,795.1 ================ =================
Bonds not due at a single maturity date have been included in the above table in the year of final maturity. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Investment valuation allowances and changes thereto are shown below:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Balances, beginning of year........................ $ 284.9 $ 355.6 $ 512.0 Additions charged to income........................ 136.0 51.0 92.8 Deductions for writedowns and asset dispositions... (95.6) (121.7) (249.2) ----------------- ---------------- ----------------- Balances, End of Year.............................. $ 325.3 $ 284.9 $ 355.6 ================= ================ ================= Balances, end of year comprise: Mortgage loans on real estate.................... $ 65.5 $ 64.2 $ 144.4 Equity real estate............................... 259.8 220.7 211.2 ----------------- ---------------- ----------------- Total.............................................. $ 325.3 $ 284.9 $ 355.6 ================= ================ =================
Deductions for writedowns and asset dispositions for 1993 include an $87.1 million writedown of fixed maturity investments at December 31, 1993 as a result of adopting a new accounting statement for the valuation of these investments that requires specific writedowns instead of valuation allowances. At December 31, 1995, the carrying values of investments held for the production of income which were non-income producing for the twelve months preceding the consolidated balance sheet date were $37.2 million of fixed maturities and $84.7 million of mortgage loans on real estate. SAI-47 The Insurance Group's fixed maturity investment portfolio includes corporate high yield securities consisting of public high yield bonds, redeemable preferred stocks and directly negotiated debt in leveraged buyout transactions. The Insurance Group seeks to minimize the higher than normal credit risks associated with such securities by monitoring the total investments in any single issuer or total investment in a particular industry group. Certain of these corporate high yield securities are classified as other than investment grade by the various rating agencies, i.e., a rating below Baa or National Association of Insurance Commissioners ("NAIC") designation of 3 (medium grade), 4 or 5 (below investment grade) or 6 (in or near default). At December 31, 1995, approximately 15.57% of the $15,139.9 million aggregate amortized cost of bonds held by the Insurance Group were considered to be other than investment grade. In addition to its holdings of corporate high yield securities, the Insurance Group is an equity investor in limited partnership interests which primarily invest in securities considered to be other than investment grade. The Company has restructured or modified the terms of certain fixed maturity investments. The fixed maturity portfolio, based on amortized cost, includes $15.9 million and $30.5 million at December 31, 1995 and 1994, respectively, of such restructured securities. These amounts include fixed maturities which are in default as to principal and/or interest payments, are to be restructured pursuant to commenced negotiations or where the borrowers went into bankruptcy subsequent to acquisition (collectively, "problem fixed maturities") of $1.6 million and $9.7 million as of December 31, 1995 and 1994, respectively. Gross interest income that would have been recorded in accordance with the original terms of restructured fixed maturities amounted to $3.0 million, $7.5 million and $11.7 million in 1995, 1994 and 1993, respectively. Gross interest income on these fixed maturities included in net investment income aggregated $2.9 million, $6.8 million and $9.7 million in 1995, 1994 and 1993, respectively. At December 31, 1995 and 1994, mortgage loans on real estate with scheduled payments 60 days (90 days for agricultural mortgages) or more past due or in foreclosure (collectively, "problem mortgage loans on real estate") had an amortized cost of $87.7 million (2.4% of total mortgage loans on real estate) and $96.9 million (2.3% of total mortgage loans on real estate), respectively. The payment terms of mortgage loans on real estate may from time to time be restructured or modified. The investment in restructured mortgage loans on real estate, based on amortized cost, amounted to $531.5 million and $447.9 million at December 31, 1995 and 1994, respectively. These amounts include $3.8 million and $1.0 million of problem mortgage loans on real estate at December 31, 1995 and 1994, respectively. Gross interest income on restructured mortgage loans on real estate that would have been recorded in accordance with the original terms of such loans amounted to $52.1 million, $44.9 million and $51.8 million in 1995, 1994 and 1993, respectively. Gross interest income on these loans included in net investment income aggregated $37.4 million, $32.8 million and $46.0 million in 1995, 1994 and 1993, respectively. Impaired mortgage loans (as defined under SFAS No. 114) along with the related provision for losses were as follows:
December 31, 1995 ------------------- (IN MILLIONS) Impaired mortgage loans with provision for losses....................................... $ 310.1 Impaired mortgage loans with no provision for losses.................................... 160.8 ------------------- Recorded investment in impaired mortgage loans.......................................... 470.9 Provision for losses.................................................................... 62.7 ------------------- Net Impaired Mortgage Loans............................................................. $ 408.2 ===================
SAI-48 Impaired mortgage loans with no provision for losses are loans where the fair value of the collateral or the net present value of the loan equals or exceeds the recorded investment. Interest income earned on loans where the collateral value is used to measure impairment is recorded on a cash basis. Interest income on loans where the present value method is used to measure impairment is accrued on the net carrying value amount of the loan at the interest rate used to discount the cash flows. Changes in the present value attributable to changes in the amount or timing of expected cash flows are reported as investment gains or losses. During the year ended December 31, 1995, the Company's average recorded investment in impaired mortgage loans was $429.0 million. Interest income recognized on these impaired mortgage loans totaled $27.9 million for the year ended December 31, 1995, including $13.4 million recognized on a cash basis. At December 31, 1995, investments owned of any one issuer, including its affiliates, for which the aggregate carrying values are 10% or more of total shareholders' equity, were $508.3 million relating to Trammell Crow and affiliates (including holdings of the Closed Block and the discontinued GIC Segment). The amount includes restructured mortgage loans on real estate with an amortized cost of $152.4 million. A $294.0 million commercial loan package which was in bankruptcy at the beginning of the year was resolved in 1995, with part of the package reclassified as restructured and the remainder reclassified as equity real estate. The Insurance Group's investment in equity real estate is through direct ownership and through investments in real estate joint ventures. At December 31, 1995 and 1994, the carrying value of equity real estate available for sale amounted to $255.5 million and $447.8 million, respectively. For the years ended December 31, 1995, 1994 and 1993, respectively, real estate of $35.3 million, $189.8 million and $261.8 million was acquired in satisfaction of debt. At December 31, 1995 and 1994, the Company owned $862.7 million and $1,086.9 million, respectively, of real estate acquired in satisfaction of debt. Depreciation of real estate is computed using the straight-line method over the estimated useful lives of the properties, which generally range from 40 to 50 years. Accumulated depreciation on real estate was $662.4 million and $703.1 million at December 31, 1995 and 1994, respectively. Depreciation expense on real estate totaled $121.7 million, $117.0 million and $115.3 million for the years ended December 31, 1995, 1994 and 1993, respectively. SAI-49 4) JOINT VENTURES AND PARTNERSHIPS Summarized combined financial information of real estate joint ventures (38 and 47 individual ventures as of December 31, 1995 and 1994, respectively) and of limited partnership interests accounted for under the equity method, in which the Company has an investment of $10.0 million or greater and an equity interest of 10% or greater is as follows:
DECEMBER 31, ------------------------------------ 1995 1994 ---------------- ----------------- (IN MILLIONS) FINANCIAL POSITION Investments in real estate, at depreciated cost........................ $ 2,684.1 $ 2,786.7 Investments in securities, generally at estimated fair value........... 2,459.8 3,071.2 Cash and cash equivalents.............................................. 489.1 359.8 Other assets........................................................... 270.8 398.7 ---------------- ----------------- Total assets........................................................... 5,903.8 6,616.4 ---------------- ----------------- Borrowed funds - third party........................................... 1,782.3 1,759.6 Borrowed funds - the Company........................................... 220.5 238.0 Other liabilities...................................................... 593.9 987.7 ---------------- ----------------- Total liabilities...................................................... 2,596.7 2,985.3 ---------------- ----------------- Partners' Capital...................................................... $ 3,307.1 $ 3,631.1 ================ ================= Equity in partners' capital included above............................. $ 902.2 $ 964.2 Equity in limited partnership interests not included above............. 212.8 224.6 Excess (deficit) of equity in partners' capital over investment cost and equity earnings.................................................. 3.6 (1.8) Notes receivable from joint venture.................................... 5.3 6.1 ---------------- ----------------- Carrying Value......................................................... $ 1,123.9 $ 1,193.1 ================ =================
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) STATEMENTS OF EARNINGS Revenues of real estate joint ventures............. $ 463.5 $ 537.7 $ 602.7 Revenues of other limited partnership interests.... 242.3 103.4 319.1 Interest expense - third party..................... (135.3) (114.9) (118.8) Interest expense - the Company..................... (41.0) (36.9) (52.1) Other expenses..................................... (397.7) (430.9) (531.7) ----------------- ---------------- ----------------- Net Earnings....................................... $ 131.8 $ 58.4 $ 219.2 ================= ================ ================= Equity in net earnings included above.............. $ 49.1 $ 18.9 $ 71.6 Equity in net earnings of limited partnerships interests not included above..................... 44.8 25.3 46.3 Excess of earnings in joint ventures over equity ownership percentage and amortization of differences in bases............................. .9 1.8 9.2 Interest on notes receivable....................... .1 - .5 ----------------- ---------------- ----------------- Total Equity in Net Earnings....................... $ 94.9 $ 46.0 $ 127.6 ================= ================ =================
SAI-50 5) NET INVESTMENT INCOME AND INVESTMENT GAINS (LOSSES) The sources of net investment income are summarized as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Fixed maturities................................... $ 1,151.0 $ 1,024.5 $ 981.7 Trading account securities......................... - - 709.3 Securities purchased under resale agreements....... - - 533.8 Mortgage loans on real estate...................... 329.0 384.3 457.4 Equity real estate................................. 560.4 561.8 539.1 Other equity investments........................... 76.9 35.7 110.4 Policy loans....................................... 144.4 122.7 117.0 Broker-dealer related receivables.................. - - 292.2 Other investment income............................ 279.7 336.3 304.9 ----------------- ---------------- ----------------- Gross investment income.......................... 2,541.4 2,465.3 4,045.8 ----------------- ---------------- ----------------- Interest expense to finance short-term trading instruments...................................... - - 983.4 Other investment expenses.......................... 413.7 434.4 463.1 ----------------- ---------------- ----------------- Investment expenses.............................. 413.7 434.4 1,446.5 ----------------- ---------------- ----------------- Net Investment Income.............................. $ 2,127.7 $ 2,030.9 $ 2,599.3 ================= ================ =================
Investment gains (losses), net, including changes in the valuation allowances, are summarized as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Fixed maturities................................... $ 119.9 $ (14.1) $ 123.1 Mortgage loans on real estate...................... (40.2) (43.1) (65.1) Equity real estate................................. (86.6) 20.6 (18.5) Other equity investments........................... 12.8 76.0 119.5 Dealer and trading gains........................... - - 372.5 Sales of newly issued Alliance Units............... - 52.4 - Other.............................................. (.6) - 1.9 ----------------- ---------------- ----------------- Investment Gains, Net.............................. $ 5.3 $ 91.8 $ 533.4 ================= ================ =================
Writedowns of fixed maturities amounted to $46.7 million, $30.8 million and $5.4 million for the years ended December 31, 1995, 1994 and 1993, respectively. For the years ended December 31, 1995 and 1994, respectively, proceeds received on sales of fixed maturities classified as available for sale amounted to $8,206.0 million and $5,253.9 million. Gross gains of $211.4 million and $65.2 million and gross losses of $64.2 million and $50.8 million, respectively, were realized on these sales. The change in unrealized investment gains (losses) related to fixed maturities classified as available for sale for the years ended December 31, 1995 and 1994 amounted to $1,077.2 million and $(742.2) million, respectively. Gross gains of $188.5 million and gross losses of $145.0 million were realized on sales of investments in fixed maturities held for investment and available for sale for the year ended December 31, 1993. SAI-51 During each of the years ended December 31, 1995 and 1994, one security classified as held to maturity was sold and during the eleven months ended November 30, 1995 and the year ended December 31, 1994, respectively, twelve and six securities so classified were transferred to the available for sale portfolio. All actions were taken as a result of a significant deterioration in creditworthiness. The aggregate amortized cost of the securities sold were $1.0 million and $19.9 million with a related investment gain of $-0- million and $.8 million recognized in 1995 and 1994, respectively; the aggregate amortized cost of the securities transferred was $116.0 million and $42.8 million with gross unrealized investment losses of $3.2 million and $3.1 million charged to consolidated shareholders' equity for the eleven months ended November 30, 1995 and the year ended December 31, 1994, respectively. On December 1, 1995, the Company transferred $4,794.9 million of securities classified as held to maturity to the available for sale portfolio. As a result, unrealized gains on fixed maturities increased $307.0 million, offset by deferred policy acquisition costs of $73.7 million, amounts attributable to participating group annuity contracts of $39.2 million and deferred Federal income tax of $67.9 million. Investment gains from other equity investments for the year ended December 31, 1993, included $79.9 million generated by DLJ's involvement in long-term corporate development investments. For the years ended December 31, 1995, 1994 and 1993, investment results passed through to certain participating group annuity contracts as interest credited to policyholders' account balances amounted to $131.2 million, $175.8 million and $243.2 million, respectively. During 1995, Alliance entered into an agreement to acquire the business of Cursitor-Eaton Asset Management Company and Cursitor Holdings Limited (collectively, "Cursitor") for approximately $141.5 million consisting of $84.9 million in cash, 1,764,115 of Alliance's publicly traded units ("Alliance Units"), 6% notes aggregating $21.5 million payable ratably over four years, and substantial additional consideration which will be determined at a later date. The transaction, which is expected to be completed during the first quarter of 1996, is subject to the receipt of consents, regulatory approvals, and certain other closing conditions, including client approval of the transfer of Cursitor accounts. Upon completion of this transaction, the Company's ownership percentage of Alliance will be reduced. In 1994, Alliance sold 4.96 million newly issued Alliance Units to third parties at prevailing market prices. The sales decreased the Company's ownership of Alliance's Units from 63.2% to 59.2%. In addition, the Company continues to hold its 1% general partnership interest in Alliance. The Company recognized an investment gain of $52.4 million as a result of these transactions. The Company's ownership interest in Alliance will be further reduced upon the exercise of options granted to certain Alliance employees. At December 31, 1995, Alliance had options outstanding to purchase an aggregate of 4.8 million Alliance Units at a price ranging from $6.0625 to $22.25 per unit. Options are exercisable at a rate of 20% on each of the first five anniversary dates from the date of grant. Net unrealized investment gains (losses), included in the consolidated balance sheets as a component of equity and the changes for the corresponding years, are summarized as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Balance, beginning of year......................... $ (203.0) $ 131.9 $ 78.8 Changes in unrealized investment (losses) gains.... 1,117.7 (823.8) (14.1) Effect of adopting SFAS No. 115.................... - - 283.9 Changes in unrealized investment (gains) losses attributable to: Participating group annuity contracts.......... (78.1) 40.8 (36.2) Deferred policy acquisition costs.............. (208.4) 269.5 (150.5) Deferred Federal income taxes.................. (290.0) 178.6 (30.0) ----------------- ---------------- ----------------- Balance, End of Year............................... $ 338.2 $ (203.0) $ 131.9 ================= ================ =================
SAI-52
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Balance, end of year comprises: Unrealized investment (losses) gains on: Fixed maturities............................... $ 615.9 $ (461.3) $ 283.9 Other equity investments....................... 31.1 7.7 75.8 Other.......................................... 31.6 14.5 25.0 ----------------- ---------------- ----------------- Total........................................ 678.6 (439.1) 384.7 Amounts of unrealized investment (gains) losses attributable to: Participating group annuity contracts........ (72.2) 5.9 (34.9) Deferred policy acquisition costs............ (89.4) 119.0 (150.5) Deferred Federal income taxes................ (178.8) 111.2 (67.4) ----------------- ---------------- ----------------- Total.............................................. $ 338.2 $ (203.0) $ 131.9 ================= ================ =================
6) CLOSED BLOCK Summarized financial information of the Closed Block follows:
DECEMBER 31, -------------------------------------- 1995 1994 ----------------- ----------------- (IN MILLIONS) Assets Fixed Maturities: Available for sale, at estimated fair value (amortized cost, $3,662.8 and $1,270.3)........................................... $ 3,896.2 $ 1,197.0 Held to maturity, at amortized cost (estimated fair value of $1,785.0 in 1994)................................................ - 1,927.8 Mortgage loans on real estate........................................ 1,368.8 1,543.7 Policy loans......................................................... 1,797.2 1,827.9 Cash and other invested assets....................................... 440.9 442.5 Deferred policy acquisition costs.................................... 823.6 878.1 Other assets......................................................... 286.1 288.5 ----------------- ----------------- Total Assets......................................................... $ 8,612.8 $ 8,105.5 ================= ================= Liabilities Future policy benefits and policyholders' account balances........... $ 9,346.7 $ 8,965.3 Other liabilities.................................................... 160.5 104.2 ----------------- ----------------- Total Liabilities.................................................... $ 9,507.2 $ 9,069.5 ================= =================
SAI-53
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Revenues Premiums and other revenue......................... $ 753.4 $ 798.1 $ 860.2 Investment income (net of investment expenses of $26.7, $19.0 and $17.3).............. 538.9 523.0 526.5 Investment losses, net............................. (20.2) (24.0) (15.0) ----------------- ---------------- ----------------- Total revenues............................... 1,272.1 1,297.1 1,371.7 ----------------- ---------------- ----------------- Benefits and Other Deductions Policyholders' benefits and dividends.............. 1,085.1 1,075.6 1,141.4 Other operating costs and expenses................. 62.6 70.5 102.0 ----------------- ---------------- ----------------- Total benefits and other deductions.......... 1,147.7 1,146.1 1,243.4 ----------------- ---------------- ----------------- Contribution from the Closed Block................. $ 124.4 $ 151.0 $ 128.3 ================= ================ =================
The fixed maturity portfolio, based on amortized cost, includes $4.3 million and $23.8 million at December 31, 1995 and 1994, respectively, of restructured securities which includes problem fixed maturities of $1.9 million and $6.4 million, respectively. During the eleven months ended November 30, 1995, one security classified as held to maturity was sold and ten securities classified as held to maturity were transferred to the available for sale portfolio. All actions resulted from a significant deterioration in creditworthiness. The amortized cost of the security sold was $4.2 million. The aggregate amortized cost of the securities transferred was $81.3 million with gross unrealized investment losses of $.1 million transferred to equity. At December 1, 1995, $1,750.7 million of securities classified as held to maturity were transferred to the available for sale portfolio. As a result, unrealized gains of $88.5 million on fixed maturities were recognized and offset by an increase to the deferred dividend liability. Implementation of SFAS No. 115 for the valuation of fixed maturities at December 31, 1993 resulted in the recognition of a deferred dividend liability of $49.6 million. At December 31, 1995 and 1994, problem mortgage loans on real estate had an amortized cost of $36.5 million and $27.6 million, respectively, and mortgage loans on real estate for which the payment terms have been restructured had an amortized cost of $137.7 million and $179.2 million, respectively. At December 31, 1995 and 1994, the restructured mortgage loans on real estate amount included $8.8 million and $.7 million, respectively, of problem mortgage loans on real estate. Valuation allowances amounted to $18.4 million and $46.2 million on mortgage loans on real estate and $4.3 million and $2.6 million on equity real estate at December 31, 1995 and 1994, respectively. Writedowns of fixed maturities amounted to $16.8 million and $15.9 million and $1.7 million for the years ended December 31, 1995, 1994 and 1993, respectively. Many expenses related to Closed Block operations are charged to operations outside of the Closed Block; accordingly, the contribution from the Closed Block does not represent the actual profitability of the Closed Block operations. Operating costs and expenses outside of the Closed Block are, therefore, disproportionate to the business outside of the Closed Block. SAI-54 7) DISCONTINUED OPERATIONS Summarized financial information of the GIC Segment follows:
DECEMBER 31, -------------------------------------- 1995 1994 ----------------- ----------------- (IN MILLIONS) Assets Mortgage loans on real estate........................................ $ 1,485.8 $ 1,730.5 Equity real estate................................................... 1,122.1 1,194.8 Other invested assets................................................ 665.2 978.8 Other assets......................................................... 579.3 529.5 ----------------- ----------------- Total Assets......................................................... $ 3,852.4 $ 4,433.6 ================= ================= Liabilities Policyholders' liabilities........................................... $ 1,399.8 $ 1,924.0 Allowance for future losses.......................................... 164.2 185.6 Amounts due to continuing operations................................. 2,097.1 2,108.6 Other liabilities.................................................... 191.3 215.4 ----------------- ----------------- Total Liabilities.................................................... $ 3,852.4 $ 4,433.6 ================= =================
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Revenues Investment income (net of investment expenses of $143.8, $174.0 and $175.8).................... $ 325.1 $ 395.0 $ 535.1 Investment (losses) gains, net..................... (22.9) 26.8 (22.6) Policy fees, premiums and other income............. .7 .3 8.7 ----------------- ---------------- ----------------- Total revenues..................................... 302.9 422.1 521.2 Benefits and other deductions...................... 328.0 443.8 545.9 ----------------- ---------------- ----------------- Losses Charged to Allowance for Future Losses...... $ (25.1) $ (21.7) $ (24.7) ================= ================ =================
In 1991, the Company established a pre-tax provision of $396.7 million for the estimated future losses of the GIC Segment. At December 31, 1993, implementation of SFAS No. 115 for the valuation of fixed maturities resulted in a benefit of $13.1 million, offset by a corresponding addition to the allowance for future losses. The amounts due to continuing operations at December 31, 1994 consisted of $3,324.0 million borrowed by the GIC Segment from continuing operations, offset by $1,215.4 million representing an obligation of continuing operations to provide assets to fund the accumulated deficit of the GIC Segment. In January 1995, continuing operations transferred $1,215.4 million in cash to the GIC Segment in settlement of its obligation. Subsequently, the GIC Segment remitted $1,155.4 million in cash to continuing operations in partial repayment of borrowings by the GIC Segment. No gains or losses were recognized on these transactions. Amounts due to continuing operations at December 31, 1995, consisted of $2,097.1 million borrowed by the discontinued GIC Segment. SAI-55 Investment income included $88.2 million and $97.7 million of interest income for the years ended December 31, 1994 and 1993, respectively, on amounts due from continuing operations. Benefits and other deductions includes $154.6 million, $219.7 million and $197.1 million of interest expense related to amounts borrowed from continuing operations in 1995, 1994 and 1993, respectively. Valuation allowances amounted to $19.2 million and $50.2 million on mortgage loans on real estate and $77.9 million and $74.7 million on equity real estate at December 31, 1995 and 1994, respectively. Writedowns of fixed maturities amounted to $8.1 million, $17.8 million and $1.1 million for the years ended December 31, 1995, 1994 and 1993, respectively. The fixed maturity portfolio, based on amortized cost, includes $15.1 million and $43.3 million at December 31, 1995 and 1994, respectively, of restructured securities. These amounts include problem fixed maturities of $6.1 million and $9.7 million at December 31, 1995 and 1994, respectively. At December 31, 1995 and 1994, problem mortgage loans on real estate had amortized costs of $35.4 million and $14.9 million, respectively, and mortgage loans on real estate for which the payment terms have been restructured had amortized costs of $289.3 million and $371.2 million, respectively. At December 31, 1995 and 1994, the GIC Segment had $310.9 million and $312.2 million, respectively, of real estate acquired in satisfaction of debt. 8) SHORT-TERM AND LONG-TERM DEBT Short-term and long-term debt consists of the following:
DECEMBER 31, -------------------------------------- 1995 1994 ----------------- ----------------- (IN MILLIONS) Short-term debt...................................................... $ - $ 20.0 ----------------- ----------------- Long-term debt: Equitable Life: Surplus notes, 6.95%, scheduled to mature 2005..................... 399.3 - Surplus notes, 7.70%, scheduled to mature 2015..................... 199.6 - Eurodollar notes, 10.375% due 1995................................. - 34.6 Eurodollar notes, 10.5% due 1997................................... 76.2 76.2 Zero coupon note, 11.25% due 1997.................................. 120.1 107.8 Other.............................................................. 16.3 14.3 ----------------- ----------------- Total Equitable Life........................................... 811.5 232.9 ----------------- ----------------- Wholly Owned and Joint Venture Real Estate: Mortgage notes, 4.98% - 12.75% due through 2019.................... 1,084.4 1,080.6 ----------------- ----------------- Alliance: Other.............................................................. 3.4 3.9 ----------------- ----------------- Total long-term debt................................................. 1,899.3 1,317.4 ----------------- ----------------- Total Short-term and Long-term Debt.................................. $ 1,899.3 $ 1,337.4 ================= =================
Short-term Debt --------------- Equitable Life has a $350.0 million bank credit facility available to fund short-term working capital needs and to facilitate the securities settlement process. The credit facility consists of two types of borrowing options with varying interest rates. The interest rates are based on external indices dependent on the type of borrowing and at December 31, 1995 range from 5.8% (the London Interbank Offering Rate plus 22.5 basis points) to 8.5% (the prime rate). There were no borrowings outstanding under this bank credit facility at December 31, 1995. SAI-56 Equitable Life has a commercial paper program with an issue limit of $500.0 million. This program is available for general corporate purposes used to support Equitable Life's liquidity needs and is supported by Equitable Life's existing $350.0 million five-year bank credit facility. There were no borrowings outstanding under this program at December 31, 1995. In 1994, Alliance established a $100.0 million revolving credit facility with several banks. On March 31, 1997, the revolving credit facility converts into a term loan payable in quarterly installments through March 31, 1999. Outstanding borrowings generally bear interest at the Eurodollar rate plus .875% per annum through March 31, 1997 and at the Eurodollar rate plus 1.125% per annum after conversion through March 31, 1999. In addition, a quarterly commitment fee of .25% per annum is paid on the average daily unused amount. At December 31, 1995, there were no amounts outstanding under the facility. In 1994, Alliance also established a $100.0 million commercial paper program and entered into a three-year $100.0 million revolving credit facility with a group of commercial banks to support commercial paper to be issued under the program and for general corporate purposes. Amounts outstanding under the facility bear interest at an annual rate ranging from the Eurodollar rate plus .225% to the Eurodollar rate plus .2875%. A fee of .125% per annum is paid quarterly on the entire facility. At December 31, 1995, Alliance had not issued any commercial paper and there were no amounts outstanding under the revolving credit facility. During 1994, EREIM established two bank lines of credit totaling $30.0 million of which $20.0 million was outstanding at December 31, 1994. Long-term Debt -------------- Several of the long-term debt agreements have restrictive covenants related to the total amount of debt, net tangible assets and other matters. The Company is in compliance with all debt covenants. On December 18, 1995, Equitable Life issued, in accordance with Section 1307 of the New York Insurance Law, $400.0 million of surplus notes having an interest rate of 6.95% scheduled to mature in 2005 and $200.0 million of surplus notes having an interest rate of 7.70% scheduled to mature in 2015. Proceeds from the issuance of the surplus notes were $596.6 million, net of related issuance costs. The unamortized discount on the surplus notes was $1.1 million at December 31, 1995. Payments of interest on or principal of the surplus notes are subject to prior approval by the New York Insurance Department. The Company has pledged real estate, mortgage loans, cash and securities amounting to $1,629.7 million and $1,744.4 million at December 31, 1995 and 1994, respectively, as collateral for certain long-term debt. At December 31, 1995, aggregate maturities of the long-term debt based on required principal payments at maturity for 1996 and the succeeding four years are $124.0 million, $466.6 million, $309.5 million, $15.8 million, respectively, and $1,015.0 million thereafter. 9) FEDERAL INCOME TAXES A summary of the Federal income tax expense (benefit) in the consolidated statements of earnings is shown below:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Federal income tax expense (benefit): Current.......................................... $ (11.7) $ 4.0 $ 115.8 Deferred......................................... 124.1 97.2 (24.5) ----------------- ---------------- ----------------- Total.............................................. $ 112.4 $ 101.2 $ 91.3 ================= ================ =================
SAI-57 The Federal income taxes attributable to consolidated operations are different from the amounts determined by multiplying the earnings before Federal income taxes and cumulative effect of accounting change by the expected Federal income tax rate of 35%. The sources of the difference and the tax effects of each are as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Expected Federal income tax expense................ $ 143.5 $ 138.1 $ 106.3 Differential earnings amount....................... - (16.8) (23.2) Adjustment of tax audit reserves................... 4.1 (4.6) 22.9 Tax rate adjustment................................ - - (5.0) Other.............................................. (35.2) (15.5) (9.7) ----------------- --------------- ----------------- Federal Income Tax Expense......................... $ 112.4 $ 101.2 $ 91.3 ================= ================ =================
Prior to the date of demutualization, Equitable Life reduced its deduction for policyholder dividends by the differential earnings amount. This amount was computed, for each tax year, by multiplying Equitable Life's average equity base, as determined for tax purposes, by an estimate of the excess of an imputed earnings rate for stock life insurance companies over the average mutual life insurance companies' earnings rate. The differential earnings amount for each tax year was subsequently recomputed when actual earnings rates were published by the Internal Revenue Service. As a stock life insurance company, Equitable Life is no longer required to reduce its policyholder dividend deduction by the differential earnings amount, but differential earnings amounts for pre-demutualization years were still being recomputed in 1994 and 1993. The components of the net deferred Federal income tax asset are as follows:
DECEMBER 31, 1995 December 31, 1994 --------------------------------- --------------------------------- ASSETS LIABILITIES Assets Liabilities --------------- ---------------- --------------- --------------- (IN MILLIONS) Deferred policy acquisition costs, reserves and reinsurance............. $ - $ 303.2 $ - $ 220.3 Investments............................ - 326.9 - 18.7 Compensation and related benefits...... 293.0 - 307.3 - Other.................................. - 32.3 - 5.8 --------------- ---------------- --------------- --------------- Total.................................. $ 293.0 $ 662.4 $ 307.3 $ 244.8 =============== ================ =============== ===============
The deferred Federal income tax expense (benefit) impacting operations reflect the net tax effects of temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for income tax purposes. The sources of these temporary differences and the tax effects of each are as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Deferred policy acquisition costs, reserves and reinsurance.................................. $ 55.1 $ 13.0 $ (46.7) Investments........................................ 13.0 89.3 60.4 Compensation and related benefits.................. 30.8 10.0 (50.1) Other.............................................. 25.2 (15.1) 11.9 ----------------- ---------------- ----------------- Deferred Federal Income Tax Expense (Benefit)...... $ 124.1 $ 97.2 $ (24.5) ================= ================ =================
SAI-58 The Internal Revenue Service completed its audit of the Company's Federal income tax returns for the years 1984 through 1988. There was no material effect on the Company's consolidated results of operations. 10) REINSURANCE AGREEMENTS The Insurance Group assumes and cedes reinsurance with other insurance companies. The Insurance Group evaluates the financial condition of its reinsurers to minimize its exposure to significant losses from reinsurer insolvencies. The effect of reinsurance (excluding group life and health) is summarized as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Direct premiums.................................... $ 474.2 $ 476.7 $ 458.8 Reinsurance assumed................................ 171.3 180.5 169.9 Reinsurance ceded.................................. (38.7) (31.6) (29.6) ----------------- ---------------- ----------------- Premiums........................................... $ 606.8 $ 625.6 $ 599.1 ================= ================ ================= Universal Life and Investment-type Product Policy Fee Income Ceded.......................... $ 38.9 $ 27.5 $ 33.7 ================= ================ ================= Policyholders' Benefits Ceded...................... $ 48.2 $ 20.7 $ 72.3 ================= ================ ================= Interest Credited to Policyholders' Account Balances Ceded................................... $ 28.5 $ 25.4 $ 24.1 ================= ================ =================
In February 1993, management established a practice limiting the risk retention on new policies issued by the Insurance Group to a maximum of $5.0 million. In addition, effective January 1, 1994, all in force business above $5.0 million was reinsured. The Insurance Group also reinsures the entire risk on certain substandard underwriting risks as well as in certain other cases. The Insurance Group cedes 100% of its group life and health business to a third party insurance company. Premiums ceded totaled $260.6 million, $241.0 million and $895.1 million for the years ended December 31, 1995, 1994 and 1993, respectively. Ceded death and disability benefits totaled $188.1 million, $235.5 million and $787.8 million for the years ended December 31, 1995, 1994 and 1993, respectively. Insurance liabilities ceded totaled $724.2 million and $833.4 million at December 31, 1995 and 1994, respectively. 11) EMPLOYEE BENEFIT PLANS The Company sponsors qualified and non-qualified defined benefit plans covering substantially all employees (including certain qualified part-time employees), managers and certain agents. The pension plans are non-contributory and benefits are based on a cash balance formula or years of service and final average earnings, if greater, under certain grandfathering rules in the plans. The Company's funding policy is to make the minimum contribution required by the Employee Retirement Income Security Act of 1974. Components of net periodic pension (credit) cost for the qualified and non-qualified plans are as follows:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Service cost....................................... $ 30.0 $ 30.3 $ 29.8 Interest cost on projected benefit obligations..... 122.0 111.0 108.0 Actual return on assets............................ (309.2) 24.4 (178.6) Net amortization and deferrals..................... 155.6 (142.5) 55.3 ----------------- ---------------- ----------------- Net Periodic Pension (Credit) Cost................. $ (1.6) $ 23.2 $ 14.5 ================= ================ =================
SAI-59 The funded status of the qualified and non-qualified pension plans is as follows:
DECEMBER 31, ------------------------------------ 1995 1994 ---------------- ----------------- (IN MILLIONS) Actuarial present value of obligations: Vested............................................................... $ 1,642.4 $ 1,295.5 Non-vested........................................................... 10.9 8.7 --------------- ----------------- Accumulated Benefit Obligation......................................... $ 1,653.3 $ 1,304.2 ================ ================= Plan assets at fair value.............................................. $ 1,503.8 $ 1,193.5 Projected benefit obligation........................................... 1,743.0 1,403.4 ---------------- ----------------- Projected benefit obligation in excess of plan assets.................. (239.2) (209.9) Unrecognized prior service cost........................................ (25.5) (33.2) Unrecognized net loss from past experience different from that assumed.............................................................. 368.2 298.9 Unrecognized net asset at transition................................... (7.3) (20.8) Additional minimum liability........................................... (51.9) (37.8) ---------------- ----------------- Prepaid (Accrued) Pension Cost......................................... $ 44.3 $ (2.8) ================ =================
The discount rate and rate of increase in future compensation levels used in determining the actuarial present value of projected benefit obligations were 7.25% and 4.50%, respectively, at December 31, 1995 and 8.75% and 4.88%, respectively, at December 31, 1994. As of January 1, 1995 and 1994, the expected long-term rate of return on assets for the retirement plan was 11% and 10%, respectively. The Company recorded, as a reduction of shareholder's equity, an additional minimum pension liability of $35.1 million and $2.7 million, net of Federal income taxes, at December 31, 1995 and 1994, respectively, representing the excess of the accumulated benefit obligation over the fair value of plan assets and accrued pension liability. The pension plan's assets include corporate and government debt securities, equity securities, equity real estate and shares of Group Trusts managed by Alliance. As of December 31, 1993, the Company changed the method of determining the market-related value of plan assets from fair value to a calculated value. This change in estimate had no material effect on the Company's consolidated statements of earnings. Prior to 1987, the qualified plan funded participants' benefits through the purchase of non-participating annuity contracts from Equitable Life. Benefit payments under these contracts were approximately $36.4 million, $38.1 million and $39.9 million for the years ended December 31, 1995, 1994 and 1993, respectively. The Company provides certain medical and life insurance benefits (collectively, "postretirement benefits") for qualifying employees, managers and agents retiring from the Company on or after attaining age 55 who have at least 10 years of service. The life insurance benefits are related to age and salary at retirement. The costs of postretirement benefits are recognized in accordance with the provisions of SFAS No. 106. The Company continues to fund postretirement benefits costs on a pay-as-you-go basis and, for the years ended December 31, 1995, 1994 and 1993, the Company made estimated postretirement benefits payments of $31.1 million, $29.8 million and $29.7 million, respectively. SAI-60 The following table sets forth the postretirement benefits plan's status, reconciled to amounts recognized in the Company's consolidated financial statements:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Service cost....................................... $ 4.0 $ 3.9 $ 5.3 Interest cost on accumulated postretirement benefits obligation.............................. 34.7 28.6 29.2 Unrecognized prior service cost.................... (2.3) (3.9) (6.9) Net amortization and deferrals..................... - - 1.5 ----------------- ---------------- ----------------- Net Periodic Postretirement Benefits Costs......... $ 36.4 $ 28.6 $ 29.1 ================= ================ =================
DECEMBER 31, ------------------------------------ 1995 1994 ---------------- ----------------- (IN MILLIONS) Accumulated postretirement benefits obligation: Retirees............................................................. $ 391.8 $ 300.4 Fully eligible active plan participants.............................. 50.4 33.0 Other active plan participants....................................... 64.2 44.0 ---------------- ----------------- 506.4 377.4 Unrecognized benefit of plan amendments................................ - 3.2 Unrecognized prior service cost........................................ 56.3 61.9 Unrecognized net loss from past experience different from that assumed and from changes in assumptions.............................. (181.3) (64.7) ---------------- ----------------- Accrued Postretirement Benefits Cost................................... $ 381.4 $ 377.8 ================ =================
In 1993, the Company amended the cost sharing provisions of postretirement medical benefits. At January 1, 1994, medical benefits available to retirees under age 65 are the same as those offered to active employees and medical benefits will be limited to 200% of 1993 costs for all participants. The assumed health care cost trend rate used in measuring the accumulated postretirement benefits obligation was 10% in 1995, gradually declining to 3.5% in the year 2008 and in 1994 was 10%, gradually declining to 5% in the year 2004. The discount rate used in determining the accumulated postretirement benefits obligation was 7.25% and 8.75% at December 31, 1995 and 1994, respectively. If the health care cost trend rate assumptions were increased by 1%, the accumulated postretirement benefits obligation as of December 31, 1995 would be increased 6.5%. The effect of this change on the sum of the service cost and interest cost would be an increase of 6.7%. 12) DERIVATIVES AND FAIR VALUE OF FINANCIAL INSTRUMENTS Derivatives ----------- The Insurance Group primarily uses derivatives for asset/liability risk management and for hedging individual securities. Derivatives mainly are utilized to reduce the Insurance Group's exposure to interest rate fluctuations. Accounting for interest rate swap transactions is on an accrual basis. Gains and losses related to interest rate swap transactions are amortized as yield adjustments over the remaining life of the underlying hedged security. Income and expense resulting from interest rate swap activities are reflected in net investment income except for hedging transactions related to insurance liabilities. The notional amount of matched interest rate swaps outstanding at December 31, 1995 was $1,120.8 million. The average unexpired terms at December 31, 1995 range from 2.5 to 3.0 years. At December 31, 1995, the cost of terminating outstanding matched swaps in a loss position was $15.9 million and the unrealized gain on SAI-61 outstanding matched swaps in a gain position was $19.0 million. The Company has no intention of terminating these contracts prior to maturity. During 1995, 1994 and 1993, net gains (losses) of $1.4 million, $(.2) million and $-0- million, respectively, were recorded in connection with interest rate swap activity. Equitable Life has implemented an interest rate cap program designed to hedge crediting rates on interest-sensitive individual annuities contracts. The outstanding notional amounts at December 31, 1995 of contracts purchased and sold were $2,625.0 million and $300.0 million, respectively. The net premium paid by Equitable Life on these contracts was $12.5 million and is being amortized ratably over the contract periods ranging from 3 to 5 years. Income and expense resulting from this program are reflected as an adjustment to interest credited to policyholders' account balances. Substantially all of DLJ's business related derivatives is by its nature trading activities which are primarily for the purpose of customer accommodations. DLJ's derivative activities consist of option writing and trading in forward and futures contracts. Derivative financial instruments have both on-and-off balance sheet implications depending on the nature of the contracts. DLJ's involvement in swap contracts is not significant. Fair Value of Financial Instruments ----------------------------------- The Company defines fair value as the quoted market prices for those instruments that are actively traded in financial markets. In cases where quoted market prices are not available, fair values are estimated using present value or other valuation techniques. The fair value estimates are made at a specific point in time, based on available market information and judgments about the financial instrument, including estimates of timing, amount of expected future cash flows and the credit standing of counterparties. Such estimates do not reflect any premium or discount that could result from offering for sale at one time the Company's entire holdings of a particular financial instrument, nor do they consider the tax impact of the realization of unrealized gains or losses. In many cases, the fair value estimates cannot be substantiated by comparison to independent markets, nor can the disclosed value be realized in immediate settlement of the instrument. Certain financial instruments are excluded, particularly insurance liabilities other than financial guarantees and investment contracts. Fair market value of off-balance-sheet financial instruments of the Insurance Group was not material at December 31, 1995 and 1994. Fair value for mortgage loans on real estate are estimated by discounting future contractual cash flows using interest rates at which loans with similar characteristics and credit quality would be made. Fair values for foreclosed mortgage loans and problem mortgage loans are limited to the estimated fair value of the underlying collateral if lower. The estimated fair values for the Company's liabilities under GIC and association plan contracts are estimated using contractual cash flows discounted based on the T. Rowe Price GIC Index Rate for the appropriate duration. For durations in excess of the published index rate, the appropriate Treasury rate is used plus a spread equal to the longest duration GIC rate spread published. The estimated fair values for those group annuity contracts which are classified as investment contracts are measured at the estimated fair value of the underlying assets. Deposit administration contracts (included with group annuity contracts) classified as insurance contracts are measured at estimated fair value of the underlying assets. The estimated fair values for single premium deferred annuities ("SPDA") are estimated using projected cash flows discounted at current offering rates. The estimated fair values for supplementary contracts not involving life contingencies ("SCNILC") and annuities certain are derived using discounted cash flows based upon the estimated current offering rate. Fair value for long-term debt is determined using published market values, where available, or contractual cash flows discounted at market interest rates. The estimated fair values for non-recourse mortgage debt are determined by discounting contractual cash flows at a rate which takes into account the level of current market interest rates and collateral risk. The estimated fair values for recourse mortgage debt are determined by discounting contractual cash flows at a rate based upon current interest rates of other companies with credit ratings similar to the Company. The Company's fair value of short-term borrowings approximates their carrying value. SAI-62 The following table discloses carrying value and estimated fair value for financial instruments not otherwise disclosed in Notes 3, 6 and 7:
DECEMBER 31, -------------------------------------------------------------------- 1995 1994 --------------------------------- --------------------------------- CARRYING ESTIMATED Carrying Estimated VALUE FAIR VALUE Value Fair Value --------------- ---------------- --------------- --------------- (IN MILLIONS) Consolidated Financial Instruments: ----------------------------------- Mortgage loans on real estate.......... $ 3,638.3 $ 3,973.6 $ 4,018.0 $ 3,919.4 Other joint ventures................... 492.7 492.7 544.4 544.4 Policy loans........................... 1,976.4 2,057.5 1,731.2 1,676.6 Policyholders' account balances: Association plans.................... 101.0 100.0 141.0 141.0 Group annuity contracts.............. 2,335.0 2,395.0 2,450.0 2,469.0 SPDA................................. 1,265.8 1,272.0 1,744.3 1,732.7 Annuities certain and SCNILC......... 649.1 680.7 599.1 624.7 Long-term debt......................... 1,899.3 1,962.9 1,317.4 1,249.2 Closed Block Financial Instruments: ----------------------------------- Mortgage loans on real estate.......... 1,368.8 1,461.4 1,543.7 1,477.8 Other equity investments............... 151.6 151.6 179.5 179.5 Policy loans........................... 1,797.2 1,891.4 1,827.9 1,721.9 SCNILC liability....................... 34.8 34.5 39.5 37.0 GIC Segment Financial Instruments: ---------------------------------- Mortgage loans on real estate.......... 1,485.8 1,666.1 1,730.5 1,743.7 Fixed maturities....................... 107.4 107.4 219.3 219.3 Other equity investments............... 455.9 455.9 591.8 591.8 Guaranteed interest contracts.......... 329.0 352.0 835.0 855.0 Long-term debt......................... 135.1 136.0 134.8 127.9
13) COMMITMENTS AND CONTINGENT LIABILITIES The Company has provided, from time to time, certain guarantees or commitments to affiliates, investors and others. These arrangements include commitments by the Company, under certain conditions: to make liquidity advances to cover delinquent principal and interest and property protection expenses with respect to loan servicing agreements for securitized mortgage loans which at December 31, 1995 totaled $2.8 billion (as of December 31, 1995, $4.0 million have been advanced under these commitments); to make capital contributions of up to $246.7 million to affiliated real estate joint ventures; to provide equity financing to certain limited partnerships of $129.4 million at December 31, 1995, under existing loan or loan commitment agreements; and to provide short-term financing loans which at December 31, 1995 totaled $45.8 million. Management believes the Company will not incur any material losses as a result of these commitments. Equitable Life is the obligor under certain structured settlement agreements which it had entered into with unaffiliated insurance companies and beneficiaries. To satisfy its obligations under these agreements, Equitable Life owns single premium annuities issued by previously wholly owned life insurance subsidiaries. Equitable Life has directed payment under these annuities to be made directly to the beneficiaries under the structured settlement agreements. A contingent liability exists with respect to these agreements should the previously wholly owned subsidiaries be unable to meet their obligations. Management believes the satisfaction of those obligations by Equitable Life is remote. At December 31, 1995, the Insurance Group had $29.0 million of letters of credit outstanding. SAI-63 14) LITIGATION A number of lawsuits have been filed against life and health insurers in the jurisdictions in which Equitable Life and its subsidiaries do business involving insurers' sales practices, alleged agent misconduct, failure to properly supervise agents, and other matters. Some of the lawsuits have resulted in the award of substantial judgments against other insurers, including material amounts of punitive damages, or in substantial settlements. In some states juries have substantial discretion in awarding punitive damages. Equitable Life and its insurance subsidiaries, like other life and health insurers, from time to time are involved in such litigation. To date, no such lawsuit has resulted in an award or settlement of any material amount against the Company. Among litigations pending against Equitable Life and its insurance subsidiaries of the type referred to in this paragraph are the litigations described in the following two paragraphs. An action entitled Golomb et al. v. The Equitable Life Assurance Society of the United States was filed on January 20, 1995 in New York County Supreme Court. The action purports to be brought on behalf of a class of persons insured after 1983 under Lifetime Guaranteed Renewable Major Medical Insurance Policies issued by Equitable Life (the "policies"). The complaint alleges that premium increases for these policies after 1983, all of which were filed with and approved by the New York State Insurance Department and certain other state insurance departments, breached the terms of the insurance policies, and that statements in the policies and elsewhere concerning premium increases constituted fraudulent concealment, misrepresentations in violation of New York Insurance Law Section 4226 and deceptive practices under New York General Business Law Section 349. The complaint seeks a declaratory judgment, injunctive relief restricting the methods by which Equitable Life increases premiums on the policies in the future, a refund of premiums, and punitive damages. Plaintiffs also have indicated that they will seek damages in an unspecified amount. Equitable Life has moved to dismiss the complaint in its entirety on the grounds that it fails to state a claim and that uncontroverted documentary evidence establishes a complete defense to the claims. That motion is awaiting decision by the court. In January 1996, separate actions were filed in Pennsylvania and Texas state courts (entitled, respectively, Malvin et al. v. The Equitable Life Assurance Society of the United States and Bowler et al. v. The Equitable Life Assurance Society of the United States), making claims similar to those in the New York action described above. These new actions are asserted on behalf of proposed classes of Pennsylvania issued or renewed policyholders and Texas issued or renewed policyholders, insured under the policies. The Pennsylvania and Texas actions seek compensatory and punitive damages and injunctive relief restricting the methods by which Equitable Life increases premiums in the future based on the common law and statutes of those states. Although the outcome of any litigation cannot be predicted with certainty, particularly in the early stages of an action, Equitable Life's management believes that the ultimate resolution of those litigations should not have a material adverse effect on the financial position of the Company. Due to the early stage of such litigation, Equitable Life's management cannot make an estimate of loss, if any, or predict whether or not such litigation will have a material adverse effect on the Company's results of operations in any particular period. An action was instituted on April 6, 1995 against Equitable Life and its wholly owned subsidiary, The Equitable of Colorado, Inc. ("EOC"), in New York State Court, entitled Sidney C. Cole et al. v. The Equitable Life Assurance Society of the United States and The Equitable of Colorado, Inc., No. 95/108611 (N.Y. County). The action is brought by the holders of a joint survivorship whole life policy issued by EOC. The action purports to be on behalf of a class consisting of all persons who from January 1, 1984 purchased life insurance policies sold by Equitable Life and EOC based upon their allegedly uniform sales presentations and policy illustrations. The complaint puts in issue various alleged sales practices that plaintiffs assert, among other things, misrepresented the stated number of years that the annual premium would need to be paid. Plaintiffs seek damages in an unspecified amount, imposition of a constructive trust, and seek to enjoin Equitable Life and EOC from engaging in the challenged sales practices. Equitable Life and EOC intend to defend vigorously and believe that they have meritorious defenses which, if successful, would dispose of the action completely. Equitable Life and EOC further do not believe that this case is an appropriate class action. Although the outcome of any litigation cannot be predicted with certainty, particularly in the early stages of an action, Equitable Life's management believes that the ultimate SAI-64 resolution of this litigation should not have a material adverse effect on the financial position of the Company. Due to the early stage of such litigation, the Company's management cannot make an estimate of loss, if any, or predict whether or not such litigation will have a material adverse effect on the Company's results of operations in any particular period. Equitable Casualty Insurance Company ("Casualty"), a captive property and casualty insurance company organized under the laws of Vermont, which is an indirect wholly owned subsidiary of Equitable Life, is a party to an arbitration proceeding that commenced in August 1995 with the selection of three arbitrators. The arbitration will resolve a dispute among Casualty, Houston General Insurance Company ("Houston General"), and GEICO General Insurance Company ("GEICO General") regarding the interpretation of a reinsurance agreement that was entered into as part of a 1980 transaction whereby Equitable General Insurance Company ("Equitable General"), formerly an indirect subsidiary of Equitable Life and the predecessor of GEICO General, sold its commercial lines business along with the stock of Houston General to subsidiaries of Tokio Marine & Fire Insurance Company, Ltd. ("Tokio Marine"). Casualty and GEICO General maintain that, under the reinsurance agreement, Houston General assumed liability for all losses insured under commercial lines policies written by Equitable General and its predecessors in order to effect the transfer of that business to Tokio Marine's subsidiaries. Houston General contends that it did not assume reinsurance liability for losses insured under certain of those commercial lines policies. The arbitration panel determined to begin hearing evidence in the arbitration in June 1996. The result of the arbitration is expected to resolve two litigations that were commenced by Houston General and that have been stayed by the presiding courts pending the completion of the arbitration (in one case, Houston General named as a defendant only GEICO General but Casualty intervened as a defendant with GEICO General, and in the other case, Houston General named GEICO General and Equitable Life). The arbitration is expected to be completed during the second half of 1996. While the ultimate outcome of the arbitration cannot be predicted with certainty, the Company's management believes that the arbitrators will recognize that Houston General's position is without merit and contrary to the way in which the reinsurance industry operates and therefore the ultimate resolution of this matter should not have a material adverse effect on the Company's financial position or results of operations. On July 25, 1995, a Consolidated and Supplemental Class Action Complaint ("Complaint") was filed against the Alliance North American Government Income Trust, Inc. (the "Fund"), Alliance and certain other defendants affiliated with Alliance, including the Holding Company, alleging violations of Federal securities laws, fraud and breach of fiduciary duty in connection with the Fund's investments in Mexican and Argentine securities. A similar complaint was filed on November 7, 1995 and was subsequently consolidated with the Complaint. The Complaint, which seeks certification of a plaintiff class of persons who purchased or owned Class A, B or C shares of the Fund from March 27, 1992 through December 23, 1994, seeks an unspecified amount of damages, costs, attorneys' fees and punitive damages. The principal allegations of the Complaint are that the Fund purchased debt securities issued by the Mexican and Argentine governments in amounts that were not permitted by the Funds' investment objective, and that there was no shareholder vote to change the investment objective to permit purchases in such amounts. The Complaint further alleges that the decline in the value of the Mexican and Argentine securities held by the Fund caused the Fund's net asset value to decline to the detriment of the Fund's shareholders. On September 26, 1995, the defendants jointly filed a motion to dismiss the Complaint which has not yet been decided by the Court. Alliance believes that the allegations in the Complaint are without merit and intends to vigorously defend against these claims. While the ultimate results of this action cannot be determined, management of Alliance does not expect that this action will have a material adverse effect on Alliance's business. On January 26, 1996, a purported purchaser of certain notes and warrants to purchase shares of common stock of Rickel Home Centers, Inc. ("Rickel") filed a class action complaint against Donaldson, Lufkin & Jenrette Securities Corporation ("DLJSC"), a wholly owned subsidiary of DLJ, and certain other defendants for unspecified compensatory and punitive damages in the United States District Court for the Southern District of New York. The suit was brought on behalf of the purchasers of 126,457 units consisting of $126,457,000 aggregate principal amount of 13 1/2% senior notes due 2001 and 126,457 warrants to purchase shares of common stock of Rickel (the "Units") issued by Rickel in October 1994. The complaint alleges violations of Federal securities laws and common law fraud against DLJSC, as the underwriter of SAI-65 the Units and as an owner of 7.3% of the common stock of Rickel, Eos Partners, L.P., and General Electric Capital Corporation, each as owners of 44.2% of the common stock of Rickel, and members of the Board of Directors of Rickel, including a DLJSC Managing Director. The complaint seeks to hold DLJSC liable for alleged misstatements and omissions contained in the prospectus and registration statement filed in connection with the offering of the Units, alleging that the defendants knew of financial losses and a decline in value of Rickel in the months prior to the offering and did not disclose such information. The complaint also alleges that Rickel failed to pay its semi-annual interest payment due on the Units on December 15, 1995 and that Rickel filed a voluntary petition for reorganization pursuant to Chapter 11 of the United States Bankruptcy Code on January 10, 1996. DLJSC intends to defend itself vigorously against all of the allegations contained in the complaint. Although there can be no assurance, DLJ does not believe the outcome of this litigation will have a material adverse effect on its financial condition. Due to the early stage of this litigation, based on the information currently available to it, DLJ's management cannot make an estimate of loss or predict whether or not such litigation will have a material adverse effect on DLJ's results of operations in any particular period. On June 12, 1995, a purported purchaser of certain securities issued by Spectravision, Inc. ("Spectravision") filed a class action complaint against DLJSC and certain other defendants for unspecified damages in the U.S. District Court for the Northern District of Texas. The suit was brought on behalf of the purchasers of $260,795,000 of securities issued by Spectravision in November 1992, and alleges violations of the Federal securities laws and the Texas Securities Act, common law fraud and negligent misrepresentation. The securities were issued by Spectravision pursuant to a prepackaged bankruptcy reorganization plan. DLJSC served as financial advisor to Spectravision in its reorganization and as Dealer Manager for Spectravision's 1992 issuance of the securities. DLJSC is also being sued as a seller of certain notes of Spectravision acquired and resold by DLJSC. The complaint seeks to hold DLJSC liable for various alleged misstatements and omissions contained in prospectuses and other materials issued between July 1992 and June 1994. DLJSC intends to defend itself vigorously against all of the allegations contained in the complaint. On June 8, 1995, Spectravision filed a Chapter 11 petition in the United States Bankruptcy Court for the District of Delaware. On January 5, 1996, the district court in the litigation involving DLJSC ordered a partial stay of discovery until Spectravision has emerged from bankruptcy or six months from the date of the stipulated stay (whichever comes first). Accordingly, discovery of DLJSC has not yet occurred. Although there can be no assurance, DLJ does not believe that the ultimate outcome of this litigation will have a material adverse effect on its financial condition. Due to the early stage of such litigation, based upon information currently available to it, DLJ's management cannot make an estimate of loss or predict whether or not such litigation will have a material adverse effect on DLJ's results of operations in any particular period. Plaintiff's counsel in the class action against DLJSC described above has also filed another securities class action based on similar factual allegations. Such suit names as defendants Spectravision and its directors, and was brought on behalf of a class of purchasers of $209.0 million of stock and $77.0 million of notes issued by Spectravision in October 1993. DLJSC served as the managing underwriter for both of these issuances. DLJSC has not been named as a defendant in this suit, although it has been reported to DLJSC that plaintiff's counsel is contemplating seeking to amend the complaint to add DLJSC as a defendant in that action. In October 1995, DLJSC was named as a defendant in a purported class action filed in a Texas State Court on behalf of the holders of $550.0 million principal amount of subordinated redeemable discount debentures of National Gypsum Corporation ("NGC") canceled in connection with a Chapter 11 plan of reorganization for NGC consummated in July 1993. The named plaintiff in the State Court action also filed an adversary proceeding in the Bankruptcy Court for the Northern District of Texas seeking a declaratory judgment that the confirmed NGC plan of reorganization does not bar the class action claims. Subsequent to the consummation of NGC's plan of reorganization, NGC's shares traded for values substantially in excess of, and in 1995 NGC was acquired for a value substantially in excess of, the values upon which NGC's plan of reorganization was based. The two actions arise out of DLJSC's activities as financial advisor to NGC in the course of NGC's Chapter 11 reorganization proceedings. The class action complaint alleges that the plan of reorganization submitted by NGC was based upon projections by NGC and DLJSC which intentionally understated forecasts, and provided misleading and incorrect information in order to hide NGC's true value and that defendants breached their fiduciary duties by, among other things, providing false, misleading or incomplete information to deliberately understate the value of NGC. The class action complaint seeks compensatory and punitive damages purportedly sustained by the class. The Texas State SAI-66 Court action has subsequently been removed to the Bankruptcy Court, which removal is being opposed by the plaintiff. DLJSC intends to defend itself vigorously against all of the allegations contained in the complaint. Although there can be no assurance, DLJ does not believe that the ultimate outcome of this litigation will have a material adverse effect on its financial condition. Due to the early stage of such litigation, based upon the information currently available to it, DLJ's management cannot make an estimate of loss or predict whether or not such litigation will have a material adverse effect on DLJ's results of operations in any particular period. In November and December 1995, DLJSC, along with various other parties, was named as a defendant in a number of purported class actions filed in the U.S. District Court for the Eastern District of Louisiana. The complaints allege violations of the Federal securities laws arising out of a public offering in 1994 of $435.0 million of first mortgage notes of Harrah's Jazz Company and Harrah's Jazz Finance Corp. The complaints seek to hold DLJSC liable for various alleged misstatements and omissions contained in the prospectus dated November 9, 1994. DLJSC intends to defend itself vigorously against all of the allegations contained in the complaints. Although there can be no assurance, DLJ does not believe that the ultimate outcome of this litigation will have a material adverse effect on its financial condition. Due to the early stage of this litigation, based upon the information currently available to it, DLJ's management cannot make an estimate of loss or predict whether or not such litigation will have a material adverse effect on DLJ's results of operations in any particular period. In addition to the matters described above, Equitable Life and its subsidiaries and DLJ and its subsidiaries are involved in various legal actions and proceedings in connection with their businesses. Some of the actions and proceedings have been brought on behalf of various alleged classes of claimants and certain of these claimants seek damages of unspecified amounts. While the ultimate outcome of such matters cannot be predicted with certainty, in the opinion of management no such matter is likely to have a material adverse effect on the Company's consolidated financial position or results of operations. 15) LEASES The Company has entered into operating leases for office space and certain other assets, principally data processing equipment and office furniture and equipment. Future minimum payments under noncancelable leases for 1996 and the succeeding four years are $114.8 million, $101.8 million, $90.0 million, $73.6 million, $57.7 million and $487.0 million thereafter. Minimum future sublease rental income on these noncancelable leases for 1996 and the succeeding four years are $11.0 million, $8.7 million, $6.9 million, $4.6 million, $2.9 million and $1.1 million thereafter. At December 31, 1995, the minimum future rental income on noncancelable operating leases for wholly owned investments in real estate for 1996 and the succeeding four years are $292.9 million, $271.2 million, $248.1 million, $226.4 million, $195.5 million and $1,018.8 million thereafter. SAI-67 16) OTHER OPERATING COSTS AND EXPENSES Other operating costs and expenses consisted of the following:
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Compensation costs................................. $ 595.9 $ 690.0 $ 1,452.3 Commissions........................................ 314.3 313.0 551.1 Short-term debt interest expense................... 11.4 19.0 317.1 Long-term debt interest expense.................... 108.1 98.3 86.0 Amortization of policy acquisition costs........... 320.4 318.1 275.9 Capitalization of policy acquisition costs......... (391.0) (410.9) (397.8) Rent expense, net of sub-lease income.............. 124.8 128.9 159.5 Other.............................................. 772.6 786.7 1,140.1 ----------------- ---------------- ----------------- Total.............................................. $ 1,856.5 $ 1,943.1 $ 3,584.2 ================= ================ =================
During the years ended December 31, 1995, 1994 and 1993, the Company restructured certain operations in connection with cost reduction programs and recorded pre-tax provisions of $32.0 million, $20.4 million and $96.4 million, respectively. The amounts paid during 1995, associated with the 1995 and 1994 cost reduction programs, totaled $24.0 million. At December 31, 1995, the liabilities associated with the 1995 and 1994 cost reduction programs amounted to $37.8 million. The 1995 cost reduction program included relocation expenses, including the accelerated amortization of building improvements associated with the relocation of the home office. The 1994 cost reduction program included costs associated with the termination of operating leases and employee severance benefits in connection with the consolidation of 16 insurance agencies. The 1993 cost reduction program primarily reflected severance benefits of terminated employees in connection with the combination of a wholly owned subsidiary of the Company with Alliance. 17) INSURANCE GROUP STATUTORY FINANCIAL INFORMATION Equitable Life is restricted as to the amounts it may pay as dividends to the Holding Company. Under the New York Insurance Law, the New York Superintendent has broad discretion to determine whether the financia1 condition of a stock life insurance company would support the payment of dividends to its shareholders. For the years ended December 31, 1995, 1994 and 1993, statutory (loss) earnings totaled $(352.4) million, $67.5 million and $324.0 million, respectively. No amounts are expected to be available for dividends from Equitable Life to the Holding Company in 1996. At December 31, 1995, the Insurance Group, in accordance with various government and state regulations, had $18.9 million of securities deposited with such government or state agencies. SAI-68 Accounting practices used to prepare statutory financial statements for regulatory filings of stock life insurance companies differ in certain instances from GAAP. The following reconciles the Company's statutory change in surplus and capital stock and statutory surplus and capital stock determined in accordance with accounting practices prescribed by the New York Insurance Department with net earnings and equity on a GAAP basis.
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Net change in statutory surplus and capital stock.. $ 78.1 $ 292.4 $ 190.8 Change in asset valuation reserves................. 365.7 (285.2) 639.1 ----------------- ---------------- ----------------- Net change in statutory surplus, capital stock and asset valuation reserves..................... 443.8 7.2 829.9 Adjustments: Future policy benefits and policyholders' account balances............................... (67.9) (11.0) (171.0) Deferred policy acquisition costs................ 70.6 92.8 121.8 Deferred Federal income taxes.................... (150.0) (59.7) (57.5) Valuation of investments......................... 189.1 45.2 202.3 Valuation of investment subsidiary............... (188.6) 396.6 (464.9) Limited risk reinsurance......................... 416.9 74.9 85.2 Issuance of surplus notes........................ (538.9) - - Sale of subsidiary and joint venture............. - - (366.5) Contribution from the Holding Company............ - (300.0) - Postretirement benefits.......................... (26.7) 17.1 23.8 Other, net....................................... 115.1 (44.0) 60.3 GAAP adjustments of Closed Block................. (3.1) 4.5 (16.0) GAAP adjustments of discontinued GIC Segment........................................ 37.3 42.8 (35.0) ----------------- ---------------- ----------------- Net Earnings....................................... $ 297.6 $ 266.4 $ 212.4 ================= ================ =================
DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Statutory surplus and capital stock................ $ 2,202.9 $ 2,124.8 $ 1,832.4 Asset valuation reserves........................... 1,345.9 980.2 1,265.4 ----------------- ---------------- ----------------- Statutory surplus, capital stock and asset valuation reserves............................... 3,548.8 3,105.0 3,097.8 Adjustments: Future policy benefits and policyholders' account balances............................... (1,017.4) (949.5) (938.5) Deferred policy acquisition costs................ 3,083.3 3,221.1 2,858.8 Deferred Federal income taxes.................... (450.8) (26.8) (137.8) Valuation of investments......................... 417.7 (794.1) (29.8) Valuation of investment subsidiary............... (665.1) (476.5) (873.1) Limited risk reinsurance......................... (429.0) (845.9) (920.8) Issuance of surplus notes........................ (538.9) - - Postretirement benefits.......................... (343.3) (316.6) (333.7) Other, net....................................... 4.4 (79.2) (81.9) GAAP adjustments of Closed Block................. 575.7 578.8 574.2 GAAP adjustments of discontinued GIC Segment........................................ (184.6) (221.9) (264.6) ----------------- ---------------- ----------------- Total Shareholder's Equity......................... $ 4,000.8 $ 3,194.4 $ 2,950.6 ================= ================ =================
SAI-69 18) BUSINESS SEGMENT INFORMATION The Company has three major business segments: Individual Insurance and Annuities; Investment Services and Group Pension. Consolidation/elimination principally includes debt not specific to any business segment. Attributed Insurance Capital represents net assets and related revenues and earnings of the Insurance Group not assigned to the insurance segments. Interest expense related to debt not specific to any business segment is presented within Corporate interest expense. Information for all periods is presented on a comparable basis. The Individual Insurance and Annuities segment offers a variety of traditional, variable and interest-sensitive life insurance products, disability income, annuity products and mutual fund and other investment products to individuals and small groups. This segment includes Separate Accounts for certain individual insurance and annuity products. The Investment Services segment provides investment fund management, primarily to institutional clients. This segment includes Separate Accounts which provide various investment options for group clients through pooled or single group accounts. Intersegment investment advisory and other fees of approximately $124.1 million, $135.3 million and $128.6 million for 1995, 1994 and 1993, respectively, are included in total revenues of the Investment Services segment. These fees, excluding amounts related to the discontinued GIC Segment of $14.7 million, $27.4 million and $17.0 million for 1995, 1994 and 1993, respectively, are eliminated in consolidation. The Group Pension segment administers traditional participating group annuity contracts with conversion features, generally for corporate qualified pension plans, and association plans which provide full service retirement programs for individuals affiliated with professional and trade associations.
YEARS ENDED DECEMBER 31, -------------------------------------------------------- 1995 1994 1993 ----------------- ---------------- ----------------- (IN MILLIONS) Revenues Individual insurance and annuities................. $ 3,254.6 $ 3,110.7 $ 2,981.5 Group pension...................................... 292.0 359.1 426.6 Attributed insurance capital....................... 61.2 79.4 61.6 ----------------- ---------------- ----------------- Insurance operations............................. 3,607.8 3,549.2 3,469.7 Investment services................................ 949.1 935.2 2,792.6 Consolidation/elimination.......................... (34.9) (24.7) (40.5) ----------------- ---------------- ----------------- Total.............................................. $ 4,522.0 $ 4,459.7 $ 6,221.8 ================= ================ ================= Earnings (loss) before Federal income taxes and cumulative effect of accounting change Individual insurance and annuities................. $ 274.4 $ 245.5 $ 76.2 Group pension...................................... (13.3) 15.8 2.0 Attributed insurance capital....................... 18.7 69.8 49.0 ----------------- ---------------- ----------------- Insurance operations............................. 279.8 331.1 127.2 Investment services................................ 161.2 177.5 302.1 Consolidation/elimination.......................... (3.1) .3 .5 ----------------- ---------------- ----------------- Subtotal..................................... 437.9 508.9 429.8 Corporate interest expense......................... (27.9) (114.2) (126.1) ----------------- ---------------- ----------------- Total.............................................. $ 410.0 $ 394.7 $ 303.7 ================= ================ =================
SAI-70
DECEMBER 31, ------------------------------------ 1995 1994 ---------------- ----------------- (IN MILLIONS) Assets Individual insurance and annuities..................................... $ 50,328.8 $ 44,063.4 Group pension.......................................................... 4,033.3 4,222.8 Attributed insurance capital........................................... 2,391.6 2,609.8 ---------------- ----------------- Insurance operations................................................. 56,753.7 50,896.0 Investment services.................................................... 12,842.9 12,127.9 Consolidation/elimination.............................................. (354.4) (1,614.4) ---------------- ----------------- Total.................................................................. $ 69,242.2 $ 61,409.5 ================ =================
19) QUARTERLY RESULTS OF OPERATIONS (UNAUDITED) The quarterly results of operations for the years ended December 31, 1995, 1994 and 1993, are summarized below:
THREE MONTHS ENDED, ------------------------------------------------------------------------------ MARCH 31 JUNE 30 SEPTEMBER 30 DECEMBER 31 ----------------- ----------------- ------------------ ------------------ (IN MILLIONS) 1995 ---- Total Revenues................ $ 1,074.7 $ 1,158.4 $ 1,127.1 $ 1,161.8 ================= ================= ================== ================== Net Earnings.................. $ 59.0 $ 94.3 $ 91.2 $ 53.1 ================= ================= ================== ================== 1994 ---- Total Revenues................ $ 1,107.4 $ 1,075.0 $ 1,153.8 $ 1,123.5 ================= ================= ================== ================== Earnings before Cumulative Effect of Accounting Change...................... $ 64.0 $ 68.4 $ 89.1 $ 72.0 ================= ================= ================== ================== Net Earnings.................. $ 36.9 $ 68.4 $ 89.1 $ 72.0 ================= ================= ================== ================== 1993 ---- Total Revenues................ $ 1,502.2 $ 1,539.7 $ 1,679.4 $ 1,500.5 ================= ================= ================== ================== Net Earnings.................. $ 32.3 $ 47.1 $ 68.8 $ 64.2 ================= ================= ================== ==================
20) INVESTMENT IN DLJ On December 15, 1993, the Company sold a 61% interest in DLJ to the Holding Company for $800.0 million in cash and securities. The excess of the proceeds over the book value in DLJ at the date of sale of $340.2 million has been reflected as a capital contribution. In 1995, DLJ completed the initial public offering ("IPO") of 10.58 million shares of its common stock, which included 7.28 million of the Holding Company's shares in DLJ, priced at $27 per share. Concurrent with the IPO, the Company contributed equity securities to DLJ having a market value of $21.2 million. Upon completion of the IPO, the Company's ownership percentage was reduced to 36.1%. The Company's ownership interest will be further reduced upon the issuance of common stock after the vesting of forfeitable restricted stock units acquired by and/or the exercise of options granted to certain DLJ employees. At December 31, 1995, DLJ had options SAI-71 outstanding to purchase approximately 9.2 million shares of DLJ common stock at $27.00 per share. Options are exercisable over a period of up to ten years. DLJ restricted stock units represents forfeitable rights to receive approximately 5.2 million shares of DLJ common stock through February 2000. The results of operations and cash flows of DLJ through the date of sale are included in the consolidated statements of earnings and cash flow for the year ended December 31, 1993. For the period subsequent to the date of sale, the results of operations of DLJ are accounted for on the equity basis and are included in commissions, fees and other income in the consolidated statements of earnings. The Company's carrying value of DLJ is included in investment in and loans to affiliates in the consolidated balance sheets. Summarized balance sheets information for DLJ, reconciled to the Company's carrying value of DLJ, are as follows:
DECEMBER 31, ------------------------------------ 1995 1994 ---------------- ----------------- (IN MILLIONS) Assets: Trading account securities, at market value............................ $ 10,911.4 $ 8,970.0 Securities purchased under resale agreements........................... 18,748.2 10,476.4 Broker-dealer related receivables...................................... 13,023.7 11,784.8 Other assets........................................................... 1,893.2 2,030.4 ---------------- ----------------- Total Assets........................................................... $ 44,576.5 $ 33,261.6 ================ ================= Liabilities: Securities sold under repurchase agreements............................ $ 26,744.8 $ 18,356.7 Broker-dealer related payables......................................... 12,915.5 10,618.0 Short-term and long-term debt.......................................... 1,717.5 1,956.5 Other liabilities...................................................... 1,775.0 1,285.1 ---------------- ----------------- Total liabilities...................................................... 43,152.8 32,216.3 Cumulative exchangeable preferred stock................................ 225.0 225.0 Total shareholders' equity............................................. 1,198.7 820.3 ---------------- ----------------- Total Liabilities, Cumulative Exchangeable Preferred Stock and Shareholders' Equity................................................. $ 44,576.5 $ 33,261.6 ================ ================= DLJ's equity as reported............................................... $ 1,198.7 $ 820.3 Unamortized cost in excess of net assets acquired in 1985 and other adjustments................................................ 40.5 50.8 The Holding Company's equity ownership in DLJ.......................... (499.0) (532.1) Minority interest in DLJ............................................... (324.3) - ---------------- ----------------- The Company's Carrying Value of DLJ.................................... $ 415.9 $ 339.0 ================ =================
SAI-72 Summarized statements of earnings information for DLJ reconciled to the Company's equity in earnings of DLJ is as follows:
YEARS ENDED DECEMBER 31, ------------------------------------ 1995 1994 ---------------- ----------------- (IN MILLIONS) Commission, fees and other income...................................... $ 1,325.9 $ 953.5 Net investment income.................................................. 904.1 791.9 Dealer, trading and investment gains, net.............................. 528.6 263.3 ---------------- ----------------- Total Revenues......................................................... 2,758.6 2,008.7 Total expenses including income taxes.................................. 2,579.5 1,885.7 ---------------- ----------------- Net earnings........................................................... 179.1 123.0 Dividends on preferred stock........................................... 19.9 20.9 ---------------- ----------------- Earnings Applicable to Common Shares................................... $ 159.2 $ 102.1 ================ ================= DLJ's earnings applicable to common shares as reported................. $ 159.2 $ 102.1 Amortization of cost in excess of net assets acquired in 1985.......... (3.9) (3.1) The Holding Company's equity in DLJ's earnings......................... (90.4) (60.9) Minority interest in DLJ............................................... (6.5) - ---------------- ----------------- The Company's Equity in DLJ's Earnings................................. $ 58.4 $ 38.1 ================ =================
21) RELATED PARTY TRANSACTIONS On August 31, 1993, the Company sold $661.0 million of primarily privately placed below investment grade fixed maturities to EQ Asset Trust 1993, a limited purpose business trust, wholly owned by the Holding Company. The Company recognized a $4.1 million gain net of related deferred policy acquisition costs, deferred Federal income tax and amounts attributable to participating group annuity contracts. In conjunction with this transaction, the Company received $200.0 million of Class B Notes issued by EQ Asset Trust 1993. These notes have interest rates ranging from 6.85% to 9.45%. The Class B Notes are reflected in investments in and loans to affiliates on the consolidated balance sheets. SAI-73 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trust and Trustee of the State Street Bank and Trust Company Lifecycle Fund Group Trust -- Conservative In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of the State Street Bank and Trust Company Lifecycle Fund Group Trust -- Conservative (the "Fund") at December 31, 1995, the results of its operations, the changes in its net assets and the selected per unit data for the period from May 5, 1995 (commencement of operations) through December 31, 1995, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Fund's Trustee; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 11, 1996 SAI-74 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--CONSERVATIVE Statement of Assets and Liabilities December 31, 1995
- ------------------------------------------------------------------------------------------ ASSETS Investments in State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans: Daily EAFE Fund Non-Lending (24,997 units) ................................... $ 296,709 Daily Government/Corporate Fund (130,106 units) .............................. 1,495,176 Russell 2000 Fund (9,112 units) .............................................. 150,200 S&P 500 Flagship Fund (4,607 units) .......................................... 447,197 Short Term Investment Fund (609,735 units) ................................... 609,735 - ------------------------------------------------------------------------------------------ Total investments (cost $2,866,498) .......................................... 2,999,017 Interest and other receivables ............................................... 2,365 - ------------------------------------------------------------------------------------------ Total assets ............................................................. 3,001,382 - ------------------------------------------------------------------------------------------ LIABILITIES Payable to custodian ......................................................... 1,374 Accrued expenses ............................................................. 17,452 - ------------------------------------------------------------------------------------------ Total liabilities ........................................................ 18,826 - ------------------------------------------------------------------------------------------ NET ASSETS (equivalent to $10.73 per unit based on 277,866 units outstanding) $2,982,556 ==========================================================================================
The accompanying notes are an integral part of these financial statements. SAI-75 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--CONSERVATIVE Statement of Operations Period ended December 31, 1995*
- ------------------------------------------------------------------------------ INVESTMENT INCOME Interest .......................................................... $ 14,751 - ------------------------------------------------------------------------------ EXPENSES Accounting and recordkeeping ...................................... 11,100 Audit ............................................................. 2,500 Legal ............................................................. 13,121 Management ........................................................ 2,038 - ------------------------------------------------------------------------------ Total expenses .................................................. 28,759 - ------------------------------------------------------------------------------ Net investment income (loss) ...................................... (14,008) - ------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on investments ........................... 33,019 Net change in unrealized appreciation (depreciation) on investments ...................................................... 132,519 - ------------------------------------------------------------------------------ Net realized and unrealized gain (loss) ........................... 165,538 - ------------------------------------------------------------------------------ Net increase (decrease) in net assets resulting from operations ... $151,530 ==============================================================================
- ------------ * Investment operations commenced on May 5, 1995. The accompanying notes are an integral part of these financial statements. SAI-76 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--CONSERVATIVE Statement of Changes in Net Assets
PERIOD ENDED DECEMBER 31, 1995* - -------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) ................................................ $ (14,008) Net realized gain (loss) on investments ..................................... 33,019 Net change in unrealized appreciation (depreciation) on investments ........ 132,519 - -------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations ............ 151,530 - -------------------------------------------------------------------------------------------- FROM PARTICIPANT TRANSACTIONS Proceeds from units issued .................................................. 4,402,424 Cost of units redeemed ...................................................... (1,571,398) - -------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from participant transactions ............................................................... 2,831,026 - -------------------------------------------------------------------------------------------- Net increase (decrease) in net assets ....................................... 2,982,556 - -------------------------------------------------------------------------------------------- NET ASSETS Beginning of period ......................................................... -- - -------------------------------------------------------------------------------------------- End of period ............................................................... $ 2,982,556 - -------------------------------------------------------------------------------------------- NUMBER OF UNITS Outstanding--beginning of period ............................................ -- Issued ...................................................................... 430,911 Redeemed .................................................................... (153,045) - -------------------------------------------------------------------------------------------- OUTSTANDING--END OF PERIOD .................................................. 277,866 ============================================================================================
- ------------ * Investment operations commenced on May 5, 1995. The accompanying notes are an integral part of these financial statements. SAI-77 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--CONSERVATIVE Selected Per Unit Data (For a Unit of Participation Outstanding Throughout the Period)
PERIOD ENDED DECEMBER 31, 1995* - ------------------------------------------------------------------------------ Net investment income (loss)** ................................ $(0.08) Net realized and unrealized gain (loss) ....................... 0.81 - ------------------------------------------------------------------------------ Net increase (decrease) ....................................... 0.73 Net asset value Beginning of period ........................................... 10.00 - ------------------------------------------------------------------------------ End of period ................................................. $10.73 ============================================================================== Total return (%)*** ........................................... 7.30 ============================================================================== Ratio of expenses to average net assets (a) ................... 2.13% Ratio of net investment income (loss) to average net assets (a) ................................................... (1.04%) Portfolio turnover ............................................ 131% Net assets, end of period (000s) .............................. $2,983
(a) Annualized. * Investment operations commenced on May 5, 1995. ** Net investment income has been calculated based upon an average of monthly units outstanding. *** Total return calculation (not annualized) is based on the value of a single unit of participation outstanding throughout the period. It represents the percentage change in the net asset value per unit between the beginning and end of the period. The calculation includes only those expenses charged directly to the Fund. The accompanying notes are an integral part of these financial statements. SAI-78 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--CONSERVATIVE NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 1. INVESTMENT OBJECTIVE The State Street Bank and Trust Company ("State Street Bank") Lifecycle Fund Group Trust -- Conservative (the "Fund") was formed under a Declaration of Trust dated February 21, 1991 as amended and restated through July 19, 1991. The Fund's objective is to seek to provide current income and a low to moderate growth of capital. State Street Bank is the Fund's Trustee and custodian. State Street Global Advisors, a division of State Street Bank, is the Fund's investment manager. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments in the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans are valued at the net asset value per share/unit on the valuation date. Investments held by the underlying Funds are valued at the last reported sale price on the valuation date, or if no sale was reported and in the case of over-the-counter securities, the last published sale price. Certain investments are valued at fair value on the basis of valuations furnished by a pricing service, approved by the Trustee, which determines valuations using methods based on market transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Investments held by the Short Term Investment Fund are stated at amortized cost, which approximates market value. B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date (the date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Fund in connection with the issuance and redemption of its units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered and the net gain or loss on securities sold is determined using the average cost method. With the exception of the Short Term Investment Fund, the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans, in which the Fund invests, retain all investment income earned. Accordingly, realized and unrealized gains and losses reported by the Fund may include a component attributable to investment income. C. INCOME TAXES It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal income taxes and no federal income tax provision is required. D. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION The net asset value of the Fund is determined each business day (valuation date). Issuances and redemptions of Fund units are made on such days and at such unit principal values. SAI-79 STATE STREET BANK AND TRUST COMPANY LIFECYLE FUND GROUP TRUST--CONSERVATIVE NOTES TO FINANCIAL STATEMENTS-- DECEMBER 31, 1995 The number of and value of units issued in connection with a contribution of assets to the Fund or redeemed in connection with a withdrawal from the Fund shall be determined on the basis of the value of the Fund as of the Fund's last preceding valuation date to the date on which such order to contribute assets of order to withdraw assets is received; provided, however, that the Trustee, in its sole discretion, reserves the right to value any contribution or withdrawal as of the next succeeding valuation date, or another date as the Trustee reasonably deems appropriate. E. EXPENSES According to the Declaration of Trust, the Fund may pay certain expenses for services received during the year. The Trustee is paid a management fee by the Fund at the annual rate of 0.17%. Additionally, the Trustee is paid an annual fee of $11,100 for providing various recordkeeping and accounting services to the Fund. F. DISTRIBUTIONS TO PARTICIPANTS All net investment income and net realized gains are retained by the Fund. G. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3. INVESTMENT TRANSACTIONS Purchases and sales of securities, excluding short-term investments and including in-kind contributions and redemptions, if any, during the period ended December 31, 1995 were $4,864,283 and $2,640,539, respectively, resulting in a net realized gain of $33,019. Purchases and sales of short-term investments (including maturities) were $1,639,065 and $1,029,330, respectively. 4. UNITS OF PARTICIPATION All of the Fund's units outstanding were held by a single participant at December 31, 1995. SAI-80 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trust and Trustee of the State Street Bank and Trust Company Lifecycle Fund Group Trust -- Moderate In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of the State Street Bank and Trust Company Lifecycle Fund Group Trust -- Moderate (the "Fund") at December 31, 1995, the results of its operations, the changes in its net assets and the selected per unit data for the period from May 5, 1995 (commencement of operations) through December 31, 1995, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Fund's Trustee; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 11, 1996 SAI-81 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--MODERATE Statement of Assets and Liabilities December 31, 1995
- --------------------------------------------------------------------------------------------- ASSETS Investments in State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans: Daily EAFE Fund Non-Lending (958,728 units) ................................... $11,380,101 Daily Government/Corporate Fund (1,995,676 units) ............................. 22,934,303 Russell 2000 Fund (464,412 units) ............................................. 7,654,911 S&P 500 Flagship Fund (275,096 units) ......................................... 26,701,331 Short Term Investment Fund (7,608,602 units) .................................. 7,608,602 - --------------------------------------------------------------------------------------------- Total investments (cost $75,406,442) ....................................... 76,279,248 - --------------------------------------------------------------------------------------------- Interest receivable ........................................................... 26,914 - --------------------------------------------------------------------------------------------- Total assets ............................................................... 76,306,162 - --------------------------------------------------------------------------------------------- LIABILITIES Payable to custodian .......................................................... 27,008 Accrued expenses .............................................................. 33,183 - --------------------------------------------------------------------------------------------- Total liabilities .......................................................... 60,191 - --------------------------------------------------------------------------------------------- Net assets (equivalent to $11.13 per unit based on 6,849,818 units outstanding) ................................................................. $76,245,971 =============================================================================================
The accompanying notes are an integral part of these financial statements. SAI-82 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--MODERATE Statement of Operations Period ended December 31, 1995*
- ----------------------------------------------------------------------------- INVESTMENT INCOME Interest .......................................................... $ 40,028 - ----------------------------------------------------------------------------- EXPENSES Accounting and recordkeeping ...................................... 11,100 Audit ............................................................. 2,500 Legal ............................................................. 21,769 Management ........................................................ 11,212 - ----------------------------------------------------------------------------- Total expenses ................................................. 46,581 - ----------------------------------------------------------------------------- Net investment income (loss) ...................................... (6,553) - ----------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on investments ........................... 29,206 Net change in unrealized appreciation (depreciation) on investments ...................................................... 872,806 - ----------------------------------------------------------------------------- Net realized and unrealized gain (loss) ........................... 902,012 - ----------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations ... $895,459 =============================================================================
- ------------ * Investment operations commenced on May 5, 1995. The accompanying notes are an integral part of these financial statements. SAI-83 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--MODERATE Statement of Changes in Net Assets
PERIOD ENDED DECEMBER 31, 1995* - -------------------------------------------------------------------------------------------- FROM INVESTMENT ACTIVITIES Net investment income (loss) ................................................ $ (6,553) Net realized gain (loss) on investments ..................................... 29,206 Net change in unrealized appreciation (depreciation) on investments ........ 872,806 - -------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations ............ 895,459 - -------------------------------------------------------------------------------------------- FROM PARTICIPANT TRANSACTIONS Proceeds from units issued .................................................. 76,246,459 Cost of units redeemed ...................................................... (895,947) - -------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from participant transactions ............................................................... 75,350,512 - -------------------------------------------------------------------------------------------- Net increase (decrease) in net assets ....................................... 76,245,971 - -------------------------------------------------------------------------------------------- NET ASSETS Beginning of period ......................................................... -- End of period ............................................................... $76,245,971 - -------------------------------------------------------------------------------------------- NUMBER OF UNITS Outstanding--beginning of period ............................................ -- Issued ...................................................................... 6,932,464 Redeemed .................................................................... (82,646) - -------------------------------------------------------------------------------------------- Outstanding--end of period .................................................. 6,849,818 ===========================================================================================
- ------------ * Investment operations commenced on May 5, 1995. The accompanying notes are an integral part of these financial statements. SAI-84 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--MODERATE Selected Per Unit Data (For a Unit of Participation Outstanding Throughout the Period)
PERIOD ENDED DECEMBER 31, 1995* - ------------------------------------------------------------------------------ Net investment income (loss)** ................................ $ (0.01) Net realized and unrealized gain (loss) ....................... 1.14 - ------------------------------------------------------------------------------ Net increase (decrease) ....................................... 1.13 - ------------------------------------------------------------------------------ NET ASSET VALUE Beginning of period ........................................... 10.00 - ------------------------------------------------------------------------------ End of period ................................................. $ 11.13 - ------------------------------------------------------------------------------ Total return (%)*** ........................................ 11.30 - ------------------------------------------------------------------------------ Ratio of expenses to average net assets (a) ................... 0.52% Ratio of net investment income (loss) to average net assets (a) .......................................................... (0.07%) Portfolio turnover ............................................ 30% Net assets, end of period (000s) .............................. $76,246
- ------------ (a) Annualized. * Investment operations commenced on May 5, 1995. ** Net investment income has been calculated based upon an average of monthly units outstanding. *** Total return calculation (not annualized) is based on the value of a single unit of participation outstanding throughout the period. It represents the percentage change in the net asset value per unit between the beginning and end of the period. The calculation includes only those expenses charged directly to the Fund. The accompanying notes are an integral part of these financial statements. SAI-85 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--MODERATE NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 1. INVESTMENT OBJECTIVE The State Street Bank and Trust Company ("State Street Bank") Lifecycle Fund Group Trust--Moderate (the "Fund") was formed under a Declaration of Trust dated February 21, 1991 as amended and restated through July 19, 1991. The Fund's objective is to seek to provide a reasonable level of current income and growth of capital. State Street Bank is the Fund's Trustee and custodian. State Street Global Advisors, a division of State Street Bank, is the Fund's investment manager. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments in the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans are valued at the net asset value per share/unit on the valuation date. Investments held by the underlying Funds are valued at the last reported sale price on the valuation date, or if no sale was reported and in the case of over-the-counter securities, the last published sale price. Certain investments are valued at fair value on the basis of valuations furnished by a pricing service, approved by the Trustee, which determines valuations using methods based on market transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Investments held by the Short Term Investment Fund are stated at amortized cost, which approximates market value. B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date (the date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Fund in connection with the issuance and redemption of its units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered and the net gain or loss on securities sold is determined using the average cost method. With the exception of the Short Term Investment Fund, the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans, in which the Fund invests, retain all investment income earned. Accordingly, realized and unrealized gains and losses reported by the Fund may include a component attributable to investment income. C. INCOME TAXES It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal income taxes and no federal income tax provision is required. D. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION The net asset value of the Fund is determined each business day (valuation date). Issuances and redemptions of Fund units are made on such days and at such unit principal values. SAI-86 STATE STREET BANK AND TRUST COMPANY LIFECYCLE FUND GROUP TRUST--MODERATE NOTES TO FINANCIAL STATEMENTS-- DECEMBER 31, 1995 The number of and value of units issued in connection with a contribution of assets to the Fund or redeemed in connection with a withdrawal from the Fund shall be determined on the basis of the value of the Fund as of the Fund's last preceding valuation date to the date on which such order to contribute assets or order to withdraw assets is received; provided, however, that the Trustee, in its sole discretion, reserves the right to value any contribution or withdrawal as of the next succeeding valuation date, or another date as the Trustee reasonably deems appropriate. E. EXPENSES According to the Declaration of Trust, the Fund may pay certain expenses for services received during the year. The Trustee is paid a management fee by the Fund at the annual rate of 0.17%. Additionally, the Trustee is paid a fee annually of $11,100 for providing various recordkeeping and accounting services to the Fund. F. DISTRIBUTIONS TO PARTICIPANTS All net investment income and net realized gains are retained by the Fund. G. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3. INVESTMENT TRANSACTIONS Purchases and sales of securities, excluding short-term investments and including in-kind contributions and redemptions, if any, during the period ended December 31, 1995 were $71,719,547 and $3,950,913, respectively, resulting in a net realized gain of $29,206. Purchases and sales of short-term investments (including maturities) were $8,376,822 and $768,220, respectively. 4. UNITS OF PARTICIPATION All of the Fund's units outstanding were held by a single participant at December 31, 1995. SAI-87 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trusts and Trustee of the State Street Bank and Trust Company S&P 500 Flagship Fund and the State Street Bank and Trust Company S&P 500 Index Fund with Futures In our opinion, the accompanying combined statement of assets and liabilities, including the combined schedule of investments, and the related combined statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of the State Street Bank and Trust Company S&P 500 Flagship Fund and the State Street Bank and Trust Company S&P 500 Index Fund with Futures (the "Funds") at December 31, 1995, the results of their operations, the changes in their net assets and their selected per unit data for the periods indicated, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Funds' Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 21, 1996 SAI-88 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Statement of Assets and Liabilities December 31, 1995
- ----------------------------------------------------------------------------------- ASSETS Investment in securities, at value (cost $13,474,418,028) ....... $17,485,106,127 Collateral held for loaned securities ............................ 203,333,397 Receivable for investments sold .................................. 120,463 Receivable for fund units issued ................................. 2,118,347,665 Dividends receivable ............................................. 29,651,838 Interest receivable .............................................. 2,849,175 Receivable for daily variation margin ............................ 747,950 - ----------------------------------------------------------------------------------- Total assets .................................................. 19,840,156,615 - ----------------------------------------------------------------------------------- LIABILITIES Collateral on securities loaned, at value ........................ 203,333,397 Payable for investments purchased ................................ 2,324,410,535 Payable for fund units redeemed .................................. 12,047,837 Accrued expenses ................................................. 26,680 - ----------------------------------------------------------------------------------- Total liabilities ............................................. 2,539,818,449 - ----------------------------------------------------------------------------------- NET ASSETS ....................................................... $ 17,300,338,166 =================================================================================== S&P 500 Flagship Fund: 155,920,898 units outstanding, at $97.06 per unit net asset value ........................................................... $ 15,135,309,460 S&P 500 Index Fund with Futures: 22,303,688 units outstanding, at $97.06 per unit net asset value 2,165,028,706 - ----------------------------------------------------------------------------------- $ 17,300,338,166 ===================================================================================
The accompanying notes are an integral part of these financial statements. SAI-89 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Statement of Operations Year ended December 31, 1995
- -------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends .................................................................. $ 302,218,381 Interest ................................................................... 21,713,545 Securities lending fee income, net of related expenses (Notes 1 and 3) .... 229,747 - ------------------------------------------------------------------------------------------- Total investment income .................................................. 324,161,673 - ------------------------------------------------------------------------------------------- EXPENSES Audit ...................................................................... 32,562 Custody .................................................................... 65,744 - ------------------------------------------------------------------------------------------- Total expenses ........................................................... 98,306 - ------------------------------------------------------------------------------------------- Net investment income ...................................................... 324,063,367 - ------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) on investments .................................... 217,620,041 Net realized gain (loss) on futures contracts .............................. 108,756,092 Net change in unrealized appreciation (depreciation) on investments ....... 3,130,329,838 Net change in unrealized gain (loss) on futures contracts .................. 4,151,150 - ------------------------------------------------------------------------------------------- Net gain (loss) on investments and futures contracts ....................... 3,460,857,121 - ------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations ........... $3,784,920,488 ===========================================================================================
The accompanying notes are an integral part of these financial statements. SAI-90 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Statement of Changes in Net Assets
YEAR ENDED DECEMBER 31, -------------------------------- 1995 1994 - --------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income ............................................................. $ 324,063,367 $ 209,224,187 Net realized gain (loss) on investments ........................................... 217,620,041 109,829,850 Net realized gain (loss) on futures contracts ..................................... 108,756,092 (19,704,577) Net change in unrealized appreciation (depreciation) on investments .............. 3,130,329,838 (191,526,317) Net change in unrealized gain (loss) on futures contracts ......................... 4,151,150 (1,091,050) - --------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations .................... 3,784,920,488 106,732,093 - --------------------------------------------------------------------------------------------------------------------- Distributions of securities lending fee income to S&P 500 Flagship Fund participants (Notes 1 and 3) ...................................................... (229,747) (198,924) - --------------------------------------------------------------------------------------------------------------------- FROM PARTICIPANT TRANSACTIONS (NOTE 5) Proceeds from units issued ........................................................ 6,401,569,786 5,886,469,200 Cost of units redeemed ............................................................ (2,576,234,938) (2,330,857,737) - --------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from participant transactions .... 3,825,334,848 3,555,611,463 - --------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets ............................................. 7,610,025,589 3,662,144,632 NET ASSETS Beginning of year ................................................................. 9,690,312,577 6,028,167,945 - --------------------------------------------------------------------------------------------------------------------- End of year ....................................................................... $17,300,338,166 $ 9,690,312,577 ===================================================================================================================== NUMBER OF UNITS S&P 500 Flagship Fund: Outstanding--beginning of year ..................................................... 117,036,187 82,674,067 Issued ............................................................................ 66,412,094 68,391,275 Redeemed .......................................................................... (27,527,383) (34,029,155) - --------------------------------------------------------------------------------------------------------------------- Outstanding--end of year ........................................................... 155,920,898 117,036,187 ===================================================================================================================== S&P 500 Index Fund with Futures: Outstanding--beginning of year ..................................................... 20,293,958 3,947,525 Issued ............................................................................ 6,080,185 17,224,431 Redeemed .......................................................................... (4,070,455) (877,998) - ----------------------------------------------------------------------------------- --------------- --------------- Outstanding--end of year ........................................................... 22,303,688 20,293,958 =================================================================================== =============== ===============
The accompanying notes are an integral part of these financial statements. SAI-91 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND Selected Per Unit Data (For a Unit of Participation Outstanding Throughout Each Year)
YEAR ENDED DECEMBER 31, ----------------------------------------------------- 1995 1994 1993 1992 1991 - ---------------------------------------------------------------------------------------------------- Net investment income** ...................... $ 2.24 $ 1.90 $ 1.81 $ 1.54 $ 1.62 Net realized and unrealized gain (loss) ..... 24.26 (0.93) 4.55 3.04 12.01 Distributions of securities lending fee income ...................................... 0.00 0.00 (0.01) (0.01) (0.01) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) ...................... 26.50 0.97 6.35 4.57 13.62 NET ASSET VALUE Beginning of year ............................ 70.56 69.59 63.24 58.67 45.05 - ---------------------------------------------------------------------------------------------------- End of year .................................. $ 97.06 $ 70.56 $ 69.59 $ 63.24 $ 58.67 ==================================================================================================== Total return (%)*** .......................... 37.56 1.39 10.06 7.81 30.26 ==================================================================================================== Ratio of expenses to average net assets* .... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income to average net assets ...................................... 2.66% 2.88% 2.68% 2.58% 3.01% Portfolio turnover ........................... 10% 12% 22% 19% 11% Net assets, end of year (000,000s) ........... $15,135 $8,258 $5,753 $4,233 $3,371
- ------------ * Less than 0.01%. ** Net investment income has been calculated based upon an average of monthly units outstanding. *** Total return calculation is based on the value of a single unit of participation outstanding throughout the entire year. It represents the percentage change in the net asset value per unit between the beginning and end of each year. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. The accompanying notes are an integral part of these financial statements. SAI-92 STATE STREET BANK AND TRUST COMPANY S&P 500 INDEX FUND WITH FUTURES Selected Per Unit Data (For a Unit of Participation Outstanding Throughout Each Year)
YEAR ENDED DECEMBER 31, ----------------------------------------------------- 1995 1994 1993 1992 1991 - ---------------------------------------------------------------------------------------------------- Net investment income** ...................... $ 2.24 $ 1.90 $ 1.80 $ 1.53 $ 1.64 Net realized and unrealized gain (loss) ..... 24.26 (0.93) 4.55 3.04 11.98 - ---------------------------------------------------------------------------------------------------- Net increase (decrease) ...................... 26.50 0.97 6.35 4.57 13.62 NET ASSET VALUE Beginning of year ............................ 70.56 69.59 63.24 58.67 45.05 - ---------------------------------------------------------------------------------------------------- End of year .................................. $97.06 $70.56 $69.59 $63.24 $58.67 - ---------------------------------------------------------------------------------------------------- Total return (%)*** .......................... 37.56 1.39 10.04 7.79 30.23 ==================================================================================================== Ratio of expenses to average net assets* .... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income to average net assets ...................................... 2.66% 2.88% 2.68% 2.57% 3.00% Portfolio turnover ........................... 10% 12% 22% 19% 11% Net assets, end of year (000,000s) ........... $ 2,165 $ 1,432 $ 275 $ 155 $ 472
- ------------ * Less than 0.01%. ** Net investment income has been calculated based upon an average of monthly units outstanding. *** Total return calculation is based on the value of a single unit of participation outstanding throughout the entire year. It represents the percentage change in the net asset value per unit between the beginning and end of each year. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. The accompanying notes are an integral part of these financial statements. SAI-93 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES NOTES TO COMBINED FINANCIAL STATEMENTS DECEMBER 31, 1995 1. INVESTMENT OBJECTIVE The State Street Bank and Trust Company ("State Street Bank") S&P 500 Flagship Fund and S&P 500 Index Fund with Futures (the "Funds") are diversified equity pooled funds. The Funds were formed under a Declaration of Trust dated February 21, 1991, as amended and restated through July 19, 1991. Each Fund's objective is to replicate, as closely as possible, the Standard & Poor's (S&P) 500 Index, which is accomplished by investing in substantially all of the equity securities which comprise the Index. Additionally, each of the Funds may hold up to 25% of its value in S&P 500 stock index futures contracts and hold units of certain State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans, consistent with its investment objectives. State Street Bank is the Funds' Trustee and custodian. State Street Global Advisors, a division of Street Street Bank, is the Funds' investment manager. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments in securities listed on a national securities exchange and over-the-counter securities are valued at the last reported sale price on the valuation date, or if no sale price was reported on the valuation date, the last published sale price. Short-term investments are stated at amortized cost which approximates market. Investments in registered investment companies or other State Street Bank and Trust Investment Funds for Tax Exempt Retirement Plans are valued at net asset value per share/unit on the valuation date. Futures contracts are valued at the settlement price established each day by the board of trade or exchange upon which they are traded. B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date (date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Fund in connection with the issuance and redemption of its units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered and the net gain or loss on securities sold is determined using the average cost method. Interest income is recorded on the accrual basis. Interest income is increased by accretion of discount and reduced by amortization of premium. Dividend income is recorded on ex-dividend date. C. INCOME TAXES It is the Funds' policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Funds are exempt from federal income taxes and no federal income tax provision is required. D. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION The net asset values of the Funds are determined each business day (valuation date). Issuances and redemptions of Fund units are made on such days and at such unit principal values. SAI-94 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES NOTES TO COMBINED FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 1995 The transaction costs and market effect associated with the investment of proceeds from the issuance of Fund units or those incurred upon disposition of investments to settle redemption of Fund units are allocated to the applicable participant. Transaction costs include brokerage commissions, taxes and other direct costs related to security transactions. Market effect is the difference between the execution price of the investment on the trade date and the investment's closing market value on the valuation date. Fund units are issued and redeemed based upon the closing market value of the securities bought or sold as of the valuation date, adjusted for the related market effect and transaction costs previously described. E. EXPENSES According to the Declaration of Trust, the Funds may pay certain expenses for services received during the year. The Trustee is paid a fee by the Funds for custodial services at the annual rate of $50,000, plus a charge for each security and futures transaction executed. F. DISTRIBUTIONS TO PARTICIPANTS All net investment income (excluding securities lending fees) and net realized gains are retained by the Funds. Income generated by securities lending is distributed to S&P 500 Flagship Fund participants monthly (see Note 3). G. FUTURES CONTRACTS The Funds may use futures contracts to manage their exposure to the equity market. Buying futures tends to increase the Funds' exposure to the underlying instrument. Futures contracts involve, to varying degrees, credit and market risks. The Funds enter into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between a futures contract and the underlying index. Upon entering into a futures contract, the Funds are 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 Funds each day, depending on the daily fluctuation in the value of the underlying securities, and are recorded as unrealized gains or losses by the Funds. Such receipts or payments are known as "variation margin". A gain or loss is realized when the contract is closed or expires. H. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. SAI-95 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES NOTES TO COMBINED FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 1995 3. SECURITIES LENDING PROGRAM The participants in the S&P 500 Flagship Fund (the "Lending Fund") have authorized the Lending Fund to participate in the Securities Lending Program maintained by State Street Bank. The investment objective, techniques and results of operations of the Lending Fund are identical to those of the S&P 500 Index Fund with Futures (the "Index Fund"), except that the Lending Fund engages in securities lending activities. Accordingly, the financial statements of the Lending Fund and the Index Fund (collectively, the "Funds") have been prepared on a combined basis, with separate disclosure of the participant transactions and per unit data of each of the Funds. Each of the Funds maintains a divided pro-rata interest in the combined assets and liabilities (including each investment security position) proportionate to the net asset value of the outstanding combined units of the Funds. All interfund transactions have been eliminated in the combined financial statements. Under the Securities Lending Program, securities held by the Lending Fund are loaned by State Street Bank, as agent, to certain brokers and other financial institutions (the "Borrowers"). The Borrowers provide cash, securities, or letters of credit as collateral against loans in an 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 fair market value of the loaned securities. At December 31, 1995, the value of securities loaned by the Lending Fund was $197,819,259 against which was held cash collateral of $203,333,397. Cash collateral provided is invested in short-term collective investment funds managed by State Street Bank. A portion of the income generated upon investment of the collateral is remitted to the Borrowers, and the remainder is allocated between the Lending Fund and State Street Bank in its capacity as lending agent. Negotiated lenders' fees are received for those loans collateralized by securities or letters of credit, if any. State Street Bank, as lending agent, indemnifies the Lending Fund for replacement of any loaned securities (or, in certain circumstances, return of equivalent cash value) due to Borrower default on a security loan. Lending Fund participants, however, bear the risk of loss with respect to the investment of collateral. All income earned from lending activities is distributed to Lending Fund participants monthly. Participants in each of the Lending Fund or the Index Fund may exchange their units for units of the other Fund on any valuation date. 4. INVESTMENT TRANSACTIONS Purchases and sales of securities, excluding short-term investments and including in-kind contributions and redemptions, if any, during the year ended December 31, 1995 were $5,287,972,661 and $1,270,397,577, respectively, resulting in a net realized gain (loss) of $217,888,355. This gain (loss) is prior to the recognition of the market effect and transaction costs associated with contributions and redemptions. SAI-96 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES NOTES TO COMBINED FINANCIAL STATEMENTS (CONCLUDED) DECEMBER 31, 1995 5. UNITS OF PARTICIPATION Participant transactions for each of the Funds were as follows:
YEAR ENDED DECEMBER 31, -------------------------------- 1995 1994 --------------- --------------- S&P 500 FLAGSHIP FUND: Proceeds from units issued ........................... $ 5,900,504,862 $ 4,690,414,075 Cost of units redeemed ............................... (2,251,812,851) (2,270,083,453) --------------- --------------- Net increase in net assets resulting from participant transaction ............................ 3,648,692,011 2,420,330,622 --------------- --------------- S&P 500 INDEX FUND WITH FUTURES: Proceeds from units issued ........................... 501,064,924 1,196,055,125 Cost of units redeemed ............................... (324,422,087) (60,774,284) --------------- --------------- Net increase in net assets resulting from participant transactions ........................... 176,642,837 1,135,280,841 --------------- --------------- Total net increase .................................. $ 3,825,334,848 $ 3,555,611,463 =============== ===============
S&P 500 FLAGSHIP FUND Units in excess of 10% of Fund units outstanding at December 31, 1995 held by 1 of the Fund's 130 unitholders aggregated 13% of the Fund's total units outstanding. During the year ended December 31, 1995, the net market effect and transaction costs (absorbed by) credited to participants in issuance and redemption of Fund units were $418,158. S&P 500 INDEX FUND WITH FUTURES Units in excess of 10% of Fund units outstanding at December 31, 1995 held by 1 of the Fund's 15 unitholders aggregated 72% of the Fund's total units outstanding. During the year ended December 31, 1995, the net market effect and transaction costs (absorbed by) credited to participants in issuance and redemption of Fund units were $(149,844). A redemption by one or more unitholders individually holding 10% or more of Fund units may cause the remaining unitholders to bear proportionately higher operating expenses and otherwise adversely affect the Fund's future liquidity and investment operations. As described under "Issuance and Redemption of Units of Participation", however, redeeming unitholders bear the transaction costs and market effect arising from any redemption of units; additionally, in certain circumstances, redemptions may be made on an in-kind basis. These practices may tend to mitigate the potential adverse effects of such redemptions. SAI-97 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- COMMON STOCK (96.3%) (unless otherwise noted) 3COM Corp. ......................................... 519,100 $ 24,203,038 Abbott Laboratories ................................ 2,874,327 120,003,152 Adolph Coors Co. Class B ........................... 122,258 2,704,958 Advanced Micro Devices Inc. ........................ 342,003 5,643,050 Aetna Life & Casualty Co. .......................... 457,135 31,656,599 Air Products & Chemicals Inc. ...................... 415,434 21,914,144 Airtouch Communications ............................ 1,780,720 50,305,340 Alberto Culver Co. Class B ......................... 87,951 3,023,316 Albertson's Inc. ................................... 1,027,104 33,766,044 Alcan Aluminum Ltd. ................................ 813,765 25,328,436 Alco Standard Corp. ................................ 385,780 17,601,213 Alexander & Alexander Services Inc. ................ 136,025 2,584,475 Allergan Inc. ...................................... 205,593 6,681,773 Allied Signal, Inc. ................................ 1,037,586 49,285,335 Allstate Corp. ..................................... 1,640,121 67,449,976 Alltel Corp. ....................................... 682,100 20,121,950 Aluminum Co. of America ............................ 656,718 34,723,964 Alza Corp. ......................................... 251,997 6,236,926 Amdahl Corp. ....................................... 363,934 3,093,439 Amerada Hess Corp. ................................. 315,433 16,717,949 American Brands Inc. ............................... 686,710 30,644,434 American Electric Power Co., Inc. .................. 729,520 29,545,560 American Express Co. ............................... 1,773,743 73,388,617 American General Corp. ............................. 736,014 25,668,488 American Greetings Corp. Class A ................... 234,918 6,489,610 American Home Products Corp. ....................... 1,152,009 111,744,873 American International Group Inc. .................. 1,735,672 160,549,660 American Stores Co. ................................ 514,288 13,757,204 Ameritech Corp. .................................... 2,004,862 118,286,858 Amgen Inc. ......................................... 963,064 57,181,925 Amoco Corp. ........................................ 1,838,648 132,152,825 AMP Inc. ........................................... 792,450 30,410,269 AMR Corp. .......................................... 275,407 20,448,970 Andrew Corp. ....................................... 128,001 4,896,038 Anheuser Busch Cos., Inc. .......................... 976,947 65,333,331 Apple Computer ..................................... 448,146 14,284,654 Applied Materials Inc. ............................. 667,300 26,274,938 Archer Daniels Midland Co. ......................... 2,221,717 39,990,906 Armco Inc. ......................................... 328,019 1,927,112 Armstrong World Industries Inc. .................... 213,624 13,244,688 Asarco Inc. ........................................ 134,961 4,318,752 Ashland Inc. ....................................... 242,366 8,513,106 AT&T Corp. ......................................... 5,804,608 375,848,368 Atlantic Richfield Co. ............................. 618,518 68,500,869 Autodesk Inc. ...................................... 157,154 5,382,525 Automatic Data Processing Inc. ..................... 569,331 42,272,827 Avery Dennison Corp. ............................... 171,820 8,612,478 Avon Products Inc. ................................. 251,851 18,983,269 B.F. Goodrich Co. .................................. 87,416 5,955,215
SAI-98 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Baker Hughes Inc. .................................. 453,258 $ 11,048,164 Ball Corp. ......................................... 93,099 2,560,223 Bally Entertainment Corp. .......................... 145,708 2,039,912 Baltimore Gas & Electric Co. ....................... 533,504 15,204,864 BancOne Corp. ...................................... 1,428,411 53,922,515 Bank of Boston Corp. ............................... 370,587 17,139,649 Bank of New York Co., Inc. ......................... 698,100 34,032,375 BankAmerica Corp. .................................. 1,383,836 89,603,381 Bankers Trust New York Corp. ....................... 285,993 19,018,535 Barnett Banks Inc. ................................. 351,398 20,732,482 Barrick Gold Corp. ................................. 1,259,400 33,216,675 Bausch & Lomb Inc. ................................. 187,312 7,422,238 Baxter International Inc. .......................... 1,019,372 42,686,203 Becton Dickinson & Co. ............................. 243,356 18,251,700 Bell Atlantic Corp. ................................ 1,593,104 106,538,830 Bellsouth Corp. .................................... 3,592,460 156,272,010 Bemis Co., Inc. .................................... 171,321 4,390,101 Beneficial Corp. ................................... 174,434 8,132,985 Bethlehem Steel Corp. .............................. 333,763 4,672,682 Betz Laboratories Inc. ............................. 59,400 2,435,400 Beverly Enterprises Inc. ........................... 402,005 4,271,303 Biomet Inc. ........................................ 366,025 6,542,697 Black & Decker Corp. ............................... 299,978 10,574,225 Boatmens Bancshares Inc. ........................... 463,086 18,928,640 Boeing Co. ......................................... 1,244,812 97,562,141 Boise Cascade Corp. ................................ 152,440 5,278,235 Boston Scientific Corp. ............................ 555,040 27,196,960 Briggs & Stratton Corp. ............................ 89,642 3,888,222 Bristol-Myers Squibb Co. ........................... 1,856,528 159,429,342 Brown Forman Corp. Class B ......................... 251,416 9,176,684 Brown Group Inc. ................................... 55,668 793,269 Browning Ferris Industries Inc. .................... 882,733 26,040,624 Brunswick Corp. .................................... 302,689 7,264,536 Burlington Northern Santa Fe Corp. ................. 521,584 40,683,552 Burlington Resources, Inc. ......................... 588,100 23,082,925 C.R. Bard, Inc. .................................... 169,761 5,474,792 Cabletron Systems Inc. ............................. 258,500 20,938,500 Campbell Soup Co. .................................. 914,639 54,878,340 Capital Cities/ABC, Inc. ........................... 561,100 69,225,713 Carolina Power & Light Co. ......................... 568,434 19,610,973 Caterpillar Inc. ................................... 724,678 42,574,833 Centex Corp. ....................................... 90,616 3,148,906 Central & South West Corp. ......................... 840,018 23,415,502 Ceridian Corp. ..................................... 201,132 8,296,695 Champion International Corp. ....................... 348,908 14,654,136 Charming Shoppes Inc. .............................. 316,912 911,122 Chase Manhattan Corp. .............................. 629,067 38,137,187 Chemical Banking Corp. ............................. 912,053 53,583,114 Chevron Corp. ...................................... 2,362,880 124,051,200 Chrysler Corp. ..................................... 1,381,404 76,495,247
SAI-99 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Chubb Corp. ........................................ 319,940 $ 30,954,195 Cigna Corp. ........................................ 261,565 27,006,586 Cincinnati Milacron Inc. ........................... 106,292 2,790,165 Cinergy Corp. ...................................... 655,973 20,089,173 Circuit City Stores Inc. ........................... 321,784 8,889,283 Cisco Systems Inc. ................................. 982,900 73,348,913 Citicorp ........................................... 1,531,285 102,978,916 Clorox Co. ......................................... 198,440 14,213,265 Coca Cola Co. ...................................... 4,612,320 342,464,760 Coastal Corp. ...................................... 375,694 13,994,602 Colgate Palmolive Co. .............................. 521,232 36,616,548 Columbia Gas System Inc. ........................... 162,465 7,128,152 Columbia/HCA Healthcare Corp. ...................... 1,682,955 85,409,966 Comcast Corp. Class A .............................. 248,000 4,371,000 Comcast Corp. Class A Special ...................... 814,957 14,822,030 Comerica, Inc. ..................................... 373,600 14,990,700 Community Psychiatric Centers ...................... 168,926 2,069,344 Compaq Computer Corp. .............................. 972,979 46,702,992 Computer Associates International Inc. ............. 869,252 49,438,708 Computer Sciences Corp. ............................ 209,438 14,713,020 ConAgra Inc. ....................................... 890,566 36,735,848 Conrail Inc. ....................................... 282,460 19,772,200 Consolidated Edison Co. of New York Inc. .......... 957,222 30,631,104 Consolidated Freightways Inc. ...................... 188,868 5,005,002 Consolidated Natural Gas Co. ....................... 347,708 15,777,251 Cooper Industries Inc. ............................. 476,949 17,527,876 Cooper Tire & Rubber Co. ........................... 307,233 7,565,613 Corestates Financial Corp. ......................... 517,590 19,603,721 Corning Inc. ....................................... 856,598 27,411,136 CPC International Inc. ............................. 533,555 36,615,212 Crane Co. .......................................... 90,338 3,331,214 Cray Research Inc. ................................. 77,946 1,929,164 Crown Cork & Seal Co., Inc. ........................ 376,333 15,711,903 CSX Corp. .......................................... 785,608 35,843,365 CUC International Inc. ............................. 652,700 22,273,388 Cummins Engine Co., Inc. ........................... 132,828 4,914,636 Cyprus Amax Minerals Co. ........................... 292,386 7,638,584 Dana Corp. ......................................... 364,992 10,676,016 Darden Restaurants Inc. ............................ 503,472 5,978,730 Data General Corp. ................................. 117,266 1,612,408 Dayton Hudson Corp. ................................ 307,661 23,074,575 Dean Witter Discover & Co. ......................... 610,775 28,706,425 Deere & Co. ........................................ 958,950 33,802,988 Delta Air Lines Inc. ............................... 189,827 14,023,470 DeLuxe Corp. ....................................... 253,006 7,337,174 Detroit Edison Co. ................................. 495,058 17,079,501 Dial Corp. ......................................... 296,546 8,785,175 Digital Equipment Corp. ............................ 548,988 35,203,856 Dillard Department Stores Inc. Class A ............. 373,091 10,633,094 Dominion Resources Inc. ............................ 727,068 29,991,555
SAI-100 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Dover Corp. ........................................ 460,370 $ 16,976,144 Dow Chemical Co. ................................... 972,620 68,448,133 Dow Jones & Co., Inc. .............................. 343,445 13,694,869 Dresser Industries Inc. ............................ 709,502 17,294,111 DSC Communications Corp. ........................... 376,336 13,877,390 Duke Power Co. ..................................... 722,745 34,240,044 Dun & Bradstreet Corp. ............................. 636,965 41,243,484 E.I. du Pont de Nemours & Co. ...................... 2,026,897 141,629,428 Eastern Enterprises ................................ 80,544 2,839,176 Eastman Chemical Co. ............................... 293,036 18,351,380 Eastman Kodak Co. .................................. 1,259,347 84,376,249 Eaton Corp. ........................................ 295,554 15,849,083 Echlin Inc. ........................................ 197,704 7,216,196 Echo Bay Mines Ltd. ................................ 401,586 4,166,455 Ecolab Inc. ........................................ 202,474 6,074,220 EG&G Inc. .......................................... 178,866 4,337,501 Eli Lilly & Co. .................................... 1,992,962 112,104,113 Emerson Electric Co. ............................... 870,126 71,132,801 Engelhard Corp. .................................... 463,634 10,084,040 Enron Corp. ........................................ 915,402 34,899,701 Enserch Corp. ...................................... 303,130 4,925,863 Entergy Corp. ...................................... 788,675 23,068,744 Exxon Corp. ........................................ 4,546,767 364,309,706 Federal Express Corp. .............................. 202,506 14,960,131 Federal Home Loan Mortgage Corp. ................... 662,362 55,307,227 Federal National Mortgage Association .............. 1,026,616 127,428,711 Federal Paper Board Co., Inc. ...................... 148,186 7,687,149 Federated Department Stores Inc. ................... 925,100 25,440,250 First Bank System Inc. ............................. 488,200 24,226,925 First Chicago NBD Corp. ............................ 1,145,180 45,234,610 First Data Corp. ................................... 822,200 54,984,625 First Fidelity Bancorp ............................. 294,093 22,167,260 First Interstate Bancorp ........................... 280,553 38,295,485 First Mississippi Corp. ............................ 1,200 31,800 First Union Corp. .................................. 638,511 35,517,174 Firstmiss Gold Inc. ................................ 850 18,913 Fleet Financial Group Inc. ......................... 921,691 37,558,908 Fleetwood Enterprises Inc. ......................... 146,360 3,768,770 Fleming Cos., Inc. ................................. 119,602 2,466,791 Fluor Corp. ........................................ 315,403 20,816,598 FMC Corp. .......................................... 132,044 8,929,476 Ford Motor Co. ..................................... 4,016,788 116,486,852 Foster Wheeler Corp. ............................... 127,518 5,419,515 FPL Group Inc. ..................................... 642,065 29,775,764 Freeport McMoRan Copper & Gold Class B ............. 734,485 20,657,391 Fruit of the Loom Inc. Class A ..................... 229,800 5,601,375 Gannett Co., Inc. .................................. 527,775 32,392,191 Gap Inc. ........................................... 534,732 22,458,744 General Dynamics Corp. ............................. 201,464 11,911,559 General Electric Co. ............................... 6,153,636 443,061,792
SAI-101 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- General Mills Inc. ................................. 578,172 $ 33,389,433 General Motors Corp. ............................... 2,716,867 143,654,343 General Public Utilities Corp. ..................... 391,400 13,307,600 General Reinsurance Corp. .......................... 292,136 45,281,080 General Signal Corp. ............................... 132,732 4,297,199 Genuine Parts Co. .................................. 456,522 18,717,402 Georgia Pacific Corp. .............................. 327,954 22,505,843 Giant Foods Inc. Class A ........................... 185,796 5,852,574 Giddings & Lewis Inc. .............................. 102,970 1,699,005 Gillette Co. ....................................... 1,610,952 83,970,873 Golden West Financial Corp. ........................ 186,720 10,316,280 Goodyear Tire & Rubber Co. ......................... 562,564 25,526,342 Great Atlantic & Pacific Tea Co., Inc. ............. 119,733 2,753,859 Great Lakes Chemical Corp. ......................... 214,718 15,459,696 Great Western Financial Corp. ...................... 481,015 12,265,883 GTE Corp. .......................................... 3,533,149 155,458,556 H&R Block Inc. ..................................... 408,014 16,524,567 H.F. Ahmanson & Co. ................................ 369,372 9,788,358 H.J. Heinz Co. ..................................... 1,296,590 42,949,544 Halliburton Co. .................................... 412,241 20,869,701 Handleman Co. ...................................... 104,694 601,991 Harcourt General Inc. .............................. 225,875 9,458,516 Harnischfeger Industries Inc. ...................... 141,097 4,691,475 Harrahs Entertainment Inc. ......................... 328,345 7,962,366 Harris Corp. ....................................... 125,970 6,881,111 Hasbro Inc. ........................................ 275,210 8,531,510 Helmerich & Payne Inc. ............................. 75,073 2,233,422 Hercules Inc. ...................................... 402,084 22,667,486 Hershey Foods Corp. ................................ 283,389 18,420,285 Hewlett Packard Co. ................................ 1,871,194 156,712,498 Hilton Hotels Corp. ................................ 173,733 10,684,580 Home Depot Inc. .................................... 1,742,210 83,408,304 Homestake Mining Co. ............................... 424,058 6,625,906 Honeywell Inc. ..................................... 462,410 22,484,686 Household International Inc. ....................... 351,496 20,782,201 Houston Industries Inc. ............................ 916,376 22,222,118 Humana Inc. ........................................ 529,700 14,500,538 Illinois Tool Works Inc. ........................... 431,192 25,440,328 INCO Ltd. .......................................... 430,663 14,319,545 Ingersoll Rand Co. ................................. 391,737 13,759,762 Inland Steel Industries Inc. ....................... 131,588 3,306,149 Intel Corp. ........................................ 3,046,896 172,911,348 Intergraph Corp. ................................... 146,611 2,309,123 International Business Machines .................... 2,090,281 191,783,282 International Flavors & Fragrances ................. 409,494 19,655,712 International Paper Co. ............................ 916,838 34,725,239 Interpublic Group of Cos., Inc. .................... 261,150 11,327,381 ITT Corp. .......................................... 427,713 22,668,789 ITT Hartford Group Inc. ............................ 427,713 20,690,616 ITT Industries Inc. ................................ 427,713 10,265,112
SAI-102 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- J.C. Penney Co., Inc. .............................. 895,700 $ 42,657,713 J.P. Morgan & Co., Inc. ............................ 730,408 58,615,242 James River Corp. of Virginia ...................... 254,075 6,129,559 Jefferson-Pilot Corp. .............................. 233,080 10,838,197 John Harland Co. ................................... 94,846 1,979,910 Johnson & Johnson .................................. 2,353,980 201,559,538 Johnson Controls Inc. .............................. 137,820 9,475,125 Jostens Inc. ....................................... 122,067 2,960,125 K Mart Corp. ....................................... 1,655,124 11,999,649 Kaufman & Broad Home Corp. ......................... 105,702 1,572,317 Kellogg Co. ........................................ 774,545 59,833,601 Kerr McGee Corp. ................................... 170,597 10,832,910 Keycorp ............................................ 825,101 29,909,911 Kimberly-Clark Corp. ............................... 1,057,327 87,493,809 King World Productions Inc. ........................ 122,218 4,751,225 Knight-Ridder Inc. ................................. 162,459 10,153,688 Kroger Co. ......................................... 455,419 17,078,213 Laidlaw Inc. Class B ............................... 1,040,600 10,666,150 Limited, Inc. ...................................... 1,299,084 22,571,585 Lincoln National Corp. ............................. 376,606 20,242,573 Liz Claiborne Inc. ................................. 286,447 7,948,904 Lockheed Martin Corp. .............................. 766,096 60,521,584 Loews Corp. ........................................ 409,700 32,110,238 Longs Drug Stores Corp. ............................ 58,692 2,809,880 Loral Corp. ........................................ 630,956 22,320,069 Louisiana Land & Exploration Co. ................... 150,736 6,462,806 Louisiana-Pacific Corp. ............................ 354,300 8,591,775 Lowes Cos., Inc. ................................... 593,336 19,876,756 LSI Logic Corp. .................................... 421,900 13,817,225 Luby's Cafeterias Inc. ............................. 73,439 1,634,018 Mallinckrodt Group Inc. ............................ 381,582 13,880,045 Manor Care Inc. .................................... 184,864 6,470,240 Marriott International Inc. ........................ 469,465 17,957,036 Marsh & McLennan Cos., Inc. ........................ 322,280 28,602,350 Masco Corp. ........................................ 542,376 17,017,047 Mattel Inc. ........................................ 815,297 25,070,383 May Department Stores Co. .......................... 995,418 42,056,411 Maytag Corp. ....................................... 338,684 6,858,351 MBNA Corp. ......................................... 535,180 19,734,763 McDermott International Inc. ....................... 159,268 3,503,896 McDonald's Corp. ................................... 2,625,182 118,461,338 McDonnell Douglas Corp. ............................ 424,124 39,019,408 McGraw-Hill Inc. ................................... 216,750 18,884,344 MCI Communications Corp. ........................... 2,440,290 63,752,576 Mead Corp. ......................................... 248,312 12,974,302 Medtronic Inc. ..................................... 826,720 46,192,980 Mellon Bank Corp. .................................. 529,429 28,456,809 Melville Corp. ..................................... 344,777 10,601,893 Mercantile Stores Co., Inc. ........................ 105,163 4,863,789 Merck & Co., Inc. .................................. 4,501,363 295,964,617
SAI-103 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Meredith Corp. ..................................... 93,208 $ 3,903,085 Merrill Lynch & Co., Inc. .......................... 641,690 32,726,190 Micron Technology Inc. ............................. 751,500 29,778,188 Microsoft Corp. .................................... 2,157,750 189,342,563 Millipore Corp. .................................... 140,024 5,758,487 Minnesota Mining & Manufacturing Co. ............... 1,536,014 101,760,928 Mobil Corp. ........................................ 1,465,774 164,166,688 Monsanto Co. ....................................... 423,123 51,832,568 Moore Corp., Ltd. .................................. 301,004 5,606,200 Morgan Stanley Group Inc. .......................... 288,000 23,220,000 Morton International Inc. .......................... 651,526 23,373,495 Motorola Inc. ...................................... 2,158,692 123,045,444 NACCO Industries Inc. Class A ...................... 27,276 1,513,818 Nalco Chemical Co. ................................. 222,230 6,694,679 National City Corp. ................................ 531,400 17,602,625 National Semiconductor Corp. ....................... 392,705 8,737,686 National Service Industries Inc. ................... 148,396 4,804,321 NationsBank Corp. .................................. 1,059,576 73,772,979 Navistar International Corp. ....................... 238,868 2,508,114 New York Times Co. Class A ......................... 306,385 9,076,656 Newell Co. ......................................... 537,382 13,904,759 Newmont Mining Corp. ............................... 315,036 14,255,379 Niagara Mohawk Power Corp. ......................... 434,324 4,180,369 Nicor Inc. ......................................... 161,602 4,444,055 Nike Inc. Class B .................................. 531,850 37,030,056 Noram Energy Corp. ................................. 348,803 3,095,627 Nordstrom Inc. ..................................... 265,161 10,739,021 Norfolk Southern Corp. ............................. 481,136 38,190,170 Northern States Power Co. .......................... 243,833 11,978,296 Northern Telecom Ltd. .............................. 924,320 39,745,760 Northrop Grumman Corp. ............................. 156,949 10,044,736 Norwest Corp. ...................................... 1,241,712 40,976,496 Novell Inc. ........................................ 1,376,862 19,620,284 Nucor Corp. ........................................ 314,454 17,963,185 NYNEX Corp. ........................................ 1,571,592 84,865,968 Occidental Petroleum Corp. ......................... 1,249,757 26,713,556 Ogden Corp. ........................................ 148,104 3,165,723 Ohio Edison Co. .................................... 567,167 13,328,425 ONEOK Inc. ......................................... 105,808 2,420,358 Oracle Corp. ....................................... 1,588,187 67,299,424 Oryx Energy Co. .................................... 315,724 4,222,809 Outboard Marine Corp. .............................. 61,739 1,257,932 Owens Corning Fiberglas Corp. ...................... 280,969 12,608,484 PACCAR Inc. ........................................ 123,624 5,207,661 Pacific Enterprises ................................ 268,682 7,590,267 Pacific Gas & Electric Co. ......................... 1,568,318 44,501,023 Pacific Telesis Group .............................. 1,551,920 52,183,310 PacifiCorp ......................................... 1,037,918 22,055,758 Pall Corp. ......................................... 552,904 14,859,295 Panhandle Eastern Corp. ............................ 548,239 15,282,162
SAI-104 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Parker Hannifin Corp. .............................. 232,474 $ 7,962,235 PECO Energy Co. .................................... 810,600 24,419,325 Pennzoil Co. ....................................... 138,378 5,846,471 Peoples Energy Corp. ............................... 110,968 3,523,234 Pep Boys -- Manny, Moe & Jack ...................... 188,988 4,842,818 PepsiCo Inc. ....................................... 2,938,396 164,182,877 Perkin-Elmer Corp. ................................. 133,087 5,024,034 Pfizer Inc. ........................................ 2,306,322 145,298,286 Pharmacia & Upjohn Inc. ............................ 1,875,800 72,687,250 Phelps Dodge Corp. ................................. 232,589 14,478,665 Philip Morris Cos., Inc. ........................... 3,069,879 277,824,050 Phillips Petroleum Co. ............................. 969,756 33,092,924 Pioneer HI-Bred International Inc. ................. 277,400 15,430,375 Pitney Bowes Inc. .................................. 632,998 29,750,906 Pittston Services Group ............................ 133,963 4,203,089 Placer Dome Inc. ................................... 892,813 21,539,114 PNC Bank Corp. ..................................... 1,176,858 37,953,671 Polaroid Corp. ..................................... 143,966 6,820,389 Potlatch Corp. ..................................... 91,509 3,660,360 PP&L Resources Inc. ................................ 515,600 12,890,000 PPG Industries Inc. ................................ 735,788 33,662,301 Praxair Inc. ....................................... 534,155 17,960,962 Premark International Inc. ......................... 231,186 11,703,791 Price Costco Inc. .................................. 667,213 10,174,998 Procter & Gamble Co. ............................... 2,490,876 206,742,708 Providian Corp. .................................... 343,460 13,995,995 Public Service Enterprise Group Inc. ............... 902,394 27,635,816 Pulte Corp. ........................................ 85,480 2,874,265 Quaker Oats Co. .................................... 457,456 15,782,232 R.R. Donnelley & Sons Co. .......................... 529,588 20,852,528 Ralston Purina Co. ................................. 386,873 24,131,203 Raychem Corp. ...................................... 154,497 8,787,017 Raytheon Co. ....................................... 993,626 46,948,829 Reebok International Ltd. .......................... 264,821 7,481,193 Republic New York Corp. ............................ 208,000 12,922,000 Reynolds Metals Co. ................................ 235,729 13,348,155 Rite Aid Corp. ..................................... 269,167 9,218,970 Roadway Services Inc. .............................. 135,822 6,638,300 Rockwell International Corp. ....................... 788,792 41,707,377 Rohm & Haas Co. .................................... 243,566 15,679,561 Rowan Cos., Inc. ................................... 301,826 2,980,532 Royal Dutch Petroleum Co. .......................... 1,959,488 276,532,744 Rubbermaid Inc. .................................... 703,458 17,938,179 Russell Corp. ...................................... 125,950 3,495,113 Ryan's Family Steak Houses Inc. .................... 174,651 1,222,557 Ryder Systems Inc. ................................. 250,985 6,211,879 SAFECO Corp. ....................................... 459,292 15,845,574 Safety-Kleen Corp. ................................. 174,967 2,733,859 Salomon Inc. ....................................... 407,015 14,449,033 Santa Fe Energy Resources Inc. ..................... 297,309 2,861,599
SAI-105 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Santa Fe Pacific Gold Corp. ........................ 431,257 $ 5,228,991 Sara Lee Corp. ..................................... 1,871,686 59,659,991 SBC Communications Inc. ............................ 2,227,546 128,083,895 SCE Corp. .......................................... 1,890,500 33,556,375 Schering-Plough Corp. .............................. 1,435,662 78,602,495 Schlumberger Ltd. .................................. 889,080 61,568,790 Scientific Atlanta Inc. ............................ 244,310 3,664,650 Seagram Co., Ltd. .................................. 1,368,985 47,401,106 Sears Roebuck & Co. ................................ 1,443,183 56,284,137 Service Corp. International ........................ 387,233 17,038,252 Shared Medical Systems Corp. ....................... 73,489 3,995,964 Sherwin-Williams Co. ............................... 279,649 11,395,697 Shoneys Inc. ....................................... 127,082 1,302,591 Sigma Aldrich Corp. ................................ 152,400 7,543,800 Silicon Graphics Inc. .............................. 590,100 16,227,750 Snap On Inc. ....................................... 130,281 5,895,215 Sonat Inc. ......................................... 288,512 10,278,240 Southern Co. ....................................... 2,488,482 61,278,869 Southwest Airlines Co. ............................. 542,200 12,606,150 Springs Industries Inc. ............................ 66,540 2,753,093 Sprint Corp. ....................................... 1,263,342 50,375,762 St. Jude Medical Inc. .............................. 222,949 9,586,807 St. Paul Cos. Inc. ................................. 306,136 17,028,815 Stanley Works ...................................... 140,983 7,260,625 Stone Container Corp. .............................. 287,894 4,138,476 Stride Rite Corp. .................................. 150,663 1,129,973 Sun Co., Inc. ...................................... 262,608 7,188,894 Sun Microsystems Inc. .............................. 719,700 32,836,313 Suntrust Banks Inc. ................................ 418,242 28,649,577 Supervalu Inc. ..................................... 218,333 6,877,490 Sysco Corp. ........................................ 675,303 21,947,348 Tandem Computers Inc. .............................. 360,666 3,832,076 Tandy Corp. ........................................ 214,044 8,882,826 Tektronix Inc. ..................................... 103,675 5,093,034 Tele-Communications Inc. ........................... 2,359,034 46,885,801 Teledyne Inc. ...................................... 168,956 4,329,498 Tellabs Inc. ....................................... 333,800 12,350,600 Temple Inland Inc. ................................. 178,294 7,867,223 Tenet Healthcare Corp. ............................. 759,679 15,763,339 Tenneco Inc. ....................................... 751,336 37,285,049 Texaco Inc. ........................................ 955,087 74,974,330 Texas Instruments Inc. ............................. 697,210 36,080,618 Texas Utilities Co. ................................ 823,219 33,854,881 Textron Inc. ....................................... 285,054 19,241,145 Thomas & Betts Corp. ............................... 64,263 4,739,396 Time Warner Inc. ................................... 1,421,768 53,849,463 Times Mirror Co. ................................... 399,813 13,543,665 Timken Co. ......................................... 97,918 3,745,364 TJX Cos., Inc. ..................................... 234,227 4,421,035 Torchmark Corp. .................................... 331,781 15,013,090
SAI-106 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Toys R Us Inc. ..................................... 1,018,519 $ 22,152,788 TransAmerica Corp. ................................. 254,166 18,522,347 Travelers Inc. ..................................... 1,164,131 73,194,737 Tribune Co. ........................................ 234,635 14,342,064 Trinova Corp. ...................................... 91,790 2,627,489 TRW Inc. ........................................... 234,695 18,188,863 Tyco International Ltd. ............................ 534,958 19,057,879 Unicom Inc. ........................................ 893,489 29,261,765 Unilever NV ........................................ 573,886 80,774,455 Union Camp Corp. ................................... 255,645 12,175,093 Union Carbide Corp. ................................ 461,655 17,312,063 Union Electric Co. ................................. 358,204 14,955,017 Union Pacific Corp. ................................ 755,062 49,834,092 Unisys Corp. ....................................... 520,878 2,929,939 United Healthcare Corp. ............................ 655,800 42,954,900 United Technologies Corp. .......................... 451,248 42,812,154 Unocal Corp. ....................................... 901,018 26,242,149 UNUM Corp. ......................................... 261,700 14,393,500 US Bancorp ......................................... 487,676 16,398,106 US Healthcare Inc. ................................. 588,050 27,344,325 US Surgical Corp. .................................. 169,800 3,629,475 US West Inc. Communications Group .................. 1,841,034 65,816,966 US West Inc. Media Group ........................... 1,909,634 36,283,046 USAir Group Inc. ................................... 194,571 2,578,066 USF&G Corp. ........................................ 402,936 6,799,545 USLIFE Corp. ....................................... 114,136 3,409,813 UST Inc. ........................................... 718,761 23,988,648 USX Marathon Group ................................. 1,072,985 20,923,208 USX United States Steel ............................ 294,800 9,065,100 Varity Corp. ....................................... 147,233 5,466,025 VF Corp. ........................................... 203,634 10,741,694 Viacom Inc. Class B ................................ 1,311,886 62,150,599 W.R. Grace & Co. ................................... 352,297 20,829,560 W.W. Grainger Inc. ................................. 183,206 12,137,398 Wachovia Corp. ..................................... 621,900 28,451,925 Wal Mart Stores Inc. ............................... 8,405,870 188,081,341 Walgreen Co. ....................................... 926,374 27,675,423 Walt Disney Co. .................................... 1,884,732 111,199,188 Warner Lambert Co. ................................. 492,341 47,818,620 Wells Fargo & Co. .................................. 173,754 37,530,864 Wendy's International Inc. ......................... 354,468 7,532,445 Western Atlas Inc. ................................. 161,195 8,140,348 Westinghouse Electric Corp. ........................ 1,457,476 24,048,354 Westvaco Corp. ..................................... 333,855 9,264,476 Weyerhaeuser Co. ................................... 739,992 32,004,654 Whirlpool Corp. .................................... 341,989 18,210,914 Whitman Corp. ...................................... 361,249 8,399,039 Willamette Industries Inc. ......................... 179,100 10,074,375 William Wrigley Jr. Co. ............................ 420,709 22,087,223 Williams Cos., Inc. ................................ 331,960 14,564,745
SAI-107 STATE STREET BANK AND TRUST COMPANY S&P 500 FLAGSHIP FUND AND S&P 500 INDEX FUND WITH FUTURES Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - ----------------------------------------------------------------------------------- Winn Dixie Stores Inc. ............................. 519,452 $ 19,154,793 WMX Technologies Inc. .............................. 1,766,646 52,778,549 Woolworth Corp. .................................... 414,068 5,382,884 Worthington Industries ............................. 288,603 6,006,550 Xerox Corp. ........................................ 390,129 53,447,673 Yellow Corp. ....................................... 90,918 1,125,060 --------------- Total Common Stock (Cost $12,811,113,196) ........................... $16,821,684,974 --------------- PREFERRED STOCK (0.0%) Teledyne Inc. ...................................... 1,644 23,633 --------------- PRINCIPAL AMOUNT U.S. GOVERNMENT OBLIGATIONS -(0.1%) US Treasury Bills 5.28% 18-Jan-96 (b) (Cost $22,922,703) ............................... $ 22,980,000 22,922,703 --------------- SHORT TERM INSTRUMENTS (0.5%) UNITS ------------- Seven Seas Yield Plus Fund (a) (Cost $94,720,753) ............................... 9,471,872 94,813,441 --------------- STATE STREET BANK AND TRUST COMPANY INVESTMENT FUNDS FOR TAX EXEMPT RETIREMENT PLANS (3.1%) SHORT TERM INVESTMENT FUND ......................... 545,661,376 545,661,376 - ----------------------------------------------------------------------------------- TOTAL INVESTMENTS--100% (Cost $13,474,418,028) ........................... $17,485,106,127 ===================================================================================
(a) Registered Investment Company advised by State Street Global Advisors. (b) At December 31, 1995, this U.S. Treasury Bill was pledged to cover margin requirements for open futures contracts. - ----------------------------------------------------------------------------- The following long futures contract was open at December 31, 1995:
FUTURES UNREALIZED CONTRACT NUMBER OF CONTRACTS MATURITY DATE GAIN (LOSS) - -------------- ------------------------------ ------------- ------------ S&P 500 Index 1,678 March, 1996 $3,322,125 ============ (Notional Amount $515,557,425)
SAI-108 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trusts and Trustee of the State Street Bank and Trust Company Russell 2000 Fund In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of the State Street Bank and Trust Company Russell 2000 Fund (the "Fund") at December 31, 1995, the results of its operations, the changes in its net assets and its selected per unit data for the periods indicated, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Fund's Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 11, 1996 SAI-109 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND Statement of Assets and Liabilities December 31, 1995
- ------------------------------------------------------------------------------------- ASSETS Investments in State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans: Russell 2000 Growth Fund (20,398,739 units) .......................... $270,595,550 Russell 2000 Value Fund (21,099,658 units) ........................... 266,277,690 - ------------------------------------------------------------------------------------- Total Investments (Cost $427,858,665) ................................................. 536,873,240 Receivable for Fund units issued ..................................... 287,356 - ------------------------------------------------------------------------------------- Total Assets ...................................................... 537,160,596 - ------------------------------------------------------------------------------------- LIABILITIES Payable for Fund units redeemed ...................................... 38,000 Payable for investments purchased .................................... 249,356 Accrued expenses ..................................................... 24,493 - ------------------------------------------------------------------------------------- Total Liabilities ................................................. 311,849 - ------------------------------------------------------------------------------------- NET ASSETS (equivalent to $16.48 per unit based on 32,569,625 units outstanding) ........................................................ $536,848,747 =====================================================================================
The accompanying notes are an integral part of these financial statements. SAI-110 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND Statement of Operations Year ended December 31, 1995*
- ------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends .................................................................. $ 441,164 Interest ................................................................... 195,232 Securities lending fee income, net of related expenses (Note 3) ........... 297,597 - ------------------------------------------------------------------------------------------ Total investment income .................................................. 933,993 - ------------------------------------------------------------------------------------------ EXPENSES Custody .................................................................... 58,576 Audit ...................................................................... 2,500 Trading .................................................................... 66,281 - ------------------------------------------------------------------------------------------ Total expenses ........................................................... 127,357 - ------------------------------------------------------------------------------------------ Net investment income ...................................................... 806,636 - ------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS - ------------------------------------------------------------------------------------------ Net realized gain (loss) on investments .................................... 3,613,042 Net realized gain (loss) on futures contracts .............................. 107,030 Net change in unrealized appreciation (depreciation) on investments ....... 110,075,573 - ------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) .................................... 113,795,645 - ------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ........... $114,602,281 ==========================================================================================
- ------------ * See Note 1 to Financial Statements. The accompanying notes are an integral part of these financial statements. SAI-111 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND Statement of Changes in Net Assets
YEAR ENDED DECEMBER 31, ------------------------------- 1995 1994 - ------------------------------------------------------------------------------------------------------------- FROM OPERATIONS: Net investment income ....................................................... $ 806,636 $ 7,152,513 Net realized gain (loss) on investments ..................................... 3,613,042 4,831,083 Net realized gain (loss) on futures contracts ............................... 107,030 (225,880) Net change in unrealized appreciation (depreciation) on investments ........ 110,075,573 (21,841,879) Net change in unrealized appreciation (depreciation) on futures contracts .. -- 468,825 - ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations ............ 114,602,281 (9,615,338) - ------------------------------------------------------------------------------------------------------------- Distribution of securities lending fee income (Note 3) ...................... (297,597) (162,187) - ------------------------------------------------------------------------------------------------------------- FROM PARTICIPANT TRANSACTIONS: Proceeds from units issued .................................................. 145,764,191 48,624,419 Cost of units redeemed ...................................................... (95,326,930) (117,858,732) - ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from participant transactions ............................................................... 50,437,261 (69,234,313) - ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets ....................................... 164,741,945 (79,011,838) - ------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of year ........................................................... 372,106,802 451,118,640 - ------------------------------------------------------------------------------------------------------------- END OF YEAR ................................................................. $536,848,747 $ 372,106,802 - ------------------------------------------------------------------------------------------------------------- NUMBER OF UNITS Outstanding--beginning of year .............................................. 28,952,318 34,412,702 Issued ...................................................................... 10,327,958 3,730,830 Redeemed .................................................................... (6,710,651) (9,191,214) - ------------------------------------------------------------------------------------------------------------- OUTSTANDING--END OF YEAR .................................................... 32,569,625 28,952,318 =============================================================================================================
The accompanying notes are an integral part of these financial statements. SAI-112 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND Selected Per Unit Data (For a Unit of Participation Outstanding Throughout the Period)
YEAR (PERIOD) ENDED DECEMBER 31, --------------------------------------------- 1995 1994 1993 1992** - ------------------------------------------------------------------------------------------------------ Net investment income*** ............................... $ 0.03 $ 0.21 $ 0.17 $ 0.04 Net realized and unrealized gain (loss) ................ 3.61 (0.46) 1.83 1.07 Distribution of securities lending fee income (Note 3) (0.01) (0.01) 0.00 0.00 - ------------------------------------------------------------------------------------------------------ Net increase (decrease) ................................ 3.63 (0.26) 2.00 1.11 NET ASSET VALUE Beginning of period .................................... 12.85 13.11 11.11 10.00 - ------------------------------------------------------------------------------------------------------ END OF PERIOD .......................................... $ 16.48 $ 12.85 $ 13.11 $ 11.11 ====================================================================================================== Total return**** ....................................... 28.33% (1.98)% 18.00% 11.10% Ratio of expenses to average net assets *+ ............. 0.10% 0.07% 0.09% 0.39% Ratio of net investment income to average net assets *+ 1.80% 1.61% 1.37% 1.88% Portfolio turnover ..................................... 103% 48% 35% 1% Net assets, end of year (000s) ......................... $536,849 $372,107 $451,119 $148,285
* 1992 data annualized. ** Operations commenced on October 31, 1992. *** Net investment income and net realized and unrealized gain (loss) have been calculated based upon an average of monthly units outstanding. ****Total return calculation (not annualized) is based on the value of a single unit of participation outstanding throughout the entire period. It represents the percentage change in the net asset value per unit between the beginning and end of each period. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. + 1995 ratio reflects net investment income and expenses attributable to the Fund from its ownership in other collective investment funds. The accompanying notes are an integral part of these financial statements. SAI-113 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 1. INVESTMENT OBJECTIVE The State Street Bank and Trust Company ("State Street Bank") Russell 2000 Fund (the "Fund") is an equity pooled fund formed under a Declaration of Trust dated February 21, 1991, as amended and restated through July 19, 1991, and commenced operations on September 30, 1992. The Fund's objective is to replicate, as closely as possible, the return of the Russell 2000 Index. Through January 31, 1995, the Fund made direct investments in common stocks and equity futures contracts. On February 1, 1995, the Fund exchanged its direct investments for units of two other State Street Bank collective investment funds, Russell 2000 Growth Fund and Russell 2000 Value Fund. The Fund may also invest in U.S. Treasury Bills, short-term fixed income securities, equity index futures and certain other derivative instruments. State Street Bank is the Fund's Trustee and custodian. State Street Global Advisors, a division of State Street Bank, is the Fund's investment manager. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments in State Street Bank Investment Funds for Tax Exempt Retirement Plans are valued at net asset value per unit on the valuation date. Investments in securities held by those funds which are listed on a national securities exchange and over-the-counter securities are valued at the last reported sale price on the valuation date, or if no sale price was reported on the valuation date, the last published sale price. Short-term investments are stated at amortized cost which approximates market value. Futures contracts are valued at the settlement price established each day on the board of trade or exchange upon which they are traded. B. SECURITY TRANSACTIONS AND RELATED INCOME Security transactions are accounted for on the trade date (date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Fund in connection with the issuance and redemption of its units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered and the net gain or loss on securities is determined using the average cost method. Interest income is recorded on the accrual basis. Interest income is increased by accretion of discount and reduced by amortization of premium. Dividend income on the Fund's direct equity holdings is recorded on the ex-dividend date. The Russell 2000 Growth Fund and Russell 2000 Value Fund, in which the Fund invests, retain all net investment income (excluding securities lending fees) and net realized gains. Accordingly, realized and unrealized gains and losses reported by the Fund include a component attributable to net investment income. C. INCOME TAXES It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal income taxes and no federal income tax provision is required. SAI-114 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 1995 D. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION The net asset value of the Fund is determined on each business day (valuation date). Issuances and redemptions of participant units are made on such days and at such unit principal values. Transaction costs and market effect associated with the investment of proceeds from the issuance of Fund units or those incurred upon disposition of investments to settle redemption of Fund units are allocated to the applicable participant. Transaction costs include brokerage commissions, taxes and other direct costs related to security transactions. Market effect is the difference between the execution price of the investment on the trade date and the investment's closing market value on the valuation date. Fund units issued and redeemed are based upon the closing market value of the securities bought or sold as of the valuation date, adjusted for the related market effect and transaction costs previously described. E. EXPENSES According to the Declaration of Trust, the Fund may pay certain expenses for services received during the year. F. DISTRIBUTIONS TO PARTICIPANTS All net investment income (excluding securities lending fees) and net realized gains are retained by the Fund. Income generated by securities lending is distributed to participants monthly (Note 3). G. FUTURES CONTRACTS The Fund may use futures contracts to manage its exposure to the equity market. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument, or hedge other Fund investments. Futures contracts involve, to varying degrees, credit and market risks. The Fund enters into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between a futures contract and the underlying index. Upon entering into a futures contract, the Fund is required to deposit either in cash or securities an amount ("initial margin") equal to a certain percentage of the nominal value of the contract. Subsequent payments are made or received by the Fund each day, depending on the daily fluctuation in the value of the underlying securities, and are recorded as unrealized gains or losses by the Fund. Such receipts or payments are known as "variation margin". A gain or loss is realized when the contract is closed or expires. H. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. SAI-115 STATE STREET BANK AND TRUST COMPANY RUSSELL 2000 FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) DECEMBER 31, 1995 3. SECURITIES LENDING PROGRAM The Russell 2000 Growth Fund and Russell 2000 Value Fund (each a "Lending Fund", together, the "Lending Funds"), in which the Fund invests, both participate in the Securities Lending Program maintained by State Street Bank. Prior to February 1, 1995, the participants in the fund authorized the Fund's direct participation in the Securities Lending Program. Under the Securities Lending Program, securities held by the Lending funds are loaned by State Street Bank, as agent, to certain brokers and other financial institutions (the "Borrowers"). The Borrowers provide cash, securities, or letters of credit as collateral against loans in an amount at least equal to 100% of the market value of the loaned securities. Cash collateral provided is invested in short-term collective investment funds managed by State Street Bank. A portion of the income generated upon investment of the collateral is remitted to the Borrowers, and the remainder is allocated between the Lending Fund and State Street Bank in its capacity as lending agent. Negotiated lenders' fees are received for those loans collateralized by securities or letters of credit, if any. State Street Bank, as lending agent, indemnifies the Lending Funds for replacement of any loaned securities (or, in certain circumstances, return of equivalent cash value) due to Borrower default on a security loan. Lending Fund participants, however, bear the risk of loss with respect to the investment of collateral. All income earned from lending activities is distributed to Fund participants monthly. 4. INVESTMENT TRANSACTIONS Purchases and sales of securities, excluding short-term investments and including in-kind contributions and redemptions, if any, during the year ended December 31, 1995 were $549,391,506 and $478,683,114, respectively, resulting in a net realized gain (loss) of $3,465,914. This gain (loss) is prior to the recognition of the market effect and transaction costs associated with contributions and redemptions. 5. UNITS OF PARTICIPATION Units in excess of 10% of Fund units outstanding at December 31, 1995 held by 2 of the Fund's 34 unitholders aggregated 54% of the Fund's total units outstanding. During the year ended December 31, 1995, the net market effect and transaction costs (absorbed by) credited to participants in issuance and redemption of Fund units were $(147,128). A redemption by one or more unitholders individually holding 10% or more of Fund units may cause the remaining unitholders to bear proportionately higher operating expenses and otherwise adversely affect the Fund's future liquidity and investment operations. As described under "Issuance and Redemption of Units of Participation", however, redeeming unitholders bear the transaction costs and market effect arising from any redemption of units; additionally, in certain circumstances, redemptions may be made on an in-kind basis. These practices may tend to mitigate the potential adverse effects of such redemptions. SAI-116 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trusts and Trustee of the State Street Bank and Trust Company Daily EAFE Fund Non-Lending and the State Street Bank and Trust Company Daily EAFE Fund In our opinion, the accompanying combined statement of assets and liabilities, including the combined schedule of investments, and the related combined statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of the State Street Bank and Trust Company Daily EAFE Fund and the State Street Bank and Trust Company Daily EAFE Fund Non-Lending (the "Funds") at December 31, 1995, the results of their operations, the changes in their net assets and their selected per unit data for the periods indicated, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Funds' Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1995 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 21, 1996 SAI-117 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Statement of Assets and Liabilities December 31, 1995
- ---------------------------------------------------------------------------------- ASSETS Investments in securities, at value (cost $200,392,653) ............................................. $221,776,521 Foreign currency ................................................. 4,757,197 Collateral held for loaned securities ............................ 10,082,456 Segregated foreign currency for open futures contracts .......... 2,483,208 Receivable for investments sold .................................. 603,301 Receivable for fund units issued ................................. 14,929 Dividends, interest and other receivables ........................ 506,736 Receivable for variation margin on open futures contracts ....... 1,632,271 - ---------------------------------------------------------------------------------- Total assets ................................................... 241,856,619 - ---------------------------------------------------------------------------------- LIABILITIES Collateral on securities loaned, at value ........................ 10,082,456 Payable for investments purchased ................................ 1,531,277 Payable for open forward foreign currency contracts ............. 278,634 Payable for fund units redeemed .................................. 77,425 Accrued expenses ................................................. 117,028 - ---------------------------------------------------------------------------------- Total liabilities .............................................. 12,086,820 - ---------------------------------------------------------------------------------- NET ASSETS ....................................................... $ 229,769,799 ================================================================================== Daily EAFE Fund Non-Lending (12,974,475 units outstanding, at $11.87 per unit net asset value) .......................................................... $ 154,010,090 Daily EAFE Fund (6,382,325 units outstanding, at $11.87 per unit net asset value) .......................................................... 75,759,709 - ---------------------------------------------------------------------------------- $ 229,769,799 ==================================================================================
The accompanying notes are an integral part of these financial statements. SAI-118 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Statement of Operations Year ended December 31, 1995
- ----------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends (net of taxes withheld) ................................................................. $ 3,196,003 Interest .......................................................................................... 1,594,678 Securities lending fee income (net of related expenses), allocated to Daily EAFE Fund ............ 58,096 - ----------------------------------------------------------------------------------------------------------------- Total investment income ......................................................................... 4,848,777 - ----------------------------------------------------------------------------------------------------------------- EXPENSES .......................................................................................... 400,537 - ----------------------------------------------------------------------------------------------------------------- Net investment income ........................................................................... 4,448,240 - ----------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS Realized gain (loss): Investments ...................................................................................... 2,872,352 Futures contracts ................................................................................ 1,968,876 Foreign currency and related forward contracts ................................................... (1,566,051) - ----------------------------------------------------------------------------------------------------------------- Net realized gain (loss) on investments, futures contracts and foreign currency ................ 3,275,177 - ----------------------------------------------------------------------------------------------------------------- Change in unrealized appreciation (depreciation): Investments ...................................................................................... 11,137,449 Futures contracts ................................................................................ 789,338 Foreign currency and related forward contracts ................................................... (276,271) - ----------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency ............................................................................... 11,650,516 - ----------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency . 14,925,693 - ----------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................................... $19,373,933 =================================================================================================================
The accompanying notes are an integral part of these financial statements. SAI-119 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Statement of Changes in Net Assets
YEAR ENDED PERIOD ENDED DECEMBER 31, DECEMBER 31, 1995 1994* - ----------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income ......................................................... $ 4,448,240 $ 6,162,345 Net realized gain (loss) on investments, futures contracts and foreign currency ...................................................................... 3,275,177 5,618,983 Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency ............................................... 11,650,516 9,825,009 - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations ............... 19,373,933 21,606,337 - ----------------------------------------------------------------------------------------------------------------- Distributions of securities lending fee income to Daily EAFE Fund participants (58,096) (65,268) - ----------------------------------------------------------------------------------------------------------------- FROM PARTICIPANT TRANSACTIONS Proceeds from units issued .................................................... 105,163,988 251,160,924 Cost of units redeemed ........................................................ (138,698,189) (260,710,636) Paid-in capital from transaction fees (Note 2E) ............................... 1,067,420 1,316,950 - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from participant transactions (32,466,781) (8,232,762) Net increase (decrease) in net assets .......................................... (13,150,944) 13,308,307 - ----------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period ........................................................... 242,920,743 229,612,436 - ----------------------------------------------------------------------------------------------------------------- End of period ................................................................. $ 229,769,799 $ 242,920,743 ================================================================================================================= NUMBER OF UNITS Daily EAFE Fund Non-Lending Outstanding--beginning of period .............................................. 9,700,776 0 Issued ....................................................................... 9,429,069 9,825,508 Interfund transfers (net) .................................................... 0 10,193,934 Redeemed ..................................................................... (6,155,370) (10,318,666) - ------------------------------------------------------------------------------- --------------- --------------- Outstanding--end of period ..................................................... 12,974,475 9,700,776 =============================================================================== =============== =============== Daily EAFE Fund Outstanding--beginning of year ................................. 13,124,325 23,278,741 Issued ....................................................................... 0 13,889,447 Interfund transfers (net) .................................................... 0 (10,193,934) Redeemed ..................................................................... (6,742,000) (13,849,929) - ------------------------------------------------------------------------------- --------------- --------------- Outstanding--end of year ....................................................... 6,382,325 13,124,325 =============================================================================== =============== ===============
- ------------ * The Fund commenced non-lending operations on January 3,1994. The accompanying notes are an integral part of these financial statements. SAI-120 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING Selected Per Unit Data (For a Unit of Participation Outstanding Throughout the Period)
YEAR (PERIOD) ENDED DECEMBER 31, ----------------------- 1995 1994** - ----------------------------------------------------------------------------- Net investment income* .............................. $ 0.24 $ 0.19 Net realized and unrealized gain (loss) ............. 0.99 0.59 - ----------------------------------------------------------------------------- Net increase (decrease) ............................. 1.23 0.78 NET ASSET VALUE Beginning of period ................................. 10.64 9.86 - ----------------------------------------------------------------------------- End of period ....................................... $ 11.87 $ 10.64 - ----------------------------------------------------------------------------- Total return*** ..................................... 11.56% 7.91% - ----------------------------------------------------------------------------- Ratio of expenses to average net assets ............. 0.20% 0.19% Ratio of net investment income to average net assets 2.15% 1.85% Portfolio turnover .................................. 9% 47% Net assets, end of year (000s) ...................... $ 154,010 $ 103,242
- ------------ * Net investment income per unit has been calculated using an average of monthly units outstanding. ** The Fund commenced operations on January 3, 1994. *** Total return calculation is based on the value of a single unit of participation outstanding throughout the entire year. It represents the percentage change in the net asset value per unit between the beginning and end of each year and assumes reinvestment of any Fund distributions. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. The accompanying notes are an integral part of these financial statements. SAI-121 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND Selected Per Unit Data (For a Unit of Participation Outstanding Throughout the Period)
YEAR (PERIOD) ENDED DECEMBER 31, ----------------------------------- 1995 1994 1993** - -------------------------------------------------------------------------------------------- Net investment income (loss)* .......................... $ 0.25 $ 0.19 $ (0.01) Distribution of securities lending fee income ......... (0.01) 0.00 0.00 Net realized and unrealized gain (loss) ................ 0.99 0.59 (0.13) - -------------------------------------------------------------------------------------------- Net increase (decrease) ................................ 1.23 0.78 (0.14) NET ASSET VALUE Beginning of period .................................... 10.64 9.86 10.00 - -------------------------------------------------------------------------------------------- End of period .......................................... $ 11.87 $ 10.64 $ 9.86 ============================================================================================ Total return*** ........................................ 11.64% 7.91% (1.40)% - -------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (a) ........... 0.20% 0.19% 0.57% Ratio of net investment income to average net assets (a) ................................................... 2.22% 1.88% (0.14)% Portfolio turnover ..................................... 9% 47% 28% Net assets, end of year (000s) ......................... $ 75,760 $ 139,678 $ 229,612
- ------------ * Net investment income (loss) per unit has been calculated using an average of monthly units outstanding. ** The Fund commenced operations on September 30, 1993. *** Total return calculation is based on the value of a single unit of participation outstanding throughout the entire year. It represents the percentage change in the net asset value per unit between the beginning and end of each year and assumes reinvestment of any Fund distributions. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. (a) 1993 data annualized. The accompanying notes are an integral part of these financial statements. SAI-122 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND NOTES TO COMBINED FINANCIAL STATEMENTS DECEMBER 31, 1995 1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE The State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans have been formed under a Declaration of Trust, as amended and restated through July 19, 1991. The Daily EAFE Fund and the Daily EAFE Fund Non-Lending (together, the "Funds") were established through Fund Declarations effective September 16, 1993 and January 3, 1994, respectively, and commenced investment operations on September 30, 1993 and January 3, 1994, respectively. State Street Bank and Trust Company is Trustee and custodian of the Funds. State Street Global Advisors, a division of State Street Bank and Trust Company, is the Funds' investment manager. The Funds' investment objective is to closely match the performance of the Morgan Stanley Capital International (MSCI) Europe, Australia and Far East (EAFE) Index (the "Index"), while providing daily liquidity. The Funds may invest in equity securities, equity-based derivatives, swaps, short-term instruments and foreign exchange contracts, as well as in commingled funds or mutual funds maintained by the Funds' Trustee. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments for which market quotations are readily available are valued at the last reported sale price on the valuation date or, if no sales are reported for that day, the more recent of the last published sale or the mean between the last reported bid and asked prices, or at their fair value as determined in good faith by the Trustee. Short-term investments are stated at amortized cost which approximates market. Foreign securities quoted in foreign currencies (which constitute most of the investments) and foreign currencies are translated into U.S. dollars at the current exchange rate. B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date (date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Funds in connection with the issuance and redemption of units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered is determined using the average cost method. Foreign dividend income is recorded net of applicable withholding taxes on the ex-dividend date or as soon as the Funds are informed of the ex-dividend date. Interest income earned on securities is recorded net of applicable withholding taxes on the accrual basis; interest earned on foreign currency transaction accounts is recorded when the Trustee if first notified of the amount credited by the depository bank. C. FOREIGN CURRENCY TRANSLATION AND FORWARD FOREIGN CURRENCY CONTRACTS The accounting records of the Funds 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. The Funds may use forward foreign currency contracts to facilitate transactions in foreign securities. Such contracts are valued based upon the applicable forward exchange rates and any resulting unrealized gains or losses SAI-123 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND NOTES TO COMBINED FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 1995 are recorded in the Funds' financial statements. The Funds record 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 contract's terms and from movements in currency values. The maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened; however, the Trustee believes the likelihood of such loss is remote. D. INCOME TAXES It is the Funds' policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Funds are exempt from federal income taxes and no federal income tax provision is required. E. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION The net asset values of the Funds are determined on each business day (valuation date) and any other day determined by the Trustee. Issuances and redemptions of Fund units are made on the basis of the value of the Fund as of the Fund's last preceding valuation date on which such order to issue or redeem is received. A transaction fee of .5% is charged on all contributions and withdrawals and is presented in the Combined Statement of Changes in Net Assets as a separate component of paid in capital. F. EXPENSES Under the Fund Declaration, the Funds may pay certain expenses for services received during the year, including certain custodial services performed by the Trustee. The Funds also pay an annual fee of $50,000 for daily pricing services to the Trustee in its capacity as custodian. G. DISTRIBUTIONS TO PARTICIPANTS All net investment income (excluding securities lending fees) and net realized gains are retained by the Fund. Income generated by securities lending is distributed to the Fund participants monthly. H. FUTURES CONTRACTS The Funds may use futures contracts to manage their exposure to the equity market. Buying futures tends to increase the Funds' exposure to the underlying instrument. Selling futures tends to decrease the Funds' exposure to the underlying instrument, or hedge other Fund investments. Futures contracts involve, to varying degrees, credit and market risks. The Funds enter into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between a futures contract and the underlying index. Upon entering into a futures contract, the Funds are 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 SAI-124 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND NOTES TO COMBINED FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 1995 or received by the Funds each day, depending on the daily fluctuation in the value of the underlying securities, and are recorded as unrealized gains or losses by the Funds. Such receipts or payments are known as "variation margin." A gain or loss is realized when the contract is closed or expires. I. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3. SECURITIES LENDING PROGRAM; PRINCIPLES OF COMBINATION The participants in the Daily EAFE Fund (the "Lending Fund") have authorized the Lending Fund to participate in the Securities Lending Program maintained by State Street Bank and Trust Company ("State Street Bank"). The investment objective, techniques and results of operations of the Lending Fund are identical to those of the Daily EAFE Fund Non-Lending (the "Fund"), except that the Lending Fund engages in securities lending activities. Accordingly, the financial statements of the Funds have been prepared on a combined basis, with separate disclosure of the participant transactions and per unit data of each of the Funds. Each of the Funds maintains a divided pro-rata interest in the combined assets and liabilities (including each investment security position) proportionate to the net asset value of the outstanding combined units of the Funds. All interfund transactions have been eliminated in the combined financial statements. Under the Securities Lending Program, securities held by the Lending Fund are loaned by State Street Bank, as agent, to certain brokers and other financial institutions (the "Borrowers"). The Borrowers provide cash, securities, or letters of credit as collateral against loans in an 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 fair market value of the loaned securities. At December 31, 1995, the value of securities loaned by the Lending Fund was $9,428,204 against which was held cash collateral of $10,082,456. Cash collateral provided is invested in short-term collective investment funds managed by State Street Bank. A portion of the income generated upon investment of the collateral is remitted to the Borrowers, and the remainder is allocated between the Lending Fund and State Street Bank in its capacity as lending agent. Negotiated lenders' fees are received for those loans collateralized by securities or letters of credit, if any. State Street Bank, as lending agent, indemnifies the Lending Fund for replacement of any loaned securities (or, in certain circumstances, return of equivalent cash value) due to Borrower default on a security loan. Lending Fund participants, however, bear the risk of loss with respect to the investment of collateral. All income earned from lending activities is distributed to Lending Fund participants monthly. Participants in each of the Lending Fund or the Fund may exchange their units for units of the other Fund on any valuation date. 4. INVESTMENT TRANSACTIONS Purchases and sales of securities, excluding short-term investments and including in-kind contributions and redemptions, during the year ended December 31, 1995 were $19,306,604 and $75,722,718, respectively, resulting in a net gain (loss) of $2,872,352. SAI-125 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND NOTES TO COMBINED FINANCIAL STATEMENTS (CONCLUDED) DECEMBER 31, 1995 5. UNITS OF PARTICIPATION Participant transactions for each Fund were as follows:
YEAR (PERIOD) ENDED DECEMBER 31, -------------------------------- 1995 1994 --------------- --------------- DAILY EAFE FUND NON-LENDING Proceeds from units issued .......................... $105,163,988 $ 105,226,821 Interfund transfers (net) ........................... -- 100,481,607 Cost of units redeemed .............................. (68,452,109) (110,868,636) Paid in capital from transaction fees (Note 1) ..... 821,340 600,941 --------------- --------------- 37,533,219 95,440,733 --------------- --------------- DAILY EAFE FUND Proceeds from units issued .......................... -- 145,934,103 Interfund transfers (net) ........................... -- (100,481,607) Cost of units redeemed .............................. (70,246,080) (149,842,000) Paid in capital from transaction fees (Note 1) ..... 246,080 716,009 --------------- --------------- (70,000,000) (103,673,495) --------------- --------------- Net increase (decrease) in net assets resulting from participant transactions ........................... $(32,466,781) $ (8,232,762) =============== ===============
DAILY EAFE FUND NON-LENDING Units in excess of 10% of Fund units outstanding at December 31, 1995 held by 3 of the Fund's 31 unitholders aggregated 40% of the Fund's total units outstanding. DAILY EAFE FUND All of the Fund's units outstanding at December 31, 1995 were held by one unitholder. A redemption by one or more unitholders individually holding 10% or more of Fund units may cause the remaining unitholders to bear proportionately higher operating expenses and otherwise adversely affect the Fund's future liquidity and investment operations. 6. REALIZED GAINS AND LOSSES ON FOREIGN CURRENCY TRANSACTIONS Reported net realized gains and losses on foreign currency transactions represent net gains and losses from disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The effects of changes in foreign currency exchange rates on investments in securities are not segregated in the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investments in securities. net realized gain (loss) from foreign currency transactions amounted to $(1,566,501) for the year ended December 31, 1995. SAI-126 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- COMMON STOCK (81.3%) (unless otherwise noted) AUSTRALIA (1.8%) Aberfoyle Ltd. AUD0.50 ............................................... 3,775 $ 8,284 Adelaide Brighton Cement Holdings Ltd. AUD0.50 ....................... 7,243 6,466 Amcor Ltd. Ord AUD1 .................................................. 18,763 132,596 Ampolex Ltd. AUD0.50 ................................................. 8,814 19,276 Ashton Mining Ltd. AUD0.50 ........................................... 8,539 12,386 Australian National Industries Ltd. AUD0.30 .......................... 23,874 17,759 Boral Ltd. Ord AUD0.50 ............................................... 33,400 84,475 Brambles Industries Ltd. AUD0.50 ..................................... 6,692 74,671 Broken Hill Proprietary Co., Ltd. Ord AUD1 ........................... 59,544 841,580 Burns, Philp & Co., Ltd. AUD0.50 ..................................... 15,587 34,901 Caltex Australia Ltd. AUD1 ........................................... 5,500 21,725 Coca Cola Amatil Ltd. AUD0.50 ........................................ 14,837 118,427 Coles Myer Ltd. AUD0.50 .............................................. 32,624 101,685 CRA Ltd. AUD2.00 ..................................................... 18,071 265,359 Crusader Ltd. AUD0.20 ................................................ 4,200 4,437 CSR Ltd. AUD1 ........................................................ 29,038 94,612 Email Ltd. AUD0.50 ................................................... 8,455 20,126 Emperor Mines Ltd. AUD0.10 ........................................... 3,000 4,798 FAI Insurances Ltd. AUD0.10 .......................................... 13,915 7,556 Fosters Brewing Group AUD1 ........................................... 59,514 97,840 General Property Trust AUD1 .......................................... 21,801 38,597 Gold Mines of Kalgoorlie Ltd. AUD0.05 ................................ 31,000 28,825 Goodman Fielder Wattie Ltd. AUD0.50 .................................. 36,356 36,510 Howard Smith Ltd. AUD1 ............................................... 5,473 25,853 ICI Australia Ltd. AUD1 .............................................. 9,013 69,057 James Hardie Industries Ltd. AUD1.00 ................................. 11,297 19,496 Lend Lease Corp., Ltd. AUD0.50 ....................................... 7,074 102,613 MIM Holdings Ltd. AUD0.50 ............................................ 48,836 67,570 National Australia Bank Ltd. AUD1.00 ................................. 43,315 389,877 Newcrest Mining Ltd. AUD0.50 ......................................... 7,132 30,028 News Corp., Ltd. AUD0.50 ............................................. 60,813 324,806 North Broken Hill Peko Ltd. AUD0.50 .................................. 21,070 58,776 OPSM Protector Ltd. AUD0.50 .......................................... 4,333 6,769 Pacific Dunlop Ltd. AUD0.50 .......................................... 33,037 77,413 Pioneer International Ltd. AUD0.50 ................................... 26,822 69,235 QCT Resources Ltd. AUD0.50 ........................................... 18,919 21,251 Renison Goldfields Consolidated Ltd. AUD0.50 ......................... 6,255 31,175 Rothmans Holdings Ltd. AUD0.50 ....................................... 3,700 15,138 Santos Ltd. AUD0.25 .................................................. 16,323 47,720 Schroders Property Fund AUD1.00 ...................................... 12,142 19,871 Sons of Gwalia Ltd. AUD0.25 .......................................... 2,200 12,110 Southcorp Holdings Ltd. Ord AUD0.50 .................................. 17,247 40,157 Stockland Trust Group AUD1.10 ........................................ 9,065 20,904 Stockland Trust Group AUD1.10 Rfd 01Jan96 ............................ 367 819 TNT Ltd. AUD0.50 ..................................................... 17,336 22,955 Tubemakers of Australia Ltd. AUD0.50 ................................. 8,476 26,292 Western Mining Corp. AUD0.50 ......................................... 33,575 215,791 Westfield Trust Units AUD1 ........................................... 28,972 52,155
The accompanying notes are an integral part of these financial statements. SAI-127 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Westfield Trust New Def Units ........................................ 1,219 $ 2,194 Westpac Banking Corp. AUD1 ........................................... 55,276 245,070 -------------- 4,087,986 -------------- AUSTRIA (0.4%) Austria Mikros Systeme International AG ATS100 ....................... 100 16,235 Austrian Airlines ATS1000 ............................................ 100 16,633 Bank Austria AG ATS100 ............................................... 2,300 185,907 Bau Holdings AG ATS100 Rfd 01Apr93 ................................... 200 10,804 Bohler Uddeholm ATS100 ............................................... 500 38,230 BWT AG Ord ATS100 .................................................... 100 10,277 Creditanstalt-Bankverein ATS100 ...................................... 1,330 73,826 EA Generali AG ATS100 ................................................ 300 89,965 Flughafen Wien AG ATS100 ............................................. 1,000 67,523 Lenzing AG ATS100 .................................................... 200 16,901 Mayr Melnhof Karton ATS100 ........................................... 500 25,073 Oesterreichische Brau Beteiligungs AG ATS100 ......................... 400 18,231 Oesterreichische Elektrizitaetswirtschafts AG Class A ATS100 ........ 1,400 84,245 OMV AG ATS100 ........................................................ 1,246 108,261 Radex Heraklith Industriebeteiligungs AG Ord ATS100 .................. 650 19,686 Steyr-Daimler Puch AG ATS100 ......................................... 500 8,589 Universale-Bau AG ATS100 ............................................. 250 13,157 VA Technologie AG ATS100 Bearer ...................................... 700 88,972 Wienerberger Baustoff Industrie ATS100 ............................... 300 59,579 Z Landerbank Bank Austria AG ATS100 Ptg Certs ........................ 300 11,917 -------------- 964,011 -------------- BELGIUM (1.2%) Bekaert SA NPV ....................................................... 100 82,399 Cementbedrijven Cimenteries NPV ...................................... 175 70,612 Cementbedrijven Cimenteries NPV Vvpr ................................. 45 18,043 Delhaize Le Lion SA NPV .............................................. 2,345 97,210 Electrabel SA NPV Vvpr ............................................... 435 103,466 Electrabel SA NPV .................................................... 2,075 493,544 Fortis AG NPV ........................................................ 1,667 202,498 Generale de Banque Belge Pour L'Estranger SA NPV ..................... 645 223,547 Generale de Banque Belge Pour L'Estranger SA NPV Vvpr ................ 49 17,149 Gevaert Photo Producten, NV NPV ...................................... 1,190 73,187 Glaverbel SA NPV ..................................................... 262 28,043 Groupe Bruxelles Lambert NPV ......................................... 1,100 149,507 Kredietbank NV NPV AFV ............................................... 75 20,438 Kredietbank NV NPV ................................................... 595 162,751 Petrofina SA NPV ..................................................... 1,080 330,642 Royale Belge NPV Vvpr ................................................ 100 20,014 Royale Belge NPV ..................................................... 625 124,873 Solvay SA NPV ........................................................ 385 208,983 Tractebel NPV Vvpr ................................................... 105 43,170 Tractebel NPV ........................................................ 525 216,743 Union Miniere SA NPV ................................................. 1,155 77,315 -------------- 2,764,134 --------------
The accompanying notes are an integral part of these financial statements. SAI-128 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- DENMARK (0.7%) Aarhus Oliefabrik A/S A DKK100 ....................................... 167 $ 9,643 Aarhus Oliefabrik A/S B DKK100 ....................................... 47 2,629 Carlsberg Brewery A/S A DKK20 ........................................ 1,328 74,284 Carlsberg Brewery A/S B DKK20 ........................................ 1,082 60,523 D/S AF 1912 B DKK1000 ................................................ 8 153,013 D/S Svendborg B DKK1000 .............................................. 5 138,037 Danisco A/S DKK20 .................................................... 2,080 100,585 Danske Luftfartsel DKK25 ............................................. 336 29,344 Den Danske Bank A/S DKK100 ........................................... 1,996 137,941 FLS Industries A/S B DKK100 .......................................... 350 27,156 GN Store Nord A/S DKK100 ............................................. 223 17,906 ISS International Service System A/S B DKK20 ......................... 1,092 24,630 Korn Og Foderstof DKK20 .............................................. 460 19,921 Lauritzen Holdings A/S B DKK20 ....................................... 101 11,117 NKT Holding A/S DKK100 ............................................... 281 13,183 Novo Nordisk A/S DKK20 B ............................................. 1,417 194,320 Ostasiatiske Kompagni Dkr100 ......................................... 807 16,163 Radiometer A/S B DKK20 ............................................... 386 27,721 Royal Copenhagen A/S A DKK100 ........................................ 151 13,623 Sophus Berendsen A/S A DKK20 ......................................... 228 25,672 Sophus Berendsen A/S B DKK20 ......................................... 679 76,574 Superfos A/S DKK100 .................................................. 234 20,478 Tele Danmark A/S B DKK10 ............................................. 4,941 270,141 Unidanmark A/S A DKK100 Regd ......................................... 2,016 100,036 -------------- 1,564,640 -------------- FINLAND (0.5%) Ameri Group A FIM20 .................................................. 925 14,464 Cultor Ltd. 2 FIM12 .................................................. 300 12,436 Cultor Ltd. 1 Ord FIM12 .............................................. 600 24,872 Instrumentarium Corp. A FIM10 ........................................ 600 15,614 Instrumentarium Corp. B FIM10 ........................................ 200 5,159 Kansallis YHTYMA FIM10 ............................................... 25,860 21,440 Kesko Oy FIM10 ....................................................... 3,400 42,361 Kone Corp. B FIM50 ................................................... 200 16,720 Kymmene Corp. FIM20 .................................................. 3,100 82,101 Merita A FIM10 ....................................................... 18,200 46,105 Metra Oy A FIM20 ..................................................... 500 20,612 Metra Oy B FIM20 ..................................................... 500 20,612 Nokia AB Oy FIM5 K ................................................... 5,200 205,979 Nokia AB Oy FIM5 A ................................................... 6,200 244,162 Outokumpu Oy A FIM10 ................................................. 4,700 74,686 Pohjola Ord A FIM5 ................................................... 800 10,133 Pohjola B FIM5 ....................................................... 900 11,607 Repola Ltd. FIM10 .................................................... 5,700 107,641 Sampo Insurance Co., Ltd. A FIM20 .................................... 600 32,196 Stockmann AB B FIM20 ................................................. 250 13,069 Stockmann AB A FIM20 ................................................. 300 17,134 -------------- 1,039,103 --------------
The accompanying notes are an integral part of these financial statements. SAI-129 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- FRANCE (4.5%) Accor SA FRF100 ...................................................... 878 $113,823 Air Liquide FRF70 .................................................... 1,973 327,186 Alcatel Alsthom CGE FRF40 ............................................ 4,512 389,524 AXA FRF60 ............................................................ 4,948 333,880 Banque Nationale de Paris FRF25 ...................................... 5,721 258,413 BIC SA FRF50 ......................................................... 800 81,464 Bongrain Group FRF50 ................................................. 50 28,218 Bouygues SA FRF50 .................................................... 697 70,306 Canal Plus FRF20 ..................................................... 650 122,012 Carnaud Metalbox FRF10 ............................................... 2,449 112,172 Carrefour SA FRF100 .................................................. 762 462,918 Chargeurs SA FRF100 .................................................. 250 50,199 Club Mediterranee SA FRF25 ........................................... 426 34,059 Compagnie Bancaire SA FRF100 ......................................... 811 90,876 Compagnie de St. Gobain FRF100 ....................................... 2,533 276,582 Compagnie de Suez FRF75 .............................................. 4,788 197,766 Compagnie Financiere Paribas FRF50 A ................................. 3,602 197,758 Compagnie Generale de Geophysique FRF10 .............................. 100 3,292 Compagnie Generale des Eaux FRF100 ................................... 3,501 349,993 Compagnie Par Reesco FRF50 ........................................... 313 25,594 Comptoirs Modernes FRF100 ............................................ 175 56,896 Credit Foncier De France FRF100 ...................................... 1,191 17,242 Credit National SA FRF100 ............................................ 381 28,046 Docks de France SA FRF10 ............................................. 400 60,853 Dollfus-Mieg & Cie FRF75 ............................................. 250 10,219 Ecco SA FRF25 ........................................................ 300 45,455 Eridania Beghin-Say FRF65 ............................................ 774 132,943 Essilor International Compagnie Generale FRF20 ....................... 260 49,762 Etab Eco Casino Guich Perr & Co. FRF10 ............................... 2,096 61,159 Europe 1 Communication FRF100 Regd ................................... 64 12,956 Fin Pour L'Expans D'Telecomm SA FRF100 ............................... 650 9,450 Groupe Danone FRF10 .................................................. 2,132 352,245 GTM Entrepose FRF50 .................................................. 419 29,430 Havas SA FRF15 ....................................................... 1,506 119,636 Imetal SA FRF50 ...................................................... 475 56,819 L'Oreal SA FRF10 ..................................................... 1,850 495,931 La Radiotechnique FRF50 .............................................. 25 1,401 Lafarge Coppee FRF25 Br .............................................. 2,749 177,346 Lagardere Groupe FRF40 Regd .......................................... 2,560 47,112 Legrand FRF10 Post Subordinated ...................................... 830 128,306 Louis Vuitton Moet Hennessy FRF10 .................................... 2,591 540,399 Lyonnaise des Eaux-Dumer FRF60 ....................................... 1,720 165,828 Michelin Class B FRF12 Regd .......................................... 3,222 128,669 Moulinex SA FRF10 .................................................... 1,095 15,002 Nord Est FRF50 ....................................................... 450 10,435 Pernod Ricard SA FRF20 ............................................... 1,692 96,285 Peugeot SA FRF35 ..................................................... 1,504 198,668 Pinault Printemps FRF100 ............................................. 688 137,445 Primagaz FRF10 ....................................................... 600 47,725
The accompanying notes are an integral part of these financial statements. SAI-130 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Promodes SA FRF20 .................................................... 550 $ 129,445 Rhone Poulenc SA A FRF25 ............................................. 9,816 210,551 SAGEM FRF50 .......................................................... 100 56,231 Saint Louis FRF100 ................................................... 260 69,114 Salomon SA FRF25 ..................................................... 40 23,311 Sanofi SA FRF25 ...................................................... 3,040 195,099 Sefimeg FRF100 Regd .................................................. 498 33,095 Seita FRF50 .......................................................... 1,550 56,257 Simco FRF100 Regd .................................................... 450 42,787 Simco FRF100 Rfd 1/7/95 .............................................. 20 1,745 Skis Rossignol SA FRF100 ............................................. 50 13,720 Societe Eurafrance FRF200 ............................................ 104 34,982 Societe Generale Bank FRF30 .......................................... 2,616 323,623 Societe National Elf Aquitaine FRF50 ................................. 8,155 601,641 Sodexho SA FRF100 .................................................... 183 53,884 Sommer Allibert FRF50 ................................................ 50 13,281 Spie Batignolles FRF50 ............................................... 3,740 128,019 Ste Immobiliere Location Indu Comm (Sidel) FRF10 ..................... 200 62,407 Technip FRF20 ........................................................ 450 31,009 Thomson CSF FRF20 .................................................... 3,500 78,080 TOTAL SA B Shares FRF50 .............................................. 7,075 478,129 Unibail SA FRF100 Regd ............................................... 250 25,866 Union Assurance FRF10 ................................................ 9,000 235,375 Union Immobiliere France FRF100 ...................................... 262 22,715 Usinor Sacilor FRF20 ................................................. 7,150 94,666 Valeo FRF20 .......................................................... 2,050 95,067 -------------- 9,869,797 -------------- GERMANY (5.3%) Adidas AG DEM5 ....................................................... 1,450 76,892 AGIV AG DEM5 ......................................................... 1,250 26,375 Allianz AG Holding DEM50 ............................................. 752 1,469,009 AMB Aach & Munchener Bet DEM50 ....................................... 112 84,511 AMB Aach & Munchener Bet DEM50 ....................................... 50 31,440 Asko Deutsche Kaufhaus AG DEM50 ...................................... 162 84,888 BASF AG DEM50 ........................................................ 2,100 468,770 Bayer AG DEM50 ....................................................... 2,400 634,668 Bayerische Hypo/Wech Bank DEM5 ....................................... 8,480 214,177 Bayerische Vereinsbank DEM5 .......................................... 9,200 273,821 Beiersdorf AG DEM50 .................................................. 160 112,345 Bilfinger & Berger AG DEM50 .......................................... 140 53,113 Brau & Brunnen AG DEM50 .............................................. 171 25,925 Bremer Vulkan Verbund AG DEM50 ....................................... 500 13,921 Colonia Konzern AG DEM50 ............................................. 114 95,577 Continental AG DEM5 .................................................. 3,000 41,920 Daimler Benz AG DEM50 ................................................ 1,783 899,410 Degussa AG DEM50 ..................................................... 300 100,189 Deutsche Bank AG DEM5 ................................................ 16,580 787,356 Didier Werke AG DEM50 ................................................ 100 8,265 DLW AG DEM50 ......................................................... 50 7,581 Douglas Holding AG DEM5 .............................................. 1,000 35,352
The accompanying notes are an integral part of these financial statements. SAI-131 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Dresdner Bank AG DEM5 ................................................ 14,850 $ 397,370 Dyckerhoff AG DEM50 .................................................. 61 23,440 Escada AG DEM50 ...................................................... 50 9,083 FAG Kugelfischer DEM50 ............................................... 150 19,388 Heidelberg Zement AG DEM50 ........................................... 126 79,229 Herlitz AG DEM50 ..................................................... 55 9,107 Hochtief AG DEM50 .................................................... 250 106,896 Holsten Brauerei AG DEM50 ............................................ 62 14,078 IWKA AG DEM50 ........................................................ 100 18,235 Karstadt AG DEM50 .................................................... 283 115,668 Kaufhof Holding AG DEM50 ............................................. 250 76,329 Klockner Humboldt Deuz DEM5 .......................................... 2,250 13,818 Linde AG DEM50 ....................................................... 288 168,418 Linotype Hell AG DEM50 ............................................... 100 10,305 Lufthansa DEM50 ...................................................... 1,195 164,894 MAN AG DEM50 ......................................................... 378 102,469 Mannesmann AG DEM50 .................................................. 1,270 405,232 Merck KGAA DEM5 ...................................................... 5,550 226,839 Munich Reinsurance DEM100 Rfd 01-Jul-96 .............................. 22 47,434 Munich Reinsurance DEM100 ............................................ 248 540,599 Preussag AG DEM50 .................................................... 500 140,082 PWA Papierwerke Waldhof Aschaffenberg AG DEM50 ....................... 200 29,763 Rheinmetall Berlin AG DEM50 .......................................... 100 14,323 RWE AG DEM50 ......................................................... 1,148 417,075 Salamander AG DEM50 .................................................. 100 15,720 SAP AG DEM ........................................................... 2,100 326,451 Schering AG DEM5 ..................................................... 2,350 156,026 Siemens AG DEM50 ..................................................... 1,950 1,069,482 Strabag AG DEM50 ..................................................... 100 17,851 Thyssen AG DEM50 ..................................................... 1,050 191,176 VEBA AG DEM5 ......................................................... 16,700 710,564 VIAG AG DEM50 ........................................................ 704 282,820 Volkswagen AG DEM50 .................................................. 905 303,247 -------------- 11,768,916 -------------- HONG KONG (2.9%) Applied International Holdings HKD0.20 ............................... 31,000 2,847 Bank of East Asia Ltd. HKD2.50 ....................................... 36,141 129,706 Cathay Pacific Airways Ltd. HKD0.20 .................................. 116,000 177,026 Cheung Kong (Holdings) Ltd. HKD0.50 .................................. 89,000 542,135 China Light & Power Co., Ltd. HKD5 ................................... 80,207 369,283 Chinese Estates Holdings Ord HKD0.10 ................................. 67,000 43,759 Dickson Concepts International HKD0.10 ............................... 26,000 24,210 Electric & Eltek International Holdings Ltd. HKD0.10 ................. 49,000 9,886 Giordano International HKD0.1 ........................................ 27,000 23,046 Hang Lung Development Co., Ltd. HKD1 ................................. 54,000 85,901 Hang Seng Bank Ltd. HKD5 ............................................. 78,112 699,575 Hong Kong & China Gas Co., Ltd. HKD0.25 .............................. 100,294 161,488 Hong Kong & Shanghai Hotels Ltd. HKD0.50 ............................. 43,500 63,009 Hong Kong Aircraft Engineering Co. HKD1 .............................. 6,800 17,589 Hong Kong Telecommunications Ltd. HKD0.50 ............................ 450,600 804,206
The accompanying notes are an integral part of these financial statements. SAI-132 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Hopewell Holdings Ltd. HKD0.50 ....................................... 176,000 $ 101,291 Hutchison Whampoa Ltd. HKD0.25 ....................................... 146,000 889,346 Hysan Development Co., Ltd. HKD5 ..................................... 41,000 108,436 Johnson Electric Holdings HKD0.10 .................................... 16,400 29,270 Kumagai Gumi Ltd. HKD1 ............................................... 14,000 10,139 Lai Sun Garment International Ltd. HKD0.50 ........................... 9,000 8,730 Miramar Hotel & Investment HKD0.70 ................................... 24,350 51,331 New World Development Co., Ltd. HKD1 ................................. 67,708 295,098 Oriental Press Group HKD0.25 ......................................... 55,000 16,716 Peregrine Investment Holdings HKD0.60 ................................ 25,000 32,332 Playmates Toys Holdings HKD0.10 ...................................... 30,000 5,975 Regal Hotel International HKD0.10 .................................... 110,000 25,892 Shangri-La Asia Ltd. HKD1 ............................................ 59,000 72,108 Shun Tak Holdings Ltd. HKD0.25 ....................................... 59,000 41,586 South China Morning Post HKD0.10 ..................................... 63,000 38,498 Stelux Holdings International HKD0.10 ................................ 45,000 11,523 Sun Hung Kai Properties Ltd. HKD0.50 ................................. 94,320 771,545 Swire Pacific Ltd. A HKD0.60 ......................................... 64,000 496,625 Tai Cheung Holdings Ltd. HKD0.10 ..................................... 23,600 18,160 Television Broadcasting Ltd. HKD0.05 ................................. 17,000 60,571 Wharf Holdings Ltd. HKD1 ............................................. 87,400 291,062 Wing Lung Bank Ltd. HKD5 ............................................. 6,896 38,617 Winsor Industrial Corp., Ltd. HKD0.50 ................................ 10,000 8,472 -------------- 6,576,989 -------------- IRELAND (0.2%) Allied Irish Banks PLC IEP0.25 ....................................... 25,400 138,013 Aran Energy PLC Ord IEP0.20 .......................................... 9,900 11,822 Crean (James) PLC Units .............................................. 1,700 5,450 CRH PLC Ord IEP0.25 .................................................. 13,300 100,192 Fyffes PLC Ord IEP0.05 ............................................... 10,800 19,042 Greencore PLC Ord IEP1 ............................................... 3,228 28,198 Independent Newspapers PLC Ord IEP0.25 ............................... 4,750 30,073 Irish Life PLC Ord IEP0.10 ........................................... 11,773 44,722 Jefferson Smurfit Group PLC Ord IEP0.25 .............................. 40,000 95,528 Kerry Group PLC A Ord IEP0.10 ........................................ 100 785 Waterford Wedgewood PLC IEP0.05 ...................................... 27,100 26,062 Woodchester Investments PLC Ord IEP0.20 .............................. 8,219 22,394 -------------- 522,281 -------------- ITALY (2.1%) Arnoldo Mondadori Editore ITL1000 Ord. ............................... 5,000 43,367 Assicurazioni Generali ITL2000 ....................................... 32,714 792,873 Banca Commerciale Italiana SpA ITL1000 ............................... 63,950 136,651 Banca Nazionale del L'Agricoltura SpA ITL500 Rfd 1Jan94 Di Risp ..... 4,500 1,708 Banca Nazionale del L'Agricoltura SpA Di Risp ITL500 non conv ....... 4,200 1,602 Banca Populare di Milano ITL1000 ..................................... 9,000 36,024 Banco Ambrosiano Veneto SpA Ord ITL1000 .............................. 21,100 57,523 Banco Ambrosiano Veneto SpA ITL1000 non conv ......................... 8,500 10,716 Benetton Group SpA ITL500 ............................................ 7,400 88,112 Burgo Cartiere SpA ITL5000 ........................................... 5,400 26,975
The accompanying notes are an integral part of these financial statements. SAI-133 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Cementir SpA ITL1000 ................................................. 10,100 $ 8,022 Cogefar Impresit SpA ITL1000 ......................................... 19,300 16,302 Credito Italiano SA ITL500 ........................................... 91,500 106,700 Danieli & Cofficine Meccaniebe SpA ITL2000 ........................... 1,100 6,934 Danieli & Cofficine Meccaniebe SpA ITL2000 non conv .................. 2,100 5,692 Edison SpA ITL1000 ................................................... 25,400 109,512 Falck, Accia & Ferr Lombarde ITL2500 ................................. 3,200 7,110 Fiat SpA ITL1000 ..................................................... 134,280 436,752 Fiat SpA ITL1000 non conv ............................................ 29,040 51,346 Fidis SpA ITL1000 .................................................... 15,750 30,230 Franco Tosi SpA ITL1000 .............................................. 1,500 8,888 Gilardini Industriale SpA ITL1000 .................................... 17,500 21,455 IMI ITL5000 .......................................................... 25,000 157,585 INA Ist Nazionale Assoc ITL1000 ...................................... 164,000 217,605 IST Bancario S.Paolo (Torino) ITL10000 ............................... 31,740 188,065 Italcementi SpA ITL2000 .............................................. 6,910 41,379 Italcementi SpA ITL2000 non conv ..................................... 4,200 10,351 Italgas ITL1000 ...................................................... 26,660 81,167 La Previdente ITL1000 ................................................ 2,100 13,912 La Rinascente SpA ITL1000 ............................................ 5,778 35,001 La Rinascente SpA ITL1000 non conv ................................... 2,100 5,957 Marzotto & Figli SpA ITL1000 ......................................... 3,200 19,142 Mediobanca SpA ITL1000 ............................................... 19,366 134,217 Montedison SpA ITL1000 ............................................... 220,200 147,684 Montedison SpA ITL1000 non conv ...................................... 27,600 16,353 Olivetti & C SpA Ord ITL1000 ......................................... 139,247 111,735 Parmalat Finanziaria SpA ITL1000 ..................................... 44,500 38,653 Pirelli SpA ITL1000 .................................................. 57,183 73,891 Pirelli SpA ITL1000 non conv ......................................... 4,200 4,342 RAS SpA ITL1000 ...................................................... 11,888 135,219 RAS SpA ITL1000 non conv ............................................. 4,376 26,880 S.A.I. ITL1000 non conv .............................................. 2,100 8,723 S.A.I. ITL1000 ....................................................... 5,500 56,319 Saffa Rts/ New 9.25Bds01 ............................................. 1,165 0 Saffa SpA Ord A ITL1000 .............................................. 3,100 8,109 Saipem SpA ITL1000 ................................................... 15,900 36,682 Sasib SpA ITL1000 .................................................... 3,366 14,852 Sasib SpA ITL1000 non conv ........................................... 3,100 7,582 Sirti SpA ITL1000 .................................................... 8,732 49,097 Snia BPD SpA ITL1000 non conv ........................................ 200 111 Snia BPD SpA ITL1000 ................................................. 28,500 23,803 Telecom Italia Mobilia ITL1000 non conv .............................. 63,989 78,330 Telecom Italia Mobilia ITL50 Di Risp ................................. 63,989 67,359 Telecom Italia Mobilia ITL50 ......................................... 273,265 481,437 Telecom Italia-SpA ITL1000 di Risp ................................... 269,765 420,008 -------------- 4,716,044 --------------
The accompanying notes are an integral part of these financial statements. SAI-134 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- JAPAN (30.7%) 77 Bank JPY50 ........................................................ 12,000 $ 110,164 Advantest Corp. JPY50 ................................................ 2,000 102,758 Aida Engineering JPY50 ............................................... 3,000 23,033 Ajinomoto Co., Inc. JPY50 ............................................ 20,000 222,965 Alps Electric Co. JPY50 .............................................. 5,000 57,680 Amada Co., Ltd. JPY50 ................................................ 9,000 88,992 Amano Corp. JPY50 .................................................... 4,000 50,410 Aoki Corp. JPY50 ..................................................... 13,000 54,568 Aoyama Trading Co. JPY50 ............................................. 3,000 95,972 Arabian Oil Co. JPY500 ............................................... 1,600 66,696 Asahi Bank Ltd. JPY50 ................................................ 73,000 919,975 Asahi Breweries Ltd. JPY50 ........................................... 13,000 153,749 Asahi Chemical Industry JPY50 ........................................ 45,000 344,627 Asahi Glass Co., Ltd. JPY50 .......................................... 37,000 412,486 Asahi Optical Co., Ltd. JPY50 ........................................ 6,000 28,559 Ashikaga Bank Ltd. JPY50 ............................................. 19,000 118,618 Asics Corp. JPY50 .................................................... 10,000 30,634 Bank of Tokyo Ltd. JPY50 ............................................. 64,000 1,122,970 Bank of Yokohama Ltd. JPY50 .......................................... 35,000 286,704 Banyu Pharmaceutical Co. JPY50 ....................................... 8,000 98,493 Bridgestone Corp. JPY50 .............................................. 25,000 397,460 Brother Industries Ltd. JPY50 ........................................ 8,000 43,507 Canon, Inc. JPY50 .................................................... 26,000 471,330 Casio Computer Co. JPY50 ............................................. 8,000 78,329 Chiba Bank Ltd. JPY50 ................................................ 24,000 216,373 Chiyoda Corp. JPY50 .................................................. 6,000 59,328 Chugai Pharmaceutical Co. JPY50 ...................................... 8,000 76,700 Citizen Watch Co., Ltd. JPY50 ........................................ 10,000 76,584 Cosmo Oil Co. Ltd JPY50 .............................................. 19,000 103,883 Credit Saison Co., Ltd. JPY50 ........................................ 3,900 93,006 CSK Corp. JPY50 ...................................................... 2,200 68,887 Dai Ichi Kangyo Bank Ltd. JPY50 ...................................... 98,000 1,928,554 Dai Ichi Pharmaceutical Co. JPY50 .................................... 8,000 114,003 Dai Nippon Printing Co., Ltd. JPY50 .................................. 24,000 407,154 Daicel Chemical Industries Ltd. JPY50 ................................ 11,000 62,595 Daido Steel Co., Ltd. JPY506 ......................................... 13,000 65,532 Daiei Inc. JPY50 ..................................................... 22,000 266,589 Daifuku Co., Ltd. JPY50 .............................................. 3,000 42,460 Daikin Industries, Ltd. JPY50 ........................................ 8,000 78,329 Daikyo Inc. JPY50 .................................................... 6,000 44,787 Daimaru Inc. JPY50 ................................................... 8,000 62,043 Dainippon Ink & Chemicals Inc. JPY50 ................................. 24,000 111,909 Dainippon Screen Manufacturing Co., Ltd. JPY50 ....................... 5,000 43,915 Daishowa Paper Manufacturing Co., Ltd. JPY50 ......................... 7,000 54,287 Daito Trust Construction JPY50 ....................................... 4,000 47,307 Daiwa House Industry JPY50 ........................................... 15,000 247,201 Daiwa Kosho Lease Co., Ltd. JPY50 .................................... 5,000 49,925 Daiwa Securities Co., Ltd. JPY50 ..................................... 42,000 643,304 Denki Kagaku Kogyo KK JPY50 .......................................... 15,000 54,530
The accompanying notes are an integral part of these financial statements. SAI-135 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Ebara Corp. JPY50 .................................................... 9,000 $ 131,743 Eisai Co., Ltd. JPY50 ................................................ 8,000 140,371 Ezaki Glico Co., Ltd. JPY50 .......................................... 4,000 38,699 Fanuc Ltd. JPY50 ..................................................... 7,500 324,996 Fuji Bank Ltd. JPY50 ................................................. 91,000 2,011,342 Fuji Photo Film Co., Ltd. JPY50 ...................................... 16,000 462,217 Fujikura Ltd JPY50 ................................................... 10,000 65,436 Fujita Corp. JPY50 ................................................... 15,000 67,762 Fujita Kanko Inc. JPY50 .............................................. 4,000 88,411 Fujitsu Ltd. JPY50 ................................................... 58,000 646,600 Furukawa Electric Ltd. JPY50 ......................................... 20,000 97,911 Gakken JPY50 ......................................................... 5,000 32,960 Gunma Bank Ltd. JPY50 ................................................ 16,000 172,168 Gunze Ltd. JPY50 ..................................................... 7,000 42,412 Hankyu Corp. JPY50 ................................................... 26,000 142,407 Hankyu Department Store JPY50 ........................................ 7,000 103,824 Haseko Corp. JPY50 ................................................... 13,000 52,552 Hazama Corp. JPY50 ................................................... 10,000 42,654 Higo Bank JPY50 ...................................................... 8,000 64,369 Hirose Electric Co., Ltd. JPY50 ...................................... 1,000 57,583 Hitachi Ltd. JPY50 ................................................... 105,000 1,058,601 Hokkaido Bank Ltd. JPY50 ............................................. 11,000 37,322 Hokuriku Bank Ltd. JPY50 ............................................. 21,000 131,714 Honda Motor Co., Ltd. JPY50 .......................................... 31,000 640,105 Honshu Paper Co., Ltd. JPY50 ......................................... 11,000 67,394 House Food Industrial Co., Ltd. JPY50 ................................ 4,000 72,124 Hoya Corp. JPY50 ..................................................... 4,000 137,657 Inax Corp. JPY50 ..................................................... 7,000 66,502 Industrial Bank of Japan Ltd. JPY50 .................................. 74,000 2,245,359 Isetan Co., Ltd. JPY50 ............................................... 7,000 115,360 Ishihara Sangyo Kaisha JPY50 ......................................... 10,000 32,475 Ito Yokado Co., Ltd. JPY50 ........................................... 13,000 801,512 ITOCHU Corp. JPY50 ................................................... 44,000 296,447 Itoham Foods JPY50 ................................................... 7,000 52,930 Iwatani International Corp. JPY50 .................................... 7,000 37,322 Jaccs Co., Ltd. JPY50 ................................................ 5,000 51,864 Japan Airlines Co., Ltd. JPY50 ....................................... 55,000 365,227 Japan Energy Corp. JPY50 ............................................. 34,000 114,042 Japan Metals & Chemicals JPY50 ....................................... 7,000 38,544 Japan Steel Works Ltd. JPY50 ......................................... 17,000 48,616 Jeol Ltd. JPY50 ...................................................... 3,000 25,534 JGC Corp. JPY50 ...................................................... 5,000 52,833 Joyo Bank Ltd. JPY50 ................................................. 25,000 201,154 Jusco Co., Ltd. JPY50 ................................................ 10,000 260,773 Kajima Corp. JPY50 ................................................... 30,000 296,641 Kaken Pharmaceutical JPY50 ........................................... 4,000 36,062 Kamigumi Co., Ltd. JPY50 ............................................. 8,000 76,855 Kandenko Co. Ltd JPY50 ............................................... 6,000 75,033 Kanebo Ltd.JPY50 ..................................................... 16,000 39,707 Kaneka Corp. JPY50 ................................................... 11,000 69,420
The accompanying notes are an integral part of these financial statements. SAI-136 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Kansai Electric Power Co., Inc. JPY500 ............................... 30,700 $ 744,026 Kansai Paint Co., Ltd. JPY50 ......................................... 9,000 41,879 Kao Corp. JPY50 ...................................................... 19,000 235,762 Katokichi Co. JPY50 .................................................. 2,000 41,685 Kawasaki Kisen Kaisha Ltd. JPY50 ..................................... 18,000 57,234 Kawasaki Steel JPY50 ................................................. 102,000 355,969 Keihin Electric Express Railway JPY50 ................................ 15,000 90,010 Kikkoman Corp. JPY50 ................................................. 6,300 46,416 Kinden Corp. JPY50 ................................................... 8,000 136,494 Kinki Nippon Railway JPY50 ........................................... 50,000 378,072 Kirin Brewery Co., Ltd. JPY50 ........................................ 33,000 390,286 Kissei Pharmaceutical Co., Ltd. JPY50 ................................ 2,000 60,491 Kobe Steel Ltd. JPY50 ................................................ 87,000 269,042 Kokuyo Co., Ltd. JPY50 ............................................... 4,000 93,064 Komatsu Ltd. JPY50 ................................................... 31,000 255,441 Komori Corp. JPY50 ................................................... 3,000 75,614 Konami Co., Ltd. JPY50 ............................................... 1,000 27,919 Konica Corp. JPY50 ................................................... 11,000 79,763 Koyo Seiko Co., Ltd. JPY50 ........................................... 6,000 54,675 Kubota Corp. JPY50 ................................................... 44,000 283,651 Kumagai Gumi Co., Ltd. JPY50 ......................................... 21,000 84,485 Kurabo Industries JPY50 .............................................. 12,000 45,950 Kuraray Co., Ltd. JPY50 .............................................. 10,000 109,544 Kureha Chemical Industry Co., Ltd. JPY50 ............................. 10,000 47,017 Kurita Water Industries Ltd. JPY50 ................................... 4,000 106,636 Kyocera Corp. JPY50 .................................................. 6,000 446,125 Kyowa Hakko Kogyo Co., Ltd. JPY50 .................................... 14,000 132,189 Kyudenko Co., Ltd. JPY50 ............................................. 3,000 39,552 Lion Corp. JPY50 ..................................................... 8,000 47,230 Maeda Road Construction Co., Ltd. JPY50 .............................. 3,000 55,547 Makino Milling Machine Co., Ltd. JPY50 ............................... 5,000 42,848 Makita Corp. JPY50 ................................................... 5,000 79,977 Marubeni Corp. JPY50 ................................................. 46,000 249,275 Marudai Food Co., Ltd. JPY50 ......................................... 4,000 28,695 Maruha Corp. JPY50 ................................................... 9,000 30,449 Marui Co., Ltd. JPY50 ................................................ 12,000 250,109 Matsushita Electric Industrial Co., Ltd. JPY50 ....................... 66,000 1,074,887 Meiji Milk Products JPY50 ............................................ 9,000 53,919 Meiji Seika Kaisha Ltd. JPY50 ........................................ 12,000 72,357 Minebea Co. Ltd JPY50 ................................................ 12,000 100,742 Misawa Homes Co., Ltd. JPY50 ......................................... 4,000 35,209 Mitsubishi Corp. JPY50 ............................................... 49,000 603,267 Mitsubishi Electric Corp. JPY50 ...................................... 68,000 489,787 Mitsubishi Estate Co., Ltd. JPY50 .................................... 41,000 512,724 Mitsubishi Gas & Chemical Co., Inc. JPY50 ............................ 15,000 67,617 Mitsubishi Heavy Industries Ltd. JPY50 ............................... 106,000 845,698 Mitsubishi Kasei Corp. JPY50 ......................................... 69,000 335,786 Mitsubishi Material Corp. JPY50 ...................................... 35,000 181,523 Mitsubishi Oil Co., Ltd. JPY50 ....................................... 14,000 124,453 Mitsubishi Paper Mills Ltd. JPY50 .................................... 10,000 60,201
The accompanying notes are an integral part of these financial statements. SAI-137 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Mitsubishi Steel Manufacturing JPY50 ................................. 4,000 $ 20,939 Mitsubishi Trust & Banking Corp. JPY50 ............................... 41,000 683,631 Mitsubishi Warehouse & Transportation Co., Ltd. JPY50 ................ 5,000 78,038 Mitsui & Co., Ltd. JPY50 ............................................. 48,000 421,579 Mitsui Engineering & Shipbuilding Co., Ltd. JPY50 .................... 26,000 72,338 Mitsui Fudosan Co., Ltd. JPY50 ....................................... 25,000 307,789 Mitsui Marine & Fire Insurance Co., Ltd. JPY50 ....................... 22,000 156,968 Mitsui Mining & Smelting Co., Ltd. JPY50 ............................. 15,000 60,201 Mitsui OSK Lines Ltd. JPY50 .......................................... 34,000 109,098 Mitsui Soko Co. JPY50 ................................................ 6,000 48,161 Mitsui Toatsu Chemicals Inc. JPY50 ................................... 24,000 96,554 Mitsui Trust & Banking Co., Ltd. JPY50 ............................... 37,000 405,312 Mitsukoshi Ltd. JPY50 ................................................ 15,000 141,050 Mochida Pharmaceutical Co., Ltd. JPY50 ............................... 4,000 55,451 Mori Seiki Co., Ltd. JPY50 ........................................... 3,000 67,762 Murata Manufacturing Co., Ltd. JPY50 ................................. 8,000 294,702 Nagase & Co., Ltd. JPY50 ............................................. 5,000 43,042 Nagoya Railroad Co., Ltd. JPY50 ...................................... 24,000 120,983 Nankai Electric Railway JPY50 ........................................ 14,000 95,003 NEC Corp. JPY50 ...................................................... 49,000 598,517 New Oji Paper Co., Ltd. JPY50 ........................................ 23,000 208,250 NGK Insulators Ltd. JPY50 ............................................ 11,000 109,835 NGK Spark Plug Co., Ltd. JPY50 ....................................... 7,000 88,217 Nichido Fire & Marine Insurance Co., Ltd. JPY50 ...................... 13,000 104,600 Nichii Co. Ltd. JPY50 ................................................ 9,000 119,529 Nichirei Corp. JPY50 ................................................. 10,000 64,951 Nihon Cement Co., Ltd. JPY50 ......................................... 10,000 66,890 Niigata Engineering Co., Ltd. JPY50 .................................. 10,000 31,603 Nippon Beet Sugar Manufacturing Co. JPY50 ............................ 8,000 35,519 Nippon Comsys Corp. JPY50 ............................................ 4,000 42,266 Nippon Denko Co. Ltd. JPY50 .......................................... 6,000 22,742 Nippon Express Co. Ltd. JPY50 ........................................ 33,000 317,987 Nippon Fire & Marine Insurance Co., Ltd. JPY50 ....................... 18,000 122,146 Nippon Light Metal Co. JPY50 ......................................... 16,000 91,823 Nippon Meat Packers JPY50 ............................................ 7,000 101,789 Nippon Oil Co., Ltd. JPY50 ........................................... 38,000 238,709 Nippon Paper Industries JPY50 ........................................ 29,000 201,570 Nippon Sharyo Ltd. JPY50 ............................................. 5,000 48,228 Nippon Sheet Glass Co., Ltd. JPY50 ................................... 13,000 56,585 Nippon Shinpan Co., Ltd. JPY50 ....................................... 10,000 75,614 Nippon Shokubai Co., Ltd. JPY50 ...................................... 6,000 58,747 Nippon Steel Corp. JPY50 ............................................. 217,000 744,685 Nippon Suisan Kaisha Ltd. JPY50 ...................................... 9,000 37,255 Nippon Yusen KK JPY50 ................................................ 36,000 209,045 Nippondenso Co., Ltd. JPY50 .......................................... 27,000 505,162 Nishimatsu Construction Co., Ltd. JPY50 .............................. 9,000 105,569 Nissan Motor Co., Ltd. JPY50 ......................................... 79,000 607,309 Nisshinbo Industries Inc. JPY50 ...................................... 7,000 67,859 Nissin Food Products JPY50 ........................................... 4,000 93,839 Nitto Denko Corp. JPY50 .............................................. 5,000 77,553
The accompanying notes are an integral part of these financial statements. SAI-138 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- NKK Corp. JPY50 ...................................................... 111,000 $ 299,142 NOF Corp. JPY50 ...................................................... 7,000 38,069 Nomura Securities Co., Ltd. JPY50 .................................... 62,000 1,352,334 Noritake Co., Ltd. JPY50 ............................................. 7,000 59,648 NSK Ltd. JPY50 ....................................................... 17,000 123,600 NTN Toyo Bearing Co., Ltd. JPY50 ..................................... 14,000 93,645 Obayashi Corp. JPY50 ................................................. 23,000 182,832 Odakyu Electric Railway JPY50 ........................................ 22,000 150,356 Okamoto Industries Inc. JPY50 ........................................ 7,000 45,466 Okuma Corp. JPY50 .................................................... 6,000 56,129 Okumura Corp. JPY50 .................................................. 8,000 72,900 Olympus Optical Co., Ltd. JPY50 ...................................... 8,000 77,553 Omron Corp. JPY50 .................................................... 8,000 184,577 Onoda Cement Co., Ltd. JPY50 ......................................... 18,000 96,147 Onward Kashiyama Co., Ltd. JPY50 ..................................... 5,000 81,431 Orient Corp. JPY50 ................................................... 11,000 62,488 Orix Corp. JPY50 ..................................................... 2,000 82,400 Osaka Gas Co., Ltd. JPY50 ............................................ 78,000 269,943 Penta Ocean Construction Co., Ltd. JPY50 ............................. 11,000 85,309 Pioneer Electronic Corp. JPY50 ....................................... 6,000 109,932 QP Corp. JPY50 ....................................................... 5,000 43,575 Renown Inc. JPY50 .................................................... 9,000 31,322 Ricoh Co., Ltd. JPY50 ................................................ 20,000 219,088 Rohm Co. JPY50 ....................................................... 4,000 226,068 Sagami Railway Co. JPY50 ............................................. 13,000 56,333 Sakura Bank Ltd. JPY50 ............................................... 109,000 1,384,228 Sanden Corp. JPY50 ................................................... 7,000 44,923 Sankyo Aluminium Industries Co., Ltd. JPY50 .......................... 8,000 42,887 Sankyo Co., Ltd. JPY50 ............................................... 14,000 314,866 Sanrio Co., Ltd. JPY50 ............................................... 2,000 23,072 Sanwa Shutter Corp. JPY50 ............................................ 7,000 50,826 Sanyo Electric Co., Ltd. JPY50 ....................................... 60,000 346,081 Sapporo Breweries JPY50 .............................................. 10,000 93,064 Secom Co., Ltd. JPY50 ................................................ 4,000 278,416 Sega Enterprises Ltd. JPY50 .......................................... 3,000 165,770 Seiko Corp. JPY50 .................................................... 5,000 44,351 Seino Transportation JPY50 ........................................... 5,000 83,854 Seiyu Ltd. JPY50 ..................................................... 7,000 86,860 Sekisui Chemical Co., Ltd. JPY50 ..................................... 17,000 250,497 Sekisui House Ltd. JPY50 ............................................. 21,000 268,722 Settsu Corp. JPY50 ................................................... 7,000 22,054 Seven Eleven Japan Co., Ltd. NPV ..................................... 12,000 846,881 Sharp Corp. JPY50 .................................................... 35,000 559,837 Shimachu JPY50 ....................................................... 2,000 64,175 Shimano Inc. JPY50 ................................................... 4,000 70,573 Shimizu Corp. JPY50 .................................................. 25,000 254,471 Shin-Etsu Chemical Co., Ltd. JPY50 ................................... 10,000 207,455 Shionogi + Co., Ltd. JPY50 ........................................... 11,000 92,666 Shiseido Co., Ltd. JPY50 ............................................. 12,000 143,086 Shizuoka Bank Ltd. JPY50 ............................................. 25,000 315,060
The accompanying notes are an integral part of these financial statements. SAI-139 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Shochiku JPY50 ....................................................... 2,000 $ 21,909 Shokusan Jutaku Sogo JPY50 ........................................... 8,000 29,315 Showa Denko KK JPY50 ................................................. 32,000 100,509 Skylark Co., Ltd. JPY50 .............................................. 4,000 73,676 Snow Brand Milk Products Co., Ltd. JPY50 ............................. 10,000 63,981 Sony Corp. JPY50 ..................................................... 11,800 708,080 Sumitomo Bank Ltd. JPY50 ............................................. 99,000 2,101,789 Sumitomo Cement Co., Ltd. JPY50 ...................................... 14,000 65,145 Sumitomo Chemical Co., Ltd. JPY50 .................................... 50,000 249,624 Sumitomo Corp. JPY50 ................................................. 33,000 335,902 Sumitomo Electric Industries JPY50 ................................... 22,000 264,456 Sumitomo Forestry Co., Ltd. JPY50 .................................... 5,000 76,584 Sumitomo Heavy Industries Ltd. JPY50 ................................. 18,000 64,738 Sumitomo Marine & Fire Insurance Co., Ltd. JPY50 ..................... 20,000 164,413 Sumitomo Metal Industries JPY50 ...................................... 97,000 294,324 Sumitomo Metal Mining Co. JPY50 ...................................... 17,000 152,935 Taisei Corp. JPY50 ................................................... 31,000 207,057 Taisho Pharmaceutical Co., Ltd. JPY50 ................................ 11,000 217,537 Taiyo Yuden Co. Ltd JPY50 ............................................ 5,000 53,803 Takara Shuzo Co., Ltd. JPY50 ......................................... 6,000 57,409 Takara Standard JPY50 ................................................ 4,000 45,756 Takashimaya Co. JPY50 ................................................ 9,000 143,958 Takeda Chemical Industries Ltd. JPY50 ................................ 28,000 461,442 Takuma Co., Ltd JPY50 ................................................ 3,000 41,006 Tanabe Seiyaku Co., Ltd. JPY50 ....................................... 7,000 50,419 Teijin Ltd. JPY50 .................................................... 30,000 153,555 Teikoku Oil Co., Ltd. JPY50 .......................................... 8,000 53,977 Toa Corp. JPY50 ...................................................... 5,000 36,838 Tobu Railway Co., Ltd. JPY50 ......................................... 26,000 162,823 Toho Co. JPY500 ...................................................... 500 79,977 Tohoku Electric Power Co., Inc. JPY500 ............................... 15,800 381,387 Tokai Bank Ltd. JPY50 ................................................ 64,000 893,413 Tokio Marine & Fire Insurance Co., Ltd. JPY50 ........................ 49,000 641,268 Tokyo Broadcasting System Inc. JPY50 ................................. 6,000 98,880 Tokyo Dome Corp. JPY50 ............................................... 5,000 85,793 Tokyo Electric Power Co., Inc. JPY500 ................................ 42,600 1,139,799 Tokyo Electron Ltd. JPY50 ............................................ 5,000 193,883 Tokyo Gas Co., Ltd. JPY50 ............................................ 89,000 314,052 Tokyo Style JPY50 .................................................... 3,000 51,476 Tokyo Tatemono Co. Ltd JPY50 ......................................... 7,000 33,251 Tokyotokeiba JPY20 ................................................... 9,000 37,516 Tokyu Corp. JPY50 .................................................... 34,000 240,279 Toppan Printing Co. Ltd JPY50 ........................................ 22,000 290,049 Toray Industries Inc. JPY50 .......................................... 43,000 283,457 Tosoh Corp. JPY50 .................................................... 18,000 86,724 Tostem Corp. JPY50 ................................................... 7,000 232,757 Toto Ltd. JPY50 ...................................................... 11,000 153,555 Toyo Engineering Corp. JPY50 ......................................... 8,000 50,410 Toyo Exterior Co. JPY50 .............................................. 2,000 49,246 Toyo Kanetsu KK JPY50 ................................................ 7,000 35,897
The accompanying notes are an integral part of these financial statements. SAI-140 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Toyo Seikan Kaisha Ltd. JPY50 ........................................ 6,000 $ 179,730 Toyobo Co., Ltd. JPY50 ............................................... 21,000 75,527 Toyoda Auto Loom Works Ltd. JPY50 .................................... 9,000 161,408 Toyota Motor Corp. JPY50 ............................................. 118,000 2,505,162 Tsubakimoto Machinery + Engineering JPY50 ............................ 6,000 36,120 Tsugami Corp. JPY50 .................................................. 5,000 27,919 UBE Industries Ltd. JPY50 ............................................ 26,000 98,299 Uni-Charm JPY50 ...................................................... 2,000 50,410 Uniden Corp. JPY50 ................................................... 2,000 33,542 Unitika Ltd. JPY50 ................................................... 15,000 45,659 Yamaguchi Bank Ltd. JPY50 ............................................ 6,000 102,370 Yamaha Corp. JPY50 ................................................... 6,000 108,187 Yamaichi Securities Co. JPY50 ........................................ 37,000 288,023 Yamanouchi Pharmaceutical Co., Ltd. JPY50 ............................ 10,000 215,210 Yamato Transport Co., Ltd. JPY50 ..................................... 11,000 131,162 Yamazaki Baking Co. Ltd JPY50 ........................................ 7,000 130,289 Yasuda Trust + Banking Co., Ltd. JPY50 ............................... 34,000 201,386 Yokogawa Electric Corp. JPY50 ........................................ 8,000 75,692 -------------- 67,782,781 -------------- MALAYSIA (2.2%) Aluminium Co. of Malaysia Bhd MYR1 ................................... 6,300 9,330 Amalgamated Steel Mills Bhd Ord MYR0.50 .............................. 53,800 40,048 AMMB Holdings Bhd MYR1 ............................................... 8,400 95,943 Antah Holdings Bhd Ord MYR0.50 ....................................... 10,220 10,224 Aokam Perdana Bhd MYR1 ............................................... 9,000 14,533 Berjaya Group Bhd MYR1 ............................................... 32,650 21,089 Berjaya Leisure Bhd MYR1 ............................................. 16,900 16,640 Commerce Asset Holdings Bhd MYR1 ..................................... 10,500 52,934 DCB Holdings Bhd MYR1 ................................................ 33,700 98,220 Edaran Otomobil Nasional Bhd MYR1 .................................... 9,500 71,465 Ekran Bhd MYR1 ....................................................... 10,000 24,419 Golden Hope Plantations Bhd MYR1 ..................................... 43,200 72,142 Golden Plus Holdings Bhd MYR1 ........................................ 5,300 9,226 Guinness Anchor Bhd MYR0.50 .......................................... 11,700 21,935 Highlands & Lowlands Bhd Ord MYR0.50 ................................. 26,300 42,262 Hong Leong Industries Bhd MYR0.50 .................................... 6,300 33,497 Hong Leong Properties Bhd Ord MYR0.50 ................................ 30,500 31,713 Hume Industries Bhd MYR1 ............................................. 10,500 50,453 Idris Hydraulic (Malaysia) Bhd MYR0.50 ............................... 24,200 28,594 IGB Corp. Bhd MYR0.50 ................................................ 20,000 17,960 IOI Corp. MYR0.50 .................................................... 28,400 27,852 Jaya Tiasa Holdings MYR1 ............................................. 11,000 38,342 Johan Holdings Bhd MYR0.50 ........................................... 11,700 8,387 Kedah Cement Holdings Bhd MYR1 ....................................... 12,600 21,637 Kelanamas Industries Bhd MYR1 ........................................ 4,800 6,730 Kemayan Corp. Bhd MYR0.50 ............................................ 12,500 17,428 Kian Joo Can Factory Bhd MYR0.50 ..................................... 5,300 21,918 Kuala Lumpur Kepong Bhd Ord MYR1 ..................................... 21,000 66,581 Land & General Bhd MYR1 .............................................. 19,900 43,108 Landmarks Bhd MYR1 ................................................... 17,900 23,829
The accompanying notes are an integral part of these financial statements. SAI-141 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Leader Universal Holdings Bhd MYR1 ................................... 19,000 $ 43,403 Magnum Corp. Bhd MYR0.50 ............................................. 43,200 81,670 Malayan Banking Bhd MYR1 ............................................. 49,000 412,997 Malayan Cement Bhd MYR0.50 ........................................... 13,700 26,116 Malayan United Industries Bhd MYR1 ................................... 55,800 45,273 Malayawata Steel Bhd MYR1 ............................................ 6,300 10,273 Malaysia Mining Corp., Bhd MYR1 ...................................... 17,900 25,803 Malaysian Airline System Bhd Ord MYR1 ................................ 30,500 99,104 Malaysian International Shipping Corp., Bhd MYR1 Alien Market ....... 43,132 112,969 Malaysian Mosaics Bhd MYR1 ........................................... 10,600 13,360 Malaysian Oxygen Bhd MYR0.50 ......................................... 5,800 21,930 Malaysian Pacific Industries Bhd. MYR0.50 ............................ 8,966 27,721 Malaysian Resources Corp. Bhd MYR1 ................................... 21,100 33,906 MBF Capital Bhd MYR1 ................................................. 34,000 34,415 Metroplex Bhd MYR0.50 ................................................ 34,600 28,209 Mulpha International Bhd MYR0.50 ..................................... 30,000 29,421 Multi Purpose Holdings MYR1 .......................................... 32,700 47,910 Mycom Bhd MYR1 ....................................................... 12,666 15,365 Nestle Malaysia Bhd MYR1 ............................................. 10,500 76,920 New Straits Times Press Bhd MYR1 ..................................... 7,400 24,774 Oriental Holdings Bhd MYR1 ........................................... 6,300 32,009 Palmco Holdings Bhd MYR1 ............................................. 7,400 11,367 Pan-Malaysia Cement Works Bhd MYR0.50 ................................ 26,400 27,658 Perlis Plantations Bhd MYR1 .......................................... 12,400 38,826 Perusahaan Otomobil Nasional Bhd MYR1 ................................ 22,100 77,903 Petaling Garden Bhd MYR0.50 .......................................... 9,400 10,440 Pilecon Engineering Bhd MYR0.50 ...................................... 7,500 7,532 Promet Bhd MYR1 ...................................................... 23,200 23,209 Public Bank Bhd MYR0.50 Alien Market ................................. 38,100 72,929 Rashid Hussain Bhd MYR1 .............................................. 14,600 43,702 Resorts World Bhd MYR0.50 ............................................ 46,400 248,539 RJ Reynolds Bhd MYR1 ................................................. 11,600 26,727 Rothmans of Pall Mall Bhd MYR0.50 .................................... 12,600 103,718 Selangor Properties Bhd MYR1 ......................................... 12,800 12,250 Shell Refining Co. MYR1 .............................................. 13,200 38,212 Sime Darby Bhd MYR0.50 ............................................... 89,000 236,609 Sungei Way Holdings Bhd MYR1 ......................................... 7,000 25,226 Ta Enterprise Bhd MYR1 ............................................... 26,000 31,540 Tan Chong Motor Holdings Bhd MYR0.50 ................................. 29,500 29,163 Tech Resources Industries Bhd MYR1 ................................... 29,500 87,141 Telekom Malaysia Bhd MYR1 ............................................ 85,400 665,979 Tenaga Nasional Bhd MYR1 ............................................. 131,700 518,708 Time Engineering Bhd MYR1 ............................................ 14,000 32,532 UMW Holdings Bhd MYR1 ................................................ 10,300 27,586 United Engineers (Malaysia) Ltd. MYR0.50 ............................. 23,200 148,027 YTL Corp., Bhd Ord MYR0.50 ........................................... 15,000 94,526 -------------- 4,922,036 --------------
The accompanying notes are an integral part of these financial statements. SAI-142 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- NETHERLANDS (4.3%) ABN Amro Holdings NV NLG5 ............................................ 14,089 $ 642,446 Akzo NV NLG20 ........................................................ 3,202 370,714 Elsevier NV NLG0.10 .................................................. 29,770 397,404 Getronics NV NLG1 .................................................... 961 44,960 Heineken NV NLG25 .................................................... 2,260 401,361 Hollandsche Beton Groep NV Ord NLG20 ................................. 151 23,077 IHC Caland NV NLG2 ................................................... 870 29,306 ING Groep NV Cva NLG2.5 .............................................. 13,178 881,219 KLM Royal Dutch Airlines NLG20 ....................................... 4,093 143,999 Kon Hoogovens NV Cva NLG20 ........................................... 1,421 47,600 Kon PVC Nederlanden NLG10 ............................................ 20,818 757,089 Koninklijke Ahold NV NLG1.25 ......................................... 5,584 228,153 Koninklijke KNP Bt NV NLG2.5 ......................................... 4,553 117,013 Koninklijke Pakhoed NV Cva NLG5 ...................................... 1,148 31,581 Nedlloyd Groep NV NLG10 .............................................. 845 19,187 Oce van der Grinten NV NLG4 .......................................... 735 44,748 Philips Electronics NV NLG10 ......................................... 15,517 561,404 Royal Dutch Petroleum Co. NLG5 Br .................................... 24,145 3,376,776 Stad Rotterdam Cva NLG2.5 ............................................ 1,369 40,820 Stork NV NLG10 ....................................................... 1,104 27,409 Unilever NV Cva NLG4 ................................................. 7,208 1,013,913 Wolters Kluwer NV Cva NLG1 ........................................... 3,018 285,777 -------------- 9,485,956 -------------- NEW ZEALAND (0.4%) Brierley Investment Ltd. NZD0.50 ..................................... 100,240 79,301 Carter Holt Harvey Ltd. NZD0.50 ...................................... 65,037 140,322 Ceramco Corp., Ltd. Ord NZD0.50 ...................................... 1,900 2,224 Fisher & Paykel Industries NZD0.50 ................................... 4,281 13,015 Fletcher Challenge Forestry Ltd. NZD ................................. 29,578 42,158 Fletcher Challenge Ltd. NZD0.40 ...................................... 55,700 128,552 Lion Nathan Ltd. NZD0.25 ............................................. 20,600 49,160 Telecom Corp. of New Zealand NZD1 .................................... 71,060 306,634 Wilson & Horton Ltd. NZD1 ............................................ 3,712 22,205 -------------- 783,571 -------------- NORWAY (0.4%) Aker AS NOK20 B ...................................................... 400 4,875 Aker AS NOK20 A ...................................................... 1,500 19,943 Bergesen DY A/S NOK2.5 A ............................................. 1,600 31,908 Bergesen DY A/S NOK2.5 B ............................................. 700 13,738 Dyno Industrier A/S NOK20 ............................................ 1,000 23,425 Elkem AS NOK20 A ..................................................... 1,900 21,502 Hafslund Nycomed A/S NOK5 A .......................................... 1,947 51,001 Hafslund Nycomed A/S NOK5 B .......................................... 1,967 49,968 Helikopter Service A/S NOK11.5 ....................................... 800 9,750 Kvaerner AS NOK12.5 B ................................................ 200 6,711 Kvaerner AS NOK12.50 ................................................. 1,500 53,181 Leif Hoegh & Co., A/S NOK2 ........................................... 1,200 17,853 Norsk Hydro AS NOK20 ................................................. 8,966 377,480
The accompanying notes are an integral part of these financial statements. SAI-143 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Norske Skogsindustrier AS NOK20 A .................................... 1,200 $ 35,327 Norske Skogsindustrier AS NOK20 B .................................... 100 2,770 Orkla A/S NOK25 B .................................................... 300 14,340 Orkla AS NOK25 A ..................................................... 1,600 79,771 Petroleum Geo Services A/S NOK5 ...................................... 1,000 24,849 Transocean Drilling A/S NOK5 ......................................... 2,100 36,395 Uni Storebrand AS NOK20 A ............................................ 10,900 60,382 Unitor Ships Service NOK12.5 ......................................... 800 11,016 Vard A/S NOK2 A ...................................................... 3,085 2,441 -------------- 948,626 -------------- SINGAPORE (1.2%) Amcol Holdings SGD0.25 ............................................... 13,667 37,682 Chuan Hup Holdings SGD1 .............................................. 11,000 9,954 City Developments Ltd. SGD0.50 ....................................... 34,680 252,530 Cycle & Carriage Ltd. SGD1 ........................................... 10,000 99,682 DBS Land Ltd. SGD1 ................................................... 41,000 138,551 Development Bank of Singapore Ltd. SGD1 Alien Market ................. 16,250 202,192 First Capital Corp. SGD1 ............................................. 10,000 27,713 Fraser & Neave Ltd. SGD1 ............................................. 11,000 139,979 Hai Sun Hup Group Ltd. SGD0.20 ....................................... 16,000 10,746 Haw Par Brothers International Ltd. SGD1 ............................. 7,200 15,372 Hotel Properties SGD1 ................................................ 17,000 26,320 Inchcape Bhd SGD0.50 ................................................. 7,000 22,467 Jurong Shipyard Ltd. SGD0.50 ......................................... 5,000 38,530 Keppel Corp., Ltd. SGD1 .............................................. 23,000 204,878 Low Keng Huat (Sin) SGD0.50 .......................................... 8,000 4,468 Lum Chang Holdings Ltd. SGD0.50 ...................................... 14,600 12,180 Metro Holdings SGD1 .................................................. 4,600 17,886 Natsteel Ltd. SGD0.50 ................................................ 14,000 28,703 Neptune Orient Lines Ltd. SGD1 ....................................... 31,000 34,846 Overseas Chinese Banking Corp. SGD1 Alien Market ..................... 24,000 300,318 Overseas Union Enterprise Ltd. SGD1 .................................. 6,000 30,329 Parkway Holdings Ltd. SGD0.50 ........................................ 13,000 35,292 Prima Ltd. SGD1 ...................................................... 2,000 7,635 Robinson & Co., Ltd. SGD1 ............................................ 3,000 12,513 Shangri La Hotel Ltd. SGD1 ........................................... 7,000 27,218 Singapore Airlines Ltd. SGD1 Alien Market ............................ 33,000 307,953 Singapore Press Holdings Ltd. SGD1 Alien Market1 ..................... 7,800 137,858 Straits Steamship Land Ltd. SGD0.50 .................................. 25,900 87,524 Straits Trading Co., Ltd. SGD1 ....................................... 13,000 30,513 United Industrial Corp., Ltd. SGD1 ................................... 58,000 56,995 United Overseas Bank Ltd. SGD1 Alien Market .......................... 25,634 246,463 United Overseas Land Ltd. SGD1 ....................................... 22,000 41,837 -------------- 2,647,127 -------------- SPAIN (1.9%) Acerinox SA ESP1000 Regd ............................................. 534 54,007 Aguila SA ESP500 ..................................................... 1,057 6,491 Argentaria Corp Bancaria De Espana ESP500 ............................ 5,750 236,977 Autopistas Concesionaria Espanola SA ESP500 .......................... 9,981 113,533
The accompanying notes are an integral part of these financial statements. SAI-144 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Banco Bilbao Vizcaya ESP600 Regd ..................................... 10,364 $ 373,316 Banco Central Hispanoamericano SA ESP500 Regd ........................ 7,478 151,631 Banco de Santander SA ESP750 Regd .................................... 7,304 366,645 Corporacion Financiera Alba SA ESP1000 ............................... 750 46,180 Corporacion Mapfre Compania Internacional de Reaseguros SA ESP500 Regd ................................................................ 1,223 68,448 Dragados Y Construciones SA ESP500 ................................... 2,618 34,419 Ebro Agricolas ESP100 ................................................ 2,200 23,030 Ecros SA Rights Jan 96 ............................................... 5,200 43 Empresa Nacional de Celulosas ESP1000 ................................ 900 14,614 Empresa Nacional de Electricidad ESP800 .............................. 11,912 674,542 Ercros SA ESP500 ..................................................... 5,200 3,686 Fomento de Construcciones y Contratas SA ESP500 ...................... 700 53,660 Gas Natural Sdg SA ESP600 ............................................ 1,685 262,500 General de Aguas d' Barcelona Ord ESP500 ............................. 1,950 58,185 Iberdrola SA ESP500 .................................................. 42,504 388,884 INM Metrovacesa ESP500 ............................................... 1,039 34,257 Inmobiliaria Urbis SA Series 1 ESP500 ................................ 1,550 7,334 Portland Valderrivas ESP500 .......................................... 350 22,070 Prosegur Compania Securidad ESP500 Regd .............................. 550 13,646 Repsol SA ESP500 ..................................................... 13,726 449,727 Sarrio SA ESP500 ..................................................... 2,650 10,157 Tabacalera SA Series A ESP500 Regd ................................... 1,703 64,571 Telefonica de Espana SA ESP500 ....................................... 42,978 595,145 Union Electrica Fenosa SA ESP500 ..................................... 13,336 80,245 Uralita SA ESP500 .................................................... 2,412 21,869 Vallehermoso SA ESP500 ............................................... 1,960 36,431 Viscofan Envolturas Celulosi ESP100 .................................. 900 10,682 Zardoya Otis SA ESP1000 .............................................. 391 42,703 -------------- 4,319,627 -------------- SWEDEN (2.2%) AB Electrolux B SEK25 ................................................ 3,300 135,687 AGA AB A SEK5 ........................................................ 5,900 81,457 AGA AB B SEK5 ........................................................ 4,900 67,651 ASEA AB A SEK50 ...................................................... 3,100 301,702 ASEA AB B SEK50 ...................................................... 1,100 107,222 Astra AB A SEK2.5 .................................................... 22,865 914,269 Astra AB B SEK2.5 .................................................... 5,200 206,355 Atlas Copco AB A SEK5 ................................................ 5,600 86,188 Atlas Copco AB B SEK5 ................................................ 2,800 42,249 Autoliv AB SEK20 ..................................................... 1,300 76,108 Ericsson LM Telephone B SEK2.5 ....................................... 43,660 856,414 Esselte AB A SEK12.5 ................................................. 1,100 16,598 Esselte AB B SEK12.5 ................................................. 800 12,011 Euroc AB A SEK25 ..................................................... 2,000 53,415 H & M AB B SEK5 ...................................................... 1,900 106,075 Securitas AB B SEK5 .................................................. 1,000 47,530 Skandia Foersaekrings AB SEK5 ........................................ 4,700 127,297 Skandinaviska Enskilda Banken A SEK10 ................................ 24,100 200,003
The accompanying notes are an integral part of these financial statements. SAI-145 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Skanska AB B SEK10 ................................................... 5,700 $ 196,095 SKF International AB B SEK12.5 ....................................... 2,900 55,572 SKF International AB A SEK12.5 ....................................... 2,200 41,660 Stadshypotek AB A SEK25 .............................................. 5,600 112,382 Stora Kopparbergs B SEK5 ............................................. 2,400 28,790 Stora Kopparbergs A SEK5 ............................................. 11,900 140,055 Svenska Cellulosa B SEK10 ............................................ 8,970 139,408 Svenska Handelsbanken B SEK10 ........................................ 1,100 22,075 Svenska Handelsbanken A SEK10 ........................................ 9,300 193,651 Trelleborg AB B SEK25 ................................................ 5,400 58,258 Volvo AB A SEK5 ...................................................... 6,500 133,876 Volvo AB B SEK5 ...................................................... 14,700 301,655 -------------- 4,861,708 -------------- SWITZERLAND (6.3%) Adia SA CHF10 ........................................................ 307 50,157 Alusuisse Lonza Holdings AG CHF125 Br ................................ 90 71,487 Alusuisse Lonza Holdings AG CHF125 Regd .............................. 182 144,562 BBC Brown Boveri Ltd. CHF100 ......................................... 345 401,755 BBC Brown Boveri Ltd. CHF20 Regd ..................................... 240 54,436 Ciba-Geigy Ltd. CHF20 Br ............................................. 170 149,214 Ciba-Geigy Ltd. CHF20 Regd ........................................... 1,100 970,279 CS Holding AG CHF20 Regd ............................................. 8,300 852,937 Danzas Holding AG CHF20 Ptg Certs .................................... 125 26,071 Forbo Holding CHF50 Regd ............................................. 60 25,706 Georg Fischer AG CHF100 Regd ......................................... 5 1,260 Georg Fischer AG CHF500 Br ........................................... 25 32,589 Grands Magasins Jelmoli CHF50 Br ..................................... 10 4,519 Grands Magasins Jelmoli CHF10 Regd ................................... 95 8,751 Holderbank Financiere Glaris Ltd. CHF50 Br ........................... 271 208,425 Interdiscount Holding CHF40 Bearer ................................... 100 6,301 Kuoni Reisen Holding CHF50 Regd Series B ............................. 20 32,154 Merkur Holding AG CHF25 Regd ......................................... 185 40,675 Movenpick Holdings CHF50 Br .......................................... 45 16,620 Nestle SA CHF10 Regd ................................................. 1,759 1,950,538 Roche Holding Ltd. CHF100 Br ......................................... 71 996,480 Roche Holding Ltd. NPV ............................................... 315 2,497,936 Sandoz Ltd. CHF20 Regd ............................................... 1,575 1,445,381 Sandoz Ltd. CHF20 Br ................................................. 125 115,365 Schindler Holding AG CHF100 Ptg Certs ................................ 55 57,117 Schweize Bankgesellschaft CHF100 Br 1,247, ........................... 1,148 1,247,067 Schweize Bankverein CHF100 Br ........................................ 1,076 440,424 Schweize Bankverein CHF50 Regd ....................................... 1,241 253,981 SGS Holding CHF100 Br ................................................ 77 153,237 Sika Finanz AG CHF60 Br .............................................. 90 21,900 SMH Swiss Corp. CHF10 Regd ........................................... 675 88,577 SMH Swiss Corp. CHF50 Br ............................................. 163 97,741 Sulzer Brothers Ltd. CHF100 Regd ..................................... 105 60,224 Sulzer Brothers Ltd. CHF100 Ptg Certs ................................ 51 27,257
The accompanying notes are an integral part of these financial statements. SAI-146 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Swiss Reinsurance Co. CHF20 Regd ..................................... 632 $ 737,068 Swissair Transport Co., Ltd. CHF350 Regd ............................. 101 73,729 Zurich Insurance CHF10 Regd .......................................... 2,045 613,129 -------------- 13,975,049 -------------- UNITED KINGDOM (12.1%) Abbey National PLC Ord GBP0.10 ....................................... 40,200 396,945 AMEC PLC Ord GBP0.50 ................................................. 8,109 11,834 Amstrad PLC Ord GBP0.25 .............................................. 4,580 13,937 Anglian Water PLC Ord GBP1 ........................................... 8,800 82,658 Argos PLC Ord GBP0.10 ................................................ 8,760 81,058 Argyll Group PLC Ord GBP0.25 ......................................... 34,112 180,066 Arjo Wiggins Appleton PLC Ord GBP0.25 ................................ 24,167 61,909 Associated British Foods PLC Ord GBP0.05 ............................. 26,600 152,389 Barclays PLC Ord GBP1 ................................................ 49,400 566,785 Barratt Developments PLC Ord GBP0.10 ................................. 5,600 21,475 Bass PLC Ord GBP0.25 ................................................. 27,000 301,397 BAT Industries PLC Ord GBP0.25 ....................................... 94,214 830,095 BBA Group PLC Ord GBP0.25 ............................................ 12,000 53,936 BET PLC Ord GBP0.25 .................................................. 27,700 54,617 BICC PLC Ord GBP0.50 ................................................. 10,689 45,803 Blue Circle Industries PLC Ord GBP0.50 ............................... 22,342 118,804 BOC Group PLC Ord GBP0.25 ............................................ 14,398 201,407 Boots Co., PLC GBP0.25 ............................................... 29,100 264,751 Bowater PLC Ord GBP0.50 .............................................. 14,750 81,067 Bowthorpe Holdings PLC Ord GBP0.10 ................................... 5,838 38,068 BPB Industries PLC Ord GBP0.50 ....................................... 14,800 69,393 British Aerospace PLC Ord GBP0.10 .................................... 12,541 155,181 British Airways PLC Ord GBP0.25 ...................................... 29,600 214,153 British Gas PLC Ord GBP0.25 .......................................... 132,500 522,512 British Land Co., PLC Ord GBP0.25 .................................... 12,933 76,502 British Petroleum Co., PLC Ord GBP0.25 ............................... 168,100 1,406,705 British Sky Broadcasting Ord. GBP0.50 ................................ 52,500 331,334 British Steel PLC GBP0.50 ............................................ 59,200 149,585 British Telecommunications PLC Ord GBP0.25 ........................... 189,300 1,040,401 BTR PLC Ord GBP0.25 .................................................. 112,887 576,616 Burmah Castrol PLC Ord GBP1 .......................................... 5,870 85,120 Cable & Wireless PLC Ord GBP0.25 ..................................... 67,266 480,397 Cadbury Schweppes PLC Ord GBP0.25 .................................... 30,480 251,752 Calor Group PLC Ord GBP0.50 .......................................... 6,600 26,232 Caradon PLC Ord GBP0.25 .............................................. 17,600 53,420 Carlton Communications PLC GBP0.05 ................................... 6,764 101,444 Chubb Security PLC Ord GBP0.05 ....................................... 8,300 41,043 Coats Viyella PLC Ord GBP0.20 ........................................ 21,006 57,073 Commercial Union PLC Ord GBP0.25 ..................................... 20,359 198,501 Costain Group Ord. GBP0.10 ........................................... 2,920 3,219 Courtaulds Coolings Ltd. Ord GBP0.25 ................................. 11,900 75,195 Courtaulds Textile PLC Ord GBP0.25 ................................... 3,975 21,970 Dawson International PLC Ord GBP0.25 ................................. 8,911 14,942 De La Rue Co., PLC Ord GBP0.25 ....................................... 6,698 67,698 Delta PLC Ord GBP0.25 ................................................ 4,400 27,257
The accompanying notes are an integral part of these financial statements. SAI-147 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- East Midlands Electricity PLC Ord 56 9/11P ........................... 924 $ 9,561 Electrocomponents PLC Ord GBP0.10 .................................... 12,566 70,234 English China Clays PLC Ord GBP0.25 .................................. 9,169 45,055 FKI PLC GBP0.10 ...................................................... 16,720 42,832 Forte PLC Ord GBP0.25 ................................................ 27,895 143,135 FR Group PLC Ord GBP0.25 ............................................. 2,780 20,329 General Accident Assurance PLC Ord GBP0.25 ........................... 14,823 149,818 General Electric Co., PLC Ord GBP0.05 ................................ 84,000 462,972 GKN PLC Ord GBP1 ..................................................... 10,200 123,363 Glaxo Holdings PLC Ord GBP0.25 ....................................... 105,300 1,495,878 Grand Metropolitan PLC Ord GBP0.25 ................................... 64,446 464,259 Great Portland Estates PLC Ord GBP0.50 ............................... 9,775 26,407 Great Universal Stores PLC Ord Stock GBP0.25 ......................... 30,700 326,494 Guardian Royal Exchange PLC Ord GBP0.05 .............................. 27,381 117,329 Guinness PLC Ord GBP0.25 ............................................. 61,800 454,793 Hammerson Property & Investment Development Corp., PLC Ord GBP0.25 .. 8,568 46,891 Hanson PLC Ord GBP0.25 ............................................... 158,100 472,508 Harrison & Crosfield PLC Ord GBP0.25 ................................. 21,510 53,433 Hepworth PLC Ord GBP0.25 ............................................. 7,200 35,659 HSBC Holdings PLC Ord HKD10 .......................................... 54,098 824,782 HSBC Holdings PLC Ord GBP0.75 ........................................ 25,714 401,619 IMI PLC Ord GBP0.25 .................................................. 9,700 49,471 Imperial Chemical Industries PLC Ord GBP1.0 .......................... 22,100 261,796 J. Sainsbury PLC Ord GBP0.25 ......................................... 54,542 332,790 John Laing PLC Ord GBP0.25 ........................................... 4,121 17,723 Johnson Matthey PLC Ord GBP1.00 ...................................... 6,613 53,697 Kerry Group PLC A Ord IEP0.10 ........................................ 6,100 47,353 Kingfisher PLC GBP0.25 ............................................... 20,185 169,854 Ladbroke Group PLC Ord GBP0.10 ....................................... 35,354 80,412 Laird Group PLC Ord GBP0.25 .......................................... 5,300 31,844 Land Securities PLC Ord GBP1 ......................................... 15,100 144,647 Lasmo PLC Ord GBP0.25 ................................................ 28,557 77,589 Legal & General Group PLC Ord GBP0.25 ................................ 14,850 154,471 Lex Service PLC Ord GBP0.25 .......................................... 3,416 16,229 London Electricity PLC Ord GBP0.50 ................................... 5,800 51,688 Lonrho PLC Ord GBP0.25 ............................................... 22,769 62,216 Lucas Industries PLC Ord GBP0.25 ..................................... 23,819 66,934 Manweb Ord50P Asd Scot Pow ........................................... 3,400 54,054 Marks & Spencer PLC Ord GBP0.25 ...................................... 85,600 598,044 Marley PLC Ord GBP0.25 ............................................... 13,066 22,517 MEPC PLC Ord GBP0.25 ................................................. 12,000 73,591 Mercury Assets Management Group PLC Ord GBP0.05 ...................... 5,381 72,849 Meyer International PLC Ord GBP0.25 .................................. 3,812 22,845 National Grid Group Ord. When Issued ................................. 60,607 187,250 National Power PLC Ord GBP0.50 ....................................... 35,300 246,349 Next PLC Ord GBP0.10 ................................................. 11,000 77,876 North West Water PLC Ord GBP1 ........................................ 14,774 141,295 Northern Electric Ord. 56 12/23P ..................................... 2,919 28,392 Ocean Group PLC Ord GBP0.25 .......................................... 4,700 28,312 Oxford Instruments Group PLC Ord GBP0.05 ............................. 1,900 11,947
The accompanying notes are an integral part of these financial statements. SAI-148 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- P & O Holdings PLC Ord GBP1.00 ....................................... 18,290 $135,166 Pearson PLC Ord GBP0.25 .............................................. 16,300 157,913 Pilkington New Ord. GBP0.50 .......................................... 5,875 18,744 Pilkington PLC Ord GBP0.50 ........................................... 23,500 73,700 Provident Financial PLC Ord GBP0.10 .................................. 4,000 50,862 Prudential Corp., PLC Ord GBP0.05 .................................... 58,615 377,662 Racal Electronics PLC Ord GBP0.25 .................................... 8,300 36,726 Rank Organisation PLC Ord GBP0.10 .................................... 24,482 177,125 Redland PLC Ord GBP0.25 .............................................. 15,715 94,910 Reed International PLC Ord GBP0.25 ................................... 17,200 262,233 Reuters Holdings PLC Ord GBP0.025 .................................... 51,000 466,768 RMC Group PLC Ord GBP0.25 ............................................ 7,250 111,547 Rolls Royce PLC Ord GBP0.20 .......................................... 43,661 128,116 Royal Bank of Scotland Group PLC Ord GBP0.25 ......................... 23,845 216,941 Royal Insurance Holdings PLC Ord GBP0.25 ............................. 19,300 114,464 RTZ Corp., PLC Ord GBP0.10 Regd ...................................... 32,672 474,786 Rugby Group PLC Ord GBP0.25 .......................................... 18,800 32,107 Schroders PLC Ord GBP1 ............................................... 5,700 121,062 Scottish & Newcastle Breweries PLC Ord GBP0.20 ....................... 18,742 178,371 Scottish Power PLC Ord GBP0.50 ....................................... 21,400 122,931 Sears PLC Ord GBP0.25 ................................................ 44,600 72,014 Sedgwick Group PLC GBP0.10 ........................................... 16,220 30,471 Seeboard PLC Ord GBP0.50 ............................................. 7,200 58,798 Slough Estates PLC Ord GBP0.25 ....................................... 11,500 39,101 SmithKline Beecham PLC A Ord GBP0.125 ................................ 42,219 465,386 SmithKline Beecham PLC Units 1B GBP0.125 ............................. 40,100 437,047 Smiths Industries PLC Ord GBP0.25 .................................... 8,900 87,881 Southern Electric PLC Ord GBP0.50 .................................... 8,100 113,684 Southern Water PLC Ord GBP1 .......................................... 5,145 54,957 St. James Place Capital PLC Ord GBP0.15 .............................. 8,300 13,337 T & N PLC Ord GBP1 ................................................... 15,228 38,301 Tarmac PLC Ord GBP0.50 ............................................... 27,893 44,605 Tate & Lyle PLC GBP0.25 .............................................. 12,124 88,845 Taylor Woodrow PLC Ord GBP0.25 ....................................... 11,600 21,161 TBS Group Ord GBP0.25 ................................................ 107,619 553,885 Tesco PLC Ord GBP0.05 ................................................ 61,978 285,786 Thames Water PLC Ord GBP1 ............................................ 11,800 102,859 Thorn EMI PLC Ord GBP0.25 ............................................ 13,180 310,419 TI Group PLC Ord GBP0.25 ............................................. 14,285 101,798 Trafalgar House PLC Ord GBP0.20 ...................................... 31,500 13,571 Transport Development Group PLC Ord GBP0.25 .......................... 5,800 16,839 Unigate PLC Ord GBP0.25 .............................................. 6,900 44,029 Unilever PLC Ord GBP0.05 ............................................. 24,800 509,399 United Biscuits PLC Ord GBP0.25 ...................................... 15,600 62,003 Vickers PLC Ord GBP0.50 .............................................. 9,800 38,646 Vodafone Group PLC Ord GBP0.05 ....................................... 91,200 326,372 Welsh Water Ord. GBP1.20 ............................................. 3,583 43,084 Williams Holdings PLC Ord GBP0.25 .................................... 17,084 86,866 Willis Corroon Group PLC Ord GBP0.125 ................................ 12,400 27,145 Wilson Holdings PLC Ord GBP0.25 ...................................... 8,600 22,365
The accompanying notes are an integral part of these financial statements. SAI-149 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995
SHARES VALUE - --------------------------------------------------------------------------------------------------- Wimpey (George) PLC Ord GBP0.25 ...................................... 11,000 $ 24,592 Wolseley PLC GBP0.25 ................................................. 16,300 114,133 Zeneca Group Ord GBP0.25 ............................................. 28,900 559,058 -------------- 26,738,703 -------------- PREFERRED STOCK (0.4%) AUSTRALIA (0.1%) News Corp. Pfd AUD0.50 ............................................... 29,655 138,756 -------------- AUSTRIA (0.0%) Bau Holdings AG Pfd ATS100 ........................................... 100 3,763 Creditanstalt-Bankverein Pfd ATS100 .................................. 720 37,035 Z Landerbank Bank Austria AG Pfd ATS100 .............................. 300 14,359 -------------- 55,157 -------------- FRANCE (0.0%) Etab Eco Casino Guich Perr & Co. Pfd FRF10 ........................... 154 3,495 -------------- GERMANY (0.3%) Dyckerhoff AG Pfd DEM50 .............................................. 60 12,911 Escada AG Pfd DEM50 .................................................. 50 8,733 FAG Kugelfischer Pfd DEM50 ........................................... 50 6,236 Herlitz AG Pfd DEM50 ................................................. 66 10,606 Kaufhof Holding AG Pfd DEM50 ......................................... 100 24,453 Lufthansa Pfd DEM50 .................................................. 100 13,065 MAN AG Pfd DEM50 ..................................................... 150 32,436 Rheinmetall Berlin AG Pfd DEM50 ...................................... 50 5,659 RWE AG Pfd DEM50 ..................................................... 675 188,640 SAP AG Pfd DEM5 ...................................................... 1,400 212,255 Volkswagen AG Pfd DEM50 .............................................. 200 48,557 -------------- 563,551 -------------- ITALY (0.0%) Fiat SpA Privilege ITL1000 ........................................... 38,100 69,646 La Rinascente SpA Privilege ITL1000 .................................. 2,100 5,460 -------------- 75,106 -------------- PRINCIPAL AMOUNT U.S. GOVERNMENT OBLIGATIONS -(2.2%) United States Treasury Bills 5.02% 21-Mar-96 (a) ..................... $ 5,000,000 4,936,553 -------------- STATE STREET BANK AND TRUST COMPANY INVESTMENT FUNDS FOR TAX EXEMPT RETIREMENT PLANS (16.1%) UNITS ------------ SHORT TERM INVESTMENT FUND ........................................... 35,664,815 35,664,815 - --------------------------------------------------------------------- ------------ -------------- TOTAL INVESTMENTS--100% (Cost $200,392,653) ................................................ $221,776,521 ===================================================================== ============ ==============
(a) At December 31, 1995, U.S. Treasury Bills totalling $4,936,553 and Japanese Yen totalling $2,483,208 were pledged to cover margin requirements for open futures contracts. - ----------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. SAI-150 STATE STREET BANK AND TRUST COMPANY DAILY EAFE FUND NON-LENDING DAILY EAFE FUND Combined Schedule of Investments (showing percentage of total value of investments) December 31, 1995 - ----------------------------------------------------------------------------- The following long futures contracts were open at December 31, 1995:
FUTURES NUMBER OF UNREALIZED CONTRACT CONTRACTS NOTIONAL AMOUNT MATURITY DATE GAIN - --------------------- ----------- ----------------- -------------- ------------ All Ordinaries Index 45 A$ 2,511,000 March 1996 $ (9,057) DAX Index ............ 25 DM 5,696,250 March 1996 (41,955) CAC 40 Index ......... 58 FF 21,929,800 March 1996 69,891 Hang Seng Index ...... 8 HK$ 4,056,000 January 1996 6,014 Nikkei 300 Index .... 912 yen 2,699,520,000 March 1996 1,145,810 FTSE Index ........... 81 pounds sterling March 1996 23,541 7,498,575 MIB 30 Index ......... 4 Lr 569,240,000 March 1996 3,492 ------------ $1,197,736 ============
The outstanding forward foreign currency contracts at December 31, 1995 are as follows:
SETTLEMENT CONTRACTS TO NET UNREALIZED DATE DELIVER IN EXCHANGE FOR GAIN (LOSS) - ------------ -------------- ---------------- -------------- 3/25/96 ..... A $ 99,000 $ 73,072 $ (289) 3/25/96 ..... A $ 82,000 $ 60,713 (53) 3/25/96 ..... $ 1,809,580 A$ 2,454,000 8,854 3/25/96 ..... DM 467,000 $ 327,047 (493) 3/25/96 ..... $ 3,964,103 DM 5,654,000 1,507 3/25/96 ..... $ 139,329 DM 200,000 935 3/25/96 ..... pounds sterling $ 467,185 (348) 2,290,000 3/25/96 ..... pounds sterling pounds sterling $ 4,353,468 21,470,000 29,553 3/25/96 ..... $ 302,627 1,500,000 3,572 3/25/96 ..... Lr 65,000,000 $ 40,339 (190) 3/25/96 ..... Lr246,000,000 $ 153,457 61 3/25/96 ..... $ 523,821 Lr 846,600,000 4,030 3/25/96 ..... yen 143,000,000 $ 1,409,700 6,451 3/25/96 ..... $ 21,190,203 yen 2,124,000,000 (344,170) 3/25/96 ..... $ 4,465,440 yen 449,000,000 (58,910) pounds sterling pounds sterling 3/25/96 ..... 282,000 $ 437,495 525 3/25/96 ..... $ 9,730,822 6,322,000 64,331 pounds sterling 3/25/96 ..... $ 691,200 450,000 6,000 -------------- $(278,634) ==============
Currency Legend - ---------------- A$ Australian Dollar pounds sterling British Pound Sterling FF French Franc DM German mark HK$ Hong Kong Dollar Lr Italian Lira yen Japanese Yen $ U.S. Dollar The accompanying notes are an integral part of these financial statements. SAI-151 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trusts and Trustee of the State Street Bank and Trust Company Daily Government/Corporate Fund In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of the State Street Bank and Trust Company Daily Government/Corporate Fund (the "Fund") at December 31, 1995, the results of its operations, the changes in its net assets and the selected per unit data for the periods indicated, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Fund's Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 11, 1996 SAI-152 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Statement of Assets and Liabilities December 31, 1995 - -----------------------------------------------------------------------------
ASSETS Investments in securities, at value (cost $1,893,956,981) ............................................... $ 1,981,627,886 Receivable for investments sold ...................................... 18,632,288 Interest receivable .................................................. 31,458,902 - --------------------------------------------------------------------- --------------- Total assets ...................................................... 2,031,719,076 - --------------------------------------------------------------------- --------------- LIABILITIES Payable to custodian ................................................. 4,674 Payable for investments purchased .................................... 40,188,752 Payable for fund units redeemed ...................................... 95,717 Accrued expenses ..................................................... 37,376 - --------------------------------------------------------------------- --------------- Total liabilities ................................................. 40,326,519 - --------------------------------------------------------------------- --------------- NET ASSETS (equivalent to $11.49 per unit based on 173,284,014 units outstanding) ........................................................ $ 1,991,392,557 ===================================================================== ===============
- ----------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. SAI-153 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Statement of Operations Year ended December 31, 1995 - -----------------------------------------------------------------------------
INVESTMENT INCOME Interest .................................................................. $ 111,724,907 - --------------------------------------------------------------------------- -------------- EXPENSES Custody ................................................................... 187,130 Audit ..................................................................... 18,000 - --------------------------------------------------------------------------- -------------- Total expenses .......................................................... 205,130 - --------------------------------------------------------------------------- -------------- Net investment income ................................................... 111,519,777 - --------------------------------------------------------------------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS Net realized gain (loss) on investments ................................... 70,530,694 Net change in unrealized appreciation (depreciation) on investments ...... 113,689,214 - --------------------------------------------------------------------------- -------------- Net realized and unrealized gain (loss) ................................... 184,219,908 - --------------------------------------------------------------------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ........... $ 295,739,685 =========================================================================== ==============
The accompanying notes are an integral part of these financial statements SAI-154 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Statement of Changes in Net Assets
YEAR ENDED DECEMBER 31, 1995 1994 - ---------------------------------------------------------------------------- --------------- --------------- FROM OPERATIONS Net investment income ....................................................... $ 111,519,777 $ 33,433,508 Net realized gain (loss) on investments ..................................... 70,530,694 (12,081,986) Net realized gain (loss) on futures contracts ............................... 0 (2,137,898) Net change in unrealized appreciation (depreciation) on investments ........ 113,689,214 (22,316,173) Net change in unrealized gain (loss) on futures contracts ................... 0 (62,907) - ---------------------------------------------------------------------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations .......... 295,739,685 (3,165,456) - ---------------------------------------------------------------------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Proceeds from units issued Units issued throughout the period ......................................... 728,525,510 226,504,641 Units issued in connection with the merger of the Government/Corporate Bond Fund ................................................................. 0 1,107,313,694 Cost of units redeemed ...................................................... (573,312,350) (112,893,225) - ---------------------------------------------------------------------------- --------------- --------------- Net increase (decrease) in net assets resulting from participant transactions ............................................................... 155,213,160 1,220,925,110 - ---------------------------------------------------------------------------- --------------- --------------- Net increase (decrease) in net assets ....................................... 450,952,845 1,217,759,654 NET ASSETS Beginning of year ........................................................... 1,540,439,712 322,680,058 - ---------------------------------------------------------------------------- --------------- --------------- END OF YEAR ................................................................. $ 1,991,392,557 $ 1,540,439,712 ============================================================================ =============== =============== NUMBER OF UNITS Outstanding--beginning of year .............................................. 160,075,471 32,460,814 Issued Throughout the period ...................................................... 68,144,527 23,418,271 In connection with the merger of the Government/Corporate Bond Fund ....... 0 115,949,078 Redeemed .................................................................... (54,935,984) (11,752,692) - ---------------------------------------------------------------------------- --------------- --------------- Outstanding--end of year .................................................... 173,284,014 160,075,471 - ---------------------------------------------------------------------------- --------------- ---------------
- ----------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. SAI-155 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Selected Per Unit Data (For a Unit of Participation Outstanding Throughout the Period)
YEAR ENDED PERIOD ENDED ------------------------------ -------------- DECEMBER 31, DECEMBER 31, DECEMBER 31, 1995 1994 1993* - ------------------------------------------------------- -------------- -------------- -------------- Net investment income** ................................ $ 0.70 $ 0.73 $ 0.11 Net realized and unrealized gain (loss) ................ 1.17 (1.05) (0.17) - ------------------------------------------------------- -------------- -------------- -------------- Net increase (decrease) ................................ 1.87 (0.32) (0.06) NET ASSET VALUE Beginning of period .................................... 9.62 9.94 10.00 - ------------------------------------------------------- -------------- -------------- -------------- END OF PERIOD .......................................... $ 11.49 $ 9.62 $ 9.94 - ------------------------------------------------------- -------------- -------------- -------------- - -------------------------------------------------------------------------------------------------------- Total return (a)*** .................................... 19.44% 3.22% 3.27% - ------------------------------------------------------- -------------- -------------- -------------- - -------------------------------------------------------------------------------------------------------- Ratio of expenses to average net assets (a) ........... 0.01% 0.01% 0.02% Ratio of net investment income to average net assets (a) 6.53% 6.81% 5.94% Portfolio turnover ..................................... 611% 144% 23% Net assets, end of year (000s) ......................... $ 1,991,393 $1,540,440 $322,680 - ------------------------------------------------------- -------------- -------------- --------------
- ------------ (a) 1993 data annualized. * Investment operations commenced on October 25, 1993. ** Net investment income has been calculated based upon an average of monthly units outstanding. *** Total return calculation is based on the value of a single unit of participation outstanding throughout the period. It represents the percentage change in the net asset value per unit between the beginning and end of the period. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. The accompanying notes are an integral part of these financial statements. SAI-156 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE The State Street Bank and Trust Company ("State Street Bank") Daily Government/Corporate Fund (the "Fund") is a fixed income fund formed under a Declaration of Trust dated February 21, 1991 as amended and restated through July 19, 1991. The Fund's objective is to match or exceed the return of the Lehman Brothers Aggregate Bond Index. State Street Bank is the Fund's Trustee and custodian. State Street Global Advisors, a division of State Street Bank, is the Fund's investment manager. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments in securities listed on a national securities exchange and over-the-counter securities are valued at the last reported sale price on the valuation date, or if no sale price was reported on the valuation date, the last published sale price. Short-term investments are stated at amortized cost which approximates market. Investments in registered investment companies or other State Street Bank Investment Funds for Tax Exempt Retirement Plans are valued at net asset value per share/unit on the valuation date. Certain investments are valued at fair value on the basis of valuations furnished by a pricing service, approved by the Trustee, which determines valuations using methods based on market transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date (date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Fund in connection with the issuance and redemption of its units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered and the net gain or loss on securities sold is determined using the average cost method. Interest income, net of applicable withholding taxes, is recorded on the accrual basis. Interest income is increased by accretion of discount and reduced by amortization of premium. C. INCOME TAXES It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal income taxes and no federal income tax provision is required. D. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION The net asset value of the Fund is determined each business day (valuation date). Issuances and redemptions of Fund units are made on such days and at such unit principal values. E. EXPENSES According to the Declaration of Trust, the Fund may pay certain expenses for services received during the year. The Trustee is paid a custody fee at the annual rate of .0125% of the Fund's net asset value. SAI-157 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 F. DISTRIBUTIONS TO PARTICIPANTS All net investment income and net realized gains are retained by the Fund. G. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3. INVESTMENT TRANSACTIONS Purchases and sales, excluding short-term investments and including in-kind contributions and redemptions, if any, during the year ended December 31, 1995 were $10,636,210,715 and $10,440,251,592, respectively, resulting in net realized gain (loss) of $70,530,694. Purchases and sales of short-term investments (including maturities) were $2,895,193,339 and $2,798,120,255, respectively. 4. UNITS OF PARTICIPATION Units in excess of 10% of Fund units outstanding at December 31, 1995 held by 3 of the Fund's 27 unitholders aggregated 77% of the Fund's total units outstanding. A redemption by one or more unitholders individually holding 10% or more of Fund units may cause the remaining unitholders to bear proportionately higher operating expenses and otherwise adversely affect the Fund's future liquidity and investment operations. SAI-158 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Schedule of Investments (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------- NOTES & DEBENTURES (62.3%) $ 8,250,000 ABN Amro Bank NV 7.25% .................................. 31-May-05 $ 8,850,947 9,000,000 Advanta Credit Card Master Trust II 6.05% ............... 01-Aug-03 9,116,719 5,000,000 Alabama Power Co. 6.38% ................................. 01-Aug-99 5,094,400 7,350,000 Alltel Corp. 6.75% ...................................... 15-Sep-05 7,665,168 1,000,000 American Express Credit Corp. 7.75% ..................... 01-Mar-97 1,023,580 1,000,000 American General Finance Corp. 7.75% .................... 15-Jan-97 1,020,720 5,000,000 American General Finance Corp. 7.15% .................... 15-May-97 5,104,120 1,000,000 American General Finance Corp. 6.63% .................... 01-Jun-97 1,013,950 3,000,000 American General Finance Corp. 8.25% .................... 15-Jan-98 3,148,200 1,000,000 American General Finance Corp. 8.50% .................... 15-Aug-98 1,069,020 9,150,000 American General Finance Corp. 6.88% .................... 01-Jul-99 9,458,465 4,000,000 Aristar Inc. 7.38% ...................................... 15-Feb-97 4,072,760 1,682,000 Aristar Inc. 8.13% ...................................... 01-Dec-97 1,755,705 300,000 Aristar Inc. 5.75% ...................................... 15-Jul-98 300,741 2,245,380 Arkansas State Development Finance Authority 9.75% ..... 15-Nov-05 2,644,114 2,000,000 Associates Corp. of North America 6.88% ................. 15-Jan-97 2,023,160 10,128,000 Associates Corp. of North America 8.63% ................. 15-Jun-97 10,554,035 3,409,000 Associates Corp. of North America 6.61% ................. 16-Jun-97 3,458,328 1,000,000 Associates Corp. of North America 6.63% ................. 15-Nov-97 1,018,760 5,000,000 Associates Corp. of North America 7.30% ................. 15-Mar-98 5,169,200 1,295,000 Associates Corp. of North America 8.80% ................. 01-Aug-98 1,388,525 7,200,000 Associates Corp. of North America 6.38% ................. 15-Aug-98 7,338,816 10,160,000 Associates Corp. of North America 6.25% ................. 15-Mar-99 10,303,134 1,000,000 Australia (Commonwealth of) 7.63% ....................... 15-Sep-97 1,034,652 8,500,000 Bellsouth Telecommunications 6.38% ...................... 15-Jun-04 8,734,260 1,100,000 Beneficial Corp. 9.05% .................................. 14-Mar-97 1,144,188 682,000 Beneficial Corp. 9.40% .................................. 30-Jun-97 719,762 2,550,000 Beneficial Corp. 9.50% .................................. 18-Jul-97 2,696,969 1,363,000 Beneficial Corp. 9.00% .................................. 17-Jul-98 1,468,946 6,500,000 Beneficial Corp. 8.00% .................................. 01-Nov-99 6,973,999 10,300,000 Beneficial Corp. 8.31% .................................. 06-Dec-99 11,173,409 1,940,000 Beneficial Corp. 7.99% .................................. 17-Feb-00 2,089,419 10,000,000 Burlington Northern Santa Fe Corp. 6.38% ................ 15-Dec-05 10,043,600 5,000,000 Carter Holt Harvey Ltd. 8.88% ........................... 01-Dec-04 5,802,650 4,061,000 Carter Holt Harvey Ltd. 8.38% ........................... 15-Apr-15 4,623,859 528,833 Case Equipment Loan Trust 7.30% ......................... 15-Mar-02 539,988 6,350,000 Caterpillar Financial Services 6.78% .................... 05-Aug-99 6,539,230 20,128,998 Chase Manhattan Grantor Trust 5.90% ..................... 15-Nov-01 20,223,352 4,000,000 Chemical Master Credit Card Trust 1 6.23% ............... 15-Jun-03 4,088,720 5,000,000 CIT Group Holdings Inc. 8.00% ........................... 13-Jan-97 5,118,100 2,727,000 CIT Group Holdings Inc. 7.00% ........................... 30-Sep-97 2,793,566 5,365,000 CIT Group Holdings Inc. 6.35% ........................... 31-Jul-98 5,457,933 33,000,000 Comerica Bank 6.88% ..................................... 18-Apr-97 33,575,190 13,000,000 Comerica Bank 6.65% ..................................... 01-Jun-00 13,406,770 3,000,000 Commercial Credit Group Inc. 5.70% ...................... 01-Mar-98 3,006,774 2,000,000 Deutsche Bank AG 9.76% .................................. 17-Nov-97 2,148,670 14,315,000 Discover Card Master Trust I 5.40% ...................... 16-Nov-01 14,270,194 23,640,000 Discover Card Trust 6.25% ............................... 16-Aug-00 23,965,050
The accompanying notes are an integral part of these financial statements. SAI-159 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Schedule of Investments (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------- $ 6,300,000 Dresdner Bank AG 6.63% .................................. 15-Sep-05 $ 6,504,120 4,350,000 Enron Corp. 9.65% ....................................... 15-May-01 5,052,960 682,000 Export Development Corp. 7.38% .......................... 01-Feb-97 694,781 8,250,000 First Union Corp. 6.75% ................................. 15-Jan-98 8,435,048 2,250,000 Fleet Norstar Financial Group Inc. 7.65% ................ 01-Mar-97 2,298,038 4,023,000 Ford Credit Auto Loan Master Trust 6.88% ................ 15-Jan-99 4,065,744 13,500,000 Ford Credit Auto Loan Master Trust 7.38% ................ 15-Apr-99 13,803,750 7,700,000 Ford Credit Auto Loan Master Trust 6.50% ................ 15-Aug-02 7,918,911 6,000,000 Ford Motor Credit Co. 7.88% ............................. 15-Jan-97 6,137,760 5,782,000 Ford Motor Credit Co. 5.63% ............................. 03-Mar-97 5,780,555 6,050,000 Ford Motor Credit Co. 7.13% ............................. 01-Dec-97 6,203,791 1,363,000 Ford Motor Credit Co. 8.00% ............................. 01-Dec-97 1,419,592 1,000,000 Ford Motor Credit Co. 9.38% ............................. 15-Dec-97 1,067,280 10,945,000 Ford Motor Credit Co. 5.63% ............................. 15-Dec-98 10,914,956 17,250,000 Ford Motor Credit Co. 5.63% ............................. 15-Jan-99 17,163,922 1,200,000 Ford Motor Credit Co. 8.38% ............................. 15-Jan-00 1,303,584 13,000,000 Ford Motor Credit Co. 6.85% ............................. 15-Aug-00 13,483,730 3,614,000 General Electric Capital Corp. 7.65% .................... 23-Feb-98 3,781,400 3,000,000 General Electric Capital Corp. 8.63% .................... 12-Mar-98 3,198,480 275,000 General Electric Capital Corp. 8.63% .................... 15-Jun-08 331,587 1,295,000 General Electric Co. 7.88% .............................. 01-May-96 1,304,091 23,000,000 General Motors Acceptance Corp. 7.13% ................... 31-Mar-97 23,427,110 8,345,000 General Motors Acceptance Corp. 7.75% ................... 15-Apr-97 8,561,470 2,297,239 General Motors Acceptance Corp. 7.15% ................... 15-Mar-00 2,341,024 1,406,901 Green Tree Financial Corp. 6.45% ........................ 15-May-19 1,418,332 5,000,000 Household Finance Corp. 7.50% ........................... 15-Mar-97 5,109,515 9,000,000 Integra Bank 6.55% ...................................... 15-Jun-00 9,248,130 647,000 International Bank For Reconstruction & Development 9.88% ................................................. 01-Oct-97 694,606 5,000,000 International Bank For Reconstruction & Development 5.20% ................................................. 15-Dec-98 4,963,695 3,850,000 Ireland (Republic of) 9.50% ............................. 03-Apr-00 4,365,319 3,500,000 Ireland (Republic of) 8.63% ............................. 15-Apr-01 3,943,411 10,000,000 Israel US Government Guaranteed Notes 5.25% ............. 15-Sep-00 9,864,090 45,500,000 Israel US Government Guaranteed Notes 8.00% ............. 15-Nov-01 50,586,445 3,580,000 Israel US Government Guaranteed Notes 5.63% ............. 15-Sep-03 3,554,242 4,950,000 Israel US Government Guaranteed Notes 6.63% ............. 15-Feb-04 5,186,664 10,600,000 Israel US Government Guaranteed Notes 7.63% ............. 15-Aug-04 11,839,416 2,055,000 Italy (Republic of) 6.88% ............................... 27-Sep-23 2,006,810 3,500,000 KFW International Finance Inc. 9.15% .................... 30-May-97 3,670,275 2,900,000 KFW International Finance Inc. 9.05% .................... 30-Jul-97 3,053,062 7,000,000 KFW International Finance Inc. 9.38% .................... 15-Jul-98 7,617,400 2,000,000 KFW International Finance Inc. 9.00% .................... 23-Feb-99 2,191,360 4,000,000 KFW International Finance Inc. 8.85% .................... 15-Jun-99 4,401,280 1,000,000 KFW International Finance Inc. 8.62% .................... 15-Oct-01 1,132,670 1,105,000 KFW International Finance Inc. 8.20% .................... 01-Jun-06 1,289,734 9,800,000 KFW International Finance Inc. 8.00% .................... 15-Feb-10 11,367,157 12,400,000 KFW International Finance Inc. 7.00% .................... 01-Mar-13 13,196,328 13,435,000 KFW International Finance Inc. 7.20% .................... 15-Mar-14 14,582,215 16,600,000 Landeskreditbank Baden 7.88% ............................ 15-Oct-01 18,263,652 2,500,000 Manitoba (Province of) 9.50% ............................ 15-Sep-98 2,741,725 1,500,000 Manitoba (Province of) 9.50% ............................ 01-Oct-00 1,724,370
The accompanying notes are an integral part of these financial statements. SAI-160 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Schedule of Investments (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------- $16,426,000 Manitoba (Province of) 7.75% ............................ 01-Feb-02 $17,961,469 5,300,000 Manitoba (Province of) 8.00% ............................ 15-Apr-02 5,877,679 8,500,000 Manitoba (Province of) 6.88% ............................ 15-Sep-02 8,932,395 10,495,000 Manitoba (Province of) 6.75% ............................ 01-Mar-03 10,888,248 2,896,000 Marshall & Ilsley Corp. 7.38% ........................... 31-Oct-97 2,987,600 1,000,000 MBNA Master Credit Card Trust 6.20% ..................... 15-Aug-99 1,010,000 19,488,000 MBNA Master Credit Card Trust 5.40% ..................... 15-Sep-00 19,396,601 1,000,000 Monongahela Power Co. 5.63% ............................. 01-Apr-00 993,870 1,500,000 Mountain States Telephone & Telegraph Co. 5.50% ........ 01-Jun-05 1,436,775 7,020,000 National Australia Bank Ltd. 9.70% ...................... 15-Oct-98 7,714,418 3,500,000 National City Bank 7.25% ................................ 15-Jul-10 3,761,625 8,678,474 NationsBank Auto Grantor Trust 5.85% .................... 15-Jun-02 8,712,375 4,999,000 NationsBank Corp. 6.63% ................................. 15-Jan-98 5,100,250 10,000,000 NationsBank Corp. 7.75% ................................. 15-Aug-15 10,953,500 5,800,000 NationsBank Corp. 7.25% ................................. 15-Oct-25 6,018,544 13,200,000 NBD Bank NA 6.40% ....................................... 27-May-97 13,347,998 5,650,000 NBD Bank NA 6.50% ....................................... 02-Jun-97 5,737,123 3,409,000 NBD Bank NA 6.55% ....................................... 02-Jun-97 3,463,851 1,000,000 New England Telephone & Telegraph Co. 4.63% ............. 01-Jul-05 891,940 13,000,000 New York Telephone Co. 5.63% ............................ 01-Nov-03 12,615,590 14,560,000 New Zealand (Government of) 8.75% ....................... 15-Dec-06 17,654,335 4,500,000 New Zealand (Government of) 9.88% ....................... 15-Jan-11 6,008,310 2,800,000 New Zealand (Government of) 9.13% ....................... 25-Sep-16 3,620,232 3,300,000 New Zealand (Government of) 10.63% ...................... 15-Nov-05 4,416,258 7,500,000 News America Holdings Inc. 7.45% ........................ 01-Jun-00 7,873,140 1,600,000 Norwest Corp. 5.75% ..................................... 15-Mar-98 1,603,008 40,000,000 Norwest Financial Inc. 6.50% ............................ 15-May-97 40,527,640 5,000,000 Norwest Financial Inc. 6.25% ............................ 15-Mar-99 5,059,250 6,650,000 Norwest Financial Inc. 7.25% ............................ 15-Mar-00 7,005,841 1,023,000 Old Kent Bank & Trust Co. 7.50% ......................... 31-Jan-97 1,042,098 2,613,000 Old Kent Bank & Trust Co. 6.88% ......................... 15-Apr-98 2,686,216 4,500,000 Ontario (Province of) 7.75% ............................. 04-Jun-02 4,899,015 5,000,000 PACCAR Financial Corp. 6.08% ............................ 15-Apr-99 5,052,900 20,000,000 Pacificorp 6.63% ........................................ 01-Jun-07 20,530,880 9,000,000 Penney (J C) Inc. 6.38% ................................. 15-Sep-00 9,210,420 5,000,000 PepsiCo Inc. 6.13% ...................................... 15-Jan-98 5,051,050 4,645,000 PepsiCo Inc. 6.80% ...................................... 15-May-00 4,828,199 7,404,000 Pitney Bowes Credit Corp. 5.63% ......................... 15-Feb-97 7,414,869 23,795,000 Premier Auto Trust 5.90% ................................ 06-Jul-99 23,977,180 18,409,000 Premier Auto Trust 6.15% ................................ 06-Mar-00 18,656,233 4,000,000 Premier Auto Trust 6.00% ................................ 06-May-00 4,041,240 5,475,000 Quebec (Province of) 9.13% .............................. 01-Mar-00 6,071,830 1,000,000 Rabobank Nederland 5.77% ................................ 26-Aug-97 1,007,080 4,000,000 Resolution Funding Corp. 8.13% .......................... 15-Oct-19 4,920,625 9,050,000 Sears Credit Account Master Trust II 6.25% .............. 15-Jan-03 9,219,687 5,500,000 Sears Corp. 7.81% ....................................... 18-Mar-97 5,638,897 5,350,000 Sears Roebuck & Co. 7.62% ............................... 03-Nov-97 5,533,452 9,855,000 Shawmut Bank NA 8.63% ................................... 15-Feb-05 11,369,221 5,000,000 Signet Group 5.20% ...................................... 15-Feb-02 4,960,900 11,000,000 Society Bank NA 6.50% ................................... 25-Apr-97 11,102,850
The accompanying notes are an integral part of these financial statements. SAI-161 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Schedule of Investments (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------- $ 2,000,000 Society National Bank 7.13% ............................. 15-Apr-97 $ 2,038,160 10,925,000 Society National Bank 7.25% ............................. 01-Jun-05 11,664,841 12,400,000 Southern New England Telecommunications 6.50% .......... 15-Aug-00 12,743,629 7,000,000 Southwestern Bell Telephone Co. 6.25% ................... 15-Oct-02 7,156,660 7,000,000 SPNB Home Equity Loan 8.85% ............................. 15-May-98 7,312,760 3,000,000 Standard Credit Card Master Trust I 4.65% ............... 07-Mar-99 2,973,750 25,000,000 Standard Credit Card Master Trust I 5.50% ............... 07-Feb-00 24,941,406 5,650,000 Swiss Bank Corp. 7.00% .................................. 15-Oct-15 5,872,949 5,000,000 Telekom Malaysia Berhad 7.88% ........................... 01-Aug-25 5,517,495 10,000,000 Tenneco Inc. 6.50% ...................................... 15-Dec-05 10,054,400 12,359,000 TransAmerica Finance Corp. 6.75% ........................ 15-Aug-97 12,562,676 5,020,000 Union Oil Co. 9.75% ..................................... 01-Dec-00 5,800,710 6,150,000 Union Oil Co. 7.20% ..................................... 15-May-05 6,529,947 2,500,000 US West Communications Inc. 6.38% ....................... 15-Oct-02 2,563,900 6,260,000 US West Communications Inc. 7.25% ....................... 15-Sep-25 6,736,323 29,780,000 Victorian Public Authority Finance Agency 8.45% ........ 01-Oct-01 33,511,315 3,409,000 Wachovia Bank NA 6.55% .................................. 09-Jun-97 3,464,533 5,500,000 Wachovia Bank NA 6.70% .................................. 14-Apr-99 5,670,830 2,750,000 Wachovia Bank NA 7.00% .................................. 12-May-99 2,864,757 5,000,000 Wendy's International Inc. 7.00% ........................ 15-Dec-25 5,057,720 --------------- TOTAL NOTES & DEBENTURES (Cost $1,179,955,078) ......... 1,231,260,872 --------------- U.S. GOVERNMENT AGENCIES (4.7%) 27,225,000 Farm Credit Systems 9.38% ............................... 21-Jul-03 32,969,901 4,428,779 Federal Home Loan Bank 7.50% ............................ 01-Aug-00 4,484,139 8,675,000 Federal Home Loan Bank 6.17% ............................ 08-Mar-01 8,890,858 9,750,000 Federal Home Loan Bank 7.00% ............................ 20-Jun-01 10,374,585 511,653 Government Trust Certificates 8.00% ..................... 15-May-98 525,104 13,634,000 Government Trust Certificates 9.25% ..................... 15-Nov-01 14,993,446 640,000 Government Trust Certificates 9.40% ..................... 15-May-02 713,786 4,885,000 Government Trust Certificates 9.63% ..................... 15-May-02 5,439,252 15,489,684 SBA Participation Certificate 8.10% ..................... 01-Mar-15 16,991,409 --------------- TOTAL U.S. GOVERNMENT AGENCIES (Cost $88,485,554) ...... 95,382,480 --------------- U.S. GOVERNMENT OBLIGATIONS (27.7%) 510,000 US Treasury Bonds 11.88% ................................ 15-Nov-03 712,485 7,700,000 US Treasury Bonds 10.75% ................................ 15-Aug-05 10,579,107 1,000,000 US Treasury Bonds 9.38% ................................. 15-Feb-06 1,285,160 500,000 US Treasury Bonds 12.75% ................................ 15-Nov-10 761,560 25,610,000 US Treasury Bonds 13.25% ................................ 15-May-14 42,888,811 2,435,000 US Treasury Bonds 11.75% ................................ 15-Nov-14 3,780,337 40,000 US Treasury Bonds 11.25% ................................ 15-Feb-15 64,031 4,800,000 US Treasury Bonds 9.88% ................................. 15-Nov-15 6,942,768 1,185,000 US Treasury Bonds 9.25% ................................. 15-Feb-16 1,628,818 3,500,000 US Treasury Bonds 8.75% ................................. 15-May-17 4,628,750 66,200,000 US Treasury Bonds 8.88% ................................. 15-Aug-17 88,666,294 400,000 US Treasury Bonds 9.00% ................................. 15-Nov-18 544,812 7,500,000 US Treasury Bonds 8.88% ................................. 15-Feb-19 10,109,775 5,000,000 US Treasury Bonds 8.13% ................................. 15-Aug-19 6,286,700
The accompanying notes are an integral part of these financial statements. SAI-162 STATE STREET BANK AND TRUST COMPANY DAILY GOVERNMENT/CORPORATE FUND Schedule of Investments (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------- $ 260,000 US Treasury Bonds 8.50% ................................. 15-Feb-20 $ 339,706 1,950,000 US Treasury Bonds 8.75% ................................. 15-Aug-20 2,614,833 2,945,000 US Treasury Bonds 7.88% ................................. 15-Feb-21 3,626,502 16,100,000 US Treasury Bonds 8.00% ................................. 15-Nov-21 20,145,125 46,395,000 US Treasury Bonds 7.25% ................................. 15-Aug-22 53,658,601 1,390,000 US Treasury Bonds 7.13% ................................. 15-Feb-23 1,589,382 10,700,000 US Treasury Bonds 6.25% ................................. 15-Aug-23 11,009,337 2,070,000 US Treasury Bonds 7.50% ................................. 15-Nov-24 2,488,202 46,470,000 US Treasury Bonds 7.63% ................................. 15-Feb-25 56,823,981 55,243,000 US Treasury Bonds 6.88% ................................. 15-Aug-25 62,303,608 500,000 US Treasury Notes 5.63% ................................. 30-Jun-97 503,125 10,500,000 US Treasury Notes 5.75% ................................. 30-Sep-97 10,595,130 5,150,000 US Treasury Notes 5.38% ................................. 30-Nov-97 5,166,892 6,700,000 US Treasury Notes 7.88% ................................. 15-Jan-98 7,040,226 180,000 US Treasury Notes 8.13% ................................. 15-Feb-98 190,350 2,755,000 US Treasury Notes 5.13% ................................. 30-Apr-98 2,749,407 4,704,000 US Treasury Notes 6.13% ................................. 15-May-98 4,798,080 20,128,000 US Treasury Notes 5.88% ................................. 15-Aug-98 20,445,620 10,000,000 US Treasury Notes 5.50% ................................. 15-Nov-98 10,068,010 5,655,000 US Treasury Notes 6.75% ................................. 31-May-99 5,906,817 935,000 US Treasury Notes 7.75% ................................. 31-Dec-99 1,014,625 1,295,000 US Treasury Notes 7.75% ................................. 31-Jan-00 1,406,694 30,000 US Treasury Notes 6.75% ................................. 30-Apr-00 31,570 1,295,000 US Treasury Notes 6.13% ................................. 31-Jul-00 1,333,034 20,300,000 US Treasury Notes 6.25% ................................. 31-Aug-00 21,000,959 545,000 US Treasury Notes 6.13% ................................. 30-Sep-00 561,350 7,200,000 US Treasury Notes 5.75% ................................. 31-Oct-00 7,303,464 12,240,000 US Treasury Notes 5.63% ................................. 30-Nov-00 12,350,894 4,600,000 US Treasury Notes 5.50% ................................. 31-Dec-00 4,623,736 2,000,000 US Treasury Notes 7.50% ................................. 15-Nov-01 2,202,820 3,125,000 US Treasury Notes 6.25% ................................. 15-Feb-03 3,260,250 9,000,000 US Treasury Notes 5.75% ................................. 15-Aug-03 9,108,270 1,225,000 US Treasury Notes 7.88% ................................. 15-Nov-04 1,417,938 23,100,000 US Treasury Notes 5.88% ................................. 15-Nov-05 23,619,750 - ----------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost $520,709,511) .. 550,177,696 - ----------------------------------------------------------------------------------------------------- UNITS - ----------------------------------------------------------------------------------------------------- STATE STREET BANK AND TRUST COMPANY INVESTMENT FUNDS FOR TAX EXEMPT RETIREMENT PLANS--5.30% 104,806,838 Short Term Investment Fund .............................. $ 104,806,838 - ----------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS--100% (Cost $1,893,956,981) .......... $1,981,627,886 =====================================================================================================
The accompanying notes are an integral part of these financial statements. SAI-163 REPORT OF INDEPENDENT ACCOUNTANTS To the Participating Trusts and Trustee of the State Street Bank and Trust Company Short Term Investment Fund In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the selected per unit data present fairly, in all material respects, the financial position of State Street Bank and Trust Company Short Term Investment Fund (the "Fund") at December 31, 1995, the results of its operations, the changes in its net assets and the selected per unit data for the periods indicated, in conformity with generally accepted accounting principles. These financial statements and selected per unit data (hereafter referred to as "financial statements") are the responsibility of the Fund's Trustee; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1995 by correspondence with the custodian, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Boston, Massachusetts March 4, 1996 SAI-164 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Statement of Assets and Liabilities December 31, 1995
ASSETS Investments in securities, at amortized cost ........................... $12,366,961,594 Cash ................................................................... 73 Interest and other receivables ......................................... 89,648,658 - ----------------------------------------------------------------------- ---------------- Total assets ........................................................ 12,456,610,325 - ----------------------------------------------------------------------- ---------------- LIABILITIES Distributions payable .................................................. 63,436,051 Accrued expenses ....................................................... 26,000 - ----------------------------------------------------------------------- ---------------- Total liabilities ................................................... 63,462,051 - ----------------------------------------------------------------------- ---------------- Net assets (equivalent to $1.00 per unit based on 12,393,115,372 units outstanding) .......................................................... $12,393,148,274 ======================================================================= ================
The accompanying notes are an integral part of these financial statements. SAI-165 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Statement of Operations Year ended December 31, 1995 - -----------------------------------------------------------------------------
INVESTMENT INCOME Interest ..................................................... $ 716,490,382 - -------------------------------------------------------------- --------------- EXPENSES Audit ........................................................ 26,000 Other ........................................................ 2,256 - -------------------------------------------------------------- --------------- Total expenses ............................................. 28,256 - -------------------------------------------------------------- --------------- Net investment income ...................................... 716,462,126 - -------------------------------------------------------------- --------------- Net realized gain (loss) on investments ....................... 164,710 - -------------------------------------------------------------- --------------- Net increase (decrease) in net assets resulting from operations ................................................... $ 716,626,836 ============================================================== ===============
The accompanying notes are an integral part of these financial statements. SAI-166 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Statement of Changes in Net Assets
YEAR ENDED DECEMBER 31, ---------------------------------- 1995 1994 - ---------------------------------------------------------------------------- ---------------- ---------------- FROM OPERATIONS Net investment income ..................................................... $ 716,462,126 $ 410,423,557 Net realized gain (loss) on investments ................................... 164,710 (124,066) - --------------------------------------------------------------------------- --------------- ---------------- Net increase in net assets resulting from operations ...................... 716,626,836 410,299,491 - --------------------------------------------------------------------------- --------------- ---------------- Distributions from net investment income .................................. (716,462,126) (410,423,557) - --------------------------------------------------------------------------- --------------- ---------------- FROM PARTICIPANT TRANSACTIONS (at constant $1.00 per unit): Proceeds from units issued ................................................ 42,906,095,439 81,637,161,336 Cost of units redeemed .................................................... (39,752,331,248) (85,055,659,469) - --------------------------------------------------------------------------- --------------- ---------------- Net increase (decrease) in net assets resulting from participant transactions ............................................................. 3,153,764,191 (3,418,498,133) - --------------------------------------------------------------------------- --------------- ---------------- Net increase (decrease) in net assets ..................................... 3,153,928,901 (3,418,622,199) NET ASSETS Beginning of year ......................................................... 9,239,219,373 12,657,841,572 - --------------------------------------------------------------------------- --------------- ---------------- End of year ............................................................... $ 12,393,148,274 $ 9,239,219,373 =========================================================================== ================ ================
The accompanying notes are an integral part of these financial statements. SAI-167 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Selected Per Unit Data (For a Unit of Participation Outstanding Throughout Each Year)
YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------- 1995 1994 1993 1992 1991 - ------------------------------------------ ------------- ------------ ------------- ------------- ----------- Net investment income ..................... $ 0.0604 $ 0.0424 $ 0.0336 $ 0.0402 $ 0.0630 Net realized gain (loss) .................. 0.0000 0.0000 0.0000 0.0000 0.0000 - ------------------------------------------ ------------- ------------ ------------- ------------- ----------- Net change in net assets resulting from operations ............................... 0.0604 0.0424 0.0336 0.0402 0.0630 - ------------------------------------------ ------------- ------------ ------------- ------------- ----------- Distributions from net investment income . $ 0.0604 $ 0.0424 $ 0.0336 $ 0.0402 $ 0.0630 ========================================== ============= ============ ============= ============= =========== Total return** ............................ 6.21% 4.32% 3.41% 4.09% 6.49% Ratio of expenses to average net assets* . --% --% --% --% --% Ratio of net investment income average net assets ................................... 6.04% 4.24% 3.36% 4.02% 6.30% Net assets, end of year (000s) ............ $12,393,148 $9,239,219 $12,657,842 $10,016,685 $8,149,591 ========================================== ============= ============ ============= ============= ===========
- ------------ * Less than 0.01%. ** Total return calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Fund. This result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. The accompanying notes are an integral part of these financial statements. SAI-168 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 1. INVESTMENT OBJECTIVE The State Street Bank and Trust Company ("State Street Bank") Short Term Investment Fund (the "Fund") is a money market pooled fund formed under a Declaration of Trust dated May 19, 1983, as amended and restated through August 1, 1992. The Fund's objective is to maintain a diversified portfolio of short-term securities. The investments of the Fund are currently limited to high-quality bonds, notes, commercial paper and other evidences of indebtedness which are payable on demand or which have a maturity date not exceeding three months from the date of purchase, except that up to 20% of the Fund's investments may be placed in securities with a maturity date not exceeding 13 months. State Street Bank is the Fund's Trustee and custodian. State Street Global Advisors, a division of State Street Bank, is the Fund's investment manager. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION Investments are stated at amortized cost, which approximates market value. B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date (date the order to buy or sell is executed). The cost of securities contributed to, and proceeds related to securities delivered by, the Fund in connection with the issuance and redemption of its units of participation are based on the valuations of those securities determined as described above. The cost of securities delivered and the net gain or loss on securities sold is determined using the average cost method. Interest income is recorded on the accrual basis. Interest income is increased by accretion of discount and reduced by amortization of premium. C. INCOME TAXES it is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal income taxes and no federal income tax provision is required. D. ISSUANCE AND REDEMPTION OF UNITS OF PARTICIPATION Issuances and redemptions of participant units are made on each day the New York Stock Exchange is open (valuation date). Participant units are typically purchased and redeemed at a constant net asset value of $1.00 per unit. In the event that a significant disparity exists between the constant net asset value and the market based net asset value of the Fund, the Trustee may determine that continued redemption at a constant $1.00 net asset value will create inequitable results for the Fund's unitholders. In these circumstances, the Trustee, at its sole discretion and acting on behalf of the Fund's unitholders, may direct that units be redeemed at the market based net asset value until such time as the disparity between the market based and the constant net asset value per unit is deemed to be immaterial. E. EXPENSES According to Declaration of Trust, the Fund may pay certain expenses for services received during the year. SAI-169 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1995 F. DISTRIBUTIONS TO PARTICIPANTS Distributions from net investment income are recorded on each valuation date and distributed monthly. All net realized gains are retained by the Fund. G. USE OF ESTIMATES The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3. INVESTMENT TRANSACTIONS Purchases and sales of short-term investments (including maturities) during the year ended December 31, 1995 were $921,587,021,547 and $918,651,347,966, respectively. 4. UNITS OF PARTICIPATION None of the Fund's unitholders held a position in excess of 10% of the Fund's units outstanding at December 31, 1995. SAI-170 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Schedule of Investments (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL MATURITY AMOUNT DATE AMORTIZED COST - ----------------------------------------------------------------------------------------------------- SHORT TERM INSTRUMENTS (90.6%) $100,000,000 Abbey National Treasury Services PLC 5.81% . 07-Feb-96 $ 100,000,000 50,000,000 Abbey National Treasury Services PLC 6.76% . 02-Apr-96 50,001,196 33,000,000 ABN Amro 5.56% .............................. 05-Jun-96 32,949,704 75,000,000 ABN Amro Bank NV 5.81% ...................... 31-Jan-96 75,000,619 23,000,000 American Express Centurion Bank 5.93% ...... 19-Jan-96* 23,000,000 25,000,000 American Express Centurion Bank 5.75% ...... 24-Jan-96* 25,000,000 40,000,000 Ameritech Capital Funding Corp. 5.30% ...... 12-Jun-96 39,040,111 35,000,000 Ameritech Corp. 5.60% ....................... 08-Mar-96 34,635,222 50,000,000 ANZ Delaware 5.72% .......................... 12-Jan-96 49,912,611 50,000,000 ANZ Delaware 5.72% .......................... 16-Jan-96 49,880,833 50,000,000 Australia & New Zealand Banking Group 5.66% 04-Mar-96 49,504,750 18,000,000 Avco Financial Services Inc. 5.70% .......... 26-Feb-96 17,840,400 60,000,000 Bank America 5.88% .......................... 15-Aug-96 59,955,427 100,000,000 Bank America Illinois Chicago 5.70% ........ 25-Sep-96 99,907,975 75,000,000 Bank of America 5.81% ....................... 16-Jan-96 75,000,000 75,000,000 Bank of America 5.75% ....................... 14-Feb-96 75,000,000 100,000,000 Bank of New York 7.72% ...................... 04-Jan-96 100,000,000 80,000,000 Bank of New York 6.85% ...................... 11-Mar-96 79,996,348 18,500,000 Bank of New York (Wilmington) 5.23% ........ 03-Jan-96* 18,499,293 75,000,000 Bank of Nova Scotia 5.88% ................... 30-Jan-96 75,000,000 20,800,000 BankAmerica Corp. 5.00% ..................... 01-Jun-96 20,713,175 100,000,000 Bayerische Hypotheken 5.81% ................. 02-Jan-96 100,000,028 50,000,000 Bayerische Vereinsbank AG (Cayman) 5.76% ... 01-Feb-96 50,000,426 20,500,000 Bell Atlantic Network Funding 5.70% ........ 29-Jan-96 20,409,117 50,000,000 Beneficial Corp. 5.78% ...................... 01-Jan-96* 50,041,410 25,000,000 Boatmens National Bank 5.91% ................ 12-Jan-96* 24,998,922 450,000,000 Branch Bank & Trust Co. 6.13% ............... 02-Jan-96 450,000,000 15,212,000 British Telecommunications PLC 5.65% ....... 23-Feb-96 15,085,466 98,000,000 Canadian Imperial Bank 5.88% ................ 24-Jan-96 98,000,000 50,000,000 Cheltenham & Glouster Building 5.64% ....... 26-Feb-96 49,561,722 75,000,000 Cheltenham & Glouster Building 5.58% ....... 07-Mar-96 74,232,750 98,000,000 CIT Group Holdings Inc. 5.55% ............... 01-Jan-96* 97,911,804 70,000,000 Comerica Bank 5.22% ......................... 03-Jan-96* 69,984,103 25,000,000 Comerica Bank 5.81% ......................... 22-Jan-96 25,000,000 50,000,000 Comerica Bank 6.18% ......................... 28-May-96 50,044,958 100,000,000 Commerzbank AG 5.71% ........................ 15-Feb-96 100,001,237 70,000,000 Commerzbank AG US Finance 6.40% ............. 02-Jan-96 69,987,555 50,000,000 Commerzbank AG US Finance 5.81% ............. 04-Jan-96 49,975,792 65,000,000 Commerzbank AG US Finance 5.69% ............. 14-Feb-96 64,547,961 49,000,000 Daimler-Benz North America 5.67% ............ 08-Feb-96 48,706,735 100,000,000 Den Danske Bank 5.84% ....................... 31-Jan-96 100,000,000 25,000,000 E.I. Du Pont de Nemours & Co. 5.58% ........ 16-Feb-96 24,821,750 48,000,000 FCC National Bank 5.59% ..................... 01-Jan-96* 47,968,288 145,000,000 FCC National Bank 5.61% ..................... 01-Jan-96* 144,914,963 50,000,000 FCC National Bank 5.74% ..................... 05-Feb-96 49,997,124 80,000,000 FCC National Bank 5.90% ..................... 16-Aug-96 79,952,246 50,000,000 FCC National Bank 5.90% ..................... 21-Aug-96 49,966,453 75,000,000 FCC National Bank 5.70% ..................... 02-Oct-96 74,905,391
The accompanying notes are an integral part of these financial statements. SAI-171 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Schedule of Investments (Continued) (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL MATURITY AMOUNT DATE AMORTIZED COST - ----------------------------------------------------------------------------------------------------- $100,000,000 Federal Farm Credit Bank 5.70% .............. 01-Jan-96* $ 99,993,311 60,000,000 Federal Farm Credit Bank 6.38% .............. 01-May-96 60,020,947 45,000,000 Federal Farm Credit Bank 6.07% .............. 03-Jun-96 44,983,622 128,000,000 Federal Home Loan Bank 5.79% ................ 02-Jan-96* 127,897,673 75,000,000 Federal Home Loan Bank 5.73% ................ 20-Jan-96* 74,943,116 123,735,000 Federal Home Loan Bank 6.85% ................ 28-Feb-96 123,743,798 140,000,000 Federal Home Loan Bank 5.73% ................ 02-Jan-96* 139,877,557 110,000,000 Federal Home Loan Bank 5.56% ................ 26-Jan-96* 109,923,818 31,000,000 Federal Home Loan Mortgage Corp. 6.01% ..... 13-May-96 30,982,561 100,000,000 Federal National Mortgage Association 5.53% 01-Jan-96* 99,940,219 75,000,000 Federal National Mortgage Association 5.80% 03-Jan-96* 74,932,918 100,000,000 Federal National Mortgage Association 5.15% 03-Jan-96* 99,997,579 159,000,000 Federal National Mortgage Association 5.25% 03-Jan-96* 158,906,304 45,000,000 Federal National Mortgage Association 5.79% 16-Jan-96* 44,983,618 25,000,000 Federal National Mortgage Association 5.60% 12-Feb-96 24,836,667 40,000,000 Federal National Mortgage Association 6.86% 28-Feb-96 40,021,811 45,000,000 Federal National Mortgage Association 5.49% 29-Apr-96 44,183,362 80,000,000 Federal National Mortgage Association 5.50% 12-Jun-96 79,853,567 89,295,000 Federal National Mortgage Association 5.59% 21-Jun-96 89,191,678 105,000,000 Federal National Mortgage Association 5.59% 01-Jul-96 104,924,469 48,000,000 Federal National Mortgage Association 5.44% 21-Nov-96 47,931,025 45,000,000 Federal National Mortgage Association 5.39% 04-Dec-96 44,942,159 21,500,000 Federal National Mortgage Association 5.37% 18-Dec-96 21,470,224 250,000,000 Fifth Third Bank 5.88% ...................... 02-Jan-96 250,000,000 60,000,000 Fifth Third Bank 5.60% ...................... 19-Jan-96 59,994,731 172,000,000 First Bank NA 5.88% ......................... 17-Jan-96* 171,992,107 125,000,000 First Bank NA 5.90% ......................... 17-Jan-96* 124,996,236 100,000,000 First Fidelity Bank NA 6.00% ................ 02-Jan-96 100,000,000 40,000,000 First Union National Bank 5.59% ............. 01-Jan-96* 39,993,844 50,000,000 First Union National Bank 5.77% ............. 31-Jan-96 50,000,000 50,000,000 First Union National Bank 5.76% ............. 01-Feb-96 50,000,000 100,000,000 First Union National Bank 5.80% ............. 02-Feb-96 100,000,000 50,000,000 First Union National Bank 5.78% ............. 09-Feb-96 50,000,000 100,000,000 Fleet Financial Group Inc. 5.61% ............ 01-Jan-96* 99,975,789 109,173,000 Fleet National Bank 5.50% ................... 02-Jan-96 109,173,000 10,000,000 Ford Motor Credit Co. 6.22% ................. 04-Jan-96 9,994,816 30,000,000 Ford Motor Credit Co. 6.22% ................. 05-Jan-96 29,979,267 15,000,000 Ford Motor Credit Co. 5.78% ................. 01-Feb-96 14,925,342 8,850,000 Ford Motor Credit Co. 9.20% ................. 08-Mar-96 8,898,701 50,000,000 General Electric Capital (Puerto Rico) 5.60% 02-Apr-96 49,284,444 50,000,000 General Electric Capital (Puerto Rico) 5.58% 10-Apr-96 49,225,000 90,000,000 General Electric Capital Corp. 5.85% ....... 01-Jan-96* 90,000,000 100,000,000 General Electric Capital Corp. 5.75% ....... 12-Jan-96 99,824,305 70,000,000 General Electric Capital Corp. 5.88% ....... 12-Jan-96 70,000,000 50,000,000 General Electric Capital Corp. 5.68% ....... 09-Feb-96 49,692,333 100,000,000 General Electric Capital Corp. 5.70% ....... 13-Feb-96 99,319,167 48,000,000 General Electric Capital Corp. 5.75% ....... 14-Mar-96* 48,000,000 64,270,000 General Electric Capital Corp. 7.85% ....... 17-Jul-96 64,927,721 85,000,000 Glaxo Wellcome PLC 5.64% .................... 27-Feb-96 84,241,623 53,900,000 Hanson Finance UK PLC 5.78% ................. 19-Jan-96 53,744,229
The accompanying notes are an integral part of these financial statements. SAI-172 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Schedule of Investments (Continued) (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL MATURITY AMOUNT DATE AMORTIZED COST - ----------------------------------------------------------------------------------------------------- $ 86,000,000 Hanson Finance UK PLC 5.66% ................. 23-Feb-96 $ 85,283,381 100,000,000 Hewlett Packard Co. 5.67% ................... 08-Feb-96 99,401,500 51,000,000 Hewlett Packard Co. 5.55% ................... 05-Mar-96 50,496,800 218,000,000 Household Finance Corp. 5.58% ............... 01-Jan-96* 217,828,062 100,000,000 IBM Credit Corp. 5.71% ...................... 01-Jan-96* 99,998,301 14,000,000 IBM Credit Corp. 6.40% ...................... 24-Apr-96 14,025,430 30,000,000 IBM Credit Corp. 6.10% ...................... 15-May-96 29,986,463 48,000,000 IBM Credit Corp. 5.94% ...................... 29-Jul-96 47,998,904 60,000,000 Key Bank 5.43% .............................. 01-Jan-96* 59,958,385 75,000,000 Key Bank 5.44% .............................. 01-Jan-96* 74,951,858 100,000,000 Key Bank 5.58% .............................. 01-Jan-96* 99,956,178 48,000,000 Key Bank 6.40% .............................. 26-Apr-96 48,012,477 20,000,000 KFW International Finance Inc. 5.70% ....... 24-Jan-96 19,927,167 23,000,000 Kredetbank North America 5.77% .............. 08-Jan-96 22,974,195 20,000,000 Kredetbank North America 5.64% .............. 16-Jan-96 19,953,000 22,000,000 Kredetbank North America 5.64% .............. 22-Jan-96 21,927,620 27,000,000 Kredetbank North America 5.71% .............. 31-Jan-96 26,871,525 20,000,000 MCI Communications 5.66% .................... 21-Feb-96 19,839,633 75,000,000 Morgan J P & Co., Inc. 6.20% ................ 13-May-96 74,998,641 51,000,000 Morgan J P & Co., Inc. 5.97% ................ 21-Aug-96 50,990,585 100,000,000 Morgan J P & Co., Inc. 5.60% ................ 02-Feb-96 99,502,222 100,000,000 National Australia Funding 5.69% ............ 13-Feb-96 99,320,361 44,000,000 National Westminster Bank 5.81% ............. 12-Jan-96 44,000,133 88,000,000 National Westminster Bank PLC 5.78% ........ 16-Jan-96 87,999,172 50,000,000 NationsBank of Texas NA 7.55% ............... 09-Jan-96 50,015,717 99,000,000 Norddeutsche Landesbank Giroz 5.79% ........ 08-Jan-96 98,999,714 100,000,000 Northern Trust Co. (Illinois) 5.88% ........ 02-Jan-96 100,000,000 50,000,000 Old Kent Bank & Trust Co. 5.75% ............. 26-Jan-96* 50,000,000 196,000,000 PNC Bank NA 5.76% ........................... 02-Jan-96* 195,856,070 100,000,000 PNC Bank NA 5.87% ........................... 16-Jan-96* 99,964,345 65,000,000 PNC Bank NA 5.65% ........................... 29-Jan-96* 64,952,289 25,000,000 Rockwell International Corp. 5.69% .......... 17-Jan-96 24,936,778 21,815,000 Rockwell International Corp. 5.69% .......... 18-Jan-96 21,756,384 14,200,000 Royal Bank of Canada 5.32% .................. 06-Jun-96 13,870,544 100,000,000 SMM Trust 5.94% ............................. 16-Jan-96* 99,990,463 33,000,000 Society National Bank 6.30% ................. 09-May-96 33,046,408 500,000,000 Suntrust Banks Inc. 5.88% ................... 02-Jan-96 500,000,000 50,000,000 Transamerica Corp. 5.97% .................... 22-Jan-96 49,825,875 20,000,000 U.S. National Bank 5.78% .................... 05-Jan-96 19,999,950 40,000,000 U.S. National Bank 6.25% .................... 08-May-96 39,996,742 50,000,000 United States Treasury Bills 6.14% .......... 08-Feb-96 49,676,208 10,000,000 United States Treasury Bills 5.30% .......... 25-Jul-96 9,696,722 23,000,000 United States Treasury Bills 5.44% .......... 25-Jul-96 22,284,694 30,000,000 United States Treasury Bills 5.46% .......... 25-Jul-96 29,062,700 80,000,000 US Treasury Notes 6.50% ..................... 30-Sep-96 80,410,192 80,000,000 Wachovia Bank NA 5.88% ...................... 08-Jan-96* 79,996,065 31,250,000 Wachovia Bank NA 5.75% ...................... 16-Jan-96* 31,250,614 150,000,000 Wachovia Bank NA 5.86% ...................... 16-Jan-96* 149,979,314 125,000,000 Wachovia Bank NA 5.63% ...................... 22-Jan-96* 124,878,189 23,000,000 Wells Fargo & Co. 5.86% ..................... 20-Mar-96* 23,009,264
The accompanying notes are an integral part of these financial statements. SAI-173 STATE STREET BANK AND TRUST COMPANY SHORT TERM INVESTMENT FUND Schedule of Investments (Continued) (showing percentage of total value of investments) December 31, 1995
- ----------------------------------------------------------------------------------------------------- PRINCIPAL MATURITY AMOUNT DATE AMORTIZED COST - ----------------------------------------------------------------------------------------------------- $50,000,000 Westdeutsche Landesbank 5.81% ............... 10-Jan-96 $ 50,000,000 69,000,000 Westdeutsche Landesbank 5.80% ............... 16-Jan-96 69,000,000 75,000,000 Westdeutsche Landesbank 5.75% ............... 01-Feb-96 75,000,000 50,000,000 Westpac Capital Corp. 5.52% ................. 12-Jan-96 49,915,667 30,000,000 Westpac Capital Corp. 5.82% ................. 16-Jan-96 30,000,123 50,000,000 Westpac Capital Corp. 5.58% ................. 18-Jan-96 49,868,250 50,000,000 Westpac Capital Corp. 5.81% ................. 26-Jan-96 50,000,337 40,000,000 Westpac Capital Corp. 5.63% ................. 02-Feb-96 39,799,822 49,000,000 Westpac Capital Corp. 5.32% ................. 11-Jun-96 47,826,940 50,000,000 Woolwich Building Society 5.64% ............. 04-Jan-96 49,976,500 68,000,000 Woolwich Building Society 5.68% ............. 06-Feb-96 67,613,760 - -------------- ---------------------- ...................... ------------ ---------------- TOTAL SHORT TERM INSTRUMENTS (Cost $11,207,177,156) ...... $11,207,177,156 - -------------- ----------------------------- ............................. ----------------
PRINCIPAL AMOUNT REPURCHASE AGREEMENTS -- 8.4% DRESDNER BANK AG 5.93% (COLLATERALIZED BY U.S. TREASURY NOTES AND BONDS 4.75%-11.625% DUE 500,000,000 4/15/96-11/15/16, valued at $510,618,854) ...... 500,000,000 Dresdner Bank AG 5.95% (Collateralized by U.S. Treasury Notes 4.375%-9.25% due 3/31/96-2/15/03 475,000,000 valued at $484,962,628) ......................... 475,000,000 Union Bank of Switzerland 5.95% (Collateralized by U.S. Treasury Note 7.5% due 11/30/99 valued 63,040,000 at $64,451,700) ................................. 63,040,000 - ------------- ------------------------ ........................ -------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,038,040,000) ................................. 1,038,040,000 ============= ======================== ........................ ==============
UNITS OTHER -- 1.0% 121,744,438 Seven Seas Money Market Fund (a) ............ 121,744,438 - --------------- ---------------------- ...................... -------------- TOTAL INVESTMENTS--100% (Cost $12,366,961,594) ............................ $12,366,961,594 - --------------- ---------------------- ...................... --------------
- ------------ * Variable rate security. Rate disclosed is that which was in effect at December 31, 1995. Date disclosed is the next interest rate reset date. (a) Registered Investment Company advised by State Street Global Advisors. The accompanying notes are an integral part of these financial statements. SAI-174 Supplement dated May 1, 1996 to Prospectus dated May 1, 1996 MEMBERS RETIREMENT PROGRAMS funded under contracts with THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES 787 Seventh Avenue, New York, New York 10019 Toll-Free Telephone 800-223-5790 ------------------------------- VARIABLE ANNUITY BENEFITS ------------------------------- This Prospectus Supplement should be read and retained for future reference by Participants in the Members Retirement Programs who are considering variable annuity payment benefits after retirement. This Prospectus Supplement is not authorized for distribution unless accompanied or preceded by the Prospectus dated May 1, 1996 for the appropriate Members Retirement Program. - ------------------------------------------------------------------------------ THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND EXCHANGE COMMISSION NOR HAS THE COMMISSION PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS: ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. - ------------------------------------------------------------------------------ RETIREMENT BENEFITS When you become eligible to receive benefits under a Members Retirement Program, you may select one or more of the following forms of distribution, which are available in variable or fixed form. The law requires that if the value of your Account Balance is more than $3,500, you must receive a Qualified Joint and Survivor Annuity unless your Spouse consents to a different election. Life Annuity - an annuity providing monthly payments for your life. No payments will be made after your death, even if you have received only one payment. Life Annuity - Period Certain - an annuity providing monthly payments for your life or, if longer, a specified period of time. If you die before the end of that specified period, payments will continue to your beneficiary until the end of the period. Subject to legal limitations, you may specify a minimum payment period of 5, 10, 15 or 20 years; the longer the specified period, the smaller the monthly payments will be. Joint and Survivor Annuity - Period Certain - an annuity providing monthly payments for your life and that of your beneficiary or, if longer, a specified period of time. If you and your beneficiary both die before the end of the specified period, payments will continue to your contingent beneficiary until the end of the period. Subject to legal limitations, you may specify a minimum payment period of 5, 10, 15 or 20 years; the longer the specified period, the smaller the monthly payments will be. How Annuity Payments are Made When your distribution of benefits under an annuity begins, your Units in the Funds are redeemed. Part or all of the proceeds, plus part or all of your Account Balance in the General Account Options, may be used to purchase an annuity. The minimum amount that can be used to purchase any type of annuity is $3,500. Usually, a $350 charge will be deducted from the amount used to purchase the annuity to reimburse us for administrative expenses associated with processing the application and with issuing each month's annuity payment. Applicable premium taxes will also be deducted. Annuity payments may be fixed or variable. FIXED ANNUITY PAYMENTS. Fixed annuity payments are determined from our annuity rate tables in effect at the time the first annuity payment is made. The minimum amount of the fixed payments is determined from tables in our contract with the Trustees, which show the amount of proceeds necessary to purchase each $1 of monthly annuity payments (after deduction of any applicable taxes and the annuity administrative charge). These tables are -2- designed to determine the amounts required to pay for the annuity selected, taking into account our administrative and investment expenses and mortality and expense risks. The size of your payment will depend upon the form of annuity chosen, your age and the age of your beneficiary if you select a joint and survivor annuity. If our current group annuity rates for payment of proceeds would produce a larger payment, those rates will apply instead of the minimums in the contract tables. If we give any group pension client with a qualified plan a better annuity rate than those currently available for the Program, we will also make those rates available to Program participants. The annuity administrative charge may be greater than $350 in that case. Under our contract with the Trustees, we may change the tables but not more frequently than once every five years. Fixed annuity payments will not fluctuate during the payment period. VARIABLE ANNUITY PAYMENTS. Variable annuity payments are funded through our Separate Account No. 4 (Pooled) (the "Fund"), through the purchase of Annuity Units. The number of Annuity Units purchased is equal to the amount of the first annuity payment divided by the Annuity Unit Value for the due date of the first annuity payment. The amount of the first annuity payment is determined in the same manner for a variable annuity as it is for a fixed annuity. The number of Annuity Units stays the same throughout the payment period for the variable annuity but the Annuity Unit Value changes to reflect the investment income and the realized and unrealized capital gains and losses of the Fund, after adjustment for an assumed base rate of return of 5-3/4%, described below. The amounts of variable annuity payments are determined as follows: Payments normally start as of the first day of the second calendar month following our receipt of the proper forms. The first two monthly payments are the same. Payments after the first two will vary according to the investment performance of the Fund. Each monthly payment will be calculated by multiplying the number of Annuity Units credited to you by the Annuity Unit Value for the first business day of the calendar month before the due date of the payment. The Annuity Unit Value was set at $1.1553 as of July 1, 1969, the first day that Separate Account No. 4 (Pooled) was operational. For any month after that date, it is the Annuity Unit Value for the preceding month multiplied by the change factor for the current month. The change factor gives effect to the assumed annual base rate of return of 5-3/4% and to the actual investment experience of the Fund. -3- Because of the adjustment for the assumed base rate of return, the Annuity Unit Value rises and falls depending on whether the actual rate of investment return is higher or lower than 5-3/4%. Illustration of Changes in Annuity Payments. To show how we determine variable annuity payments from month to month, assume that the amount you applied to purchase an annuity is enough to fund an annuity with a monthly payment of $363 and that the Annuity Unit Value for the due date of the first annuity payment is $1.05. The number of annuity units credited under your certificate would be 345.71 (363 / 1.05 = 345.71). If the third monthly payment is due on March 1, and the Annuity Unit Value for February was $1.10, the annuity payment for March would be the number of units (345.71) times the Annuity Unit Value ($1.10), or $380.28. If the Annuity Unit Value was $1.00 on March 1, the annuity payment for April would be 345.71 times $1.00 or $345.71. Summary of Annuity Unit Values for the Fund This table shows the Annuity Unit Values with an assumed based rate of return of 5-3/4%.
First Business Day of Annuity Unit Value --------------------- ------------------ October 1986 $3.4330 October 1987 $4.3934 October 1988 $3.5444 October 1989 $4.8357 October 1990 $3.8569 October 1991 $5.4677 October 1992 $5.1818 October 1993 $6.3886 October 1994 $6.1563 October 1995 $7.4970
THE FUND The Fund (Separate Account No. 4 (Pooled)) was established pursuant to the Insurance Law of the State of New York in 1969. It is an investment account used to fund benefits under group annuity contracts and other agreements for tax-deferred retirement programs administered by us. -4- For a full description of the Fund, its investment policies, the risks of an investment in the Fund and information relating to the valuation of Fund assets, see the description of the Fund in our May 1, 1996 prospectus and the Statement of Additional Information. INVESTMENT MANAGER The Manager We, Equitable Life, act as Investment Manager to the Fund. As such, we have complete discretion over Fund assets and we invest and reinvest these assets in accordance with the investment policies described in our May 1, 1996 prospectus and Statement of Additional Information. We are a New York stock life insurance company with our Home Office at 787 Seventh Avenue, New York, New York 10019. Founded in 1859, we are one of the largest insurance companies in the United States. Equitable Life, the Holding Co. and their subsidiaries managed assets of approximately $195.3 billion as of December 31, 1995. Investment Management In providing investment management to the Funds, we currently use the personnel and facilities of Alliance Capital Management L.P. ("Alliance"), for portfolio selection and transaction services. For a description of Alliance, see our May 1, 1996 prospectus. Fund Transactions The Fund is charged for securities brokers commissions, transfer taxes and other fees relating to securities transactions. Transactions in equity securities for the Fund are executed primarily through brokers which are selected by Alliance/Equitable Life and receive commissions paid by the Fund. For 1995 and 1994, the Fund paid $6,044,623 and $4,738,796, respectively, in brokerage commissions. For a full description of our policies relating to the selection of brokers, see the description of the Fund in our May 1, 1996 Statement of Additional Information. -5- FINANCIAL STATEMENTS The financial statements of the Fund reflect applicable fees, charges and other expenses under the Members Programs as in effect during the periods covered, as well as the charges against the account made in accordance with the terms of all other contracts participating in the account. Separate Account No. 4 (Pooled): Page Report of Independent Accountants - Price Waterhouse LLP 7 Statement of Assets and Liabilities, December 31, 1995 8 Statement of Operations and Changes in Net Assets for the Years Ended December 31, 1995 and 1994 9 Portfolio of Investments December 31, 1995 10 Notes to Financial Statements 14 -6- REPORT OF INDEPENDENT ACCOUNTANTS To the Board of Directors of The Equitable Life Assurance Society of the United States and the Participants in the Association Members Retirement Program In our opinion, the accompanying statement of assets and liabilities, including the portfolios of investments, and the related statements of operations and changes in net assets present fairly, in all material respects, the financial position of Separate Account No. 4 of The Equitable Life Assurance Society of the United States ("Equitable Life") at December 31, 1995, and its results of operations and changes in net assets for each of the two years in the period then ended, in conformity with generally accepted accounting principles. These financial statements are the responsibility of Equitable Life's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1995 by correspondence with the custodian and brokers, the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP New York, NY February 7, 1996 -7- SEPARATE ACCOUNT NO. 4 (POOLED) (THE GROWTH EQUITY FUND) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statement of Assets and Liabilities December 31, 1995 - -----------------------------------------------------------------------------
ASSETS: Investments (Notes 2 and 3): Common stocks--at value (cost: $1,772,607,539) ....................... $2,071,380,232 Long-term debt securities--at value (amortized cost: $43,389,734) .... 35,481,250 Participation in Separate Account No. 2A--at amortized cost, which approximates market value, equivalent to 62,384 units at $241.89 ............................................................ 15,090,212 Cash ................................................................... 3,285,960 Receivables: Securities sold ...................................................... 15,481,889 Dividends ............................................................ 1,693,035 Interest ............................................................. 59,583 ---------------------------------------------------------------------- -------------- Total assets ....................................................... 2,142,472,161 ---------------------------------------------------------------------- -------------- LIABILITIES: Payables: Securities purchased ................................................. 10,088,399 Due to Equitable Life's General Account .............................. 5,686,050 Investment management fees payable ................................... 7,255 Accrued expenses ....................................................... 521,041 Amount retained by Equitable Life in Separate Account No. 4 (Note 1) .. 1,044,875 ---------------------------------------------------------------------- -------------- Total liabilities .................................................. 17,347,620 -------------- Net Assets (Note 1): Net assets attributable to participants' accumulations ................. 2,102,751,745 Reserves and other contract liabilities attributable to annuity benefits ............................................................... 22,372,796 ---------------------------------------------------------------------- -------------- NET ASSETS ............................................................. $2,125,124,541 ====================================================================== ==============
See Notes to Financial Statements. -8- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Statements of Operations and Changes in Net Assets - -----------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 1995 1994 - -------------------------------------------------------------------------- -------------- --------------- FROM OPERATIONS: INVESTMENT INCOME (NOTE 2): Dividends (net of foreign taxes withheld--1995: $239,657 and 1994: $280,079) ................................................................ $ 19,610,344 $ 18,981,135 Interest and amortization of premium ...................................... (852,218) 120,286 - -------------------------------------------------------------------------- -------------- -------------- Total ..................................................................... 18,758,126 19,101,421 EXPENSES -- (NOTE 4) ...................................................... (16,007,109) (14,943,802) - -------------------------------------------------------------------------- -------------- -------------- NET INCOME ................................................................ 2,751,017 4,157,619 - -------------------------------------------------------------------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 2): Realized gain from security and foreign currency transactions ............ 260,870,246 121,640,003 - -------------------------------------------------------------------------- -------------- -------------- Unrealized appreciation (depreciation) of investments and foreign currency transactions: ............................................................ Beginning of year ........................................................ 41,831,973 211,185,607 End of year .............................................................. 290,870,386 41,831,973 - -------------------------------------------------------------------------- -------------- -------------- Change in unrealized appreciation/depreciation ............................ 249,038,413 (169,353,634) - -------------------------------------------------------------------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS .................... 509,908,659 (47,713,631) - -------------------------------------------------------------------------- -------------- -------------- Increase (decrease) in net assets attributable to operations ............. 512,659,676 (43,556,012) - -------------------------------------------------------------------------- -------------- -------------- FROM CONTRIBUTIONS AND WITHDRAWALS: Contributions ............................................................. 422,289,107 435,940,867 Withdrawals ............................................................... (474,530,080) (528,069,361) - -------------------------------------------------------------------------- -------------- -------------- Decrease in net assets attributable to contributions and withdrawals ..... (52,240,973) (92,128,494) - -------------------------------------------------------------------------- -------------- -------------- Decrease in accumulated amount retained by Equitable Life in Separate Account No. 4 (Note 1) ........................ 113,489 449,257 - -------------------------------------------------------------------------- -------------- -------------- INCREASE (DECREASE) IN NET ASSETS ......................................... 460,532,192 (135,235,249) NET ASSETS -- BEGINNING OF YEAR ........................................... 1,664,592,349 1,799,827,598 - -------------------------------------------------------------------------- -------------- -------------- NET ASSETS -- END OF YEAR ................................................. $2,125,124,541 $1,664,592,349 ========================================================================== ============== ==============
See Notes to Financial Statements. -9- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Portfolio of Investments December 31, 1995
NUMBER OF VALUE SHARES (NOTE 3) - ---------------------------------------------------------- ------------ ------------- COMMON STOCKS: BASIC MATERIALS (0.3%) CHEMICALS--SPECIALTY UCAR International, Inc.* ................................. 175,000 $ 5,906,250 ------------- BUSINESS SERVICES ENVIRONMENTAL CONTROL (0.2%) Rollins Environmental Services, Inc.* ..................... 1,054,700 3,032,263 USA Waste Services, Inc.* ................................. 120,000 2,265,000 ------------- 5,297,263 ------------- PRINTING, PUBLISHING & BROADCASTING (1.2%) Australis Media Ltd. ...................................... 4,500,250 3,846,532 Australis Media Ltd. Conv. Note* .............................................. 22,000,000 18,804,225 IVI Publishing, Inc.* ..................................... 121,700 1,597,313 ------------- 24,248,070 ------------- PROFESSIONAL SERVICES (0.1%) Loewen Group, Inc. ........................................ 50,000 1,265,625 ------------- TOTAL BUSINESS SERVICES (1.5%) ............................ 30,810,958 ------------- CAPITAL GOODS (2.3%) AEROSPACE General Motors Corp. (Class H) ............................ 1,000,000 49,125,000 ------------- CONSUMER CYCLICALS AIRLINES (1.9%) America West Airlines, Inc. (Class B)* .................... 750,000 12,750,000 Delta Air Lines, Inc. ..................................... 160,000 11,820,000 USAir Group, Inc.* ........................................ 1,000,000 13,250,000 Worldcorp, Inc.* .......................................... 339,300 3,393,000 ------------- 41,213,000 ------------- APPAREL, TEXTILE (0.5%) Cone Mills Corp.* ......................................... 371,000 4,173,750 Nine West Group, Inc.* .................................... 200,000 7,500,000 ------------- 11,673,750 ------------- FOOD SERVICES, LODGING (0.3%) La Quinta Motor Inns, Inc. ................................ 200,000 5,475,000 ------------- HOUSEHOLD FURNITURE, APPLIANCES (1.0%) Industrie Natuzzi (ADR) ................................... 480,000 21,780,000 ------------- LEISURE-RELATED (2.0%) ITT Corp. ................................................. 800,000 42,400,000 ------------- RETAIL-GENERAL (2.6%) Federated Department Stores, Inc.* ........................ 750,000 20,625,000 Lowes Cos., Inc. .......................................... 450,000 15,075,000 Office Depot, Inc.* ....................................... 300,000 5,925,000 Office Max, Inc.* ......................................... 100,000 2,237,500 Tandy Corp. ............................................... 260,000 10,790,000 ------------- 54,652,500 ------------- TOTAL CONSUMER CYCLICALS (8.3%) ........................... 177,194,250 -------------
-10- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Portfolio of Investments (Continued) December 31, 1995
NUMBER OF VALUE SHARES (NOTE 3) - ---------------------------------------------------------- ------------ ------------- CONSUMER NONCYCLICALS DRUGS (1.0%) Biogen, Inc.* ............................................. 45,000 $ 2,767,500 Centocor, Inc.* ........................................... 325,000 10,034,375 MedImmune, Inc.* .......................................... 145,400 2,908,000 Merck & Co., Inc. ......................................... 70,000 4,602,500 ------------- 20,312,375 ------------- HOSPITAL SUPPLIES & SERVICES (6.3%) Amsco International, Inc.* ................................ 150,000 2,231,250 Columbia/HCA Healthcare Corp. ............................. 800,000 40,600,000 Sun Healthcare Group, Inc.* ............................... 1,191,000 16,078,500 Surgical Care Affiliates, Inc. ............................ 2,188,300 74,402,200 ------------- 133,311,950 ------------- TOBACCO (10.4%) Loews Corp. ............................................... 2,250,000 176,343,750 Philip Morris Cos., Inc. .................................. 500,000 45,250,000 ------------- 221,593,750 ------------- TOTAL CONSUMER NONCYCLICALS (17.7%) ....................... 375,218,075 ------------- CREDIT-SENSITIVE FINANCIAL SERVICES (3.1%) Dean Witter Discover & Co. ................................ 50,000 2,350,000 A.G. Edwards, Inc. ........................................ 220,000 5,252,500 Household International, Inc. ............................. 130,000 7,686,250 Legg Mason, Inc. .......................................... 850,000 23,375,000 Merrill Lynch & Co., Inc. ................................. 550,000 28,050,000 ------------- 66,713,750 ------------- INSURANCE (12.5%) CNA Financial Corp.* ...................................... 1,552,500 176,208,750 ITT Hartford Group, Inc. .................................. 800,000 38,700,000 Life Re Corp. ............................................. 700,000 17,500,000 NAC Re Corp. .............................................. 575,000 20,700,000 Travelers Group, Inc. ..................................... 200,000 12,575,000 ------------- 265,683,750 ------------- REAL ESTATE (0.3%) Walden Residential Properties, Inc. ....................... 308,000 6,429,500 ------------- UTILITY -- TELEPHONE (7.7%) Century Telephone Enterprises, Inc. ....................... 397,800 12,630,150 Telephone & Data Systems, Inc. ............................ 3,825,000 151,087,500 ------------- 163,717,650 ------------- TOTAL CREDIT-SENSITIVE (23.6%) ............................ 502,544,650 ------------- ENERGY COAL & GAS PIPELINES (0.0%) Abraxas Petroleum Corp.* .................................. 100,000 625,000 ------------- OIL -- DOMESTIC (0.7%) Louisiana Land & Exploration Corp. ........................ 200,000 8,575,000 Snyder Oil Corp. .......................................... 500,000 6,062,500 ------------- 14,637,500 -------------
-11- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Portfolio of Investments (Continued) December 31, 1995
NUMBER OF VALUE SHARES (NOTE 3) - ---------------------------------------------------------- ------------ ------------- OIL -- INTERNATIONAL (1.6%) Gulf Canada Resources Ltd. ORD* ........................... 530,000 $ 2,186,250 Imperial Oil Ltd. ......................................... 859,000 31,031,375 ------------- 33,217,625 ------------- OIL -- SUPPLIES & CONSTRUCTION (4.5%) ENSCO International, Inc.* ................................ 500,000 11,500,000 Noble Drilling Corp.* ..................................... 1,000,000 9,000,000 Parker Drilling Co.* ...................................... 6,000,000 36,750,000 Rowan Cos., Inc.* ......................................... 3,300,000 32,587,500 Seagull Energy Corp.* ..................................... 250,000 5,562,500 ------------- 95,400,000 ------------- RAILROADS (0.3%) Union Pacific Corp. ....................................... 100,000 6,600,000 ------------- TOTAL ENERGY (7.1%) ....................................... 150,480,125 ------------- TECHNOLOGY ELECTRONICS (13.5%) American Superconductor Corp.* ............................ 149,000 2,160,500 Bay Networks, Inc.* ....................................... 300,000 12,337,500 Cisco Systems, Inc.* ...................................... 1,315,000 98,131,875 General Instrument Corp.* ................................. 3,260,000 76,202,500 ITT Industries, Inc. ...................................... 800,000 19,200,000 National Semiconductor Corp.* ............................. 2,000,000 44,500,000 Texas Instruments, Inc. ................................... 200,000 10,350,000 3Com Corp.* ............................................... 500,000 23,312,500 ------------- 286,194,875 ------------- OFFICE EQUIPMENT (1.8%) Compaq Computer Corp.* .................................... 500,000 24,000,000 Sun Microsystems, Inc.* ................................... 300,000 13,687,500 ------------- 37,687,500 ------------- OFFICE EQUIPMENT SERVICES (0.2%) Informix Corp.* ........................................... 55,000 1,650,000 Oracle Corp.* ............................................. 80,000 3,390,000 ------------- 5,040,000 ------------- TELECOMMUNICATIONS (21.2%) AirTouch Communications, Inc.* ............................ 40,000 1,130,000 American Satellite Network -- Rights* ..................... 70,000 0 Cellular Communications, Inc. (Class A)* .................. 869,268 43,246,083 Cellular Communications Puerto Rico, Inc.* ................ 322,500 8,949,375 DSC Communications Corp.* ................................. 650,000 23,968,750 Mannesmann AG ............................................. 120,000 38,196,841 Mannesmann AG (ADR) ....................................... 200,000 63,600,000 Millicom International Cellular S.A.* ..................... 1,700,000 51,850,000 Nokia Corp. (ADR) ......................................... 600,000 23,325,000 Rogers Cantel Mobile Communications, Inc. (Class B) (ADR)* 900,000 23,850,000 Scientific Atlanta, Inc. .................................. 2,035,000 30,525,000 Tellabs, Inc.* ............................................ 450,000 16,650,000 U.S. Cellular Corp.* ...................................... 2,650,000 89,437,500 Vanguard Cellular Systems, Inc. (Class A)* ................ 1,800,000 36,450,000 ------------- 451,178,549 ------------- TOTAL TECHNOLOGY (36.7%) .................................. 780,100,924 -------------
-12- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Portfolio of Investments (Concluded) December 31, 1995
PRINCIPAL AMOUNT VALUE (NOTE 3) - --------------------------------------------------------------------------- ------------ -------------- TOTAL COMMON STOCKS (97.5%) (Cost $1,772,607,539) ..................................................... $2,071,380,232 -------------- LONG-TERM DEBT SECURITIES: BUSINESS SERVICES (0.2%) PROFESSIONAL SERVICES First Financial Management Corp. 5.0% Conv., 1999 .......................................................... $ 2,000,000 3,245,000 -------------- TECHNOLOGY ELECTRONICS (1.4%) General Instrument Corp. 5.0% Conv., 2000 .......................................................... 26,600,000 29,592,500 -------------- TELECOMMUNICATIONS (0.1%) U.S. Cellular Corp. Zero Coupon Conv., 2015 ................................................... 7,500,000 2,643,750 -------------- TOTAL TECHNOLOGY (1.5%) .................................................... 32,236,250 -------------- TOTAL LONG-TERM DEBT SECURITIES (1.7%) (Amortized Cost $43,389,734) .............................................. 35,481,250 -------------- PARTICIPATION IN SEPARATE ACCOUNT NO. 2A, at amortized cost, which approximates market value, equivalent to 62,384 units at $241.89 each (0.7%) .................................................... 15,090,212 -------------- TOTAL INVESTMENTS (99.9%) (Cost /Amortized Cost $1,831,087,485) ..................................... 2,121,951,694 CASH AND RECEIVABLES LESS LIABILITIES (0.1%) ............................... 4,217,722 AMOUNT RETAINED BY EQUITABLE LIFE IN SEPARATE ACCOUNT NO. 4 (0.0%) (NOTE 1). ....................................................................... (1,044,875) -------------- NET ASSETS (100.0%) (NOTE 1) ............................................... $2,125,124,541 ============== Reserves attributable to participants' accumulations ....................... $2,102,751,745 Reserves and other contract liabilities attributable to annuity benefits .. 22,372,796 -------------- NET ASSETS (100.0%) ........................................................ $2,125,124,541 ============== * Non-income producing.
See Notes to Financial Statements. -13- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Notes to Financial Statements 1. Separate Account No. 4 (Pooled) (the Growth Equity Fund) (the Fund) of The Equitable Life Assurance Society of the United States (Equitable Life), a wholly-owned subsidiary of The Equitable Companies Incorporated, was established in conformity with the New York State Insurance Law. Pursuant to such law, to the extent provided in the applicable contracts, the net assets in the Fund is not chargeable with liabilities arising out of any other business of Equitable Life. The excess of assets over reserves and other contract liabilities amounting to $1,044,875 as shown in the Statements of Assets and Liabilities in Separate Account No. 4 may be transferred to Equitable Life's General Account. At December 31, 1995 and 1994, interests of retirement and investment plans for Equitable Life employees, managers, and agents in Separate Account No. 4 aggregated $246,531,777 (11.6%) and $184,086,304 (11.1%), respectively, of the net assets in the Fund. Equitable Life is the investment manager for the Fund. Alliance Capital Management L.P. (Alliance) serves as the investment adviser to Equitable Life with respect to the management of the Fund. Alliance is a publicly-traded limited partnership which is indirectly majority-owned by Equitable Life. Equitable Life and Alliance seek to obtain the best price and execution of all orders placed for the Fund considering all circumstances. In addition to using brokers and dealers to execute portfolio security transactions for accounts under their management, Equitable Life and Alliance may also enter into other types of business and securities transactions with brokers and dealers, which will be unrelated to allocation of the Funds' portfolio transactions. The accompanying financial statements are prepared in conformity with generally accepted accounting principles (GAAP). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 2. Security transactions are recorded on the trade date. Amortized cost of debt securities consists of cost adjusted, where applicable, for amortization of premium or accretion of discount. Dividend income is recorded on the ex-dividend date; interest income (including amortization of premium and discount on securities using the effective yield method) is accrued daily. Realized gains and losses on the sale of investments are computed on the basis of the identified cost of the related investments sold. Transactions denominated in foreign currencies are recorded at the rate prevailing at the date of such transactions. Asset and liability accounts that are denominated in a foreign currency are adjusted to reflect the current exchange rate at the end of the period. Transaction gains or losses resulting from changes in the exchange rate during the reporting period or upon settlement of the foreign currency transactions are reflected under "Realized and Unrealized Gain (Loss) on Investments" in the Statements of Operations and Changes in Net Assets. -14- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Notes to Financial Statements (Continued) Equitable Life's internal short-term investment account, Separate Account No. 2A, was established to provide a more flexible and efficient vehicle to combine and invest temporary cash positions of certain eligible accounts (Participating Funds) under Equitable Life's management. Separate Account No. 2A invests in debt securities maturing in sixty days or less from the date of acquisition. At December 31, 1995, the amortized cost of investments held in Separate Account No. 2A consists of the following: - -----------------------------------------------------------------------------
AMORTIZED COST % - -------------------------------------------------------- -------------- -------- Certificates of Deposit, 5.80% due 01/31/96 ............. $ 20,000,000 6.7% Commercial Paper, 5.53%-5.87% due 1/12/96 through 2/23/96 ................................................ 262,329,329 88.0 Time Deposits, 5.875% due 01/02/96 ...................... 800,000 0.3 Variable Rate LIBOR, 5.968% due 01/08/96 ................ 15,000,000 5.0 - -------------------------------------------------------- -------------- -------- Total Investments ....................................... 298,129,329 100.0 Cash and Receivables Less Liabilities ................... 63,333 0.0 - -------------------------------------------------------- -------------- -------- Net Assets of Separate Account No. 2A ................... $298,192,662 100.0% ======================================================== ============== ======== Units Outstanding ....................................... 1,232,756 Unit Value .............................................. $ 241.89
Participating Funds purchase or redeem units depending on each participating account's excess cash availability or cash needs to meet its liabilities. Separate Account No. 2A is not subject to investment management fees. Separate Account No. 2A is valued daily at amortized cost, which approximates market value. For 1995 and 1994, investment security transactions, excluding short-term debt securities, were as follows: - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 COST OF NET PROCEEDS PURCHASES OF SALES - ----------------------------------------------- -------------- -------------- Stocks and long-term corporate debt securities: 1995 ......................................... $2,037,876,834 $2,082,648,235 1994 ......................................... 1,556,068,225 1,644,508,525 U.S. Government obligations: 1995 ......................................... -- -- 1994 ......................................... -- --
---------------------------------------------------------------------------- 3. Investment securities are valued as follows: Stocks listed on national securities exchanges and certain over-the-counter issues traded on the National Association of Securities Dealers, Inc. Automated Quotation (NASDAQ) national market system are valued at the last sale price, or, if no sale, at the latest available bid price. Foreign securities not traded directly, or in American Depository Receipt (ADR) form in the United States, are valued at the last sale price in the local currency on an exchange in the country of origin. Foreign currency is converted into its 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. -15- SEPARATE ACCOUNT NO. 4 (POOLED) OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Notes to Financial Statements (Concluded) Long-term publicly traded corporate bonds are valued at prices obtained from a bond pricing service of a major dealer in bonds when such prices are available; however, in circumstances where Equitable Life and Alliance deem it appropriate to do so, an over-the-counter or exchange quotation may be used. Convertible preferred stocks listed on national securities exchanges are valued at their last sale price or, if there is no sale, at the latest available bid price. Convertible bonds and unlisted convertible preferred stocks are valued at bid prices obtained from one or more major dealers in such securities; where there is a discrepancy between dealers, values may be adjusted based on recent premium spreads to the underlying common stock. Other assets that do not have a readily available market price are valued at fair value as determined in good faith by Equitable Life's investment officers. Separate Account No. 2A is valued daily at amortized cost, which approximates market value. Short-term debt securities purchased directly by the Fund which mature in 60 days or less are valued at amortized cost. Short-term debt securities which mature in more than 60 days are valued at representative quoted prices. 4. Charges and fees are deducted in accordance with the terms of the various contracts which participate in the Fund. With respect to the Members Retirement Plan and Trust, these expenses consist of investment management and accounting fees, program expense charge, direct expenses and record maintenance and report fee. These charges and fees are paid to Equitable Life by the Fund and are recorded as expenses in the accompanying Statements of Operations and Changes in Net Assets. 5. No Federal income tax based on net income or realized and unrealized capital gains was applicable to contracts participating in the Fund for the two years ended December 31, 1995, by reason of applicable provisions of the Internal Revenue Code and no Federal income tax payable by Equitable Life for such years will affect such contracts. Accordingly, no Federal income tax provision is required. -16- PART C OTHER INFORMATION Item 24. Financial Statements and Exhibits (a) Financial Statements included in Part B. The following are included in the Statement of Additional Information relating to the American Dental Association Members Retirement Program: 1. Separate Account No. 195: - Report of Independant Accountants - Statement of Assets and Liabilities, December 31, 1995 - Statements of Operations and Changes in Net Assets for the Period from February 1, 1994 (commencement of operations) to December 31, 1994 and the Year Ended December 31, 1995. - Notes to Financial Statements 2. Separate Account No. 197: - Report of Independant Accountants - Statement of Assets and Liabilities, December 31, 1995 - Statements of Operations and Changes in Net Assets for the Period from May 1, 1994 (commencement of operations) to December 31, 1995. - Notes to Financial Statements 3. Separate Account No. 198: - Report of Independant Accountants - Statement of Assets and Liabilities, December 31, 1995 - Statements of Operations and Changes in Net Assets for the Period from May 1, 1994 (commencement of operations) to December 31, 1995. - Notes to Financial Statements 4. The Equitable Life Assurance Society of the United States: - Report of Independent Accountants - Price Waterhouse - Consolidated Balance Sheets, December 31, 1995 and 1994 - Consolidated Statements of Earnings for the Years Ended December 31, 1995, 1994 and 1993 - Consolidated Statements of Equity for Years Ended December 31, 1995, 1994 and 1993 - Consolidated Statements of Cash Flows for the Years Ended December 31, 1995, 1994 and 1993 - Notes to Consolidated Financial Statements 5. Lifecycle Group Trust - Conservative: - Report of Independent Accountants - Lifecycle Group Trust - Conservative - Statements of Assets and Liabilities, December 31, 1995 - Statements of Operations for the Year Ended December 31, 1995 - Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 C-1 - Selected Per Unit Data - Notes to Financial Statements - Schedule of Investments, December 31, 1995 6. Lifecycle Group Trust - Moderate: - Report of Independent Accountants - Lifecycle Group Trust - Moderate - Statements of Assets and Liabilities, December 31, 1995 - Statements of Operations for the Year Ended December 31, 1995 - Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 - Selected Per Unit Data - Notes to Financial Statements - Schedule of Investments, December 31, 1995 7. S&P 500 Flagship Fund: - Report of Independent Accountants - S&P 500 Index with Futures: - Combined Statements of Assets and Liabilities Ended December 31, 1995 - Combined Statements of Operations for the Years Ended December 31, 1995 and 1994 - Combined Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 Schedule of Investments, December 31, 1995 8. Russell 2000 Fund: - Report of Independent Accountants - Russell 2000 Fund Statements of Assets and Liabilities, December 31, 1995 Statements of Operations for the Year Ended December 31, 1995 - Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 - Selected Per Unit Data - Notes to Financial Statements - Schedule of Investments, December 31, 1995 9. Daily EAFE Fund: - Report of Independent Accountants - Daily EAFE Fund Statements of Assets and Liabilities, December 31, 1995 Statements of Operations for the Year Ended December 31, 1995 - Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 - Selected Per Unit Data - Notes to Financial Statements - Schedule of Investments, December 31, 1995 10. Daily Government/Corporate Bond Fund: - Report of Independent Accountants - Daily Government/Corporate Bond Fund - Statements of Assets and Liabilities, December 31, 1995 - Statements of Operations for the Year Ended December 31, 1995 - Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 - Selected Per Unit Data - Notes to Financial Statements - Schedule of Investments, December 31, 1995 C-2 11. Short Term Investment Fund: - Report of Independent Accountants - Short Term Investment Fund - Statements of Assets and Liabilities, December 31, 1995 - Statements of Operations for the Year Ended December 31, 1995 - Statements of Changes in Net Assets for the Years Ended December 31, 1995 and 1994 Selected Per Unit Data - Notes to Financial Statements Schedule of Investments, December 31, 1995 (b) Exhibits. The following Exhibits are filed herewith: 1.(a) Resolutions of the Board of Directors of The Equitable Life Assurance Society of the United States ("Equitable") authorizing the establishment of Separate Accounts Nos. 197 and 198, incorporated by reference to Registration Statement No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (b) Action by Brian S. O'Neil, Executive Vice President and Chief Investment Officer of Equitable, dated October, 1993 establishing Separate Account No. 195 and copies of resolutions of the Board of Directors of Equitable referenced in said action, incorporated by reference to Registration Statement No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. 2. Not applicable. 3. (a)(1)Service Agreement, effective as of February 1, 1994, among The Seven Seas Series Fund, Russell Fund Distributors, Inc. in its capacity as distributor of the Seven Seas Series Fund and The Equitable Life Assurance Society of the United States, incorporated by reference to Registration No.33-75614 on Form N-4 of Registrant, filed on February 23, 1994. (a)(2)Service Agreement, effective as of February 1, 1994, between State Street Bank and Trust Company and The Equitable Life Assurance Society of The United States, incorporated by reference to Registration No.33-75614 on Form N-4 of Registrant, filed on February 23, 1994. (b) Letter Agreement between The Equitable Life Assurance Society of the United States and the Trustees of the American Dental Association Members Retirement Trust and Trustees of the American Dental Association Members Pooled Trust for Retirement, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on April 29, 1994. (c) Letter Agreement between The Equitable Life Assurance Society of the United States and the Trustees of the American Dental Association Members Retirement Trust and Trustees of the American Dental Association Members Pooled Trust for Retirement, incorporated by reference to C-3 Registration No. 33-75616 on Form N-4 of Registrant, filed on April 28, 1995. (d) Form of Agreement, effective as of May 1, 1995, between State Street Bank and Trust Company and The Equitable Life Assurance Society of the United States regarding Lifecycle Fund Group Trusts and Underlying Funds, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on April 28, 1995. 4. (a) Exhibit 6(a)(2) (Group Annuity Contract AC 2100, as amended and restated effective February 1, 1991 on contract Form No. APC 1,000-91, among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States), incorporated by reference to Post-Effective Amendment No. 1 on Form N-3 to Registration Statement 33-40162, filed on December 20, 1991. (b) Rider No. 1 to Group Annuity Contract AC 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States, incorporated by reference to Registration No. 33-46995 on Form N-3 of Registrant, filed on April 8, 1992. (c) Form of Rider No. 2 to Group Annuity Contract AC 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States, incorporated by reference to Registration No. 33-46995 on Form N-3 of Registrant, filed on April 8, 1992. (d) Rider No. 3 to Group Annuity Contract AC 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States. (Filed as Exhibit 4(i) to Registration No. 33-75616 on Form N-4 of Registrant, filed on April 29, 1994.) (e) Form of Rider No. 4 to Group Annuity Contract AC 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on April 29, 1994. (f) Form of Rider No. 5 to Group Annuity Contract AC 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States, incorporated by C-4 reference to Registration No. 33-75616 on Form N-4 of Registrat, filed on February 27, 1995. (g) Form of Rider No. 6 to Group Annuity Contract 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States. (h) Form of Rider No. 7 to Group Annuity Contract 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States. (i) Form of Rider No. 8 to Group Annuity Contract 2100 among the Trustees of the American Dental Association Members Retirement Trust, the American Dental Association Members Pooled Trust for Retirement Plans and The Equitable Life Assurance Society of the United States. 5. (a) Exhibit 7(a) (Form of Participation Agreement for the standardized Profit-Sharing Plan under the ADA Program), incorporated by reference to Post-Effective Amendment No. 1 on Form N-3 to Registration Statement on Form S-1 of Registrant, filed on April l6, 1986. (b) Exhibit 7(b) (Form of Participation Agreement for the non-standardized Profit-Sharing Plan under the ADA Program), incorporated by reference to Post-Effective Amendment No. 1 on Form N-3 to Registration Statement on Form S-1 of Registrant, filed on April l6, 1986. (c) Exhibit 7(e) (Copy of Attachment to Profit Sharing Participation Agreement under the American Dental Association Members Retirement Plan), incorporated by reference to Registration No. 33-21417 on Form N-3 of Registrant, filed on April 26, 1988. (d) Exhibit 7(e)(2) (Form of Participant Enrollment Form under the ADA Program), incorporated by reference to Post-Effective Amendment No. 2 on Form N-3 to Registration Statement on Form S-1 of Registrant, filed on April 2l, l987. (e) Exhibit 7(v) (Form of Simplified Participation Agreement for the Profit-Sharing Plan under the ADA Program, as filed with the Internal Revenue Service), incorporated by reference to Post-Effective Amendment No. 2 to Registration No. 33-21417 on Form N-3 of Registrant, filed on April 26, 1989. (f) Exhibit 7(w) (Form of Non-Standardized Participation Agreement for the Profit-Sharing Plan under the ADA Program, as filed with the Internal Revenue Service), incorporated by reference to Post-Effective Amendment No. 2 C-5 to Registration No. 33-21417 on Form N-3 of Registrant, filed on April 26, 1989. (g) Exhibit 7(x) (Form of Standardized Participation Agreement for the Profit-Sharing Plan under the ADA Program, as filed with the Internal Revenue Service), incorporated by reference to Post-Effective Amendment No. 2 to Registration No. 33-21417 on Form N-3 of Registrant, filed on April 26, 1989. 6. (a) Copy of the Restated Charter of The Equitable Life Assurance Society of the United States, adopted August 6, 1992, incorporated by reference to Post-Effective Amendment No. 2 to Registrant No. 33-46995 on Form N-3 of Registrant, filed on March 2, 1993. (b) By-Laws of The Equitable Life Assurance Society of the United States, as amended through July 22, 1992, incorporated by reference to Post-Effective Amendment No. 2 to Registration No. 33-46995 on Form N-3 of Registrant, filed on March 2, 1993. (c) Copy of the Certificate of Amendment to the Restated Charter of The Equitable Life Assurance Society of the United States, adopted November 18, 1993. 7. Not applicable 8. (a) Exhibit 11(a)(2) (Form of American Dental Association Members Retirement Plan, as filed with the Internal Revenue Service), incorporated by reference to Post-Effective Amendment No. 2 to Registration No. 33-21417 on Form N-3 of Registrant, filed on April 26, 1989. (b) Exhibit 11(g)(2) (Form of American Dental Association Members Retirement Trust, as filed with the Internal Revenue Service), incorporated by reference to Post-Effective Amendment No. 2 to Registration No. 33-21417 on Form N-3 of Registrant, filed on April 26, 1989. (c) Exhibit 11(i) (Form of First Amendment to the American Dental Association Members Retirement Trust), incorporated by reference to Post-Effective Amendment No. 1 to Registration No. 33-40162 on Form N-3 of Registrant, filed on December 20, 1991. (d) Exhibit 11(g) (Copy of Administration Services Agreement, dated January 10, 1986, among The Equitable Life Assurance Society of the United States, the Trustees of the Trust maintained under the American Dental Association Members Retirement Plan, the Trustees of the Pooled Trust maintained by the American Dental Association and the Council of Insurance of the American Dental Association), incorporated by reference to Post-Effective Amendment No. 1 on Form N-3 to Registration Statement on Form S-1 of Registrant, filed on April l6, 1986. C-6 (e) Exhibit 11(j) (Copy of American Dental Association Members Pooled Trust for Retirement Plans, dated as of January 1, 1984), incorporated by reference to Post-Effective Amendment No. 1 to Registration No. 33-40162 on Form N-3 of Registrant on Form N-3 of Registrant, filed on December 20, 1991. (f) Exhibit 11(k) (Form of First Amendment to the American Dental Association Members Pooled Trust for Retirement Plans, dated as of January 1, 1984), incorporated by reference to Post-Effective Amendment No. 1 to Registration No. 33-40162 on Form N-3 of Registrant, filed on December 20, 1991. (g) Administrative Services Agreement among The Equitable Life Assurance Society of the United States, the Trustees of the American Dental Association Members Retirement Trust and of the American Dental Association Member Retirement Trust for Retirement Plans and the Council on Insurance of the American Dental Association, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on April 29, 1994. (h) Declaration of Trust dated February 21, 1991 for the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (i) First Amendment to the Declaration of Trust dated as of July 19, 1991, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (j) Fund Declaration of State Street Bank and Trust Company establishing the Lifecycle Fund Group Trust-Conservative dated February 1, 1995, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (k) First Amendment and Fund Declaration for the Lifecycle Group Trust-Conservative, effective April 26, 1995, incorporated by reference to Registration No. 33-75616, filed on April 28, 1995. (l) Fund Declaration of State Street Bank and Trust Company establishing the Lifecycle Fund Group Trust-Moderate dated February 1, 1995, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (m) First Amendment and Fund Declaration for the Lifecycle Fund Group Trust-Moderate, effective April 26, 1995, incorporated by reference to Registration No. 33-75616, filed on April 28, 1995. C-7 (n) Amendment and Fund Declaration for the S&P 500 Flagship Fund effective September 1, 1991, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (o) Amendment and Fund Declaration for the Short Term Investment Fund effective September 1, 1991, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (p) Fund Declaration for the Daily EAFE Fund effective September 16, 1993, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (q) First Amendment and Fund Declaration for the Daily Government/Corporate Bond Fund effective November 30, 1994, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (r) Second Amendment and Fund Declaration for the Russell 2000 Fund effective February 1, 1995, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (s) Fund Declaration for the Russell 2000 Growth Fund effective February 1, 1995, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. (t) Fund Declaration for the Russell 2000 Value Fund effective February 1, 1995, incorporated by reference to Registration No. 33-75616 on Form N-4 of Registrant, filed on February 27, 1995. 9. Not applicable. 10. (a) Consent of Price Waterhouse LLP. (b) Powers of Attorney (Equitable). (c) Powers of Attorney (State Street), incorporated by reference to Registration No. 33-75616 of Registrant, filed on April 28, 1995. 11. Not applicable. 12. Not applicable. 13. Not applicable. 14. Not Applicable. 27. Financial Data Schedule C-8 Item 25. Directors and Officers of Equitable Set forth below is information regarding the directors and principal officers of Equitable. Equitable's address is 787 Seventh Avenue, New York, New York 10019. The business address of the persons whose names are preceded by an asterisk is that of Equitable. NAME AND PRINCIPAL POSITIONS AND OFFICES BUSINESS ADDRESS WITH EQUITABLE ---------------- -------------- DIRECTORS Claude Bebear Director AXA S.A. 23, Avenue Matignon 75008 Paris, France Christopher J. Brocksom Director AXA Equity & Law Amersham Road High Wycombe Bucks HP 13 5 AL, England Francoise Colloc'h Director AXA S.A. 23, Avenue Matignon 75008 Paris, France Henri de Castries Director AXA S.A. 23, Avenue Matignon 75008 Paris, France Joseph L. Dionne Director The McGraw-Hill Companies 1221 Avenue of the Americas New York, NY 10020 William T. Esrey Director Sprint Corporation P.O. Box 11315 Kansas City, MO 64112 Jean-Rene Fourtou Director Rhone-Poulenc S.A. 25 Quai Paul Doumer 92408 Courbevoie Cedex France Norman C. Francis Director Xavier University of Louisiana 7325 Palmetto Street New Orleans, LA 70125 C-9 Donald J. Greene Director LeBouef, Lamb, Greene & MacRae 125 West 55th Street New York, NY 10019-4513 Anthony J. Hamilton Director Fox-Pitt, Kelton Limited 35 Wilson Street London EC2M 2SJ, England John T. Hartley Director Harris Corporation 1025 NASA Boulevard Melbourne, FL 32919 John H.F. Haskell, Jr. Director Dillion, Read & Co., Inc. 535 Madison Avenue New York, NY 10022 W. Edwin Jarmain Director Jarmain Group Inc. 95 Wellington Street West Suite 805 Toronto, Ontario M5J 2N7, Canada G. Donald Johnston, Jr. Director 184-400 Ocean Road John's Island Vero Beach, FL 32963 Winthrop Knowlton Director Knowlton Brothers, Inc. 530 Fifth Avenue New York, NY 10036 Arthur L. Liman Director Paul, Weiss, Rifkind, Wharton & Garrison 1285 Avenue of the Americas New York, NY 10019 George T. Lowy Director Cravath, Swaine & Moore 825 Eighth Avenue New York, NY 10019 C-10 Didier Pineau-Valencienne Director Schneider S.A. 64/70 Avenue Jean-Baptiste Clement 92646 Boulogne Billancourt CEDEX France George J. Sella, Jr. Director P.O. Box 397 Newton, NJ 07860 Dave H. Williams Director Alliance Capital Management Corporation 1345 Avenue of the Americas New York, NY 10105 OFFICER-DIRECTORS *James M. Benson President, Chief Executive Officer and Director *William T. McCaffrey Senior Executive Vice President, Chief Operating Officer and Director *Joseph J. Melone Chairman of the Board and Director OTHER OFFICERS *Harvey Blitz Senior Vice President and Deputy Chief Financial Officer *Kevin R. Byrne Vice President and Treasurer *Jerry M. de St. Paer Senior Executive Vice President and Chief Financial Officer *Gordon G. Dinsmore Senior Vice President *Alvin H. Fenichel Senior Vice President and Controller *Michael E. Fisher Senior Vice President *Paul J. Flora Vice President and Auditor *Robert E. Garber Executive Vice President and General Counsel *J. Thomas Liddle, Jr. Senior Vice President and Chief Valuation Actuary *Michael S. Martin Senior Vice President C-11 *Peter D. Noris Executive Vice President and Chief Investment Officer *Anthony C. Pasquale Senior Vice President *Pauline Sherman Vice President, Secretary and Associate General Counsel Richard V. Silver Senior Vice President and Chief 1755 Broadway, 2nd floor Compliance Officer New York, New York 10019 *Jose Suquet Executive Vice President and Chief Agency Officer C-12 Item 26. Persons Controlled by or Under Common Control with the Insurance Company or Registrant Separate Account Nos. 195, 197 and 198 of The Equitable Life Assurance Society of the United States (the "Separate Accounts") are separate accounts of Equitable. Equitable, a New York stock life insurance company, is a wholly owned subsidiary of The Equitable Companies Incorporated (the "Holding Company"), a publicly traded company. The largest stockholder of the Holding Company is AXA S.A. At 12/31/95, AXA S.A. beneficially owned 60.6% of the Holding Company's outstanding common stock plus convertible preferred stock. AXA S.A. is able to exercise significant influence over the operations and capital structure of the Holding Company and its subsidiaries, including Equitable. AXA, a Franch company, is the holding company for an international group of insurance and related financial services companies. C-13 ORGANIZATION CHART OF EQUITABLE'S AFFILIATES The Equitable Companies Incorporated (1991) (Delaware) Donaldson, Lufkin & Jenrette, Inc. (1993) (Delaware) (44.1%) See Addendum for subsidiaries) The Equitable Life Assurance Society of the United States (l859) (New York) (a)(b) The Equitable of Colorado, Inc. (l983) (Colorado) Equitable Variable Life Insurance Company (l972) (New York) (a) FHJV Holdings, Inc. (1990) (Delaware) EVLICO, Inc. (1995) (Delaware) EVLICO East Ridge, Inc. 1995) (Delaware) GP/EQ Southwest, Inc. (1995) (Texas) (5.86%) Frontier Trust Company (1987) (North Dakota) Gateway Center Buildings, Garage and Apartment Hotel, Inc. (inactive) (pre-l970) (Pennsylvania) Equitable Deal Flow Fund, L.P. Equitable Managed Assets (Delaware) EREIM LP Associates (99%) EML Associates, L.P. (19.8%) ACMC, Inc. (1991) (Delaware) Alliance Capital Management L.P. (1988) (Delaware) (46.7% limited partnership interest) EVCO, Inc. (1991) (New Jersey) EVSA, Inc. (1992) (Pennsylvania) Prime Property Funding, Inc. (1993) (Delaware) Wil Gro, Inc. (1992) (Pennsylvania) Equitable BJVS, Inc. (1992) (California) Equitable Rowes Wharf, Inc. (1995) (Massachusetts) GP/EQ Southwest, Inc. (1995) (Texas) (94.132%) - ---------- (a) Registered Broker/Dealer (b) Registered Investment Advisor C-14 The Equitable Companies Incorporated (cont.) The Equitable Life Assurance Society of the United States (cont.) Fox Run, Inc. (1994) (Massachusetts) Equitable Underwriting and Sales Agency (Bahamas) Limited (1993) (Bahamas) STCS, Inc. (1992) (Delaware) CCMI Corporation (1994) (Maryland) FTM Corporation (1994) (Maryland) HVM Corporation (1994) (Maryland) SCTS, Inc. (1992) (Delaware) Camelback JVS, Inc. (1995) (Arizona) Equitable Holding Corporation (1985) (Delaware) Equico Securities, Inc. (l97l) (Delaware) (a) (b) ELAS Securities Acquisition Corp. (l980) (Delaware) Equitable Realty Assets Corporation (l983) (Delaware) 100 Federal Street Funding Corporation (Massachusetts) 100 Federal Street Realty Corporation (Massachusetts) EquiSource, of New York, Inc. (formerly Traditional Equinet Business Corporation of New York) (1986) (New York) (See Addendum for subsidiaries.) Equitable Casualty Insurance Company (l986) (Vermont) EREIM LP Corp. (1986) (Delaware) EREIM LP Associates (1%) EML Associates (.02%) Six-Pac G.P., Inc. (1990) (Georgia) Equitable Distributers, Inc. (1988) (Delaware) (a) Equitable JVS, Inc. (1988) (Delaware) Astor/Broadway Acquisition Corp. (1990) (New York) Astor Times Square Corp. (1990) (New York) PC Landmark, Inc. (1990) (Texas) - ---------- (a) Registered Broker/Dealer (b) Registered Investment Advisor C-15 The Equitable Companies Incorporated (cont.) The Equitable Life Assurance Society of the United States (cont.) Equitable JVS II, Inc. (1994) (Maryland) EJSVS, Inc. (1995) (New Jersey) Donaldson, Lufkin & Jenrette, Inc. (1985 by EIC; 1993 by EHC) (Delaware) (36.1%) (See Addendum for subsidiaries) JMR Realty Services, Inc. (1994) (Delaware) Equitable Investment Corporation (l97l) (New York) Stelas North Carolina Limited Partnership (50% limited partnership interest) (l984) EQ Services, Inc. (1992) (Delaware) Equitable Agri-Business, Inc. (1984) Delaware Alliance Capital Management Corporation (l991) (Delaware) (b) (See Addendum for subsidiaries) Equitable Capital Management Corporation (b) Alliance Capital Management L.P. (1988) (Delaware) Equitable JV Holding Corporation (1989) (Delaware) Equitable Real Estate Investment Management, Inc. (l984) (Delaware) (b) Equitable Realty Portfolio Management, Inc. (1984) (Delaware) EQK Partners (100% general partnership interest) Compass Management and Leasing Co. (Formerly known as EREIM, Inc. (l984) (Colorado) Equitable Real Estate Capital Markets, Inc. (1987) (Delaware) (a) EQ Realty Associates-V, Inc. (1987) (Delaware) EPPNLP Corp. (1987) (Delaware) Equitable Pacific Partners Corp. (1987) (Delaware) Equitable Pacific Partners Limited Partnership EREIM Managers Corp. (1986) (Delaware) ML/EQ Real Estate Portfolio, L.P. - ---------- (a) Registered Broker/Dealer (b) Registered Investment Advisor C-16 The Equitable Companies Incorporated (cont.) The Equitable Life Assurance Society of the United States (cont.) EML Associates, L.P. (80%) Astor/Broadway Management Corp. (1990) (New York) Compass Retail, Inc. (1990) (Delaware) Compass Management and Leasing, Inc. (1991) (Delaware) Compass Cayman (1996) (Cayman Islands) Column Security Associates, Inc. (1993) (Delaware) Column Financial, Inc. (1993) (Delaware) (50%) Buckhead Strategic Corp. (1994) (Delaware) Buckhead Strategic Fund. L.P. BH Strategic Co. I, L.P. Buckhead Strategic Co. II, L.P. Buckhead Strategic Co. III, L.P. Buckhead Strategic Co. IV, L.P. CJVS, Inc. (1994) (California) ERE European Corp. L.P. (1994) (Delaware) A/E European Associates I Limited Partnership Community Funding, Inc. (1994) (Delaware) Community Mortgage Fund, L.P. (1994) (Delaware) Buckhead Strategic Corp. II (1995) (Delaware) Buckhead Strategic Fund L.P. II Buckhead Co. III, L.P. HYDOC, L.L.C. - ---------- (a) Registered Broker/Dealer (b) Registered Investment Advisor C-17 ADDENDUM - NON-REAL ESTATE SUBSIDIARY OF EQUITABLE HOLDING CORPORATION HAVING MORE THAN FIVE SUBSIDIARIES ----------------- EquiSource of New York, Inc. (formerly Traditional Equinet Business Corporation of New York) has the following subsidiaries that are brokerage companies to make available to Equitable Agents within each state traditional (non-equity) products and services not produced by Equitable: EquiSource of Delaware, Inc. (1986) (Delaware) EquiSource of Alabama, Inc. (1986) (Alabama) EquiSource of Arizona, Inc. (1986) (Arizona) EquiSource of Arkansas, Inc. (1987) (Arkansas) EquiSource Insurance Agency of California, Inc. (1987) (California) EquiSource of Colorado, Inc. (1986) (Colorado) EquiSource of Hawaii, Inc. (1987) (Hawaii) EquiSource of Maine, Inc. (1987) (Maine) EquiSource Insurance Agency of Massachusetts, Inc. (1988) (Massachusetts) EquiSource of Montana, Inc. (1986) (Montana) EquiSource of Nevada, Inc. (1986) (Nevada) EquiSource of New Mexico, Inc. (1987) (New Mexico) EquiSource of Pennsylvania, Inc. (1986) (Pennsylvania) EquiSource Insurance Agency of Utah, Inc. (1986) (Utah) EquiSource of Washington, Inc. (1987) (Washington) EquiSource of Wyoming, Inc. (1986) (Wyoming) C-18 ORGANIZATION CHART OF EQUITABLE'S AFFILIATES ADDENDUM - OTHER NON-REAL ESTATE SUBSIDIARIES HAVING MORE THAN FIVE SUBSIDIARIES --------------------------------------------- Donaldson, Lufkin & Jenrette, Inc. has the following subsidiaries, and approximately 60 other subsidiaries, most of which are special purpose subsidiaries (the number fluctuates according to business needs): Donaldson, Lufkin & Jenrette, Inc. (1985) (Delaware) Donaldson, Lufkin & Jenrette Securities Corporation (1985) (Delaware) (a) (b) Wood, Struthers & Winthrop Management Corporation (1985) (Delaware) (b) Autranet, Inc. (1985) (Delaware) (a) DLJ Real Estate, Inc. DLJ Capital Corporation (b) DLJ Mortgage Capitol, Inc. (1988) (Delaware) Column Financial, Inc. (1993) (Delaware) (50%) Alliance Capital Management Corporation has the following subsidiaries: Alliance Capital Management Corporation (1991) (Delaware) (b) Alliance Capital Management L.P. (1988) (Delaware) (b) Alliance Capital Management Corporation of Delaware, Inc. (Delaware) Alliance Fund Services, Inc. (Delaware) Alliance Capital Management (Japan), Inc. (formerly Alliance Capital Mgmt. Intl.) Alliance Fund Distributors, Inc. (Delaware) (a) Alliance Oceanic Corp. (Delaware) (formerly Alliance Capital, Ltd.) Alliance Capital Management Australia Pty. Ltd. (Australia) Meiji - Alliance Capital Corp. (Delaware) (50%) Alliance Capital (Luxembourg) S.A. (99.98%) Alliance Southern Europe Corp. (Delaware) (inactive) Alliance Barra Research Institute, Inc. (Delaware) (50%) Alliance Capital Management Canada, Inc. (Canada) (99.99%) Alliance Capital Management Limited (United Kingdom) Pastor Alliance Gestora de Fondas de Pensiones, S.A. (Spain) (50%) Dementional Asset Management, Ltd. (U.K.) Dementional Trust Management, Ltd. (U.K.) Alliance Capital Global Derivatives Corp. (Delaware) Alliance Corporate Finance Group, Inc. (Delaware) - ---------- (a) Registered Broker/Dealer (b) Registered Investment Advisor C-19 AXA GROUP CHART The information listed below is dated as of January 1, 1996; percentages shown represent voting power. The name of the owner is noted when AXA indirectly controls the company. AXA INSURANCE AND REINSURANCE BUSINESS HOLDING
COMPANY COUNTRY VOTING POWER AXA Assurances Iard France 96.9% AXA Assurances Vie France 100% by AXA and Uni Europe Vie Uni Europe Assurance France 100% by AXA and AXA Assurances Iard Uni Europe Vie France 99.3% by AXA and AXA Assurances Iard Alpha Assurances Vie France 100% AXA Direct France 100% Direct Assurances Iard France 100% by AXA Direct Direct Assurance Vie France 100% by AXA Direct AXA Direkt Versicherung A.G. Germany 100% owned by AXA Direct Axiva France 90.3% Defense Civile France 95% Societe Francaise d'Assistance France 51.2% by AXA Assurances Iard Monvoisin Assurances France 99.92% by different companies and Mutuals Societe Beaujon France 100% Lor Finance France 99.9% Jour Finance France 100% by different companies Compagnie Auxiliaire pour le Commerce et France 100% by Societe Beaujon l'Industrie C.F.G.A. France 99.96% owned by the mutuals and Finaxa Saint Bernard Diffusion France 89.9% Sogarep France 95%, (100% with the mutuals) Argovie France 100% by Axiva and SCA Argos Finargos France 66.4% owned by Axiva Astral France 100% by Uni Europe Assurance Argos France N.S. C-20 Finaxa Belgium Belgium 100% AXA Belgium Belgium 18.5% by AXA(SA) and 72.5% by Finaxa Belgium De Kortrijske Verzekering Belgium 99.8% Juris Belgium 100% Finaxa Luxembourg Luxembourg 100% AXA Assurance IARD Luxembourg Luxembourg 99.4% AXA Assurance Vie Luxembourg Luxembourg 99.4% AXA Aurora Spain 50% Aurora Polar SA de Seguros y Reaseguros Spain 99.8% owned by AXA Aurora AXA Vida SA de Seguros y Reaseguros Spain 99.8% owned by AXA Aurora AXA Gestion de Seguros y Reaseguros Spain 100% owned by AXA Aurora AXA Assicurazioni Italy 100% Eurovita Italy 30% owned by AXA Assicurazioni AXA Equity & Law plc U.K. 99.9% AXA Equity & Law Life Assurance Society U.K. 100% by AXA Equity & Law plc AXA Equity & Law International U.K. 100% owned by AXA Equity & Law plc AXA Equity & Law Levensverzekeringen Netherlands 100% by AXA Equity & Law plc AXA Insurance U.K 100% AXA Global Risks U.K 100% by AXA and Uni Europe Assurance AXA U.K. U.K. 100% AXA Canada Canada 100% Boreal Insurance Canada 100% owned by AXA Canada AXA Assurances Inc Canada 100% owned by AXA Canada AXA Insurance Inc Canada 100% owned by AXA Canada Anglo Canada General Insurance Cy Canada 100% owned by AXA Canada AXA Pacific Insurance Canada 100% by Boreal Insurance Boreal Assurances Agricoles Canada 100% by Boreal Insurance C-21 Sime AXA Berhad Malaysia 30% AXA Sime Investment Holdings Pte Ltd Singapore 50% AXA Sime Assurance Hong Kong 100% owned by AXA Sime Invt. Holdings Pte Ltd AXA Sime Assurance Singapore 100% owned by AXA Sime Invt. Holdings Pte Ltd AXA Life Insurance Hong Kong 100% PT Asuransi AXA Indonesia Indonesia 80% Equitable Cies Incorp. U.S.A. 60.6% owned by AXA, 44.4% Financiere 45, 3.8%, Lorfinance 7.6% and AXA Equity & Law Life Association Society 4.8% Equitable Life Assurance of the USA U.S.A. 100% owned by Equitable Cies Inc National Mutual Holdings Ltd Australia 51% The National Mutual Life Association of Australia 100% owned by National Mutual Holdings Ltd Australasia Ltd National Mutual International Pty Ltd 74% owned by National Mutual Holdings Ltd and 26% by The National Mutual Life Association of Australasia National Mutual (Bermuda) Ltd Australia 100% owned by National Mutual International Pty Ltd National Mutual Asia Ltd Bermudas 54% owned by National Mutual (Bermuda) Ltd and 20% by Delta Ltd National Mutual Funds Management (Global) Ltd Australia 100% owned by National Mutual Holdings Ltd National Mutual Funds Management North USA 100% owned by National Mutual Funds America Holdings Inc Management (Global) Ltd Australian Casualty & Life Ltd Australia 100% owned by National Mutual Holdings Ltd National Mutual Health Insurance Pty Ltd Australia 100% owned by National Mutual Holdings Ltd AXA Reassurance France 100% AXA Re Finance France 100% owned by AXA Reassurance AXA Re Vie France 100% owned by AXA Reassurance AXA Cessions France 100% Abeille Reassurances France 100% owned by AXA Reassurance C-22 AXA Re Mexico Mexico 100% owned by AXA Reassurance AXA Re Asia Singapore 100% owned by AXA Reassurance AXA Re U.K. Plc U.K. 100% owned by AXA Re U.K. Holding AXA Re U.K. Holding U.K 100% owned by AXA Reassurance AXA Re U.S.A. U.S.A 100% owned by AXA America AXA America U.S.A. 100% owned by AXA Reassurance International Technology Underwriters Inc U.S.A. 80% owned by AXA America (INTEC) AXA Re Life U.S.A. 100% owned by AXA Re Vie C.G.R.M. Monaco 100% by AXA Reassurance AXA Life Insurance Japan 100% owned by AXA Dongbu AXA Life Insurance Co Ltd Korea 50% AXA Oyak Hayat Sigota Turkey 60% Oyak Hayat Sigorta Turkey 11%
C-23 AXA FINANCIAL BUSINESS
COMPANY COUNTRY VOTING POWER - --------- ------- ------------- Compagnie Financiere de Paris (C.F.P.) France 96.9%, (100% with the Mutuals) AXA Banque France 98.7% owned by C.F.P. Financiere 78 France 100% owned by C.F.P. AXA Credit France 65% owned by C.F.P. AXA Gestion Interessement France 100% owned by C.F.P. Compagnie Europeenne de Credit (C.E.C.) France 100% owned by C.F.P. Fidei France 20.7% owned by C.F.P. and 10.8% by AXAmur Meeschaert Rousselle France 100% owned by Financiere 78 M R Futures SNC France 59% by Meeschaert Rousselle Opale Derivee Bourse France 89.4% by M.R. Futures and Meeschaert Rousselle Anjou Courtage France 70% owned by Meeschaert Rousselle Axiva Gestion France 100% owned by Axiva Juri Creances France 100% by different companies Societe de Placements Selectionnes S.P.S. France 99.3% with the Mutuals Presence et Initiative France 73% with the Mutuals Vamopar France 100% owned by Societe Beaujon Financiere Mermoz France 100% AXA Asset Management Europe France 100% AXA Asset Management Partenaires France 100% owned by AXA Asset Management Europe AXA Asset Management Conseils France 100% owned by AXA Asset Management Europe AXA Asset Management Distribution France 100% owned by AXA Asset Management Europe AXA Equity & Law Home Loans U.K. 100% owned by AXA Equity & Law AXA Equity & Law Commercial Loans U.K. 100% owned by AXA Equity & Law Alliance Capital Management U.S.A. 59% held by ELAS Donaldson Lufkin & Jenrette U.S.A. 36.1% owned by ELAS and 44.1% by Equitable Cies Inc Cogefin Luxembourg 100% owned by AXA Belgium C-24 Soflinter Beligium 100% owned by AXA Belgium Financiere 45 France 99.6% Mofipar France 99.76% owned by Societe Beaujon ORIA France 100% owned by AXA Millesimes AXA Oeuvres d'Art France 100% by the Mutuals AXA Cantenac Brown France 100% Colisee Acti Finance 1 France 100% owned by Societe Beaujon Colisee Acti Finance 2 France 100% owned by AXA Assurances Iard Mutuelle Participations 2001 France 100% owned by Societe Beaujon Finalor France 100% owned by Societe Beaujon
C-25 AXA REAL ESTATE BUSINESS
COMPANY COUNTRY VOTING POWER - -------- -------- -------------- C.I.P.M. France 97.6% with the Mutuals Fincosa France 100% owned by C.I.P.M. Prebail France 100% owned by Societe Beaujon and C.F.P. AXAmur France 100% by different companies and mutuals Parigest France 100% by the Mutuals, C.I.P.M. and Fincosa Parimmo France 100% by the insurance companies and the mutuals S.G.C.I. France 100% with the Mutuals Transaxim France 99.4% owned by S.G.C.I. Compagnie Parisienne de Participations France 100% owned by S.G.C.I. Monte Scopeto France 100% owned by C.P.P. Matipierre France 100% by different companies Securimmo France 87% by different companies and mutuals Paris Orleans France 99.9% by different companies Colisee Bureaux France 99.4% by different companies Colisee Premiere France 99.9% by different companies Colisee Laffitte France 99.8% by Colisee Bureaux Carnot Laforge France 100% by Colisee Premiere Parc Camoin France 100% by Colisee Premiere Delta Point du Jour France 100% owned by Matipierre Paroi Nord de l'Arche France 100% owned by Matipierre Falival France 100% owned by AXA Reassurance Compagnie du Gaz d'Avignon France 99% owned by AXA Assurances Iard Ahorro Familiar France 40.1% owned by AXA Assurances Iard Fonciere du Val d'Oise France 100% owned by C.P.P. Sodarec France 99.9% owned by C.P.P. Centrexpo France 99.9% owned by C.P.P. Fonciere de la Vile du Bois France 99.6% owned by Centrexpo Colisee Seine France 97.4% by different companies C-26 Translot France 99.9% by SGCI S.N.C. Dumont d'Urville France 100% owned by Colisee Premiere Colisee Participations France 100% by SGCI Colisee Federation France 100% by SGCI Colisee Saint Georges France 100% by SGCI Drouot Industrie France 50% by SGCI Colisee Vauban France 99.7% by Matipierre Fonciere Colisee France 98.9% by Matipierre AXA Pierre S.C.I. France 97.6% owned by different companies and Mutuals AXA Millesimes France 77.8% owned by AXA and the Mutuals Chateau Suduirault France 100% owned by AXA Millesimes Diznoko Hongrie 100% owned by AXA Millesimes Compagnie Fonciere Matignon France 100% by different companies and Mutuals Equitable Real Estate Investment U.S.A. 100% owned by ELAS Quinta do Noval Vinhos S.A. Portugal 99.9% owned by AXA Millesimes
C-27 OTHER AXA BUSINESS
COMPANY COUNTRY VOTING POWER - ----------- --------- ----------------- A.N.F. France 95.4% owned by Finaxa SCOR France 10.1% owned by AXA Reassurance Campagnie du Cambodge France 23% owned by A.N.F. Lucia France 20.6% owned by AXA Assurance Iard and 8.6% by the mutuals Rubis et Cie France 12.7% owned by Uni Europe Assurance Schneider S.A. France 10% Eurofin France 31.6% owned by Compangie Financiere de Paris
C-28 ORGANIZATION CHART OF EQUITABLE'S AFFILIATES NOTES 1. The year of formation or acquisition and state or country of incorporation of each affiliate is shown. 2. The chart omits certain relatively inactive special purpose real estate subsidiaries, partnerships, and joint ventures formed to operate or develop a single real estate property or a group of related properties, and certain inactive name-holding corporations. 3. All ownership interests on the chart are 100% common stock ownership except for (a) as noted for certain partnership interests, (b) ACMC, Inc.'s and Equitable Distributor Inc.'s limited partnership interests in Alliance Capital Management L.P., (c) as noted for certain subsidiaries of Alliance Capital Management Corp. of Delaware, Inc., (d) Treasurer Robert L.. Bennett's 20% interest in Compass Management and Leasing (formerly known as EREIM, Inc.), (e) as noted for certain subsidiaries of AXA, (f) The Equitable Companies Incorporated's 44.1% interest in DLJ and Equitable Holding Corp's 36.1% interest in same and (g) DLJ Mortgage Capital Inc.'s and Equitable Real Estate Management Inc.'s ownership (50% each) in Column Financial, Inc. 4. The operational status of the entities shown as having been formed or authorized but "not yet fully operational" should be checked with the appropriate operating areas, especially for those that are start-up situations. 5. The following entities are not included in this chart because, while they have an affiliation with The Equitable, their relationship is not the ongoing equity-based form of control and ownership that is characteristic of the affiliations on the chart, and, in the case of the first two entities, they are under the direction of at least a majority of "outside" trustees: The Equitable Funds The Hudson River Trust Separate Accounts 6. This chart was last revised on March 25, 1996. C-29 Item 27. Number of Contractowners As of March 31, 1996, the number of participants in the American Dental Association Members Program offered by the Registrant was 21,348. Item 28. Indemnification (a) Indemnification of Principal Underwriter: to the extent permitted by law of the State of New York and subject to all applicable requirements thereof, Equico Securities, Inc. ("Equico") undertook to indemnify each of its directors and officers who is made or threatened to be made a party to any action or proceeding, whether civil or criminal, by reason of the fact that he or she, is or was a director or officer of Equico. (b) Undertaking: insofar as indemnification for liability arising under the Securities Act of 1933 may be permitted to directors, officers and controlling persons of the registrant pursuant to the foregoing provisions, or otherwise, the registrant has been advised that in the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Act and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the registrant of expenses incurred or paid by a director, officer or controlling person of the registrant in the successful defense of any action, suit or proceeding) is asserted by such director, officer or controlling person in connection with the securities being registered, the registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the final adjudication of such issue. Item 29. Principal Underwriters (a) Equico, a wholly-owned subsidiary of Equitable, is the principal underwriter for Equitable's Separate Account No. 301 and Separate Account A, and for Separate Account I and Separate Account FP of Equitable Variable Life Insurance Company. On or about May 1, 1996, Equico will be changing its name to EQ Financial Consultants, Inc. Equico's principal business address is 1755 Broadway, NY, NY 10019. (b) See Item 25. (c) Not applicable. C-30 Item 30. Location of Accounts and Records The records required to be maintained by Section 31(a) of the Investment Company Act of 1940 and Rules 31a-1 to 31a-3 promulgated thereunder, are maintained by The Equitable Life Assurance Society of the United States at 135 West 50th Street New York, New York 10020. Item 31. Management Services Not applicable. Item 32. Undertakings The Registrant hereby undertakes: (a) to file a post-effective amendment to this registration statement as frequently as is necessary to ensure that the audited financial statements in the registration statement are never more than 16 months old for so long as payments under the variable annuity contracts may be accepted; (b) to include either (1) as part of any application to purchase a contract offered by the prospectus, a space that an applicant can check to request a Statement of Additional Information, or (2) a postcard or similar written communication affixed to or included in the prospectus that the applicant can remove to send for a Statement of Additional Information; (c) to deliver any Statement of Additional Information and any financial statements required to be made available under this Form promptly upon written or oral request. 25368 C-31 SIGNATURES As required by the Securities Act of 1933, the Registrant certifies that it meets the requirements of Securities Act Rule 485(b) for effectiveness of this amended Registration Statement and has caused this amended Registration Statement to be signed on its behalf, in the City and State of New York, on the 30th day of April, 1996. THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES (Registrant) By: The Equitable Life Assurance Society of the United States By: /s/Naomi J. Weinstein ---------------------- Naomi J. Weinstein Vice President C-32 SIGNATURES As required by the Securities Act of 1933, the Depositor certifies that it meets the requirements of Securities Act Rule 485(b) for effectiveness of this amended Registration Statement and has caused this amended registration statement to be signed on its behalf in the City and State of New York, on this 30th day of April, 1996. THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES (Depositor) By: /s/Naomi J. Weinstein ------------------------- Naomi J. Weinstein Vice President As required by the Securities Act of 1933 and the Investment Company Act of 1940 this amendment to the registration statement has been signed by the following persons in the capacities and on the date indicated: PRINCIPAL EXECUTIVE OFFICERS: Joseph J. Melone Chairman of the Board and Director James M. Benson President, Chief Executive Officer and Director William T. McCaffrey Senior Executive Vice President, Chief Operating Officer and Director PRINCIPAL FINANCIAL OFFICER: Jerry M. de St. Paer Senior Executive Vice President and Chief Financial Officer PRINCIPAL ACCOUNTING OFFICER: /s/ Alvin H. Fenichel Alvin H. Fenichel Senior Vice President and April 30, 1996 Controller DIRECTORS: Claude Bebear James M. Benson Christopher J. Brocksom Francoise Colloc'h Henri de Castries Joseph L. Dionne William T. Esrey Jean-Rene Fourtou Norman C. Francis Donald J. Greene Anthony J. Hamilton John T. Hartley John H.F. Haskell, Jr. W. Edwin Jarmain G. Donald Johnston, Jr. Winthrop Knowlton Arthur L. Liman George T. Lowy William T. McCaffrey Joseph J. Melone Didier Pineau-Valencienne George J. Sella, Jr. Dave H. Williams /s/Naomi J. Weinstein - ---------------------- Naomi J. Weinstein Attorney-in-Fact April 30, 1996 C-33 Pursuant to the requirements of the Securities Act of 1933, this Registration Statement has been signed on behalf of the following persons in the capacities and on this 30th day of April, 1996. PRINCIPAL EXECUTIVE OFFICER: Marshall N. Carter PRINCIPAL FINANCIAL OFFICER: Ronald L. O'Kelley PRINCIPAL ACCOUNTING OFFICER: Rex S. Schuette DIRECTORS: Marshall N. Carter David A. Spina Tenley E. Albright Joseph A. Baute, Jr. I. MacAllister Booth James I. Cash, Jr. Nader F. Darehshori Charles F. Kaye John M. Kucharski David B. Perini Dennis J. Picard By: /s/ Timothy B. Harbert ----------------------- Timothy B. Harbert Attorney-in-Fact By: /s/ John R. Towers ----------------------- John R. Towers Attorney-in-Fact By: /s/ Ronald L. O'Kelley ------------------------ Ronald L. O'Kelley Senior Vice President, Chief Financial Officer and Treasurer By: /s/ Rex S. Schuette ------------------------- Rex S. Schuette Senior Vice President and Comptroller C-34 EXHIBIT INDEX
EXHIBIT NO. PAGE No. - ----------- -------- NO. 4(g) Form of Rider No. 6 to Group Annuity Contract 2100. 4(h) Form of Rider No. 7 to Group Annuity Contract 2100. 4(i) Form of Rider No. 8 to Group Annuity Contract 2100. 6(c) Copy of the Certificate of Amendment of the Restated Charter of The Equitable Life Assurance Society of the United States. 10(a) Consent of Price Waterhouse. 10(c) Powers of Attorney (Equitable). 27 Financial Data Schedule.
EX-99.4(G) 2 RIDER NO. 6 Attached to and made part of GROUP ANNUITY CONTRACT NO. AC2100 between THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES and TRUSTEES OF THE AMERICAN DENTAL ASSOCIATION MEMBERS RETIREMENT TRUST AND OF THE AMERICAN DENTAL ASSOCIATION MEMBERS POOLED TRUST FOR RETIREMENT PLANS RIDER NO. 6 IT IS HEREBY AGREED that, as of May 1, 1995, said Contract is amended as described below: 1. A new third sentence is added to Section 2.12A to read as follows: "Any funds invested in, or income earned by, the Lifecycle Fund-Conservative or Lifecycle Fund-Moderate which equitably belongs to either of the Trusts are prohibited from being used for or diverted to any purposes other than for the exclusive benefit of the Participants or their beneficiaries who are entitled to benefits under such Trusts." 2. A new second sentence is added to Section 8.5 to read as follows: "Notwithstanding the previous sentence or any other provisions of this Contract, neither of the Trusts may assign, sell or otherwise transfer any part of its direct or indirect equity or interest in the assets allocated to either the Lifecycle Fund-Conservative or the Lifecycle Fund- Moderate." New York, New York FOR THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES: Chairman and Chief President and Chief Vice President Executive Officer Operating Officer and Secretary - ----------------------------------- -------------------------------- Assistant Registrar Date of Issue FOR THE CONTRACTHOLDER: Trustees of the American Dental Association Members Retirement Trust and of the American Dental Association Members Pooled Trust for Retirement Plans - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee EX-99.4(H) 3 RIDER NO. 7 Attached to and made part of Group Annuity Contract No. AC 2100 between The Equitable Life Assurance Society of the United States and Trustees of the American Dental Association Members Retirement Trust and of the American Dental Association Members Pooled Trust for Retirement Plans RIDER NO. 7 IT IS HEREBY AGREED that, effective as of the dates specified herein, said Contract is amended as described below. 1. As of December 1, 1995, the definition of "Aggressive Equity Fund" is amended to read as follows: "Aggressive Equity Fund--Equitable's Separate Account No. 200." 2. As of December 9, 1995, the definition of "Balanced Fund" is deleted in its entirety. 3. As of December 9, 1995, the definition of "Equity Funds" is amended to read as follows: "Equity Funds--The ADA Foreign Fund, Aggressive Equity Fund, Growth Equity Fund, Equity Index Fund, Lifecycle Fund-Conservative and Lifecycle Fund-Moderate." 4. As of December 9, 1995, the definition of "Funding Account" is amended to read as follows: "Funding Account--an account maintained under Article II, Article III or Section 4.6 to which contributions to the Trusts are allocated and which is adjusted to reflect, as applicable, interest, income, gains, losses, penalties, expenses, charges and fees. The following Funding Accounts will be maintained: the Five- Year Weekly GRA provided by Equitable, the Money Market Guarantee, the Aggressive Equity Fund, the Growth Equity Fund, the Real Estate Fund, the ADA Foreign Fund, the Equity Index Fund, the Lifecycle Fund-Conservative, the Lifecycle Fund- Moderate and the GRAs offered by a Major Insurance Carrier pursuant to Article III." 5. As of December 9, 1995, the first sentence of the definition of "Separate Account" is amended to read as follows: "Separate Account--Pooled Separate Account Nos. 4 and 30 and Separate Account Nos. 191, 195, 197, 198 and 200." 6. As of December 1, 1995, the first sentence of the definition of "Separate Account" is amended to read as follows: "Separate Account--Pooled Separate Account Nos. 4 and 30 and Separate Account Nos. 190, 191, 195, 197, 198, and 200." 7. As of December 1, 1995, the last paragraph of the definition of "Separate Account Unite Value" is amended to read as follows: "The Separate Account Unit Values for the Growth Equity Fund and the Real Estate Fund were $10.00 as of January 1, 1968 and August 29, 1986, respectively, the first day those Separate Accounts were offered as Funding Accounts. The Separate Account Unit Value for the Aggressive Equity Fund was $10.00 as of May 1, 1985, the first day that Fund was offered as a Funding Account through Equitable's Pooled Separate Account No. 3. The Separate Account Unit Value for the ADA Foreign Fund was $10.00 as of March 2, 1992, the first day that Separate Account was offered as a Funding Account. The Separate Account Unit Value for the Equity Index Fund was $10.00 as of February 1, 1994, the first day that Separate Account was offered as a Funding Account. The Separate Account Unit Values for the Lifecycle Fund-Conservative and the Lifecycle Fund-Moderate were $10.00 as of May 1, 1995, the first day those Separate Accounts were offered as Funding Accounts. For purposes of this definition, the value of a Separate Account was the aggregate fair market value of all its assets, or, to the Extent that the fair market value of certain assets cannot be easily ascertained, their fair value as determined in good faith by Equitable in accordance with accepted accounting practices and applicable laws and regulations." 8. As of December 9, 1995, the first sentence of Section 2.9 is amended to read as follows: "2.9 Seven Separate Account--the Growth Equity Fund, the Aggressive Equity Fund, the Real Estate Fund, the ADA Foreign Fund, the Equity Index Fund, the Lifecycle Fund-Conservative and the Lifecycle Fund- Moderate--are available as Funding Accounts." 9. As of December 1, 1995, Section 2.11 is deleted in its entirety as it relates to the Balanced Fund, and is replaced by a new Section 2.11 as follows: "2.11 Equitable shall maintain Separate Account No. 200, which will be the Aggressive Equity Fund under the Program. Equitable shall cancel all units held by ADA Program participants in Equitable's Pooled Separate Account No. 3 and transfer the cash value to Separate Account No. 200, effective at the opening of business on December 1, 1995. The transfer will not affect the Aggressive Equity Fund Unit Value or the number of Aggressive Equity Fund units credited to any Participant's account." 10. As of December 1, 1995, Section 2.12 is amended to read as follows: "2.12 Contributions and transfers to the ADA Foreign Fund, the Equity Index Fund and the Aggressive Equity Fund shall be invested in the shares of Funds registered under the Investment Company Act of 1940 ("1940 Act") as open-end diversified management investment companies (the "Investment Company") except that normally up to 5% of the market value of the ADA Foreign Fund's assets may be invested in units of Equitable's Separate Account No. 2A for the purpose of maintaining sufficient liquidity of effect transfers or withdrawal requests from the ADA Foreign Fund prior to receipt of proceeds from redemption of shares of the Investment Company. However, if net transfers and withdrawals from the ADA Foreign Fund on any day exceed the amount of the ADA Foreign Fund's investment in Separate Account No. 2A, transfers and/or withdrawals may be deferred pending settlement of the redemption of shares from the Investment Company. If net transfers and withdrawals from the Equity Index Fund or the Aggressive Equity Fund exceed the cash available to pay such transfers and/or withdrawals, transfers and/or withdrawals may be deferred pending settlement of the redemption of shares from the Investment Company." 11. As of December 9, 1995, Section 2.13 is amended to read as follows: "2.13 Equitable is the Investment Manager for the Growth Equity Fund and the Real Estate Fund. Equitable hereby acknowledges that it is a fiduciary with respect to any assets of the Trusts that are allocated to any of those Fund, but it is not a fiduciary for any portion of a Separate Account which is under the investment direction of a committee consisting of persons who are not employed by Equitable or any of its affiliates." 12. As of December 1, 1995, Section 2.13 is amended to read as follows: "2.13 Equitable is the Investment Manager for the Growth Equity Fund, the Balanced Fund and the Real Estate Fund. Equitable hereby acknowledges that is a fiduciary with respect to any asset of the Trusts that are allocated to any of those Funds, but it is not a fiduciary for any portion of a Separate Account which is under the investment direction of a committee consisting of persons who are not employed by Equitable or any of its affiliates." 13. As of October 15, 1995, the title of Article IV is amended to read as follows: "Article IV. Termination, Replacement and addition of Funding Accounts" 14. As of October 15, 1995, a new Section 4.1A is added as follows: "4.1A Subject to the terms of Sections 2.1, 2.11, 2.12A and Article VII of this Contract the Trustees may, upon reasonable notice to Equitable under the circumstances, terminate the Trust's participation in any Funding Account any may direct that (a) all or any portion of the Units of such Funding Account held by the Trusts shall be redeemed as of the date of termination of participation and (b) the cash value of such Units on such date be transferred to another Funding Account or paid to the Trustees or to any person designated in writing by the Trustees. As of the date of such termination or participation in a Funding Account, no further contributions from the Trusts may be made to such Funding Account." 15. As of October 15, 1995, Section 4.2 is amended to read as follows: "4.2 The Trustees and Equitable may agree to establish additional Funding Account under the Trusts. The Trustees may at any time appoint one or more Investment Managers to manage all or any portion of a Funding Account under this Contract. The Trustees shall give Equitable at least six months notice of the appointment of an Investment Manager to manage the Real Estate Fund and shall give Equitable at least 90 days written notice of any other such appointment. Notwithstanding the foregoing, (a) unless the Money Market Guarantee is terminated in accordance with Section 7.3A, the Trustees may not allow any Investment Manager other than Equitable to offer a money market mutual fund or similar arrangement as a Funding Account under the Trusts, (b) the Trustees may not appoint an Investment Manager for Equitable's Pooled Separate Account Nos. 4 and 30 and (c) Equitable may defer the transfer to the new Investment Manager of all or part of the amounts held for the Trusts in the Real Estate Fund for such time as Equitable reasonably considers necessary to obtain the amount to be withdrawn or to protect the interest of other clients in the Real Estate Fund or in Equitable's Pooled Separate Account No. 8." 16. As of December 1, 1995, Section 4.7 is amended to read as follows: "4.7 Equitable reserves the right to suspend the offer of or terminate the ADA Foreign Fund, the Equity Index Fund, the Lifecycle Fund-Conservative, tHe Lifecycle Fund-Moderate or the Aggressive Equity Fund (the "Outside Funds") in the event that Equitable, in its sole and reasonable discretion, determines that (a) investments made for the Outside Funds fail to meet applicable securities laws and the rules and regulations promulgated thereunder, and/or the standard of care required by Section 4240 (a) (2) (C) of the New York Insurance Law; or (b) it is not longer administratively feasible to maintain any of the Outside Funds." 17. As of December 1, 1995, Section 5.3 is deleted in its entirety. 18. As of December 1, 1995, Section 5.4 is changed to read as follows: "5.4 An investment management fee shall be paid to Equitable in an amount equal to a percentage of the aggregate amount held for the Trusts in the Growth Equity Fund. The percentage shall be calculated as of the first day of each month, based on the aggregate amount held for the Trusts in the Growth Equity Fund as of the last day of the second previous month, and shall be charged against the Separate Account Unit Value for the Growth Fund on a daily basis during the month, as follows: (a) 1/12 of 0.29% of the amount held for the Trusts not in excess of $100,000,000; and (b) 1/12 of 0.20% of the amount held for the Trusts in excess of $100,000,000." 19. As of December 9, 1995, Section 5.6 is deleted in its entirety. 20. As of December 1, 1995, the first sentence of Section 5.15 is amended to read as follows: "Equitable shall give the Trustees 90 days written notice of any proposed increase in the investment management fees set forth in Sections 5.4 or 5.5." New York, New York FOR THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES: Chairman and Chief President and Chief Vice President Executive Officer Operating Officer and Secretary - ----------------------------------- -------------------------------- Assistant Registrar Date of Issue FOR THE CONTRACTHOLDER: Trustees of the American Dental Association Members Retirement Trust and of the American Dental Association Members Pooled Trust for Retirement Plans - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee EX-99.4(I) 4 RIDER NO. 8 Attached to and made part of GROUP ANNUITY CONTRACT NO. AC2100 between THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES and TRUSTEES OF THE AMERICAN DENTAL ASSOCIATION MEMBERS RETIREMENT TRUST AND OF THE AMERICAN DENTAL ASSOCIATION MEMBERS POOLED TRUST FOR RETIREMENT PLANS RIDER NO. 8 IT IS HEREBY AGREED that, as of May 1, 1996, said Contract is amended as described below: Section 2.12 is amended to read as follows: "2.12 Contributions and transfers to the ADA Foreign Fund, the Equity Index Fund and the Aggressive Equity Fund shall be invested in the shares of funds registered under the Investment Company Act of 1940 ("1940 Act") as open-end diversified management investment companies (the "Investment Company"). If net transfers and withdrawals from the ADA Foreign Fund, Equity Index Fund or the Aggressive Equity Fund exceed the cash available to pay such transfers and/or withdrawals, transfers and/or withdrawals may be deferred pending settlement of the redemption of shares from the Investment Company." New York, New York FOR THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES: Chairman and Chief President and Chief Vice President Executive Officer Operating Officer and Secretary - ----------------------------------- -------------------------------- Assistant Registrar Date of Issue FOR THE CONTRACTHOLDER: Trustees of the American Dental Association Members Retirement Trust and of the American Dental Association Members Pooled Trust for Retirement Plans - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee - ------------------------------, Trustee ------------------------------, Trustee EX-99.6(C) 5 CERTIFICATE OF AMENDMENT CERTIFICATE OF AMENDMENT OF THE RESTATED CHARTER OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES Under Section 1206 of the Insurance Law and Section 805 of the Business Corporation Law of the State of New York We, the undersigned, Joseph J. Melone, President and Chief Executive Officer and Molly K. Heines, Vice President and Secretary, hereby certify: (1). The name of the corporation is The Equitable Life Assurance Society of the United States (the "Corporation"). (2). The Corporation's Charter was filed in the office of the Insurance Department of the State of New York on May 10, 1859. (3). The Charter of the Corporation, as amended and restated by the Restated Charter effective July 22, 1993, is hereby further amended to increase the capital of the Corporation from $2,000,000 to $2,500,000 by increasing the par value of a share of the Common Shares of the Corporation from $1.00 to $1.25. Article VIII of the Charter which contains the statement with respect to the capital of the Corporation, is hereby amended in its entirety to read as follows: ARTICLE VIII The amount of the capital of the corporation shall be $2,500,000, and shall consist of 2,000,000 Common Shares, par value $1.25 per share. (4) The aforesaid amendment of the Charter of the Corporation was duly approved by a majority vote of the Board of Directors of the Corporation at a meeting duly called and held on November 18, 1993 and was duly consented to in writing by the holder of all of the outstanding shares of the Corporation on the same date. IN WITNESS WHEREOF, the undersigned have signed this certificate the 18th day of November 1993, and affirm that the statements made herein are true under the penalties of perjury. /s/ Joseph J. Melone -------------------- Joseph J. Melone President & Chief Executive Officer /s/ Molly K. Heines ------------------------------------ Molly K. Heines Vice President & Secretary EX-99.10(A) 6 CONSENT OF PRICE WATERHOUSE CONSENT OF INDEPENDENT ACCOUNTANTS We hereby consent to the inclusion in the Statement of Additional Information constituting part of this Post-Effective Amendment No. 3 to the Registration Statement on Form N-4 (No. 33-75616) of The Equitable Life Assurance Society of the United States of our reports relating to the following funds established under the Declaration of Trust of the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans: FUND REPORT DATE - ---- ----------- Lifecycle Fund Group Trust-Conservative March 11, 1996 Lifecycle Fund Group Trust-Moderate March 11, 1996 S&P 500 Flagship Fund and S&P 500 Index Fund with Futures (Combined Financial Statements) March 21, 1996 Russell 2000 Fund March 11, 1996 Daily EAFE Fund and Daily EAFE Fund Non-Lending (Combined Financial Statements) March 21, 1996 Daily Government/Corporate Bond Fund Narch 11, 1996 Short Term Investment Fund March 4, 1996 We also consent to the reference to us relating to the funds listed above appearing under the headings "Selected Financial Data" and "Experts" in the Prospectus constituting part of this Registration Statement. Price Waterhouse LLP Boston, Massachusetts April 29, 1996 CONSENT OF INDEPENDENT ACCOUNTANTS We hereby consent to the use in the Statement of Additional Information constituting part of this Post-Effective Amendment No. 3 to the Registration Statement No. 33-75616 on Form N-4 (the "Registration Statement") of our report dated February 7, 1996, relating to the financial statements of Separate Account Nos. 195, 197 and 198 of The Equitable Life Assurance Society of the United States, and our report dated February 7, 1996, relating to the consolidated financial statements of The Equitable Life Assurance Society of the United States, which reports appear in such Statement of Additional Information, and to the incorporation by reference of our reports into the Prospectus which constitutes part of this Registration Statement. We also consent to the use in the Prospectus Supplement constituting part of this Registration Statement of our report dated February 7, 1996, relating to the financial statements of Separate Account No. 4 of The Equitable Life Assurance Society of the United States, which report appears in such Prospectus Supplement. We also consent to the references to us under the heading "Experts" in such Prospectus. PRICE WATERHOUSE LLP New York, New York April 26, 1996 EX-99.10(C) 7 POWERS OF ATTORNEY POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Claude Bebear ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ James M. Benson ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Christopher Brockson ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Francoise Colloc'h ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Henri de Castries ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Joseph L. Dionne ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ William T. Esrey ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Jean-Rene Fourtou ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Norman C. Francis ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Donald J. Greene ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Anthony J. Hamilton ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ John T. Hartley ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ John H.F. Haskell, Jr. ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ W. Edwin Jarmain ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ G. Donald Johnston, Jr. ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996 /s/ Winthrop Knowlton ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ George T. Lowy ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ William T. McCaffrey ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Joseph J. Melone ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Didier Pineau-Valencienne ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ George J. Sella, Jr. ------------------------- POWER OF ATTORNEY KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or director of The Equitable Life Assurance Society of the United States (the "Company"), a New York stock life insurance company, hereby constitutes and appoints Gordon G. Dinsmore, Samuel B. Shlesinger, James D. Goodwin, Pauline Sherman, Michael F. McNelis, Naomi J. Weinstein, Charles Wilder, Mildred Oliver and each of them (with full power to each of them to act alone), his or her true and lawful attorney-in-fact and agent, with full power of substitution to each, for him or her and on his or her behalf and in his or her name, place and stead, to execute and file any of the documents referred to below relating to registrations under the Securities Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act of 1940 with respect to any insurance or annuity contracts or other agreements providing for allocation of amounts to Separate Accounts of the Company, and related units or interests in Separate Accounts: registration statements on any form or forms under the Securities Act of 1933 and the Investment Company Act of 1940 and annual reports on any form or forms under the Securities Exchange Act of 1934, and any and all amendments and supplements thereto, with all exhibits and all instruments necessary or appropriate in connection therewith, each of said attorneys-in-fact and agents and his, her or their substitutes being empowered to act with or without the others or other, and to have full power and authority to do or cause to be done in the name and on behalf of the undersigned each and every act and thing requisite and necessary or appropriate with respect thereto to be done in and about the premises in order to effectuate the same, as fully to all intents and purposes as the undersigned might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or any of them, may do or cause to be done by virtue hereof. IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand this 15th day of February, 1996. /s/ Dave H. Williams ------------------------- EX-27.01 8 SA 195 (THE EQUITY INDEX FUND)
6 0000727920 Sep Acct. No. 195 (ADA) 195 The Equity Index Fund 1 U. S. Dollars YEAR Dec-31-1995 Jan-01-1995 Dec-31-1995 1 17,711,427 19,197,205 275,527 0 0 19,472,732 0 0 23,486 23,486 0 0 0 0 0 0 0 0 0 19,449,246 387,701 0 0 155,529 232,172 1,392,410 1,479,868 3,104,450 0 0 0 0 0 0 0 14,451,756 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
EX-27.02 9 SA 197 (THE LIFECYCLE FUND-CONSERVATIVE)
6 0000727920 Sep Acct. No. 197 (ADA) 197 The Lifecycle Fund-Conservative 1 U. S. Dollars 8-MOS Dec-31-1995 May-01-1995 Dec-31-1995 1 2,873,803 2,983,991 2,788 0 0 2,986,779 0 0 13,142 13,142 0 0 0 0 0 0 0 0 0 2,973,637 0 0 0 23,691 (23,691) 41,403 110,188 127,900 0 0 0 0 0 0 0 2,973,637 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
EX-27.03 10 SA 198 (THE LIFECYCLE FUND-MODERATE)
6 0000727920 Sep Acct. No. 198 (ADA) 198 The Lifecycle Fund-Moderate 1 U. S. Dollars 8-MOS Dec-31-1995 May-01-1995 Dec-31-1995 1 75,444,051 76,272,332 12,059 0 0 76,284,391 0 0 67,921 67,921 0 0 0 0 0 0 0 0 0 76,216,470 0 0 0 95,847 (95,847) 66,530 828,281 798,964 0 0 0 0 0 0 0 76,216,470 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
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