<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09247
----------------------------------------------
State Street Research Institutional Funds
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
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(Address of principal executive offices) (Zip code)
Terrence J. Cullen, Assistant Secretary
State Street Research & Management Company
One Financial Center, Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
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Date of fiscal year end: 1/31/04
-----------------
Date of reporting period: 2/1/03 - 1/31/04
----------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
ITEM 1 (REPORT TO SHAREHOLDERS): The Annual Report is attached.
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[STATE STREET RESEARCH LOGO]
[GRAPHIC]
STATE STREET RESEARCH
INSTITUTIONAL FUNDS
JANUARY 31, 2004
ANNUAL REPORT TO SHAREHOLDERS
<Page>
STATE STREET RESEARCH
INSTITUTIONAL
CORE FIXED INCOME FUND
A BOND FUND INVESTING IN U.S. INVESTMENT-GRADE FIXED INCOME SECURITIES AND
SEEKING COMPETITIVE TOTAL RETURNS RELATIVE TO THE LEHMAN BROTHERS AGGREGATE BOND
INDEX.
STATE STREET RESEARCH
INSTITUTIONAL
CORE PLUS FIXED INCOME FUND
A BOND FUND INVESTING IN A BROAD SPECTRUM OF FIXED INCOME SECURITIES, INCLUDING
HIGH-YIELD AND FOREIGN SECURITIES, AND SEEKING COMPETITIVE TOTAL RETURNS
RELATIVE TO THE LEHMAN BROTHERS AGGREGATE BOND INDEX.
STATE STREET RESEARCH
INSTITUTIONAL
LARGE CAP GROWTH FUND
AN EQUITY FUND INVESTING IN GROWTH COMPANIES SEEKING COMPETITIVE TOTAL RETURNS
RELATIVE TO THE RUSSELL 1000(R) GROWTH INDEX.
STATE STREET RESEARCH
INSTITUTIONAL
LARGE CAP ANALYST FUND
AN EQUITY FUND EMPHASIZING STOCK SELECTION WITHIN A DEFINED SECTOR MIX AND
SEEKING COMPETITIVE TOTAL RETURNS RELATIVE TO THE RUSSELL 1000(R) INDEX.
<Page>
STATE STREET RESEARCH INSTITUTIONAL
CORE FIXED INCOME FUND
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE As of January 31, 2004
The U.S. economic recovery continued to accelerate over the last few months of
2003. In support of this growth, most facets of the economy continued to
improve, many better than expected. Industrial production, manufacturing and
capital spending have all improved significantly. Additionally, corporate
profits have rebounded in response to sustained consumer demand, increased
productivity and a falling U.S. dollar.
In this environment, riskier sectors of the bond market performed well, with
spreads narrowing. Moreover, gains were broad-based as all the major sectors
generated excess returns over U.S. Treasuries. These factors combined to
generate modest gains as the Lehman Brothers Aggregate Bond Index returned a
respectable 4.85% for the year.
For the 12-month period ending January 31, 2004, the Institutional Core Fixed
Income Fund returned 5.17%, outperforming the benchmark as our overweight to
spread sectors, such as Investment-Grade Credit, Asset-Backed Securities (ABS)
and Commercial Mortgage-Backed Securities (CMBS), drove return comparisons.
Investors' increased appetite for risk and an improving economy caused these
sectors to generate significant excess returns relative to Treasuries.
Over the course of the year, rates remained relatively range-bound as the curve
modestly steepened. As rates rose in 2003, our duration and yield-curve
strategies modestly detracted from performance, despite being somewhat shorter
than those of the benchmark. U.S. Agency issues and other swap-sensitive sectors
performed well. Despite detracting from returns relative to Treasuries, our
underweight to this sector was beneficial as we allocated these assets to
higher-yielding sectors, such as mortgage pass-throughs, Commercial Mortgage
Backed Securities (CMBS) and Asset-Backed Securities (ABS). While we reduced our
MBS overweight to neutral over the course of the year, our strategy of moving
from lower- to higher-coupon issues modestly contributed to performance. In
addition, both our CMBS and ABS overweights added to gains as they outperformed
both Treasury and Agency alternatives. For the year, our overweights to both
CMBS and ABS bolstered returns. Our Agency underweight was the only negative
contributor to relative returns.
The Investment-Grade Credit sector continued to gain throughout the year as
spreads continued to narrow. During the period, we maintained our diversified
overweight with an emphasis on BBB-rated issues. However, we reallocated our
sub-sector exposure, reducing Financials, which are susceptible to higher rates,
while increasing exposure to Industrials. Both strategies positively contributed
to performance as BBBs continued to outperform higher-rated issues and
Industrials outperformed Financials. For the year, our overweight to the sector
boosted returns significantly.
We believe that a sustainable recovery in the U.S. economy has arrived, with
broad-based signs of improving conditions across the different business
segments. Employment growth, strong productivity, increased manufacturing, a
falling U.S. dollar and growing consumer spending and confidence all point to
better-than-trend growth in GDP (trend defined as 3.0%). While stronger growth
should follow, the Fed is likely to remain accommodative until signs of
increasing inflation appear and job growth is sustainable. However, the market
will likely price in higher short-term rates ahead of the Fed's next move. In
this environment of stronger growth and modest inflation, we remain cautious
with respect to the direction of interest rates. As a result, we are maintaining
a duration-neutral position but will continue to tactically position around the
2-year part of the curve when rates are misaligned with federal funds rate
expectations.
Within the market sectors, we will maintain our underweight position in U.S.
Agencies. The sector is likely to remain under pressure since current spreads
are somewhat tight on a historical basis and headline risk remains as Congress
debates the future of GSE oversight. This underweight allows us greater
flexibility to concentrate on higher-yielding sectors. Within the MBS sector, we
have moved to an underweight relative to the benchmark, but continue to favor
higher-coupon issues for their yield advantage. We expect they will experience
strong demand in a range-bound interest rate environment.
While we will continue to modestly overweight both ABS and CMBS, we remain
cautious as spreads have narrowed and the sectors have performed well. Excess
returns should persist as demand for higher-yielding issues continues, but CDO
demand has left some of the previously undervalued sub-sectors (such as Home
Equity Loans) less desirable. Within the credit market, we remain vigilant as
spreads have narrowed dramatically and valuations are less compelling. We remain
cautious in the long term and will likely reduce our exposure to riskier sectors
if spreads continue their tightening pattern. In the very near term, however,
spreads are likely to grind tighter as the economy continues to improve,
corporations delever and net issuance falls. As a result, we are maintaining our
modest overweight to Investment-Grade names.
[CHART]
CHANGE IN VALUE OF $10,000 BASED ON THE
LEHMAN BROTHERS AGGREGATE BOND INDEX COMPARED TO CHANGE IN
VALUE OF $10,000 INVESTED IN INSTITUTIONAL CORE FIXED INCOME FUND
[PLOT POINTS TO COME]
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURN
AS OF 1/31/04
- ---------------------------
1 Year Life of Fund
8/2/99
5.17% 7.87%
</Table>
KEEP IN MIND THAT THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS
NO GUARANTEE OF FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN
THE PERFORMANCE DATA QUOTED HEREIN. FOR THE MOST RECENT MONTH-END PERFORMANCE
RESULTS, CALL 1-87-SSR-FUNDS (1-877-773-8637). THE FUND'S SHARE PRICE AND RETURN
WILL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. ALL RETURNS ASSUME REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS
AND INCOME DIVIDENDS. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS, OR THE REDEMPTION OF FUND
SHARES. RETURNS SHOWN RELATE TO THE SOLE CLASS OF SHARES CURRENTLY BEING OFFERED
BY THE FUND (FORMERLY DESIGNATED AS "CLASS IV SHARES"). THE LEHMAN BROTHERS
AGGREGATE BOND INDEX INCLUDES FIXED-RATE DEBT SECURITIES RATED INVESTMENT-GRADE
OR HIGHER. THE INDEX IS UNMANAGED AND DOES NOT TAKE SALES CHARGES INTO
CONSIDERATION. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN THE INDEX. AVERAGE
ANNUAL RETURN REPRESENTS THE RATE ONE WOULD HAVE TO EARN EACH YEAR OF A GIVEN
TIME PERIOD IN ORDER TO END UP WITH THE FUND'S ACTUAL CUMULATIVE RETURN FOR
THOSE YEARS. $10,000 OVER LIFE OF FUND MEASURES THE GROWTH OF A LUMP SUM
INVESTED (LESS APPLICABLE SALES CHARGE, IF ANY). IT ALSO COMPARES THE
PERFORMANCE TO AN INDEX.
1
<Page>
The U.S. economic recovery continued to accelerate over the last few months of
2003. In support of this growth, most facets of the economy continued to
improve, many better than expected. Industrial production, manufacturing and
capital spending have all improved significantly. Additionally, corporate
profits have rebounded in response to sustained consumer demand, increased
productivity and a falling U.S. dollar.
In this environment, riskier sectors of the bond market performed well, with
spreads narrowing. Moreover, gains were broad-based as all the major sectors
generated excess returns over U.S. Treasuries. These factors combined to
generate modest gains as the Lehman Brothers Aggregate Bond Index returned a
respectable 4.85% for the year.
For the 12-month period ending January 31, 2004, the Institutional Core Plus
Fixed Income Fund returned 6.73%, outperforming the benchmark as our exposure
and overweight to spread sectors, such as Investment-Grade Credit, High-Yield
and Emerging Markets, drove return comparisons. Investors' increased appetite
for risk and an improving economy caused these sectors to generate significant
excess returns relative to Treasuries.
Over the course of the year, rates remained relatively range-bound as the curve
modestly steepened. As rates rose in 2003, our duration and yield-curve
strategies modestly detracted from performance despite being somewhat shorter
than those of the benchmark. U.S. Agency issues and other swap-sensitive sectors
performed well. Despite detracting from returns relative to Treasuries, our
underweight to this sector was beneficial as we allocated these assets to other
higher-yielding sectors, such as mortgage pass-throughs, Commercial
Mortgage-Backed Securities (CMBS) and Asset-Backed Securities (ABS). For the
year, our overweights to both CMBS and ABS bolstered returns, as they
outperformed Treasury and Agency alternatives. Our Agency underweight was the
only negative contributor to relative returns.
The Investment-Grade Credit sector continued to gain throughout the year as
spreads continued to narrow. During the period, our diversified overweight with
an emphasis on BBB-rated issues boosted returns. However, we reallocated our
sub-sector exposure, reducing Financials, which are susceptible to higher rates,
while increasing exposure to Industrials.
The High-Yield sector posted the best results among all fixed income sectors
during the year. Consequently, our allocation to High-Yield was the largest
contributing factor to the fund's strong performance. Lower-quality issues
continued to outperform higher-quality issues, with CCC-rated and B-rated names
outperforming the rest of the High-Yield sector. Emerging Market issues also
outperformed most of the other fixed income sectors. While we maintained only a
small allocation to Emerging Markets, its strong performance benefited returns
during this period.
We believe that a sustainable recovery in the U.S. economy has arrived, with
broad-based signs of improving conditions across the different business
segments. Employment growth, strong productivity, increased manufacturing, a
falling U.S. dollar and growing consumer spending and confidence all point to
better-than-trend growth in GDP (trend defined as 3.0%). While stronger growth
should follow, the Fed is likely to remain accommodative until signs of
increasing inflation appear and job growth is sustainable. However, the market
will likely price in higher short-term rates ahead of the Fed's next move. In
this environment of stronger growth and modest inflation, we remain cautious
with respect to the direction of interest rates. As a result, we are maintaining
a duration-neutral position but will continue to tactically position around the
2-year part of the curve when rates are misaligned with federal funds rate
expectations.
Within the market sectors, we will maintain our underweight position in U.S.
Agencies, which will allow us greater flexibility to concentrate on
higher-yielding sectors. Within the MBS sector, we have moved to an underweight
relative to the benchmark, but continue to favor higher-coupon issues for their
yield advantage. While we will continue to modestly overweight both ABS and
CMBS, we remain cautious as spreads have narrowed and the sectors have performed
well. Excess returns should persist as demand for higher-yielding issues
continues, but CDO demand has left some of the previously undervalued subsectors
(such as Home Equity Loans) less desirable. Within the credit market, we remain
vigilant as spreads have narrowed dramatically and valuations are less
compelling. We remain cautious in the long term and will likely reduce our
exposure to riskier sectors if spreads continue their tightening pattern. We are
maintaining both our modest allocation to the High-Yield sector and our
overweight to Investment-Grade names.
We are also maintaining a small allocation to the Emerging Market sector, but
will preserve the flexibility to add/reduce the position on weakness/strength.
Finally, we have implemented a modest non-dollar allocation to take advantage of
both interest-rate differentials and a weakening U.S. dollar.
[CHART]
CHANGE IN VALUE OF $10,000 BASED ON THE
LEHMAN BROTHERS AGGREGATE BOND INDEX COMPARED TO CHANGE IN
VALUE OF $10,000 INVESTED IN INSTITUTIONAL CORE PLUS FIXED INCOME FUND
[PLOT POINTS TO COME]
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURN
AS OF 1/31/04
- ---------------------------
1 Year Life of Fund
8/2/99
6.73% 8.20%
</Table>
KEEP IN MIND THAT THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS
NO GUARANTEE OF FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN
THE PERFORMANCE DATA QUOTED HEREIN. FOR THE MOST RECENT MONTH-END PERFORMANCE
RESULTS, CALL 1-87-SSR-FUNDS (1-877-773-8637). THE FUND'S SHARE PRICE AND RETURN
WILL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. ALL RETURNS ASSUME REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS
AND INCOME DIVIDENDS. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS, OR THE REDEMPTION OF FUND
SHARES. RETURNS SHOWN RELATE TO THE SOLE CLASS OF SHARES CURRENTLY BEING OFFERED
BY THE FUND (FORMERLY DESIGNATED AS "CLASS IV SHARES"). THE LEHMAN BROTHERS
AGGREGATE BOND INDEX INCLUDES FIXED-RATE DEBT SECURITIES RATED INVESTMENT-GRADE
OR HIGHER. THE INDEX IS UNMANAGED AND DOES NOT TAKE SALES CHARGES INTO
CONSIDERATION. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN THE INDEX. AVERAGE
ANNUAL RETURN REPRESENTS THE RATE ONE WOULD HAVE TO EARN EACH YEAR OF A GIVEN
TIME PERIOD IN ORDER TO END UP WITH THE FUND'S ACTUAL CUMULATIVE RETURN FOR
THOSE YEARS. $10,000 OVER LIFE OF FUND MEASURES THE GROWTH OF A LUMP SUM
INVESTED (LESS APPLICABLE SALES CHARGE, IF ANY). IT ALSO COMPARES THE
PERFORMANCE TO AN INDEX.
2
<Page>
Following three years of negative returns, equity markets enjoyed their first
positive year since 1999 in 2003. Economic recovery took hold, fueled by low
interest rates, low inflation and rising corporate profits, increasing investor
confidence in equity markets. The operating environment for most companies
improved during the year. As a result, the S&P 500 Index returned 34.55% for the
year. In this environment, higher-beta stocks and smaller-cap issues posted
particularly strong gains. Overall, small-cap stocks outperformed large-cap
stocks and value stocks marginally outperformed growth stocks.
For the 12-month period ending January 31, 2004, the Institutional Large Cap
Growth Fund returned 33.42%, underperforming the Russell 1000(R) Growth Index,
which returned 35.69% for the same period. Strong stock selection in the
Consumer Discretionary, Health Care and Energy sectors offset modestly weaker
selection in Consumer Staples, Technology and Utilities. Internet-related stocks
Expedia and Yahoo!, along with International Game Technology, posted
particularly strong gains. Expedia's stock benefited from its acquisition by
InterActiveCorp and Yahoo! benefited from robust advertising revenues.
International Game Technology, the premier provider of slot machine technology,
rallied on continued earnings strength. Our Energy holdings performed well given
their leverage to higher commodity prices.
In Health Care, which lagged the broader market, biotech names tended to
outperform drug stocks, as large-cap pharmaceutical companies struggled to
improve earnings. Stock selection in two smaller, more defensive sectors of the
benchmark--Consumer Staples and Utilities--suffered in this environment. Within
Consumer Staples, fundamental disappointments at Pepsi Bottling and Procter &
Gamble negatively impacted returns. In Utilities, the fund could not keep pace
with the benchmark sector. Additionally, the fund's Financial Services holdings
trailed the benchmark sector.
Our bottom-up, fundamentally based portfolio construction process resulted in a
portfolio of stocks leveraged to economic recovery. While this proved successful
in 2003 as the fund posted strong gains, earnings growth has already been priced
into many stocks. In this environment, we continue to adhere to our disciplined
investment approach as we look to identify those companies with the greatest
upside potential. We have reshuffled our semiconductor holdings, but our
exposure to the segment remains high. We initiated positions in Fairchild
Semiconductor International, Siebel Systems and Flextronics and decreased our
positions in Microsoft and Dell based on fundamentals.
We also increased our positions in Staples and Bed Bath & Beyond, while
eliminating or trimming those companies with limited upside potential, such as
Gap and Wal-Mart. Although Bed Bath & Beyond has recently lagged, the company
appears poised for increased growth with its acquisition of The Christmas Tree
Shops. In the Health Care sector, we continue to focus on companies with solid
pipelines and strong upcoming product cycles. We increased our overweight in
biotechnology by initiating positions in Chiron and Millennium Pharmaceuticals.
Identifying opportunity in large-cap pharmaceutical names continues to be
challenging as these companies are no longer exhibiting growth at attractive
levels.
We increased our weighting in Energy holdings Nabors Industries and Halliburton,
as these companies may benefit from increased drilling activity brought on by
higher natural gas prices. We eliminated our position in BJ Services. Given the
strength in fundamentals resulting from higher prices, we feel our Energy
exposure--which is high relative to that of the index--should serve as a solid
source of positive performance during the course of the coming year.
[CHART]
CHANGE IN VALUE OF $10,000 BASED ON THE
RUSSELL 1000 GROWTH INDEX COMPARED TO CHANGE IN VALUE
OF $10,000 INVESTED IN INSTITUTIONAL LARGE CAP GROWTH FUND
[PLOT POINTS TO COME]
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURN
AS OF 1/31/04
- ---------------------------
1 Year Life of Fund
8/2/99
33.42% 8.15%
</Table>
KEEP IN MIND THAT THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS
NO GUARANTEE OF FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN
THE PERFORMANCE DATA QUOTED HEREIN. FOR THE MOST RECENT MONTH-END PERFORMANCE
RESULTS, CALL 1-87-SSR-FUNDS (1-877-773-8637). THE FUND'S SHARE PRICE AND RETURN
WILL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. ALL RETURNS ASSUME REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS
AND INCOME DIVIDENDS. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS, OR THE REDEMPTION OF FUND
SHARES. RETURNS SHOWN RELATE TO THE SOLE CLASS OF SHARES CURRENTLY BEING OFFERED
BY THE FUND (FORMERLY DESIGNATED AS "CLASS III SHARES"). THE RUSSELL 1000(R)
GROWTH INDEX CONTAINS ONLY THOSE STOCKS WITHIN THE COMPLETE RUSSELL 1000(R)
INDEX (A LARGE-COMPANY INDEX) THAT SHOW ABOVE-AVERAGE GROWTH. THE INDEX IS
UNMANAGED AND DOES NOT TAKE SALES CHARGES INTO CONSIDERATION. IT IS NOT POSSIBLE
TO INVEST DIRECTLY IN THE INDEX. AVERAGE ANNUAL RETURN REPRESENTS THE RATE ONE
WOULD HAVE TO EARN EACH YEAR OF A GIVEN TIME PERIOD IN ORDER TO END UP WITH THE
FUND'S ACTUAL CUMULATIVE RETURN FOR THOSE YEARS. $10,000 OVER LIFE OF FUND
MEASURES THE GROWTH OF A LUMP SUM INVESTED (LESS APPLICABLE SALES CHARGE, IF
ANY). IT ALSO COMPARES THE PERFORMANCE TO AN INDEX.
3
<Page>
Following three years of negative returns, equity markets enjoyed their first
positive year since 1999. Economic recovery took hold, fueled by low interest
rates, low inflation and rising corporate profits, increasing investor
confidence in equity markets. The operating environment for most companies
improved during the year. As a result, the S&P 500 Index returned 34.55% for the
year. In this environment, higher-beta stocks and smaller-cap issues posted
particularly strong gains. Overall, small-cap stocks outperformed large-cap
stocks and value stocks marginally outperformed growth stocks.
For the 12-month period ending January 31, 2004, the Institutional Large Cap
Analyst Fund returned 37.46%, outperforming the Russell 1000(R) Index, which
returned 35.65% for the same period. All sectors of the index gained at least
20%, led by a rally in Technology and Producer Durables. Our stock selection in
the Consumer Discretionary, Health Care and Technology sectors were all sources
of outperformance. Stock selection in Producer Durables detracted from relative
returns.
Stock selection in the Health Care sector was the single biggest source of
outperformance within the fund. Key stocks included Forest Laboratories and
Pfizer. An overweight to Forest Laboratories aided the portfolio as the stock
outperformed the index. Our underweight in Pfizer aided the portfolio, since the
stock underperformed the market due to a poor outlook for the large-cap
pharmaceutical product pipeline.
Stock selection in the Consumer Discretionary sector was also a strong driver of
performance as a number of names outperformed, including InterActiveCorp,
International Game Technology and Cendant. InterActiveCorp delivered impressive
returns during the period, driven by its Internet businesses, including
Ticketmaster.com, LendingTree and Expedia. Within the gaming industry,
International Game Technology continued its rise with the growth of its slot
machine sales, while real estate firm Cendant outperformed as well.
Within the Technology sector, Intel and Dell both delivered impressive
outperformance. Intel drove sector returns as semiconductor sales were strong
during the year due to a pick-up in consumer electronics demand and business
expenditures on technology.
However, disappointing returns came from the Producer Durables sector as
diversified production firm Pentair underperformed the market. Although Pentair
gained within the portfolio, it couldn't keep pace with the stronger-returning
technology-related industries.
As the past twelve months have delivered some of the strongest returns in equity
markets in years, we continue to identify stocks that we believe will benefit
through this period of market prosperity. Our bottom-up stock selection process
will allow us to build the portfolio on a stock-by-stock basis, and we will look
for stocks with strong fundamentals and solid security appreciation potential.
[CHART]
CHANGE IN VALUE OF $10,000 BASED ON THE
RUSSELL 1000 INDEX COMPARED TO CHANGE IN VALUE OF
$10,000 INVESTED IN INSTITUTIONAL LARGE CAP ANALYST FUND
[PLOT POINTS TO COME]
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURN
AS OF 1/31/04
- ---------------------------
1 Year Life of Fund
12/17/01
37.46% 0.11%
</Table>
KEEP IN MIND THAT THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS
NO GUARANTEE OF FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN
THE PERFORMANCE DATA QUOTED HEREIN. FOR THE MOST RECENT MONTH-END PERFORMANCE
RESULTS, CALL 1-87-SSR-FUNDS (1-877-773-8637). THE FUND'S SHARE PRICE AND RETURN
WILL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. ALL RETURNS ASSUME REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS
AND INCOME DIVIDENDS. THE RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS, OR THE REDEMPTION OF FUND
SHARES. THE RUSSELL 1000(R) INDEX MEASURES THE PERFORMANCE OF THE 1,000 LARGEST
SECURITIES IN THE RUSSELL 3000(R)INDEX (AN INDEX OF THE 3,000 LARGEST PUBLICLY
TRADED U.S. COMPANIES). THE INDEX IS UNMANAGED AND DOES NOT TAKE SALES CHARGES
INTO CONSIDERATION. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN THE INDEX. AVERAGE
ANNUAL RETURN REPRESENTS THE RATE ONE WOULD HAVE TO EARN EACH YEAR OF A GIVEN
TIME PERIOD IN ORDER TO END UP WITH THE FUND'S ACTUAL CUMULATIVE RETURN FOR
THOSE YEARS. $10,000 OVER LIFE OF FUND MEASURES THE GROWTH OF A LUMP SUM
INVESTED (LESS APPLICABLE SALES CHARGE, IF ANY). IT ALSO COMPARES THE
PERFORMANCE TO AN INDEX.
4
<Page>
STATE STREET RESEARCH INSTITUTIONAL
CORE FIXED INCOME FUND
INVESTMENT PORTFOLIO January 31, 2004
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
FIXED INCOME SECURITIES 98.0%
U.S. TREASURY 23.4%
U.S. Treasury Bond, 7.25% $ 975,000 5/15/16 $ 1,228,196
U.S. Treasury Bond, 8.875% 875,000 2/15/19 1,265,332
U.S. Treasury Bond, 6.25% 100,000 8/15/23 115,590
U.S. Treasury Bond, 6.25% 1,200,000 5/15/30 1,407,703
U.S. Treasury Note, 7.00%* 6,925,000 7/15/06 7,737,067
U.S. Treasury Note, 5.625% 1,000,000 5/15/08 1,109,414
U.S. Treasury Note, 6.50% 1,025,000 2/15/10 1,194,806
U.S. Treasury Note, 5.00% 500,000 8/15/11 538,945
U.S. Treasury Note, 4.00% 1,700,000 11/15/12 1,698,672
U.S. Treasury Note, 4.25% 400,000 11/15/13 403,625
-------------
16,699,350
-------------
U.S. AGENCY MORTGAGE 30.9%
Federal Home Loan Mortgage
Corp., 9.00% 6,913 12/01/09 7,510
Federal Home Loan Mortgage
Corp., 3.75% 350,000 3/15/11 358,956
Federal National Mortgage
Association, 8.00% 7,229 4/01/08 7,686
Federal National Mortgage
Association, 7.75% 7,575 5/01/08 8,115
Federal National Mortgage
Association, 8.00% 6,483 6/01/08 6,893
Federal National Mortgage
Association, 8.25% 3,878 7/01/08 4,107
Federal National Mortgage
Association, 8.50% 18,009 2/01/09 19,398
Federal National Mortgage
Association, 9.00% 1,847 5/01/09 1,998
Federal National Mortgage
Association, 6.50% 61,317 12/01/14 65,122
Federal National Mortgage
Association, 7.00% 22,753 10/01/15 24,290
Federal National Mortgage
Association, 7.00% 508,514 1/01/17 545,150
Federal National Mortgage
Association, 4.50% 525,000 2/18/19 526,805
Federal National Mortgage
Association, 7.50% 51,550 7/01/29 55,234
Federal National Mortgage
Association, 6.50% 271,393 12/01/29 285,234
Federal National Mortgage
Association, 7.00% 68,312 2/01/30 72,513
Federal National Mortgage
Association TBA, 6.00% 2,900,000 12/12/34 3,009,655
Federal National Mortgage
Association, TBA, 5.00% 3,500,000 12/12/34 3,477,033
Federal National Mortgage
Association TBA, 6.50% 475,000 2/18/19 503,946
Federal National Mortgage
Association TBA, 5.00% 1,925,000 2/18/19 1,967,109
Federal National Mortgage
Association TBA, 6.50% $ 1,175,000 12/12/34 $ 1,232,648
Federal National Mortgage
Association TBA, 5.50% 4,025,000 12/12/34 4,095,437
Federal National Mortgage
Association TBA, 6.00% 435,000 2/18/19 457,430
Federal National Mortgage
Association TBA, 5.50% 650,000 2/18/19 674,172
Government National Mortgage
Association, 6.50% 5,140 9/15/08 5,467
Government National Mortgage
Association, 6.50% 19,046 2/15/09 20,284
Government National Mortgage
Association, 7.50% 20,232 6/15/09 21,705
Government National Mortgage
Association, 6.50% 47,020 7/15/09 50,043
Government National Mortgage
Association, 7.50% 18,053 12/15/09 19,486
Government National Mortgage
Association, 7.50% 127,597 12/15/14 137,961
Government National Mortgage
Association, 7.00% 37,028 1/15/25 39,746
Government National Mortgage
Association, 7.00% 52,964 11/15/28 56,583
Government National Mortgage
Association, 6.50% 170,957 11/15/28 180,740
Government National Mortgage
Association, 7.50% 115,972 12/15/28 124,906
Government National Mortgage
Association, 7.00% 15,863 6/15/29 16,935
Government National Mortgage
Association, 6.50% 96,232 9/15/29 101,690
Government National Mortgage
Association, 6.50% 159,836 8/15/31 168,788
Government National Mortgage
Association, 6.00% 218,716 9/20/33 227,097
Government National Mortgage
Association, 6.00% 345,334 10/20/33 359,759
Government National Mortgage
Association, 5.00% 892,383 10/20/33 886,683
Government National Mortgage
Association, 6.00% 471,675 11/20/33 489,750
Government National Mortgage
Association, 5.50% 1,150,000 2/19/34 1,174,079
Government National Mortgage
Association TBA, 7.00% 500,000 2/19/34 532,969
-------------
22,021,112
-------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
FINANCE/MORTGAGE 27.7%
AIG SunAmerica Global
Finance Inc. Sr. Note, 6.90%+ $ 100,000 3/15/32 $ 115,618
Allstate Financial Global
Funding LLC Note, 2.50%+ 150,000 6/20/08 144,030
Amortizing Residential Collateral
Trust 2002 Cl. B, 3.15% 150,000 1/25/32 148,541
Amortizing Residential Collateral
Trust 2002 Cl. M2, 2.20% 150,000 6/25/32 149,775
Artesia Mortgage Inc.
Note 1998-C1 Cl. D1, 7.00%+ 125,000 6/25/30 136,759
BAE Systems Holdings Inc.
Note, 6.66%+ 399,211 9/15/13 442,282
Bank of America Corp.
Global Note, 7.40% 225,000 1/15/11 265,152
Bear Stearns Commercial
Mortgage Securities Inc.
1999-C1 Cl. A2, 6.02% 25,000 2/14/31 27,548
Bear Stearns Commercial
Mortgage Securities Inc.
2000-WF2 Cl. A1, 7.11% 117,050 10/15/32 130,645
Bear Stearns Commercial
Mortgage Securities Inc.
2000-WF2 Cl. A2, 7.32% 225,000 10/15/32 263,836
Bear Stearns Commercial
Mortgage Securities Inc.
2001-Cl. A1, 6.08% 90,568 2/15/35 97,945
Bear Stearns Commercial
Mortgage Securities Inc.
2001-Cl. A2, 6.48% 450,000 2/15/35 507,935
Centex Home Equity Loan Trust
Note, 2002 D Cl. M2, 3.15% 150,000 12/25/32 152,988
Chase Commercial Mortgage
Securities Corp.
Note 1998-2 Cl. A1, 6.025% 66,593 11/18/30 70,940
Chase Manhattan Auto Owner
Trust Note 2002-A, 4.17% 186,558 9/15/08 190,935
CIT Group Inc. Note, 4.125% 150,000 2/21/06 155,268
Citibank Credit Card Issuance
Trust Note 2001 Cl. B1, 1.62% 75,000 1/15/10 75,645
Citibank Credit Card Issuance
Trust Note 2001 Cl. C3, 6.65% 350,000 5/15/08 378,430
Citibank Credit Card Issuance
Trust Note 2000-1 Cl. B1, 7.05% 125,000 9/17/07 135,084
Citigroup Inc., Sub. Note, 7.25% 325,000 10/01/10 380,087
Countrywide Asset-Backed Securities Inc.
Note 2003-2 M2, 2003 2 Asset Backed
Certificate Class M 1 T4, 2.75% 150,000 3/26/33 153,036
Countrywide Asset-Backed Securities Inc.
Note 2002-2 M2, 2.25% 175,000 12/25/31 175,120
Credit Suisse First Boston USA
Note, 5.75% 100,000 4/15/07 108,218
Crestar Capital Trust Bond
Note, 8.16% 100,000 12/15/26 118,068
Delta Airlines Inc. Note,
MBIA Insured, 6.42% $ 225,000 7/02/12 $ 243,724
Detroit Edison Rate Reduction Bond
Note 2001-1 Cl. A4, 6.19% 10,000 3/01/13 11,211
Discover Card Master Trust,
Series 2000 Cl. A, 6.35% 25,000 7/15/08 27,021
Distribution Financial Services Trust
2001-1 Cl. A4, 5.67% 350,000 1/17/17 363,586
EOP Operating LP Note, 6.50% 275,000 6/15/04 280,050
ERAC USA Finance Co.
Note, 8.25%+ 175,000 5/01/05 187,979
ERAC USA Finance Co.
Note, 6.625%+ 100,000 5/15/06 108,227
ERAC USA Finance Co.
Note, 7.35%+ 50,000 6/15/08 57,270
ERP Operating LP Note, 6.63% 175,000 4/13/05 184,862
Federal Realty Investment
Trust Note, 4.50% 175,000 2/15/11 173,312
First National Bank Note, 7.375% 75,000 9/15/06 84,197
First Union Capital
Bond Note, 7.935% 75,000 1/15/27 86,112
First Union-Lehman Brothers Bank
Note 1998-C2 Cl. A1, 6.28% 184,248 11/18/35 192,973
Ford Credit Auto Owner Trust
Note 2002-C Cl. C, 4.81% 175,000 3/15/07 179,982
Ford Motor Credit Co.
Note, 7.375% 600,000 10/28/09 659,657
General Electric Business Loan
Trust Note, 2.10%+ 124,478 11/15/31 124,478
General Electric Capital Corp.
Global Note, 6.125% 275,000 2/22/11 304,107
General Electric Capital Corp.
Global Note, 6.75% 350,000 3/15/32 394,751
GGP Mall Properties Trust
Note 2001 Cl. C2, 5.56%+ 96,255 11/15/11 102,355
GGP Mall Properties Trust
Note 2001 Cl. C3, 2.42%+ 96,524 2/15/14 97,417
Goldman Sachs Group Inc.
Note, 6.875% 325,000 1/15/11 371,081
Granite Mortgages plc 2002
Cl. 1C, 2.42% 200,000 4/20/42 198,188
Holmes Financing
plc Note, 1.87% 150,000 7/15/40 150,000
Household Finance Corp.
Note, 6.375% 175,000 10/15/11 194,851
Household Finance Corp.
Note, 6.375% 400,000 11/27/12 443,592
IMPAC CMB Trust
Note 2002-3 Cl. B1, 3.30% 97,383 6/25/32 97,016
International Lease Finance Corp.
Global Note, 5.75% 250,000 2/15/07 270,709
J.P. Morgan Chase & Co.
Note, 6.75% 275,000 2/01/11 312,078
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
J.P. Morgan Commercial Mortgage
Finance Corp.
Note 1997 Cl. C5, 7.24% $ 75,000 9/15/29 $ 85,984
J.P. Morgan Commercial Mortgage
Finance Corp.
Note 1999 Cl. A2, 6.51% 370,000 10/15/35 413,794
J.P. Morgan Commercial Mortgage
Finance Corp.
Note 1999 Cl. B, 6.66% 400,000 10/15/35 449,799
John Hancock Global
Funding II Note, 7.90%+ 280,000 7/02/10 334,626
LB-UBS Commercial Mortgage Trust
Note 2001-C7 Cl. A3, 5.64% 281,875 12/15/25 303,407
LB-UBS Commercial Mortgage Trust
Note 2001-WM Cl. A1, 6.155%+ 82,304 7/14/16 89,152
Lehman Brothers Commercial
Conduit Mortgage Trust Note
1998-C4 Cl. A1, 6.21% 425,000 10/15/35 470,035
Lehman Brothers Holdings Inc.
Note, 6.25% 100,000 5/15/06 108,542
Long Beach Mortgage Loan Trust
Note 2004-1, 2.20% 125,000 2/25/34 125,000
Manufacturers & Traders Trust Co.
Note, 3.85%+ 125,000 4/01/13 124,506
Massachusetts Mutual Life Insurance Co.
Note, 5.625%+ 150,000 5/15/33 147,972
MBNA Corp. Note, 5.625% 275,000 11/30/07 295,589
MBNA Master Credit Card Trust
Note 1999 Cl. A, 7.00% 475,000 2/15/12 551,304
MBNA Master Credit Card Trust
Note 2001 Cl. C3, 6.55% 275,000 12/15/08 297,867
Merrill Lynch & Company Inc.
Note, 4.00% 75,000 11/15/07 77,198
Merrill Lynch & Company Inc.
Note, 3.70% 100,000 4/21/08 101,107
Morgan Stanley & Company Inc.
Note, 4.25% 250,000 5/15/10 251,360
Morgan Stanley Capital Inc. Note
1999-WF1 Cl. A2, 6.21% 250,000 11/15/31 276,732
Morgan Stanley Capital Inc. Note
2002-TOP7 Cl. A1, 5.38% 280,058 1/15/39 298,929
NationsLink Funding Corp
Note 1998-2 Cl. B, 6.795% 250,000 8/20/30 281,936
NationsLink Funding Corp.
Note 1999-2 Cl. D, 7.65% 175,000 6/20/31 201,278
Northwest Airlines Inc. Series
Note 2001 Cl. G, 8.07% 136,385 10/01/19 154,465
Option One Mortgage Loan Trust
Note 2003 Cl. M2, 2.80% 125,000 4/25/33 127,651
Residential Asset Mortgage Corp.
2003-KS2 Cl. MII2, 2.85% 150,000 4/25/33 151,110
Residential Asset Mortgage Corp.
2003-RZ2 Cl. M3, 5.50% 150,000 4/25/33 150,349
Residential Asset Security Corp.
2001-KS2 Cl. AI3, 5.75% 8,983 3/25/27 8,976
Residential Asset Security Corp.
2002-KS1 Cl. AI3, 4.99% $ 341,369 2/25/27 $ 343,740
Residential Asset Security Corp.
2003-KS1 Cl. M2, 2.85% 150,000 1/25/33 152,580
Safeco Capital Trust
Bond Note, 8.07% 150,000 7/15/37 172,505
Salomon Brothers
Mortgage Securities Inc.
2001-MMA A3, 6.465%+ 300,000 2/18/34 332,418
Salomon Brothers
Mortgage Securities VII Inc.
2001-MMA A2, 6.13%+ 175,000 2/18/34 189,373
Simon Property Group LP
Global Note, 7.375% 225,000 1/20/06 246,640
Spieker Properties LP
Note, 8.00% 75,000 7/19/05 80,677
Structured Asset Securities Corp.
Note 2003 Cl. M2, 3.05% 100,000 4/25/33 102,053
Union Planters Bank Note, 5.125% 100,000 6/15/07 106,956
Union Planters Bank Note, 4.375% 50,000 12/01/10 49,809
USA Education Inc. Note, 5.625% 125,000 4/10/07 134,934
Vornado Realty Trust Sr.
Note, 5.625% 325,000 6/15/07 348,409
Wachovia Bank Commercial Mortgage
Trust Note 2003 Cl. A1, 2.99% 293,726 6/15/35 281,583
Washington Mutual Inc.
Note 2003-AR4 Cl. A6, 3.42% 350,000 5/25/33 343,403
Washington Mutual Inc.
Note 2003-AR5 Cl. A6, 3.70% 350,000 6/25/33 345,671
Wells Fargo Bank N. A.,
Sub Note, 6.45% 175,000 2/01/11 197,822
West Penn Funding LLC
Note 1999A Cl. A3, 6.81% 24,077 9/25/08 25,581
-------------
19,757,493
-------------
FOREIGN 0.8%
Codelco Inc. Note, 5.50%+ 100,000 10/15/13 103,100
Corporacion Andina De Fomento
Note, 6.875% 50,000 3/15/12 56,293
Pemex Project Funding Master Trust
Note, 7.375% 225,000 12/15/14 240,750
Petroleos Mexicanos Note, 6.50% 100,000 2/01/05 104,375
State of Qatar Bond Note, 9.75%+ 50,000 6/15/30 70,625
-------------
575,143
-------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT 1.5%
Banque Centrale De Tunisie
Note, 7.375% $ 50,000 4/25/12 $ 56,625
Malaysia Government Bond
Note, 7.50% 75,000 7/15/11 88,628
Peoples Republic of China
Note, 4.75% 100,000 10/29/13 99,071
Republic of Chile Note, 5.625% 200,000 7/23/07 214,640
Republic of Poland Note, 5.25% 75,000 1/15/14 75,656
Republic of South Africa
Note, 9.125% 250,000 5/19/09 302,500
United Mexican States Note, 8.00% 150,000 9/24/22 165,375
United Mexican States Note, 8.30% 75,000 8/15/31 84,675
-------------
1,087,170
-------------
CORPORATE 13.7%
Alcan Inc. Note, 5.20% 75,000 1/15/14 76,803
AT&T Broadband Corp.
Note, 9.455% 425,000 11/15/22 576,292
AT&T Wireless Services Inc. Sr.
Note, 8.75% 100,000 3/01/31 126,725
Boeing Co. Note, 8.75% 125,000 8/15/21 162,125
Bombardier Capital Inc.
Note, 6.125%+ 150,000 6/29/06 159,556
British Telecommunications
plc Note, 8.875% 100,000 12/15/30 130,517
Burlington Resources Finance Co.
Note, 7.20% 175,000 8/15/31 204,707
Cadbury Schweppes U.S. Finance
Note, 3.875%+ 225,000 10/01/08 225,801
Cargill Inc. Note, 4.375%+ 125,000 6/01/13 118,689
Continental Airlines Inc.
Note, 6.70% 130,609 6/15/21 132,337
Cox Communications Inc.
Note, 3.875% 50,000 10/01/08 50,178
Cox Communications Inc.
Note, 7.75% 50,000 11/01/10 59,567
DaimlerChrysler Holdings Corp.
Note, 8.50% 300,000 1/18/31 359,215
Delta Airlines Inc. Note, 7.57% 50,000 11/18/10 51,428
Deutsche Telekom BV Global
Note, 5.25% 175,000 7/22/13 176,870
Deutsche Telekom BV Global
Note, 9.25% 125,000 6/01/32 170,984
Devon Energy Corp. Note, 7.95% 125,000 4/15/32 153,762
DTE Energy Co. Note, 6.45% 175,000 6/01/06 189,289
Entergy Gulf States Inc.
Note, 3.60%+ 150,000 6/01/08 145,096
Exelon Corp. Sr. Note, 6.75% 25,000 5/01/11 28,168
Federated Department Stores Inc. Sr.
Note, 7.00% 75,000 2/15/28 83,148
Ford Motor Co. Global Note, 7.45% 50,000 7/16/31 50,762
France Telecom Global Note, 9.75% $ 125,000 3/01/31 $ 164,679
General Electric Co. Note, 5.00% 275,000 2/01/13 281,587
General Motors Acceptance Corp.
Global Note, 7.25% 300,000 3/02/11 330,572
General Motors Corp.
Note, 8.25% 225,000 7/15/23 251,789
Halliburton Co. Note, 5.50% + 125,000 10/15/10 131,538
Hewlett-Packard Co. Note, 3.625% 225,000 3/15/08 227,354
Hutchison Whampoa Ltd.
Note, 6.25%+ 125,000 1/24/14 127,073
Indiana Michigan Power Co.
Note, 6.125% 100,000 12/15/06 108,676
International Paper Co.
Note, 6.75% 150,000 9/01/11 168,140
John Deere Capital Corp.
Note, 3.90% 175,000 1/15/08 178,857
Kern River Funding
Corp. Note, 4.89%+ 145,725 4/30/18 146,376
Kroger Co. Sr. Note
Series B, 7.25% 225,000 6/01/09 258,343
Loral Corp. Note, 7.00% 75,000 9/15/23 83,295
News America Inc.
Note, 6.625% 225,000 1/09/08 249,719
Norfolk Southern Corp.
Note, 9.00% 150,000 3/01/21 198,042
Ohio Power Co. Sr.Note, 6.75% 50,000 7/01/04 51,109
Progress Energy Inc. Sr.
Note, 7.10% 150,000 3/01/11 170,328
Pulte Homes Inc. Sr. Note, 6.375% 125,000 5/15/33 122,789
Raytheon Co. Note, 4.85% 175,000 1/15/11 176,893
Rohm and Haas Co. Note, 9.65% 75,000 6/01/20 101,130
Safeway Inc. Note, 7.50% 150,000 9/15/09 173,098
Sprint Capital Corp. Note, 8.75% 150,000 3/15/32 182,168
TCI Communications Inc.
Note, 7.875% 75,000 2/15/26 88,365
Telecom de Puerto Rico Inc. Sr.
Note, 6.65% 225,000 5/15/06 243,410
Telecom Italia Media SPA
Note, 5.25%+ 150,000 11/15/13 149,579
Telefonos de Mexico SA
Note, 4.50%+ 75,000 11/19/08 75,375
Thomson Corp. Note, 5.75% 125,000 2/01/08 136,929
Time Warner Entertainment
Co. LP Note, 8.375% 250,000 3/15/23 309,887
Time Warner Inc. Note, 9.15% 175,000 2/01/23 228,506
Union Pacific Corp. Note, 6.65% 125,000 1/15/11 142,416
United Technologies Corp.
Note, 7.125% 200,000 11/15/10 234,712
UnitedHealth Group Inc.
Note, 7.50% 125,000 11/15/05 136,653
Valero Energy Corp. Note, 7.375% 100,000 3/15/06 109,647
Verizon Global Funding Corp.
Note, 7.75% 250,000 12/01/30 293,510
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
Vodafone AirTouch PLC
Note, 7.75% $ 125,000 2/15/10 $ 147,933
Weyerhaeuser Co.Note, 7.375% 125,000 3/15/32 140,768
-------------
9,753,264
-------------
TOTAL FIXED INCOME SECURITIES
(COST $68,731,116) 69,893,532
-------------
COMMERCIAL PAPER 26.9%
American Express Credit
Corp., 1.00% 1,300,000 2/10/04 1,299,675
American Express Credit
Corp., 1.00% 1,000,000 2/13/04 999,667
American Express Credit
Corp., 1.03% 770,000 2/19/04 769,603
Bank of America Corp., 1.07% 2,500,000 6/07/04 2,490,563
Caterpillar Financial Services
Corp., 0.99% 1,936,000 2/05/04 1,935,787
Citicorp Note, 1.03% 1,500,000 2/09/04 1,499,657
EI du Pont de Nemours
& Co., 1.00% 800,000 2/18/04 799,622
General Electric Capital
Corp., 1.01% 525,000 2/06/04 524,926
General Electric Capital Corp.,
1.01% 1,489,000 2/12/04 1,488,541
Household Finance Corp., 1.02% 1,500,000 2/18/04 1,499,277
J.P. Morgan Chase & Co.
Note, 1.01% 2,000,000 2/23/04 1,998,766
Toronto Dominion Holdings,
Inc., 1.085% 926,000 2/06/04 925,860
UBS Finance Inc., 1.01% 1,200,000 2/10/04 1,199,697
UBS Finance Inc., 1.00% 749,000 2/25/04 748,501
UBS Finance Inc., 1.02% 994,000 3/15/04 992,795
-------------
TOTAL COMMERCIAL PAPER
(COST $19,172,937) 19,172,937
-------------
<Caption>
VALUE
SHARES (NOTE 1)
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS 16.2%
State Street Navigator Securities
Lending Prime Portfolio 11,532,843 11,532,843
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $11,532,843) 11,532,843
-------------
TOTAL INVESTMENTS (COST $99,436,896) - 141.1% 100,599,312
-------------
OTHER ASSETS, LESS LIABILITIES - (41.1%) (29,294,645)
NET ASSETS - 100.0% $ 71,304,667
=============
FEDERAL INCOME TAX INFORMATION:
At January 31, 2004, the net unrealized
appreciation of investments based on
cost for federal income tax purposes
of $99,659,881 was as follows:
Aggregate gross unrealized appreciation
for all investments in which there is
an excess of value over tax cost $ 1,171,653
Aggregate gross unrealized depreciation
for all investments in which there is
an excess of tax cost over value (232,222)
-------------
$ 939,431
=============
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<Page>
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
*A portion of this security was pledged and segregated with the custodian to
cover margin requirements for futures contracts at January 31, 2004.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at January 31, 2004, were $4,163,627 and $4,187,270 (5.87% of net assets),
respectively.
Futures contracts open at January 31, 2004, are as follows:
<Table>
<Caption>
NUMBER OF NOTIONAL EXPIRATION UNREALIZED APPRECIATION
TYPE CONTRACTS COST MONTH (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
2-Year U.S. Treasury Notes Long 9 $ 1,800,000 March 2004 $ 712
5-Year U.S. Treasury Notes Long 2 200,000 March 2004 (41)
10-Year U.S. Treasury Notes Short (6) (600,000) March 2004 5,315
-------
$ 5,986
=======
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<Page>
STATE STREET RESEARCH INSTITUTIONAL
CORE PLUS FIXED INCOME FUND
INVESTMENT PORTFOLIO January 31, 2004
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
FIXED INCOME SECURITIES 98.3%
U.S. TREASURY 19.5%
U.S. Treasury Bond, 7.25% $ 725,000 5/15/16 $ 913,274
U.S. Treasury Bond, 8.875% 1,175,000 2/15/19 1,699,160
U.S. Treasury Bond, 6.25% 450,000 8/15/23 520,154
U.S. Treasury Bond, 6.25% 975,000 5/15/30 1,143,759
U.S. Treasury Note, 7.00%* 3,500,000 7/15/06 3,910,431
U.S. Treasury Note, 5.00% 1,750,000 8/15/11 1,885,352
U.S. Treasury Note, 4.00% 450,000 11/15/12 449,649
U.S. Treasury Note, 4.25% 550,000 11/15/13 554,984
U.S. Treasury Note, 5.625% 925,000 5/15/08 1,026,208
U.S. Treasury Note, 6.50% 1,375,000 2/15/10 1,602,788
U.S. Treasury STRIPS, 0.00% 525,000 8/15/25 165,254
-------------
13,871,013
-------------
U.S. AGENCY MORTGAGE 30.7%
Federal Home Loan Mortgage
Corp., 9.00% 5,818 12/01/09 6,320
Federal National Mortgage
Association, 8.00% 6,095 4/01/08 6,481
Federal National Mortgage
Association, 7.75% 6,364 5/01/08 6,817
Federal National Mortgage
Association, 8.00% 5,465 6/01/08 5,811
Federal National Mortgage
Association, 8.25% 3,236 7/01/08 3,427
Federal National Mortgage
Association, 8.50% 13,544 2/01/09 14,589
Federal National Mortgage
Association, 7.00% 14,941 10/01/15 15,951
Federal National Mortgage
Association, 6.00% 121,038 5/01/16 127,432
Federal National Mortgage
Association, 7.00% 399,547 1/01/17 428,332
Federal National Mortgage
Association, 4.50% 500,000 2/18/19 501,719
Federal National Mortgage
Association, 6.50% 339,241 12/01/29 356,542
Federal National Mortgage
Association, 7.50% 40,993 6/01/31 43,838
Federal National Mortgage
Association, 6.50% 252,480 7/01/32 264,953
Federal National Mortgage
Association, 5.00% 3,350,000 2/12/34 3,328,017
Federal National Mortgage
Association TBA, 7.00% 650,000 2/12/34 689,407
Federal National Mortgage
Association TBA, 6.50% 775,000 2/12/34 813,023
Federal National Mortgage
Association TBA, 6.00% 3,700,000 2/18/19 3,856,748
Federal National Mortgage
Association TBA, 5.50% 4,325,000 2/18/19 4,414,469
Federal National Mortgage
Association TBA, 5.00% 2,050,000 2/18/19 2,094,844
Government National Mortgage
Association, 6.50% $ 12,869 2/15/09 $ 13,705
Government National Mortgage
Association, 6.50% 25,968 5/15/09 27,599
Government National Mortgage
Association, 7.50% 13,473 6/15/09 14,454
Government National Mortgage
Association, 6.50% 6,431 6/15/09 6,862
Government National Mortgage
Association, 7.50% 15,044 12/15/09 16,238
Government National Mortgage
Association, 7.00% 26,357 1/15/25 28,292
Government National Mortgage
Association, 7.00% 29,856 10/15/25 31,980
Government National Mortgage
Association, 7.00% 55,825 5/15/27 59,671
Government National Mortgage
Association, 7.00% 81,212 11/15/28 86,761
Government National Mortgage
Association, 6.50% 100,533 11/15/28 106,286
Government National Mortgage
Association, 7.50% 79,200 12/15/28 85,302
Government National Mortgage
Association, 6.50% 152,840 9/15/29 161,508
Government National Mortgage
Association, 6.00% 267,319 9/20/33 277,563
Government National Mortgage
Association, 6.00% 419,335 10/20/33 436,850
Government National Mortgage
Association, 5.00% 1,090,690 10/20/33 1,083,723
Government National Mortgage
Association, 6.00% 570,975 11/20/33 592,856
Government National Mortgage
Association, 6.50% 350,000 2/19/34 369,250
Government National Mortgage
Association, 5.50% 1,400,000 2/19/34 1,429,313
-------------
21,806,933
-------------
FINANCE/MORTGAGE 25.0%
Banc of America Commercial Mortgage
Inc. 2000-1 Cl. E, 7.75% 300,000 11/15/31 348,870
Bank America Corp. Sub.
Note, 7.40% 250,000 1/15/11 294,613
Bear Stearns Commercial Mortgage Inc.
Cl. A2, Commercial Mortgage Certificate
Class A 2 2001, 6.48% 650,000 2/15/35 733,684
Bear Stearns Commercial
Mortgage Securities Inc. 2001
Cl. A, 6.08% 452,839 2/15/35 489,727
Bear Stearns Commerical
Mortgage Inc. 2000
Cl. A2, 7.32% 275,000 10/15/32 322,466
Beazer Homes USA Inc.
Sr. Note, 8.375% 150,000 4/15/12 167,250
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
Centex Home Equity Loan
Trust Note, 2003, M 3, 4.20% $ 100,000 6/25/33 $ 104,224
Chase Commercial Mortgage
Securities Corp.
1998-2 Cl. A, 6.025% 44,395 11/18/30 47,293
Chase Funding International
Trust Note, 2003, 5.00%+ 70,457 1/27/35 70,372
Chase Manhattan Auto Owner
Trust 2002-A, 4.17% 223,869 9/15/08 229,122
CIT Group Holdings Inc.,
Global Note, 4.125% 150,000 2/21/06 155,268
Citibank Credit Card Master
Trust Note Cl. A, 5.50% 50,000 2/15/06 50,091
Citibank Credit Card Master Trust
Note Cl. C1, 7.45% 225,000 9/15/07 243,111
Citigroup Inc., Sub Note, 7.25% 575,000 10/01/10 672,462
Commercial Mortgage Acceptance
Corp. Note 1998-C1 Cl. F, 6.23%+ 400,000 7/15/31 348,863
Community Program Loan Trust
Note 1987 A4, 4.50% 97,947 10/01/18 98,172
Countrywide Asset-Backed
Note, 2.87% 100,000 9/25/03 101,592
Countrywide Asset-Backed
Note, 2003, 2.75% 200,000 3/26/33 204,049
Countrywide Home Loan Inc.
Note, 6.25% 75,000 4/15/09 83,481
Credit Suisse First Boston USA
Note, 5.75% 125,000 4/15/07 135,273
Delta Air Lines Inc. Note, 6.42% 325,000 7/02/12 352,046
EOP Operating LP Note, 6.80% 400,000 1/15/09 451,143
Equity Residential Properties LP
Note, 7.25% 100,000 6/15/05 106,987
ERAC USA Finance Co.
Note, 8.25%+ 250,000 5/01/05 268,541
ERAC USA Finance Co.
Note, 6.625%+ 75,000 5/15/06 81,170
ERAC USA Finance Co.
Note, 7.35%+ 100,000 6/15/08 114,540
ERP Operating LP, 6.63% 200,000 4/13/05 211,270
First National Bank Note, 7.375% 75,000 9/15/06 84,197
First Union-Lehman Brothers Bank
Note 1997-C2 Cl. A2, 6.60% 20,836 11/18/29 21,155
Ford Motor Credit Co.
Note, 7.375% 825,000 10/28/09 907,028
General Electric Business Loan Trust
Note, 2.33%+ 95,608 7/15/03 95,608
General Electric Capital Corp.
Global Note, 6.125% 350,000 2/22/11 387,045
GGP Mall Properties
Trust, 5.56% 192,510 8/14/03 204,711
Goldman Sachs Group
Inc. Note, 6.875% 275,000 1/15/11 313,991
Grace Church Card Funding LLC
Note, 5 Cl. C, 2.03% 150,000 8/15/08 150,000
Granite Mortgage Trust Note,
Cl. C, 2.37% $ 225,000 1/20/43 $ 225,821
Granite Mortgage Trust Note,
Cl. C, 2.01% 150,000 3/20/44 150,000
Household Finance Co.
Note, 6.375% 125,000 10/15/11 139,179
Household Finance Corp.
Note, 6.375% 500,000 11/27/12 554,490
International Lease Finance Corp.
Note, 5.75% 200,000 2/15/07 216,567
iStar Financial Inc. Note, 7.00% 50,000 3/15/08 54,375
J.P. Morgan Chase & Co.
Note, 6.75% 375,000 2/01/11 425,561
J.P. Morgan Commercial Mortgage
Finance Corp. Note 1997-C5
Cl. C, 7.24% 125,000 9/15/29 143,307
J.P. Morgan Commercial Mortgage
Finance Corp. Note 1997-C5
Cl. D, 7.35% 125,000 9/15/29 142,719
J.P. Morgan Commercial Mortgage
Finance Corp. Note 1999-C7
Cl. B, 6.66% 100,000 10/01/03 112,450
J.P. Morgan Commercial Mortgage
Finance Corp. Note 1999-C7
Cl. A1, 6.18% 176,976 10/15/35 190,372
John Hancock Global Funding II
Note, 7.90%+ 225,000 7/02/10 268,896
LB-UBS Commercial Mortgage
Trust, 2001 Cl. A 3, 5.64% 305,365 12/15/25 328,691
LB-UBS Commercial Mortgage
Trust 2001-WM Cl. A1, 6.16%+ 157,228 7/14/16 170,310
Lehman Brothers Holdings Inc.
Note, 6.25% 125,000 5/15/06 135,678
MBNA Corp. Note, 5.625% 350,000 11/30/07 376,204
MBNA Credit Card Master Trust
Note 2001 Cl. C, 6.55% 300,000 12/15/08 324,946
Merrill Lynch & Co. Inc.
Note, 4.00% 75,000 11/15/07 77,198
Merrill Lynch & Co. Inc.
Note, 3.70% 125,000 4/21/08 126,384
Morgan Stanley & Co. Inc.
Note, 4.25% 275,000 5/15/10 276,496
Morgan Stanley Capital I Inc.
Note, 7.22%+ 215,418 7/15/29 237,682
Morgan Stanley Dean Witter
Capital Inc. Note 2001
Cl. C, 7.00% 100,000 2/15/33 114,597
Morgan Stanley Dean Witter
Capital Inc. Note 2001
Cl. B, 6.81% 200,000 2/15/33 228,345
NationsLink Funding Corp.
Note 1998 Cl. A2, 6.48% 175,000 8/20/30 195,224
NationsLink Funding Corp.
Note 1998 Cl. B, 6.795% 75,000 8/20/30 84,581
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
NationsLink Funding Corp.
Note 1998 Cl. E, 7.11% $ 250,000 8/20/30 $ 273,219
NationsLink Funding Corp.
Note 1999 Cl. D, 7.49% 50,000 6/20/03 57,508
Option One Mortgage Loan
Trust Corp. Note, 2.65% 75,000 8/25/33 76,249
Option One Mortgage Loan
Trust Corp. Note, 2.75% 100,000 7/25/33 101,939
Option One Mortgage Loan
Trust Corp. Note, 2.80% 100,000 4/25/03 102,121
Option One Mortgage LoanTrust
Corp. Note, 2002 Cl. M 2, 2.80% 150,000 11/25/32 151,879
PECO Energy Transition Trust
Note 2000-A Cl. A4, 7.65% 200,000 3/01/10 236,057
Residential Asset Security Mortgage
Corp. Note, 2003 Cl. M 2, 2.85% 150,000 1/25/33 152,580
Safeco Capital Trust Note, 8.07% 125,000 7/15/37 143,754
Simon Property Group
LP Global Note, 7.375% 200,000 1/20/06 219,236
Structured Asset Investment
Loan Trust Note, 3.06% 100,000 9/25/03 102,053
Structured Asset Investment
Loan Trust Note, 2.985% 100,000 4/25/33 101,418
Structured Asset Securities Corp.
Note, 2002 Cl. M2, 2.20% 150,000 6/25/32 149,775
Structured Asset Securities Corp.
Note, 2002 Bc4 Cl. M2, 2.25% 150,000 7/25/32 149,949
Structured Asset Securities Corp.
Note, 1.36% 205,858 7/25/32 205,968
Systems 2001 Asset Trust LLC.
Note, 6.66%+ 399,211 9/15/13 442,282
Union Planters Bank
Note, 5.125% 75,000 6/15/07 80,217
Union Planters Bank
Note, 4.375% 125,000 12/01/10 124,523
Vornado Realty Trust
Sr. Note, 5.625% 200,000 6/15/07 214,405
Washington Mutual Inc.
Note, 3.42% 375,000 5/25/33 367,931
Washington Mutual Inc.
Note, 3.670% 275,000 6/25/33 271,599
Washinton Mutual Inc.
Note, 4.25% 99,885 8/25/33 99,386
-------------
17,773,536
-------------
FOREIGN 0.6%
Corporacion Andina De Fomento
Note, 6.875% 50,000 3/15/12 56,293
Pemex Project Funding Master Trust
Note, 7.375% 275,000 12/15/14 294,250
Petroleos Mexicanos Note, 6.50% 100,000 2/01/05 104,375
-------------
454,918
-------------
FOREIGN GOVERNMENT 3.5%
CANADIAN DOLLAR
Canada Government Note, 3.50% 150,000 6/01/05 $ 114,710
EURO
Republic of Germany, 5.00% 75,000 8/19/05 97,037
JAPANESE YEN
Japan Government Note, 0.10% 15,000,000 10/20/05 141,828
Malaysia Government Note, 7.50% $ 100,000 7/15/11 118,170
Republic of Argentina, 1.00%++ 200,000 8/03/12 128,500
Republic of Brazil, 9.25% 125,000 10/22/10 130,938
Republic of Chile, 5.625% 225,000 7/23/07 241,470
Republic of Colombia, 10.00% 125,000 1/23/12 137,500
Republic of Ecuador, 7.00%+ 175,000 8/15/30 148,750
Republic of Panama, 9.375% 75,000 1/16/23 80,625
Republic of South Africa, 9.125% 300,000 5/19/09 363,000
Republic of Venezuela, 10.75%+ 200,000 9/19/13 204,000
Russian Federation, 8.25%+ 200,000 3/31/10 224,500
State of Qatar Bond, 9.75%+ 50,000 6/15/30 70,625
United Mexican States, 8.00% 175,000 9/24/22 192,937
United Mexican States, 8.30% 100,000 8/15/31 112,900
-------------
2,507,490
-------------
CORPORATE 19.0%
ACE Securites Corp. Note 1999
Cl. B2, 2.37% 71,574 10/25/03 71,473
Alcan Inc. Note, 5.20% 100,000 1/15/14 102,405
AMETEK Inc. Sr. Note, 7.20% 75,000 7/15/08 81,750
Anchor Glass Container Corp.
Note, 11.00% 50,000 2/15/13 58,750
ArvinMeritor Inc. Note, 8.75% 50,000 3/01/12 56,250
AT&T Broadband Corp.
Bond Note, 9.455% 450,000 11/15/22 610,191
AT&T Wireless Services Inc. Sr.
Note, 8.75% 125,000 3/01/31 158,406
Autonation Inc. Sr. Note, 9.00% 50,000 8/01/08 57,500
Ball Corp. Note, 6.875% 50,000 12/15/12 53,500
Beckman Coulter Inc. Sr.
Note, 7.45% 50,000 3/04/08 56,618
Bio Rad Laboratories Inc.
Note, 7.50% 25,000 8/15/13 27,500
Boeing Co. Note, 8.75% 75,000 8/15/21 97,275
Boise Cascade Co. Note, 6.50% 50,000 11/01/10 52,768
Bombardier Capital Inc.
Note, 6.125%+ 175,000 6/29/06 186,149
Briggs & Stratton Corp. Sr.
Note, 8.875% 50,000 3/15/11 59,750
British Telecommunications plc
Note, 8.875% 75,000 12/15/30 97,887
Burlington Resources Finance Co.
Note, 7.40% 50,000 12/01/31 60,028
Cargill Inc. Note, 4.375%+ 125,000 6/01/13 118,689
Case New Holland Inc. Note, 9.25%+ 75,000 8/01/11 83,437
Centex Corp. Note, 4.75% 175,000 1/15/08 181,389
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
Continental Airlines Inc.
Note, 7.70% $ 152,067 10/02/22 $ 159,862
Cox Communications Inc.
Note, 3.875% 100,000 10/01/08 100,355
Cox Communications Inc.
Note, 7.75% 25,000 11/01/10 29,784
Crown European Holdings SA
Note, 9.50% 50,000 3/01/11 56,250
D. R. Horton Inc. Sr. Note, 8.50% 200,000 4/15/12 225,000
DaimlerChrysler Holdings Corp.
Note, 8.50% 325,000 1/18/31 389,150
Dana Corp. Sr. Note, 9.00% 100,000 8/15/11 118,000
Dean Foods Co. Sr. Note, 8.15% 175,000 8/01/07 190,750
Delta Airlines Inc. Note, 7.57% 100,000 11/18/10 102,856
Deutsche Telekom BV Global
Note, 9.25% 175,000 6/01/32 239,378
Deutsche Telekom International
Global Note, 5.25% 75,000 7/22/13 75,801
Devon Energy Corp. Note, 7.95% 100,000 4/15/32 123,010
Dex Media West LLC Note, 8.50%+ 25,000 8/15/10 27,500
Dominion Resources Inc. Sr.
Note, 8.125% 325,000 6/15/10 389,660
DTE Energy Co. Note, 6.45% 175,000 6/01/06 189,289
Echostar DBS Corp. Note, 5.75%+ 100,000 10/01/08 101,250
Eircom Funding Note, 8.25% 25,000 8/15/13 27,875
Entergy Gulf States Inc. Note, 3.60%+ 125,000 6/01/08 120,914
Equistar Chemicals LP
Note, 10.125% 100,000 9/01/08 108,500
Federated Department Stores Inc.
Note, 7.00% 100,000 2/15/28 110,863
Fisher Scientific International Inc.
Note, 8.00% 25,000 9/01/13 27,375
FMC Corp. Note, 10.25% 75,000 11/01/09 87,375
France Telecom Note, 9.75% 125,000 3/01/31 164,679
General Electric Co. Note, 5.00% 550,000 2/01/13 563,173
General Motors Acceptance Corp.
Note, 7.25% 325,000 3/02/11 358,120
General Motors Corp. Note, 8.25% 200,000 7/15/23 223,813
Halliburton Co. Note, 5.50%+ 125,000 10/15/10 131,537
Host Marriott LP Note, 7.125%+ 100,000 11/01/13 102,250
Houghton Mifflin Co. Note, 8.25% 25,000 2/01/11 26,625
Hutchison Whampoa Ltd.
Note, 6.25%+ 225,000 1/24/14 228,732
Indiana Michigan Power Co.
Note, 6.125% 100,000 12/15/06 108,676
International Paper Co. Note, 6.75% 25,000 9/01/11 28,023
International Paper Co. Note, 5.85%. 125,000 10/30/12 132,256
ISP Chemco Inc. Sr. Sub
Note, 10.25% 75,000 7/01/11 85,312
J.C. Penney Co., Inc. Note, 8.00% 75,000 3/01/10 86,062
John Q Hammons LP.
Note, 8.875% 125,000 5/15/12 137,500
Kroger Co. Sr. Note, 8.00% 75,000 9/15/29 91,651
Kroger Co. Note, 8.05% 25,000 2/01/10 29,787
Kroger Co. Sr. Note B, 7.25% 75,000 6/01/09 86,114
L-3 Communications Corp.
Note, 7.625% $ 100,000 6/15/12 $ 110,250
Lamar Media Corp. Note, 7.25% 75,000 1/01/13 81,375
Loral Corp. Note, 7.00% 50,000 9/15/23 55,530
Luscar Coal Ltd. Sr. Note, 9.75% 100,000 10/15/11 113,500
Lyondell Chemical Co.
Sr. Note Series A, 9.625% 75,000 5/01/07 77,813
Massey Energy Co. Note, 6.625%+ 50,000 11/15/10 51,000
MDP Acquisitions plc
Note, 9.625% 125,000 10/01/12 141,875
MGM Mirage Inc. Note, 6.875% 50,000 2/06/08 53,500
Norfolk Southern Corp.
Note, 6.00% 200,000 4/30/08 217,676
Norfolk Southern Corp.
Note, 9.00% 150,000 3/01/21 198,042
Ohio Power Co. Sr. Note, 6.75% 50,000 7/01/04 51,109
Owens Brockway Glass Container
Note, 7.75% 25,000 5/15/11 26,625
Packaging Corp. of America
Note, 4.375% 100,000 8/01/08 100,913
Penn National Gaming
Inc. Note, 6.875%+ 50,000 12/01/11 50,375
PerkinElmer Inc. Note, 8.875% 50,000 1/15/13 57,500
Plains All American Pipeline
Note, 7.75% 50,000 10/15/12 58,500
Progress Energy Inc. Sr.
Note, 7.10% 150,000 3/01/11 170,328
Pulte Homes Inc. Note, 6.375% 125,000 5/15/33 122,789
Rayovac Corp. Note, 8.50% 25,000 10/01/13 27,188
Raytheon Co. Note, 4.85% 225,000 1/15/11 227,434
Safeway Inc. Note, 7.50% 100,000 9/15/09 115,399
Saks Inc. Note, 7.00%+ 79,000 12/01/13 82,160
Seagate Technology Inc. Note, 8.00% 200,000 5/15/09 218,000
Senior Housing Properties Trust Sr.
Note, 8.625% 25,000 1/15/12 27,875
Sprint Capital Corp. Note, 8.75% 175,000 3/15/32 212,529
Station Casinos Inc. Note, 6.50% 50,000 2/01/14 51,250
TCI Communications Inc.
Deb., 7.875% 75,000 2/15/26 88,365
Telecom de Puerto Rico Inc. Sr.
Note, 6.65% 200,000 5/15/06 216,364
Telecom Italia Capital Inc.
Note, 6.375%+ 175,000 11/15/33 174,515
Telefonos De Mexico SA
Note, 4.50%+ 75,000 11/19/08 75,375
Telus Corp. Note, 7.50% 125,000 6/01/07 139,981
Tenet Healthcare Corp. Sr.
Note, 6.375% 75,000 12/01/11 68,625
Terex Corp. Sr. Sub. Note, 9.25% 25,000 7/15/11 27,813
Time Warner Enterprise Co.
Note, 8.375% 225,000 3/15/23 278,899
Time Warner Inc. Note, 9.15% 250,000 2/01/23 326,438
TriMas Corp. Note, 9.875% 75,000 6/15/12 80,250
TRW Automotive Inc.
Note, 9.375% 125,000 2/15/13 141,562
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<Page>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ----------------------------------------------------------------------------------------
Union Pacific Corp. Note, 7.60% $ 150,000 5/01/05 $ 159,889
United Rentals Inc. Note, 6.50% 75,000 2/15/12 73,688
United Technologies Corp.
Note, 7.125% 75,000 11/15/10 88,017
Valero Energy Corp. Note, 7.375% 100,000 3/15/06 $ 109,647
Verizon Global Funding Corp.
Note, 7.75% 250,000 12/01/30 293,510
Vivendi Universal Inc. Note, 6.25%+ 125,000 7/15/08 131,562
Vodafone Airtouch plc
Note, 7.75% 100,000 2/15/10 118,346
Waste Management Inc. Sr.
Note, 6.875% 150,000 5/15/09 168,864
Weyerhaeuser Co. Note, 7.375% 125,000 3/15/32 140,768
-------------
13,459,835
-------------
TOTAL FIXED INCOME SECURITIES
(COST $68,398,617) 69,873,725
-------------
COMMERCIAL PAPER 26.1%
AIG Funding Inc., 1.01% 2,191,000 2/04/04 2,190,816
American Express Credit
Corp., 1.06% 2,000,000 2/17/04 1,999,058
American Express Credit
Corp., 1.01% 1,500,000 2/19/04 1,499,242
Caterpillar Financial Services
Corp., 0.98% 1,112,000 2/05/04 1,111,879
E.I. du Pont de Nemours &
Co., 0.98% 1,065,000 2/06/04 $ 1,064,855
Federal Home Loan Mortgage
Corp., 0.99% 1,090,000 2/02/04 1,089,970
General Electric Capital
Corp., 1.03% 1,630,000 2/12/04 1,629,487
General Electric Capital
Corp., 1.02% 250,000 2/12/04 249,922
Merck & Company, Inc., 0.97% 1,500,000 2/12/04 1,499,555
Merck & Company, Inc., 0.98% 1,617,000 2/13/04 1,616,472
Toronto Dominion Holdings,
Inc., 1.07% 3,493,000 2/11/04 3,491,962
UBS Finance Inc., 1.01% 1,100,000 2/12/04 1,099,661
-------------
TOTAL COMMERCIAL PAPER (COST $18,542,878) 18,542,879
-------------
<Caption>
VALUE
SHARES (NOTE 1)
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS 15.9%
State Street Navigator Securities
Lending Prime Portfolio, 11,310,775 11,310,775
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $11,310,775) 11,310,775
-------------
TOTAL INVESTMENTS - (COST $98,252,270)-140.3% 99,727,379
-------------
CASH AND OTHER ASSETS, LESS LIABILITIES - (40.3%) (28,671,043)
NET ASSETS - 100.0% $ 71,056,336
=============
FEDERAL INCOME TAX INFORMATION:
At January 31, 2004, the net unrealized
appreciation of investments based on
cost for federal income tax purposes of
$98,399,493 was as follows:
Aggregate gross unrealized appreciation
for all investments in which there is
an excess of value over tax cost $ 1,571,586
Aggregate gross unrealized depreciation
for all investments in which there is
an excess of tax cost over value (243,701)
-------------
$ 1,327,885
=============
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<Page>
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
*A portion of this security was pledged and segregated with the custodian to
cover margin requirements for futures contracts at January 31, 2004.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at January 31, 2004, were $4,331,422 and $4,411,584 (6.21% of net assets),
respectively.
++Interest rates on these floating-rate bonds will reset annually or biannually
based on the six-month London Interbank Offered Rate (LIBOR) plus 0.8125%.
Futures contracts open at January 31, 2004, are as follows:
<Table>
<Caption>
NUMBER OF NOTIONAL EXPIRATION UNREALIZED APPRECIATION
TYPE CONTRACTS COST MONTH (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------------
2-Year U.S. Treasury Notes Long 29 $ 5,800,000 March 2004 $ 3,933
10-Year U.S. Treasury Notes Short (19) (1,900,000) March 2004 (19,653)
-----------
$ (15,720)
===========
</Table>
Forward currency exchange contracts oustanding at January 31, 2004, are as
follows:
<Table>
<Caption>
TOATL CONTRACT UNREALIZED DELIVERY
VALUE PRICE APPRECIATION DATE
- ---------------------------------------------------------------------------------------------------------------------------
Sell Euro U.S. dollars 75,000 EUR 0.79777 EUR 945 3/22/04
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<Page>
STATE STREET RESEARCH INSTITUTIONAL
LARGE CAP GROWTH FUND
Investment Portfolio January 31, 2004
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
COMMON STOCKS 99.0%
AUTOMOBILES & TRANSPORTATION 0.5%
AIR TRANSPORT 0.5%
Expeditors International
Washington Inc. 470 $ 17,583
---------------
TOTAL AUTOMOBILES & TRANSPORTATION 17,583
---------------
CONSUMER DISCRETIONARY 24.0%
CASINOS/GAMBLING, HOTEL/MOTEL 3.1%
Caesars Entertainment Inc.* 3,480 39,846
International Game Technology Inc. 2,254 84,435
---------------
124,281
---------------
COMMERCIAL SERVICES 2.5%
InterActiveCorp 1,891 61,269
Manpower Inc.* 851 39,469
---------------
100,738
---------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 4.2%
Univision Communications Inc. Cl. A* 1,814 64,161
Walt Disney Co. 4,300 103,200
---------------
167,361
---------------
CONSUMER ELECTRONICS 2.4%
Harman International Inc. 440 32,661
Yahoo!, Inc.* 1,365 63,950
---------------
96,611
---------------
CONSUMER SERVICES 1.0%
Career Education Corp.* 830 41,799
---------------
PRINTING & PUBLISHING 2.0%
The News Corp. Ltd. ADR 2,190 80,636
---------------
RESTAURANTS 1.1%
Starbucks Corp.* 1,200 44,112
---------------
RETAIL 6.0%
Bed Bath & Beyond Inc.* 1,500 60,915
Best Buy Company Inc. 572 28,823
Dollar General Corp. 860 19,109
Lowes Companies Inc. 906 48,516
Nordstrom Inc. 1,050 41,265
Staples Inc.* 1,550 41,246
---------------
239,874
---------------
ATHLETIC FOOTWEAR 1.0%
Nike Inc. Cl. B 590 $ 41,099
---------------
TEXTILE APPAREL MANUFACTURERS 0.7%
Coach Inc.* 812 28,769
---------------
TOTAL CONSUMER DISCRETIONARY 965,280
---------------
CONSUMER STAPLES 5.7%
BEVERAGES 2.0%
Coca-Cola Co. 1,660 81,738
---------------
DRUG & GROCERY STORE CHAINS 0.5%
Whole Foods Market Inc. 301 20,309
---------------
HOUSEHOLD PRODUCTS 3.2%
Clorox Co. 647 31,625
Procter & Gamble Co. 937 94,712
---------------
126,337
---------------
TOTAL CONSUMER STAPLES 228,384
---------------
FINANCIAL SERVICES 12.0%
INSURANCE 2.0%
American International Group Inc. 1,192 82,784
---------------
MISCELLANEOUS FINANCIAL 7.5%
American Express Co. 1,399 72,524
Capital One Financial Corp. 390 27,721
Citigroup Inc. 1,740 86,096
MBNA Corp. 2,350 63,356
SLM Corp. 1,363 52,339
---------------
302,036
---------------
SECURITIES BROKERAGE & SERVICES 2.5%
Ameritrade Holding Corp.* 2,700 42,795
Goldman Sachs Group Inc. 570 56,744
---------------
99,539
---------------
TOTAL FINANCIAL SERVICES 484,359
---------------
HEALTH CARE 19.7%
DRUGS & BIOTECHNOLOGY 16.7%
Allergan Inc. 323 26,761
Amgen Inc.* 1,107 71,390
Biogen Idec Inc.* 670 28,669
Chiron Corp.* 730 37,741
Forest Laboratories Inc.* 601 44,769
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
Genentech, Inc.* 490 $ 46,795
Gilead Sciences, Inc.* 290 15,912
Invitrogen Corp.* 540 41,580
Johnson & Johnson Ltd. 850 45,407
Millennium Pharmaceuticals Inc.* 1,980 34,927
Novartis AG ADR 1,756 79,283
Pfizer Inc. 4,855 177,839
Teva Pharmaceutical
Industries Ltd. ADR 310 19,403
---------------
670,476
---------------
HOSPITAL SUPPLY 3.0%
Guidant Corp. 740 47,271
Medtronic Inc. 1,135 55,865
St. Jude Medical Inc.* 280 20,041
---------------
123,177
---------------
TOTAL HEALTH CARE 793,653
---------------
OTHER 2.6%
MULTI-SECTOR 2.6%
General Electric Co. 2,511 84,445
Tyco International Ltd. 750 20,062
---------------
TOTAL OTHER 104,507
---------------
OTHER ENERGY 5.3%
GAS PIPELINES 0.8%
EOG Resources Inc. 750 33,975
---------------
MISCELLANEOUS ENERGY 0.4%
Consol Energy Inc. 770 17,787
---------------
OIL & GAS PRODUCERS 1.6%
Burlington Resources Inc. 548 29,997
Newfield Exploration Co.* 710 33,505
---------------
63,502
---------------
OIL WELL EQUIPMENT & SERVICES 2.5%
Halliburton Co. 1,550 46,733
Nabors Industries Ltd.* 1,188 52,272
---------------
99,005
---------------
TOTAL OTHER ENERGY 214,269
---------------
PRODUCER DURABLES 3.1%
INDUSTRIAL PRODUCTS 1.1%
American Power Conversion Corp. 1,750 $ 43,383
---------------
PRODUCTION TECHNOLOGY EQUIPMENT 2.0%
Applied Materials Inc.* 2,170 47,219
Teradyne Inc.* 1,310 35,239
---------------
82,458
---------------
TOTAL PRODUCER DURABLES 125,841
---------------
TECHNOLOGY 25.0%
COMMUNICATIONS TECHNOLOGY 5.5%
Cisco Systems Inc.* 6,265 160,635
Qualcomm Inc. 1,050 61,341
---------------
221,976
---------------
COMPUTER SOFTWARE 5.6%
Microsoft Corp. 3,392 93,789
Red Hat Inc.* 1,040 19,791
SAP AG ADR 1,431 59,329
Siebel Systems Inc.* 3,860 51,454
---------------
224,363
---------------
COMPUTER TECHNOLOGY 2.0%
Dell Inc.* 1,427 47,762
Sandisk Corp.* 630 34,297
---------------
82,059
---------------
ELECTRONICS 1.0%
Flextronics International Ltd.* 2,160 41,040
---------------
ELECTRONICS: SEMICONDUCTORS/COMPONENTS 10.9%
Broadcom Corp. Cl. A* 740 30,037
Cypress Semiconductor Corp.* 2,600 55,120
Fairchild Semiconductor
International Inc.* 1,660 40,670
Intel Corp. 3,929 120,227
Linear Technology Corp. 2,342 93,680
PMC Sierra Inc.* 1,700 37,247
Texas Instruments Inc. 1,930 60,505
---------------
437,486
---------------
TOTAL TECHNOLOGY 1,006,924
---------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
UTILITIES 1.1%
CABLE TELEVISION & RADIO 1.1%
Comcast Corp.* 1,290 $ 42,506
---------------
TOTAL UTILITIES 42,506
---------------
TOTAL COMMON STOCKS (COST $3,296,345) 3,983,306
---------------
SHORT-TERM INVESTMENTS 4.2%
State Street Navigator
Securities Lending Prime Portfolio 164,423 164,423
---------------
TOTAL SHORT-TERM INVESTMENTS (COST $164,423) 164,423
---------------
TOTAL INVESTMENTS (COST $3,460,768) - 103.2% 4,147,729
CASH AND OTHER ASSETS, LESS LIABILITIES - (3.2%) (123,550)
---------------
NET ASSETS - 100.0% $ 4,024,179
===============
FEDERAL INCOME TAX INFORMATION:
At January 31, 2004, the net unrealized
depreciation of investments based on cost for
federal income tax purposes of $3,463,495 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $ 707,302
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (23,068)
---------------
$ 684,234
===============
</Table>
*Non-income-producing securities
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<Page>
STATE STREET RESEARCH INSTITUTIONAL
LARGE CAP ANALYST FUND
Investment Portfolio January 31, 2004
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
COMMON STOCKS 99.2%
AUTOMOBILES & TRANSPORTATION 1.0%
AUTOMOTIVE PARTS 0.5%
Navistar International Corp.* 760 $ 36,138
---------------
MISCELLANEOUS TRANSPORTATION 0.5%
United Parcel Service Inc. Cl. B 500 35,635
---------------
TOTAL AUTOMOBILES & TRANSPORTATION 71,773
---------------
CONSUMER DISCRETIONARY 14.0%
CASINOS/GAMBLING, HOTEL/MOTEL 1.0%
International Game Technology Inc. 2,110 79,041
---------------
COMMERCIAL SERVICES 2.4%
Cendant Corp.* 2,030 45,979
InterActiveCorp* 4,130 133,812
---------------
179,791
---------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 2.7%
Alliance Gaming Corp.* 1,640 39,524
Univision Communications Inc. Cl. A* 920 32,540
Walt Disney Co. 5,440 130,560
---------------
202,624
---------------
LEISURE TIME 0.7%
Carnival Corp. 1,120 49,750
---------------
PRINTING & PUBLISHING 0.5%
News Corp. Ltd. ADR 1,020 37,556
---------------
RESTAURANTS 0.5%
Starbucks Corp.* 1,120 41,171
---------------
RETAIL 5.1%
Bed Bath & Beyond Inc.* 1,210 49,138
Best Buy Company Inc. 730 36,785
Chicos FAS Inc.* 1,140 41,998
Federated Department Stores Inc. 1,060 50,329
GAP Inc. 1,890 35,116
Home Depot Inc. 1,560 55,333
Lowes Companies Inc. 660 35,343
Nordstrom Inc. 1,950 76,635
---------------
380,677
---------------
ATHLETIC FOOTWEAR 0.6%
Nike Inc. Cl. B 660 45,976
---------------
TEXTILE APPAREL MANUFACTURERS 0.5%
Coach Inc.* 990 $ 35,076
---------------
TOTAL CONSUMER DISCRETIONARY 1,051,662
---------------
CONSUMER STAPLES 6.4%
BEVERAGES 2.1%
Coca-Cola Co. 2,300 113,252
PepsiCo Inc. 880 41,589
---------------
154,841
---------------
DRUG & GROCERY STORE CHAINS 1.2%
CVS Corp. 1,450 51,794
Whole Foods Market Inc. 530 35,759
---------------
87,553
---------------
FOODS 0.5%
Dean Foods Co.* 1,190 38,080
---------------
HOUSEHOLD PRODUCTS 1.2%
Procter & Gamble Co. 900 90,972
---------------
TOBACCO 1.4%
Altria Group Inc. 1,920 106,733
---------------
TOTAL CONSUMER STAPLES 478,179
---------------
FINANCIAL SERVICES 22.2%
BANKS & SAVINGS & LOAN 6.1%
Bank of America Corp. 930 75,758
Bank of New York Co., Inc. 1,320 41,910
Bank One Corp. 880 44,537
Fifth Third Bancorp 1,000 57,790
J.P. Morgan Chase & Co. 980 38,112
US Bancorp 1,420 40,143
Wachovia Corp. 1,210 55,951
Wells Fargo & Co. 1,830 105,060
---------------
459,261
---------------
FINANCIAL DATA PROCESSING SERVICES & SYSTEMS 1.0%
First Data Corp. 1,850 72,446
---------------
INSURANCE 4.6%
ACE Ltd. 1,020 44,288
AFLAC Inc. 1,090 40,199
American International Group Inc. 2,120 147,234
Hartford Financial Services Group Inc. 1,760 113,239
---------------
344,960
---------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
MISCELLANEOUS FINANCIAL 8.7%
AMBAC Financial Group Inc. 510 $ 38,133
American Express Co. 2,200 114,048
Citigroup Inc. 4,840 239,483
Federal Home Loan Mortgage Corp. 880 54,930
Federal National Mortgage Association 1,070 82,497
MBNA Corp. 1,620 43,675
Willis Group Holdings Ltd. 2,110 78,070
---------------
650,836
---------------
SECURITIES BROKERAGE & SERVICES 1.9%
Lehman Brothers Holdings Inc. 510 41,871
Morgan Stanley Inc. 1,750 101,867
---------------
143,738
---------------
TOTAL FINANCIAL SERVICES 1,671,241
---------------
HEALTH CARE 13.8%
DRUGS & BIOTECHNOLOGY 9.8%
Amgen Inc.* 1,360 87,706
Biogen Idec Inc.* 874 37,399
Forest Laboratories Inc.* 770 57,357
Gilead Sciences Inc.* 970 53,224
Johnson & Johnson Ltd. 720 38,462
Novartis AG ADR 3,230 145,835
Pfizer Inc. 4,440 162,637
Teva Pharmaceutical Industries Ltd. ADR 1,220 76,360
Wyeth Inc. 1,890 77,396
---------------
736,376
---------------
HEALTH CARE FACILITIES 1.0%
HCA Inc. 1,720 77,228
---------------
HEALTH CARE SERVICES 1.0%
Caremark Rx Inc.* 1,300 34,775
WellPoint Health Networks Inc. Cl. A* 370 38,850
---------------
73,625
---------------
HOSPITAL SUPPLY 2.0%
Guidant Corp. 1,300 83,044
Medtronic Inc. 1,320 64,970
---------------
148,014
---------------
TOTAL HEALTH CARE 1,035,243
---------------
INTEGRATED OILS 3.4%
INTEGRATED INTERNATIONAL 3.4%
BP plc ADR 880 $ 41,888
Exxon Mobil Corp. 3,350 136,646
Total Fina SA ADR 880 77,704
---------------
TOTAL INTEGRATED OILS 256,238
---------------
MATERIALS & PROCESSING 3.4%
CHEMICALS 2.1%
Air Products & Chemicals Inc. 660 32,941
Dow Chemical Co. 2,200 92,290
Sherwin Williams Co. 1,080 36,439
---------------
161,670
---------------
OFFICE SUPPLIES 0.6%
Avery Dennison Corp. 690 42,890
---------------
PAPER & FOREST PRODUCTS 0.7%
International Paper Co. 1,280 54,106
---------------
TOTAL MATERIALS & PROCESSING 258,666
---------------
OTHER 3.0%
MULTI-SECTOR 3.0%
General Electric Co. 4,320 145,282
ITT Industries Inc. 1,030 76,776
---------------
TOTAL OTHER 222,058
---------------
OTHER ENERGY 2.6%
MISCELLANEOUS ENERGY 0.6%
Arch Coal Inc. 380 10,496
Consol Energy Inc. 450 10,395
Massey Energy Co. 580 11,600
Peabody Energy Corp. 280 11,208
---------------
43,699
---------------
OIL & GAS PRODUCERS 1.1%
Burlington Resources Inc. 770 42,150
Tom Brown Inc.* 1,270 39,497
---------------
81,647
---------------
OIL WELL EQUIPMENT & SERVICES 0.9%
BJ Services Co.* 880 34,443
Patterson-UTI Energy Inc.* 990 34,234
---------------
68,677
---------------
TOTAL OTHER ENERGY 194,023
---------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<Page>
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------
PRODUCER DURABLES 8.1%
AEROSPACE 1.2%
United Technologies Corp. 950 $ 90,763
---------------
INDUSTRIAL PRODUCTS 1.5%
American Power Conversion Corp. 4,570 113,290
---------------
MACHINERY 2.1%
AGCO Corp.* 4,070 82,051
Illinois Tool Works Inc. 460 35,926
Ingersoll Rand Co. 590 39,253
---------------
157,230
---------------
MISCELLANEOUS EQUIPMENT 1.1%
Pentair Inc. 1,760 80,397
---------------
PRODUCTION TECHNOLOGY EQUIPMENT 1.7%
Applied Materials Inc.* 3,320 72,244
KLA-Tencor Corp.* 960 54,787
---------------
127,031
---------------
TELECOMMUNICATIONS EQUIPMENT 0.5%
Andrew Corp.* 2,180 37,365
---------------
TOTAL PRODUCER DURABLES 606,076
---------------
TECHNOLOGY 14.4%
COMMUNICATIONS TECHNOLOGY 1.9%
Cisco Systems Inc.* 5,620 144,097
COMPUTER SOFTWARE 2.6%
Microsoft Corp. 3,760 103,964
Oracle Corp.* 2,640 36,458
Symantec Corp.* 1,500 58,200
---------------
198,622
---------------
COMPUTER TECHNOLOGY 3.8%
Dell Inc.* 2,060 68,948
EMC Corp.* 3,110 43,665
Hewlett-Packard Co. 2,270 54,003
Ingram Micro Inc. Cl. A* 3,330 55,611
Sandisk Corp.* 1,130 61,517
---------------
283,744
---------------
ELECTRONICS 0.8%
Flextronics International Ltd.* 3,110 59,090
---------------
ELECTRONICS: SEMICONDUCTORS/COMPONENTS 5.3%
Intel Corp. 5,020 $ 153,612
Jabil Circuit Inc.* 1,550 45,880
Linear Technology Corp. 1,390 55,600
Marvell Technology Group Ltd.* 1,600 66,560
PerkinElmer Inc. 1,820 37,583
Texas Instruments Inc. 1,170 36,680
---------------
395,915
---------------
TOTAL TECHNOLOGY 1,081,468
---------------
UTILITIES 6.9%
CABLE TELEVISION & RADIO 1.9%
Comcast Corp.* 2,220 73,149
Cox Communications Inc.Cl. A* 2,090 71,603
---------------
144,752
---------------
ELECTRICAL 0.8%
Exelon Corp. 880 58,942
---------------
GAS DISTRIBUTION 0.5%
Williams Companies Inc. 3,450 34,983
---------------
TELECOMMUNICATIONS 3.7%
Alltel Corp. 710 34,563
BellSouth Corp. 1,250 36,538
Qwest Communications
International Inc.* 8,280 33,451
SBC Communications Inc. 2,610 66,555
Verizon Communications Inc. 3,020 111,317
---------------
282,424
---------------
TOTAL UTILITIES 521,101
---------------
TOTAL COMMON STOCKS AND
INVESTMENTS (COST $6,518,065) - 99.2% 7,447,728
CASH AND OTHER ASSETS, LESS LIABILITIES - 0.8% 63,564
---------------
NET ASSETS - 100.0% $ 7,511,292
===============
FEDERAL INCOME TAX INFORMATION:
At January 31, 2004, the net unrealized
appreciation of investments based on cost for
federal income tax purposes of $6,578,866 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $ 981,694
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (112,832)
---------------
$ 868,862
===============
</Table>
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<Page>
STATE STREET RESEARCH
INSTITUTIONAL FUNDS
Statements of Assets and Liabilities January 31, 2004
<Table>
<Caption>
STATE STREET RESEARCH STATE STREET RESEARCH
INSTITUTIONAL INSTITUTIONAL
CORE FIXED CORE PLUS FIXED
INCOME FUND INCOME FUND
----------------------- -----------------------
ASSETS
Investments, at value $ 100,599,312 $ 99,727,379
Cash -- 19,973
Receivable for securities sold 6,284,127 6,266,725
Interest and dividends receivable 558,847 703,139
Receivable from adviser (Note 3) 2,070 2,692
Unrealized gain on foreign currency
exchange contract (Note 1) -- 945
Other assets 1,336 --
----------------------- -----------------------
107,445,692 106,720,853
LIABILITIES
Payable for collateral received on securities loaned 11,532,843 11,310,775
Payable to custodian 90,240 --
Payable for securities purchased 24,502,149 24,330,265
Payable for futures variation margin 1,260 5,211
Accrued management fee (Note 2) 14,533 18,266
----------------------- -----------------------
36,141,025 35,664,517
----------------------- -----------------------
NET ASSETS $ 71,304,667 $ 71,056,336
======================= =======================
NET ASSETS CONSIST OF:
Undistributed (distribution in excess of)
net investment income $ 123,200 $ 286,205
Unrealized appreciation of investments 1,162,416 1,475,109
Unrealized appreciation (depreciation)
of futures contracts 5,986 (15,720)
Unrealized appreciation of foreign currency
and foreign currency transactions -- 876
Accumulated net realized gain (loss) 474,015 725,161
Paid-in capital 69,539,050 68,584,705
----------------------- -----------------------
$ 71,304,667 $ 71,056,336
======================= =======================
Shares 6,676,509 6,704,980
======================= =======================
Net Asset Value and redemption price per share $ 10.68 $ 10.60
======================= =======================
Cost of Investments $ 99,436,896 $ 98,252,270
======================= =======================
<Caption>
STATE STREET RESEARCH STATE STREET RESEARCH
INSTITUTIONAL INSTITUTIONAL
LARGE CAP LARGE CAP
GROWTH FUND ANALYST FUND
----------------------- -----------------------
ASSETS
Investments, at value $ 4,147,729 $ 7,447,728
Cash 62,797 76,440
Receivable for securities sold 154,061 129,086
Interest and dividends receivable 1,857 7,505
Receivable from adviser (Note 3) -- --
Unrealized gain on foreign currency
exchange contract (Note 1) -- --
Other assets 91 669
----------------------- -----------------------
4,366,535 7,661,428
LIABILITIES
Payable for collateral received on securities loaned 164,423 --
Payable to custodian -- --
Payable for securities purchased 176,467 147,423
Payable for futures variation margin -- --
Accrued management fee (Note 2) 1,466 2,713
----------------------- -----------------------
342,356 150,136
----------------------- -----------------------
NET ASSETS $ 4,024,179 $ 7,511,292
======================= =======================
NET ASSETS CONSIST OF:
Undistributed (distribution in excess of)
net investment income $ (2,344) $ 3,647
Unrealized appreciation of investments 686,961 929,663
Unrealized appreciation (depreciation)
of futures contracts -- --
Unrealized appreciation of foreign currency
and foreign currency transactions -- --
Accumulated net realized gain (loss) (2,932,198) (838,679)
Paid-in capital 6,271,760 7,416,661
----------------------- -----------------------
$ 4,024,179 $ 7,511,292
======================= =======================
Shares 655,342 763,480
======================= =======================
Net Asset Value and redemption price per share $ 6.14 $ 9.84
======================= =======================
Cost of Investments $ 3,460,768 $ 6,518,065
======================= =======================
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<Page>
STATE STREET RESEARCH
INSTITUTIONAL FUNDS
Statements of Operations
For the year ended January 31, 2004
<Table>
<Caption>
STATE STREET RESEARCH STATE STREET RESEARCH
INSTITUTIONAL INSTITUTIONAL
CORE FIXED CORE PLUS FIXED
INCOME FUND INCOME FUND
----------------------- -----------------------
INVESTMENT INCOME
Interest (Note 1) $ 2,076,658 $ 2,440,624
Dividends* -- --
----------------------- -----------------------
2,076,658 2,440,624
EXPENSES
Management fee (Note 2) 149,277 184,466
Expenses borne by the Adviser (Note 3) -- (13,729)
----------------------- -----------------------
149,277 170,737
----------------------- -----------------------
Net investment income 1,927,381 2,269,887
----------------------- -----------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FOREIGN CURRENCY, FUTURES
CONTRACTS AND OPTIONS
Net realized gain on investments (Notes 1 and 4) 1,571,902 2,451,188
Net realized gain (loss) on futures contracts
and options (Note 1) 164,692 (48,736)
Net realized gain on foreign currency
and forward contracts (Note 1) -- 583
----------------------- -----------------------
Total net realized gain 1,736,594 2,403,035
----------------------- -----------------------
Change in unrealized appreciation (depreciation)
of investments (659,679) (366,051)
Change in unrealized appreciation of futures contracts 7,685 28,591
Change in unrealized appreciation of foreign currency
and forward contracts -- 876
----------------------- -----------------------
Total change in unrealized appreciation (depreciation) (651,994) (336,584)
----------------------- -----------------------
Net gain on investments, foreign currency,
forward contracts, futures and options 1,084,600 2,066,451
----------------------- -----------------------
Net increase in net assets resulting from operations $ 3,011,981 $ 4,336,338
======================= =======================
<Caption>
STATE STREET RESEARCH STATE STREET RESEARCH
INSTITUTIONAL INSTITUTIONAL
LARGE CAP LARGE CAP
GROWTH FUND ANALYST FUND
----------------------- -----------------------
INVESTMENT INCOME
Interest (Note 1) $ 2,577 $ 983
Dividends* 107,611 87,750
----------------------- -----------------------
110,188 88,733
EXPENSES
Management fee (Note 2) 60,204 27,919
Expenses borne by the Adviser (Note 3) -- --
----------------------- -----------------------
60,204 27,919
----------------------- -----------------------
Net investment income 49,984 60,814
----------------------- -----------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FOREIGN CURRENCY, FUTURES
CONTRACTS AND OPTIONS
Net realized gain on investments (Notes 1 and 4) 2,637,564 335,646
Net realized gain (loss) on futures contracts
and options (Note 1) -- --
Net realized gain on foreign currency
and forward contracts (Note 1) -- --
----------------------- -----------------------
Total net realized gain 2,637,564 335,646
----------------------- -----------------------
Change in unrealized appreciation (depreciation)
of investments 1,426,185 1,571,624
Change in unrealized appreciation of futures contracts -- --
Change in unrealized appreciation of foreign currency
and forward contracts -- --
----------------------- -----------------------
Total change in unrealized appreciation (depreciation) 1,426,185 1,571,624
----------------------- -----------------------
Net gain on investments, foreign currency,
forward contracts, futures and options 4,063,749 1,907,270
----------------------- -----------------------
Net increase in net assets resulting from operations $ 4,113,733 $ 1,968,084
======================= =======================
</Table>
*DIVIDEND INCOME IS NET OF FOREIGN WITHOLDING TAXES OF $0, $0, $2,452 AND $0,
RESPECTIVELY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<Page>
STATE STREET RESEARCH
INSTITUTIONAL FUNDS
Statements of Changes in Net Assets
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL STATE STREET RESEARCH INSTITUTIONAL
CORE FIXED INCOME FUND CORE PLUS FIXED INCOME FUND
------------------------------------ ------------------------------------
YEARS ENDED JANUARY 31 YEARS ENDED JANUARY 31
------------------------------------ ------------------------------------
2004 2003** 2004 2003**
---------------- ---------------- ---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 1,927,381 $ 3,173,598 $ 2,269,887 $ 3,698,413
Net realized gain on investments, foreign currency,
futures and options 1,736,594 1,217,946 2,403,035 781,579
Change in unrealized appreciation (depreciation)
of investments, foreign currency futures (651,994) 1,218,994 (336,584) 1,344,724
---------------- ---------------- ---------------- ----------------
Net increase resulting from operations 3,011,981 5,610,538 4,336,338 5,824,716
---------------- ---------------- ---------------- ----------------
Dividends from net investment income: (2,381,270) (3,531,091) (2,627,353) (3,918,058)
---------------- ---------------- ---------------- ----------------
Distributions from capital gains: (1,670,277) (248,752) (1,756,586) (113,989)
---------------- ---------------- ---------------- ----------------
Share Transactions:
Proceeds from sale of shares 12,233,336 1,493,866 19,564,569 21,708,683
Net asset value of shares issued in payment of:
Dividends from net investment income 2,380,192 2,969,843 2,626,226 3,187,586
Distributions from capital gains 1,669,534 250,419 1,755,859 113,924
Cost of shares repurchased (1,302,634) (18,287,175) (8,250,038) (35,872,928)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) from fund share
transactions (Note 6) 14,980,428 (13,573,047) 15,696,616 (10,862,735)
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets 13,940,862 (11,742,352) 15,649,015 (9,070,066)
NET ASSETS
Beginning of year 57,363,805 69,106,157 55,407,321 64,477,387
---------------- ---------------- ---------------- ----------------
End of year* $ 71,304,667 $ 57,363,805 $ 71,056,336 $ 55,407,321
================ ================ ================ ================
Number of shares:
Sold 1,136,330 140,583 1,857,628 2,088,678
Issued upon reinvestment of:
Dividends from net investment income 220,692 279,037 246,205 310,324
Distributions from capital gains 156,865 23,624 166,281 11,202
Repurchased (118,735) (1,703,506) (773,076) (3,420,863)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in fund shares 1,395,152 (1,260,262) 1,497,038 (1,010,659)
================ ================ ================ ================
</Table>
*INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME OF $123,200 AND $141,385, AND
$286,205 AND $191,788, RESPECTIVELY.
**AUDITED BY OTHER AUDITORS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<Page>
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL STATE STREET RESEARCH INSTITUTIONAL
LARGE CAP GROWTH FUND LARGE CAP ANALYST FUND
------------------------------------ ------------------------------------
YEARS ENDED JANUARY 31 YEARS ENDED JANUARY 31
------------------------------------ ------------------------------------
2004 2003** 2004 2003**
---------------- ---------------- ---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 49,984 $ 82,840 $ 60,814 $ 48,746
Net realized gain (loss) on investments 2,637,564 (5,168,538) 335,646 (1,131,627)
Change in unrealized appreciation (depreciation)
of investments 1,426,185 (541,099) 1,571,624 (540,425)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) resulting from operations 4,113,733 (5,626,797) 1,968,084 (1,623,306)
---------------- ---------------- ---------------- ----------------
Dividends from net investment income: (59,197) (65,257) (60,695) (51,605)
---------------- ---------------- ---------------- ----------------
Share Transactions:
Proceeds from sale of shares - 22,816,367 400,000 8,978,378
Net asset value of shares issued in payment of:
Dividends from net investment income 10,702 56,738 20,695 13,605
Cost of shares repurchased (16,697,708) (6,764,140) (31) (6,995,996)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) from fund share
transactions (Note 6) (16,687,006) 16,108,965 420,664 1,995,987
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets (12,632,470) 10,416,911 2,328,053 321,076
NET ASSETS
Beginning of year 16,656,649 6,239,738 5,183,239 4,862,163
---------------- ---------------- ---------------- ----------------
End of year* $ 4,024,179 $ 16,656,649 $ 7,511,292 $ 5,183,239
================ ================ ================ ================
Number of shares:
Sold - 4,117,861 43,478 933,741
Issued upon reinvestment of:
Dividends from net investment income 2,263 11,870 2,209 1,851
Repurchased (2,924,904) (1,453,666) (3) (717,797)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in fund shares (2,922,641) 2,676,065 45,684 217,795
================ ================ ================ ================
</Table>
* INCLUDING UNDISTRIBUTED (DISTRIBUTION IN EXCESS OF) NET INVESTMENT INCOME OF
$(2,344) AND $5,865, AND $3,647 AND $3,528, RESPECTIVELY.
**AUDITED BY OTHER AUDITORS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<Page>
STATE STREET RESEARCH
INSTITUTIONAL FUNDS
Notes January 31, 2004
NOTE 1
State Street Research Institutional Funds (the "Trust") is organized as a
Massachusetts business trust, and registered under the Investment Company Act of
1940, as amended, as an open-end management investment company. The Trust
consists presently of four separate funds: State Street Research Institutional
Core Fixed Income Fund (the "Institutional Core Fixed Fund"), State Street
Research Institutional Core Plus Fixed Income Fund (the "Institutional Core Plus
Fund"), State Street Research Institutional Large Cap Growth Fund (the
"Institutional Large Cap Growth Fund") and State Street Research Institutional
Large Cap Analyst Fund (the "Institutional Large Cap Analyst Fund")
(collectively, the "Funds"). State Street Research & Management Company (the
"Adviser"), an investment management subsidiary of MetLife, Inc. ("MetLife"),
serves as the funds' investment manager.
The investment objectives of the Funds are as follows: The Institutional Core
Fixed Fund and the Institutional Core Plus Fund seek competitive total returns
primarily from investing in fixed income securities. The Institutional Large Cap
Growth Fund and the Institutional Large Cap Analyst Fund seek to provide
long-term growth of capital.
Each fund offers one class of shares. The minimum investment in each fund is
$1,000,000, unless the Funds' investment manager allows a lower amount at its
discretion.
The following significant accounting policies are consistently followed by the
Funds in preparing their financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
A. INVESTMENT VALUATION
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Investments in State Street Navigator Securities Lending Prime
Portfolio are valued at its closing net asset value per share on the day of
valuation. Fixed income securities are valued by a pricing service, which
utilizes market transactions, quotations from dealers, and various relationships
among securities in determining value. Short-term securities maturing within
sixty days are valued at amortized cost. Other securities, if any, are valued at
their fair value as determined in good faith under consistently applied
procedures established by and under the supervision of the Trustees.
If trading or events occurring in other markets after the close of the principal
market in which foreign securities are traded and before the close of business
of the fund are expected to materially affect the value of those securities,
then they are valued at their fair value taking this trading or these events
into account.
B. FORWARD CONTRACTS AND FOREIGN CURRENCIES
A Fund enters into forward foreign exchange contracts in order to hedge its
exposure to changes in foreign currency exchange rates on its foreign portfolio
holdings and to hedge certain purchase and sale commitments denominated in
foreign currencies. A forward foreign currency exchange contract is an
obligation by a fund to purchase or sell a specific currency at a future date,
which may be any fixed number of days from the origination date of the contract.
Forward foreign currency exchange contracts establish an exchange rate at a
future date. These contracts are transferable in the interbank market conducted
directly between currency traders (usually large commercial banks) and their
customers. Risk may arise from the potential liability of a counterparty to meet
the terms of a contract and from unanticipated movements in the value of foreign
currencies relative to the U.S. dollar. The aggregate principal amount of
forward currency exchange contracts is recorded in a fund's accounts. All
commitments are marked-to-market at the applicable transaction rates resulting
in unrealized gains or losses. The fund records realized gains or losses at the
time the forward contracts are extinguished by entry into a closing contract or
by delivery of the currency. Neither spot transactions nor forward currency
exchange contracts eliminate fluctuations in the prices of a fund's portfolio
securities or in foreign exchange rates, or prevent loss if the price of these
securities should decline.
Securities quoted in foreign currencies are translated into U.S. dollars at the
current exchange rate. Gains and losses that arise from changes in exchange
rates are not segregated from gains and losses that arise from changes in market
prices of investments.
C. SECURITY TRANSACTIONS
Security transactions are accounted for on the trade date (date the order to buy
or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
As part of the custodian contract between the custodian bank and the fund, the
custodian bank has a lien on the securities of the fund to the extent permitted
by the fund's investment restriction to cover any advances made by the custodian
bank for the settlement of securities purchased by the fund. At January 31,
2004, the payable to the custodian bank of $90,240 represents the amount due for
cash advance for the settlement of a security purchased in the Institutional
Core Fixed Fund.
27
<Page>
D. NET INVESTMENT INCOME
Net investment income is determined daily and consists of interest and dividends
accrued and discount earned, less the estimated daily expenses of the Funds.
Interest income is accrued daily as earned. Dividend income is accrued on the
ex-dividend date. All discounts/ premiums are accreted/amortized. Certain fixed
income securities held by the fund pay interest or dividends in the form of
additional securities (payment-in-kind securities). Interest income on
payment-in-kind fixed income securities is recorded using the effective-interest
method.
E. DIVIDENDS
Dividends from net investment income are declared and paid or reinvested
quarterly for the Institutional Core Fixed Fund and the Institutional Core Plus
Fund and annually, if any, for the Institutional Large Cap Growth Fund and
Institutional Large Cap Analyst Fund. Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for
compliance with applicable tax regulations. For the year ended January 31, 2004,
the Institutional Core Fixed Fund and the Institutional Core Plus Fund have
designated as long-term $805,431 and $636,305, and as ordinary income $3,246,116
and $3,747,634, respectively, of the distributions from net realized gains. For
the year ended January 31, 2004, the Institutional Large Cap Growth Fund and the
Institutional Large Cap Analyst Fund have designated $59,197 and $60,695 as
ordinary income, respectively.
Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations, which may differ from generally accepted
accounting principles. The difference is primarily due to differing treatments
for foreign currency transactions, paydown gain and losses, wash sale deferrals
and premium amortization on fixed income securities.
F. FEDERAL INCOME TAX
No provision for federal income taxes is necessary because the Funds have
elected to qualify under Subchapter M of the Internal Revenue Code and their
policy is to distribute all of their taxable income, including realized capital
gains, within the prescribed time periods. At January 31, 2004, the
Institutional Large Cap Growth Fund and the Institutional Large Cap Analyst Fund
had capital loss carryforwards of $2,929,470 and $777,878 available,
respectively, to the extent provided in regulations, to offset future capital
gains which expire on January 31, 2011. In order to meet certain excise tax
distribution requirements under Section 4982 of the Internal Revenue Code, the
Funds are required to measure and distribute annually, if necessary, net capital
gains realized during a twelvemonth period ending October 31. In this
connection, the Funds are permitted to defer into their next fiscal year any net
capital losses incurred between each November 1 and the end of their fiscal
years.
From November 1, 2002 through January 31, 2003, the Institutional Large Cap
Growth Fund and the Institutional Large Cap Analyst Fund incurred net capital
losses of $1,566,950 and $80,459, respectively, and have deferred and treated
such losses as arising in the fiscal year ended January 31, 2004.
To the extent book/tax differences are permanent in nature, such amounts are
reclassified within the capital accounts based on federal tax basis treatment.
The Institutional Core Fixed Fund and the Institutional Core Plus Fund
reclassified for book purposes amounts arising from permanent book/tax
differences primarily relating to premium amortization and paydowns. The
Institutional Large Cap Growth Fund reclassified for book purposes amounts
arising from permanent book/tax differences primarily relating to non-deductible
organization costs. The Institutional Large Cap Analyst Fund did not have any
permanent book/tax differences and wash sale deferrals.
Regarding the Institutional Core Fixed Fund and the Institutional Core Plus
Fund, at January 31, 2004, the components of distributable earnings on a tax
basis differ from the amounts shown on the Statement of Assets and Liabilities
by temporary book/tax differences largely arising from amortization differences
and wash sale deferrals.
Regarding the Institutional Large Cap Growth Fund and the Institutional Large
Cap Analyst Fund, at January 31, 2004, the components of distributable earnings
on a tax basis differ from the amounts shown on the Statement of Assets and
Liabilities by temporary book/tax differences largely arising from wash sales
and capital loss carryforwards.
At January 31, 2004, the tax basis distributable earnings for the Institutional
Core Fixed Fund, the Institutional Core Plus Fund, the Institutional Large Cap
Growth Fund and the Institutional Large Cap Analyst Fund were: $637,396,
$919,242, $0 and $3,647 in undistributed ordinary income, respectively; and
$190,991, $226,919, $0 and $0 in undistributed long-term capital gains,
respectively.
G. ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles 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 income and expenses during the reporting period. Actual
results could differ from those estimates.
28
<Page>
H. FUTURES
The Funds may enter into futures contracts as a hedge against unfavorable market
conditions and to enhance income. The Funds will not purchase any futures
contract if, after such purchase, more than one-third of net assets would be
represented by long futures contracts. The Funds will limit their risks by
entering into a futures position only if it appears to be a liquid investment.
Upon entering into a futures contract, the Funds deposit with the selling broker
sufficient cash or U.S. government securities to meet the minimum "initial
margin" requirements. Thereafter, the Funds receive from or pay to the broker
cash or U.S. government securities equal to the daily fluctuation in value of
the contract ("variation margin"), which is recorded as unrealized gain or loss.
When the contract is closed, the Funds record a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
The potential risk to each Fund is that the change in value of futures contracts
may not correspond to the change in value of the hedged instruments. In
addition, losses may arise in changes from the value of the underlying
instruments, if there is an illiquid secondary market for the contracts, or if
the counterparty to the contract is unable to perform.
I. SECURITIES LENDING
The Funds may seek additional income or fees by lending portfolio securities to
qualified institutions. The Funds will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral they
receive in these transactions, the Funds could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the Funds will bear the
loss. The entire amount of the collateral (consisting entirely of cash
collateral) is invested in State Street Navigator Securities Lending Prime
Portfolio). At January 31, 2004, the value of the securities loaned and the
value of the collateral were as follows:
<Table>
<Caption>
MARKET VALUE COLLATERAL
------------ ----------
Institutional Core Fixed Fund $ 11,338,650 $ 11,532,843
Institutional Core Plus Fund $ 11,120,664 $ 11,310,775
Institutional Large CapGrowth Fund $ 163,884 $ 164,423
</Table>
During the year ended January 31, 2004, income from securities lending for the
Institutional Core Fixed Fund, the Institutional Core Plus Fund and the
Institutional Large Cap Growth Fund amounted to $3,659, $4,221, $1,068,
respectively, and is included in interest income on the Statement of Operations.
There were no loaned securities for the Institutional Large Cap Analyst Fund.
J. OPTIONS
Certain Portfolios may use options to hedge against changes in values of
securities the Portfolio owns or expects to purchase. Writing puts or buying
calls tends to increase the Portfolio's exposure to the underlying instrument
and writing calls or buying puts tends to decrease the Portfolio's exposure to
the underlying instrument, or hedge other Portfolio investments.
For options purchased to hedge the Portfolio's investments, the potential risk
to the Portfolio is that the change in value of options contracts may correspond
to the change in value of the hedged instruments. In addition, losses may arise
from changes in the value of the underlying instruments, if there is an illiquid
secondary market, or if the counter party is unable to perform. The maximum loss
for purchased options is limited to the premium initially paid for the option.
For options written by the Portfolio, the maximum loss is not limited to the
premium initially received for the option.
NOTE 2
The Trust and the Adviser entered into an agreement under which the Adviser
earned monthly fees at an annual rate of 0.25%, 0.30%, 0.45% and 0.45% of the
average daily net assets for the Institutional Core Fixed Fund, the
Institutional Core Plus Fund, the Institutional Large Cap Growth Fund and the
Institutional Large Cap Analyst Fund, respectively. In consideration of these
fees, the Adviser furnishes the Funds with management, investment advisory,
statistical and research facilities and services. The Adviser also pays all
salaries, rent and certain other expenses of management including accounting and
legal services, custodial services and all other routine expenses incurred in
connection with managing the business and affairs of the Funds. During the year
ended January 31, 2004, the fees pursuant to such agreement amounted to
$149,277, $184,466, $60,204 and $27,919 for the Institutional Core Fixed Fund,
the Institutional Core Plus Fund, the Institutional Large Cap Growth Fund and
the Institutional Large Cap Analyst Fund, respectively.
NOTE 3
The Adviser has contractually agreed to waive a portion of the management fees
and bear or reimburse certain other expenses until termination of such
agreement. During the year ended January 31, 2004, the amount of such expenses
waived and reimbursed by the Adviser was $13,729 for the Institutional Core Plus
Fund. Effective August 7, 2003, the Adviser reduced the existing 0.05% fee
waiver to 0.00% for the Core Plus Fund. During the same period, the
29
<Page>
Adviser waived or reimbursed no expenses for the Institutional Core Fixed Fund,
the Institutional Large Cap Growth Fund and the Institutional Large Cap Analyst
Fund. Pursuant to a Fee Waiver and Expense Limitation Agreement dated December
17, 2001, the Adviser agrees, with respect to the expense limitation applicable
to each Fund, to waive a portion of its fee under the Advisory Agreement,
reimburse the Fund or directly pay expenses, such that the annual expense
limitation for a Fund will not be exceeded. The annual expense limitations are
0.25% for the Institutional Core Fixed Fund, 0.30% for the Institutional Core
Plus Fund, 0.45% for the Institutional Large Cap Growth Fund and the
Institutional Large Cap Analyst Fund, and do not include brokerage commissions
and other investment-related costs, extraordinary, non-recurring and certain
other unusual expenses (including taxes, litigation expenses and other
extraordinary legal expenses), securities lending fees and expenses and interest
expense. The Fee Waiver and Expense Limitation Agreement will continue in effect
until at least June 1, 2005.
NOTE 4
For the year ended January 31, 2004, purchases and sales of securities,
exclusive of short-term obligations and forward foreign currency exchange
contracts, were as follows:
<Table>
<Caption>
PURCHASES SALES
--------- -----
Institutional Core Fixed Fund $ 247,580,555 $ 229,926,449
Institutional Core Plus Fund $ 262,326,674 $ 244,494,040
Institutional Large Cap Growth Fund $ 13,180,936 $ 29,895,425
Institutional Large Cap Analyst Fund $ 5,967,213 $ 5,457,230
</Table>
Purchases of $226,875,753 and $235,632,443 and sales of $209,520,124 and
$216,325,665, of U.S. Government obligations occurred in the Institutional Core
Fixed Fund and the Institutional Core Plus Fund, respectively.
NOTE 5
PricewaterhouseCoopers LLP resigned as the Funds' independent accountants as of
April 25, 2003. The Trustees voted to appoint Deloitte & Touche LLP as the
Funds' independent accountants for the Funds' fiscal year ended January 31,
2004. During the previous two years, PricewaterhouseCoopers LLP's audit reports
contained no adverse opinion or disclaimer of opinion; nor were its reports
qualified or modified as to uncertainty, audit scope, or accounting principle.
Further, in connection with its audits for the two previous fiscal years and
through April 25, 2003, there were no disagreements between the Funds and
PricewaterhouseCoopers LLP on any matter of accounting principles or practices,
financial statement disclosure or auditing scope or procedure, which if not
resolved to the satisfaction of PricewaterhouseCoopers LLP would have caused it
to make reference to the disagreements in its report on the financial statements
for such years.
NOTE 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, no par value per share. At January 31, 2004, the Adviser
owned 2,500 shares of each of the Institutional Core Fixed Fund and the
Institutional Core Plus Fund and one share of the Institutional Large Cap
Analyst Fund, and MetLife owned 655,333 shares of the Institutional Large Cap
Growth Fund, and 500,000 shares of the Institutional Large Cap Analyst Fund.
30
<Page>
STATE STREET RESEARCH
INSTITUTIONAL CORE FIXED INCOME FUND
AND INSTITUTIONAL CORE PLUS FIXED INCOME FUND
Financial Highlights
For a share outstanding throughout each year.(1)
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL CORE FIXED INCOME FUND
-----------------------------------------------------------------
YEARS ENDED JANUARY 31
-----------------------------------------------------------------
2004 2003(8) 2002(5),(7),(8) 2001(6),(8)
-----------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 10.86 10.56 10.40 9.86
---------- ---------- ------------------ ---------------
Net investment income ($)* 0.35 0.50 0.55 0.67
Net realized and unrealized gain (loss) on investments 0.20 0.39 0.23 0.56
---------- ---------- ------------------ ---------------
TOTAL FROM INVESTMENT OPERATIONS ($) 0.55 0.89 0.78 1.23
---------- ---------- ------------------ ---------------
Dividends from net investment income ($) (0.43) (0.55) (0.52) (0.69)
Distributions from capital gains (0.30) (0.04) (0.10) --
---------- ---------- ------------------ ---------------
TOTAL DISTRIBUTIONS ($) (0.73) (0.59) (0.62) (0.69)
---------- ---------- ------------------ ---------------
NET ASSET VALUE, END OF YEAR ($) 10.68 10.86 10.56 10.40
========== ========== ================== ===============
Total return (%)(2) 5.17 8.64 7.71 12.87
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year ($ thousands) 71,305 57,364 69,106 8,892
Expense ratio (%)* 0.25 0.25 0.25 0.25
Ratio of net investment income to average net assets (%)* 3.23 4.61 4.47 6.65
Portfolio turnover rate (%) 396.34 301.92 314.06 327.36
*Reflects voluntary reduction of expenses of these amounts ($) - 0.02 0.14 0.20
<Caption>
STATE STREET RESEARCH INSTITUTIONAL CORE FIXED INCOME FUND
-----------------------------------------------------------------
AUGUST 2, 1999
(COMMENCEMENT OF
OPERATIONS) TO
JANUARY 31, 2000(6),(8)
---------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 10.00
--------
Net investment income ($)* 0.30
Net realized and unrealized gain (loss) on investments (0.17)
--------
TOTAL FROM INVESTMENT OPERATIONS ($) 0.13
--------
Dividends from net investment income ($) (0.24)
Distributions from capital gains (0.03)
--------
TOTAL DISTRIBUTIONS ($) (0.27)
--------
NET ASSET VALUE, END OF YEAR ($) 9.86
========
Total return (%)(2) 1.28(3)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year ($ thousands) 8,435
Expense ratio (%)* 0.25(4)
Ratio of net investment income to average net assets (%)* 5.93(4)
Portfolio turnover rate (%) 213.41
*Reflects voluntary reduction of expenses of these amounts ($) 0.75(4)
</Table>
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL CORE PLUS INCOME FUND
-----------------------------------------------------------------
YEARS ENDED JANUARY 31
-----------------------------------------------------------------
2004 2003(8) 2002(5),(7),(8) 2001(6),(8)
-----------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 10.64 10.37 10.35 9.86
---------- ---------- ------------------ ---------------
Net investment income ($)* 0.39 0.53 0.59 0.69
Net realized and unrealized gain (loss) on investments 0.31 0.30 0.15 0.54
---------- ---------- ------------------ ---------------
TOTAL FROM INVESTMENT OPERATIONS ($) 0.70 0.83 0.74 1.23
---------- ---------- ------------------ ---------------
Dividends from net investment income ($) (0.45) (0.55) (0.59) (0.74)
Distributions from capital gains (0.29) (0.01) (0.13) -
---------- ---------- ------------------ ---------------
TOTAL DISTRIBUTIONS ($) (0.74) (0.56) (0.72) (0.74)
---------- ---------- ------------------ ---------------
NET ASSET VALUE, END OF YEAR ($) 10.60 10.64 10.37 10.35
========== ========== ================== ===============
Total return (%)(2) 6.73 8.28 7.45 12.93
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year ($ thousands) 71,056 55,407 64,477 11,987
Expense ratio (%)* 0.28 0.25 0.25 0.25
Ratio of net investment income to average net assets (%)* 3.69 4.84 5.55 6.84
Portfolio turnover rate (%) 404.83 365.81 353.92 323.47
*Reflects voluntary reduction of expenses of these amounts ($) - 0.07 0.18 0.20
<Caption>
STATE STREET RESEARCH INSTITUTIONAL CORE PLUS INCOME FUND
-----------------------------------------------------------------
AUGUST 2, 1999
(COMMENCEMENT OF
OPERATIONS) TO
JANUARY 31, 2000(6),(8)
---------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 10.00
--------
Net investment income ($)* 0.31
Net realized and unrealized gain (loss) on investments (0.14)
--------
TOTAL FROM INVESTMENT OPERATIONS ($) 0.17
--------
Dividends from net investment income ($) (0.26)
Distributions from capital gains (0.05)
--------
TOTAL DISTRIBUTIONS ($) (0.31)
--------
NET ASSET VALUE, END OF YEAR ($) 9.86
========
Total return (%)(2) 1.72(3)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year ($ thousands) 11,426
Expense ratio (%)* 0.25(4)
Ratio of net investment income to average net assets (%)* 6.13(4)
Portfolio turnover rate (%) 234.12
*Reflects voluntary reduction of expenses of these amounts ($) 0.81(4)
</Table>
(1) PER-SHARE FIGURES HAVE BEEN CALCULATED USING THE AVERAGE SHARES METHOD.
(2) DOES NOT REFLECT ANY FRONT-END OR CONTINGENT DEFERRED SALES CHARGES. TOTAL
RETURN WOULD BE LOWER IF THE DISTRIBUTOR AND ITS AFFILIATES HAD NOT
VOLUNTARILY REDUCED A PORTION OF THE FUND'S EXPENSES.
(3) NOT ANNUALIZED
(4) ANNUALIZED
(5) EFFECTIVE FEBRUARY 1, 2001, THE FUND HAS ADOPTED PROVISIONS OF THE AICPA
AUDIT AND ACCOUNTING GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING
PREMIUM ON FIXED INCOME SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED JANUARY 31, 2002, WAS TO DECREASE NET INVESTMENT INCOME PER SHARE BY
$.02 AND $.02, INCREASE NET REALIZE PER SHARE BY $.02 AND $.02, AND DECREASE
THE RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS BY 0.21% AND 0.20%
FOR THE INSTITUTIONAL CORE FIXED FUND AND THE INSTITUTIONAL CORE PLUS FUND,
RESPECTIVELY. THE FINANCIAL HIGHLIGHTS FOR PERIODS PRIOR TO FEBRUARY 1, 2001
HAVE NOT BEEN RESTATED FOR THIS CHANGE IN POLICY.
(6) REPRESENTS PER-SHARE FIGURES FOR CLASS IV.
(7) REPRESENTS PER-SHARE FIGURES FOR ALL CLASSES THROUGH DECEMBER 16, 2001, AND
THEN ONE CLASS EFFECTIVE DECEMBER 17, 2001.
(8) AUDITED BY OTHER AUDITORS
31
<Page>
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL LARGE CAP GROWTH FUND
-----------------------------------------------------------------
YEARS ENDED JANUARY 31
-----------------------------------------------------------------
2004 2003(7) 2002(6),(7) 2001(5),(7)
-----------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 4.66 6.92 10.16 12.33
---------- ---------- ------------------ ---------------
Net investment income (loss) ($)* 0.02 0.03 0.02 (0.00)
Net realized and unrealized gain (loss) on investments 1.53 (2.28) (3.26) (1.14)
---------- ---------- ------------------ ---------------
TOTAL FROM INVESTMENT OPERATIONS ($) 1.55 (2.25) (3.24) (1.14)
---------- ---------- ------------------ ---------------
Dividends from net investment income ($) (0.07) (0.01) - (0.38)
Distribution from capital gains ($) - - - (0.65)
---------- ---------- ------------------ ---------------
TOTAL DISTRIBUTIONS ($) (0.07) (0.01) - (1.03)
---------- ---------- ------------------ ---------------
NET ASSET VALUE, END OF YEAR ($) 6.14 4.66 6.92 10.16
========== ========== ================== ===============
Total return (%)2 33.42 (32.48) (31.89) (9.91)
RATIOS/SUPPLEMENTAL DATA:
Net asset value at end of year ($ thousands) 4,024 16,657 6,240 269
Expense ratio (%) * 0.45 0.45 0.45 0.45
Ratio of net investment income (loss)
to average net assets (%)* 0.37 0.48 0.29 (0.01)
Portfolio turnover rate (%) 106.60 178.44 140.04 82.83
*Reflects voluntary reduction of expenses of these amounts (%) - 0.01 0.15 0.20
<Caption>
STATE STREET RESEARCH INSTITUTIONAL LARGE CAP GROWTH FUND
-----------------------------------------------------------------
AUGUST 2, 1999
(COMMENCEMENT OF
OPERATIONS) TO
JANUARY 31, 2000(5),(7)
---------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 10.00
--------
Net investment income (loss) ($)* 0.01
Net realized and unrealized gain (loss) on investments 2.32
--------
TOTAL FROM INVESTMENT OPERATIONS ($) 2.33
--------
Dividends from net investment income ($) -
Distribution from capital gains ($) -
--------
TOTAL DISTRIBUTIONS ($) -
--------
NET ASSET VALUE, END OF YEAR ($) 12.33
========
Total return (%)2 23.30(3)
RATIOS/SUPPLEMENTAL DATA:
Net asset value at end of year ($ thousands) 308
Expense ratio (%) * 0.45(4)
Ratio of net investment income (loss)
to average net assets (%)* 0.09(4)
Portfolio turnover rate (%) 41.57
*Reflects voluntary reduction of expenses of these amounts (%) 7.25(4)
</Table>
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL LARGE CAP ANALYST FUND
-----------------------------------------------------------------
DECEMBER 17, 2001
YEARS ENDED JANUARY 31 (COMMENCEMENT OF
------------------------ OPERATIONS) TO
2004 2003(7) JANUARY 31, 2002(7)
-----------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR ($) 7.22 9.72 10.00
---------- ---------- ------
Net investment income ($) 0.08 0.08 0.01
Net realized and unrealized gain (loss) on investments 2.62 (2.50) (0.29)
---------- ---------- ------
TOTAL FROM INVESTMENT OPERATIONS ($) 2.70 (2.42) (0.28)
---------- ---------- ------
Dividends from net investment income ($) (0.08) (0.08) -
---------- ---------- ------
TOTAL DISTRIBUTIONS ($) (0.08) (0.08) -
---------- ---------- ------
NET ASSET VALUE, END OF YEAR ($) 9.84 7.22 9.72
========== ========== ======
Total return (%) 37.46 (24.98) (2.80)(3)
RATIOS/SUPPLEMENTAL DATA:
Net asset value at end of year ($ thousands) 7,511 5,183 4,862
Expense ratio (%) 0.45 0.45 0.45(4)
Ratio of net investment income to average
net assets (%) 0.98 0.91 1.06(4)
Portfolio turnover rate (%) 90.17 93.89 14.57
</Table>
(1) PER-SHARE FIGURES HAVE BEEN CALCULATED USING THE AVERAGE SHARES METHOD.
(2) TOTAL RETURN WOULD BE LOWER IF THE DISTRIBUTOR AND ITS AFFILIATES HAD NOT
REDUCED A PORTION OF THE FUND'S EXPENSES.
(3) NOT ANNUALIZED
(4) ANNUALIZED
(5) REPRESENTS PER-SHARE FIGURES FOR CLASS III. SEE FOOTNOTE 1.
(6) REPRESENTS PER-SHARE FIGURES FOR ALL CLASSES THROUGH DECEMBER 16, 2001, AND
THEN ONE CLASS EFFECTIVE DECEMBER 17, 2001
(7) AUDITED BY OTHER AUDITORS
32
<Page>
Independent Auditors' Report
To the Board of Trustees and Shareholders of State Street Research Institutional
Funds:
We have audited the accompanying statement of assets and liabilities, including
the portfolio holdings, of State Street Research Institutional Funds, (the
"Funds"), as of January 31, 2004, and the related statement of operations, the
statement of changes in net assets, and the financial highlights for the year
ended January 31, 2004. These financial statements and financial highlights are
the responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit. The statement of changes in net assets for the year ended January 31,
2003, and the financial highlights for each of the years in the four-year period
ended January 31, 2003, were audited by other auditors whose report dated March
20, 2003, expressed an unqualified opinion on such statement and financial
highlights.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of January 31, 2004, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Funds as of January 31, 2004, the results of their operations, the changes in
their net assets, and the financial highlights for the year then ended, in
conformity with accounting principles generally accepted in the United States of
America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
March 19, 2004
33
<Page>
<Table>
<Caption>
NUMBER OF FUNDS IN
TERM OF OFFICE FUND COMPLEX
NAME, ADDRESS POSITION(S) HELD AND LENGTH OF PRINCIPAL OCCUPATIONS DURING OVERSEEN BY OTHER DIRECTORSHIPS
AND AGE (a) WITH FUND TIME SERVED (b) PAST 5 YEARS TRUSTEE/OFFICER (c) HELD BY TRUSTEE/OFFICER
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT
TRUSTEES
Bruce R. Bond (57) Trustee Since 2002 Retired; formerly Chairman of 19 Avaya Corp.
the Board, Chief Executive
Officer and President,
PictureTel Corporation (video
conferencing systems)
Peter S. Drotch (62) Trustee Since 2004 Retired; formerly Partner, 19 First Marblehead GRP
PricewaterhouseCoopers LLP
Steve A. Garban (66) Trustee Since 2002 Retired; formerly Senior Vice 56 Metropolitan Series
President for Finance and Fund, Inc; and
Operations and Treasurer, The Metropolitan Series
Pennsylvania State University Fund II
Susan M. Phillips (59) Trustee Since 2002 Dean, School of Business and 19 The Kroger Co.
Public Management, George
Washington University;
formerly a member of the Board
of Governors of the Federal
Reserve System; and Chairman
and Commissioner of the
Commodity Futures Trading
Commission
Toby Rosenblatt (65) Trustee Since 2002 President, Founders 56 A. P. Pharma, Inc.; and
Investments Ltd. Metropolitan Series
(investments); President, Fund, Inc; and
Pacific Four Investments Metropolitan Series
(investments); formerly Fund II
President, The Glen Ellen
Company (private investment
firm)
Michael S. Scott Trustee Since 2002 Jay W. Forrester Professor of 56 Metropolitan Series
Morton (66) Management, Sloan School of Fund, Inc; and
Management, Massachusetts Metropolitan Series
Institute of Technology Fund II
INTERESTED
TRUSTEE
Richard S. Davis(+) Trustee Since 2000 Chairman of the Board, 19 None
(58) President and Chief Executive
Officer of State Street
Research & Management Company;
formerly Senior Vice
President, Fixed Income
Investments, Metropolitan Life
Insurance Company
OFFICERS
Donald G. DeVeuve Vice President Since 2001 Senior Vice President, State 6 None
(47) Street Research & Management
Company; formerly Vice
President, State Street
Research & Management Company
Ed Dowd (36) Vice President Since 2003 Vice President, State Street 3 None
Research & Management Company;
formerly Vice President,
Independence Investment LLC
and equity research associate,
Donaldson, Lufkin and Jenrette
Rosalina Feliciano Vice President Since 2001 Senior Vice President, State 6 None
(40) Street Research & Management
Company; formerly Vice
President, State Street
Research & Management Company
C. Kim Goodwin (44) Vice President Since 2002 Managing Director & Chief 18 None
Investment Officer - Equities
of State StreetResearch &
Management Company; formerly
Chief Investment Officer -
U.S. Growth Equities, American
Century
</Table>
34
<Page>
<Table>
<Caption>
NUMBER OF FUNDS IN
TERM OF OFFICE FUND COMPLEX
NAME, ADDRESS POSITION(S) HELD AND LENGTH OF PRINCIPAL OCCUPATIONS DURING OVERSEEN BY OTHER DIRECTORSHIPS
AND AGE (a) WITH FUND TIME SERVED (b) PAST 5 YEARS TRUSTEE/OFFICER (c) HELD BY TRUSTEE/OFFICER
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
Knut Langholm (44) Vice President Since 2000 Senior Vice President, State 4 None
Street Research & Management
Company; formerly Vice
President, State Street
Research & Management Company
Jeff Lindsey (41) Vice President Since 2003 Managing Director of State 3 None
Street Research & Management
Company; formerly Managing
Director and Senior Vice
President, Putnam Investments
John S. Lombardo (49) Vice President Since 2001 Managing Director, Chief 19 None
Financial Officer and
Director, State Street
Research & Management Company;
formerly Executive Vice
President, State Street
Research & Management Company;
and Senior Vice President,
Product and Financial
Management, MetLife Auto &
Home
Mark Marinella (45) Vice President Since 2003 Managing Director and Chief 9 None
Investment Officer - Fixed
Income, State Street Research
& Management Company; formerly
Executive Vice President and
Senior Vice President, State
Street Research & Management
Company; and Chief Investment
Officer and Head of Fixed
Income, Columbia Management
Group
Jeffrey A. Rawlins Vice President Since 1999 Managing Director, State 4 None
(42) Street Research & Management
Company; formerly Senior Vice
President, State Street
Research & Management Company
Elizabeth M. Westvold Vice President Since 1999 Managing Director, State 8 None
(44) Street Research & Management
Company; formerly Senior Vice
President, State Street
Research & Management Company
Douglas A. Romich (47) Treasurer Since 2001 Senior Vice President and 19 None
Treasurer, State Street
Research & Management Company;
formerly Vice President and
Assistant Treasurer, State
Street Research & Management
Company
Francis J. McNamara Secretary Since 1999 Managing Director, General 19 None
III (48) Counsel and Secretary, State
Street Research & Management
Company; formerly Executive
Vice President, State Street
Research & Management Company
</Table>
THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION INCLUDES FURTHER INFORMATION
ABOUT THE FUNDS' TRUSTEES, AND IS AVAILABLE WITHOUT CHARGE, BY CONTACTING STATE
STREET RESEARCH, ONE FINANCIAL CENTER, BOSTON, MASSACHUSETTS 02111-2690, OR BY
CALLING TOLL-FREE 1-800-531-0131.
(a) The address of each person is c/o State Street Research & Management
Company, One Financial Center, Boston, MA 02111-2690.
(b) A Trustee serves until he or she retires, resigns or is removed as provided
in the master trust agreement of the respective Trust. Each Trust has
adopted a mandatory retirement age of 72. Each officer holds office until he
or she resigns, is removed or a successor is elected.
(c) Includes all series of 9 investment companies for which State Street
Research & Management Company has served as sole investment adviser and all
series of Metropolitan Series Fund, Inc. and Metropolitan Series Fund II.
The primary adviser to Metropolitan Series Fund, Inc. and Metropolitam
Series Fund II is MetLife Advisers, LLC, which has retained State Street
Research & Management Company as sub-adviser to certain series of
Metropolitan Series Fund, Inc.
(+) Mr. Davis is an "interested person" of the Trust under the Investment
Company Act of 1940 by reason of his affiliation with the Trust's Investment
Manager, State Street Research & Management Company, as noted.
35
<Page>
"State Street Research Proxy Voting Policies and Procedures"--which describes
how we vote proxies relating to portfolio securities--is available upon request,
free of charge, by calling the State Street Research Service Center toll-free at
1-87-SSR-FUNDS (1-877-773-8637) or by accessing the U.S. Securities and Exchange
Commission website at www.sec.gov.
This report must be preceded or accompanied by a current State Street Research
Institutional Funds prospectus. Investors should carefully consider the fund's
investment objective, risks, charges and expenses before investing. The fund's
prospectus contains more complete information on these and other matters. To
obtain a prospectus for any State Street Research Institutional fund call
1-800-531-0131. Please read the prospectus carefully before investing. When used
after March 31, 2004, please visit the website at www.ssrinstitutional.com for
current fund performance.
Member NASD, SIPC
(C)2004 State Street Research Investment Services, Inc., One
Financial Center, Boston, MA 02111-2690
36
<Page>
FORM N-CSR(2 OF 3)
ITEM 2: CODE OF ETHICS
(a) The Registrant has, as of the end of the period covered by this
report, adopted a code of ethics pursuant to Section 406 of the
Sarbanes-Oxley Act and as defined in the instructions to Form N-CSR
that applies to the Registrant's principal executive officer,
principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the Registrant or a third
party.
(b) During the period covered by this report, there were not any amendments
to the provisions of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, there were not any waivers or
implicit waivers to a provision of the code of ethics adopted in 2(a)
above.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
The Registrant's Board of Directors has determined that Steve A. Garban,
a member of the Registrant's Board of Directors and Audit Committee,
qualifies as the "audit committee financial expert" as such term is
defined in the instructions to Form N-CSR. Mr. Garban is "independent",
as defined in the instructions to Form N-CSR.
ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES
<Table>
<Caption>
Audit Fees Registrant Investment Adviser
Fiscal year ended January 31, 2003* $53,500 $133,000
Fiscal year ended January 31, 2004 $52,000 $158,760
Audit-Related Fees
Fiscal year ended January 31, 2003* $0 $0
Fiscal year ended January 31, 2004 $0 $0
Tax Fees
Fiscal year ended January 31, 2003* $14,400 $15,000
Fiscal year ended January 31, 2004 $15,000 $0
All Other Fees
Fiscal year ended January 31, 2003* $0 $0
Fiscal year ended January 31, 2004 $63,000 $60,000
</Table>
* The fees reported for the fiscal year ended January 31, 2003 were
attributable to services provided by other accountants.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6: (RESERVED)
ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8: (RESERVED)
ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITIY HOLDERS
The Governance Committee will consider nominees recommended by
shareholders. Shareholders may submit recommendations to the
attention of the Secretary of the Trust, State Street Research
& Management Company, One Financial Center, 30th Floor, Boston
MA 02111.
ITEM 10: CONTROLS AND PROCEDURES
SUB-ITEM 10a - The Principal Executive Officer and the Principal
Financial Officer have concluded that the State Street Research
Institutional Funds disclosure controls and procedures (as defined in
Rule 30-a2(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the State Street
Research Institutional Funds is made known to them by the appropriate
persons, based on their evaluation of these controls and procedures
as of a date within 90 days of the filing date of this report.
SUB-ITEM 10b - There were no significant changes in the registrant's
internal controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation referenced in
(a)(i) above.
ITEM 11: EXHIBITS
(a)(1) Code of Ethics required to be disclosed under Item 2 of Form
N-CSR attached hereto as Exhibit 99.CODE ETH
(a)(2) Certification for each principal executive and principal
financial officer of the Registrant required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended
(17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.302CERT
(b) Certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) attached
hereto as Exhibit 99.906CERT
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
State Street Research Institutional Funds
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date April 5, 2004
------------------------------------------------------
<Page>
FORM N-CSR(3 OF 3)
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities, and on the
dates indicated.
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date April 5, 2004
------------------------
By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date April 5, 2004
------------------------