<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
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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)
Francis J. McNamara, III, Secretary
State Street Research
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
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Date of reporting period: 2/1/03 - 7/31/03
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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 Semiannual Report is attached.
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[STATE STREET RESEARCH LOGO]
[GRAPHIC]
STATE STREET RESEARCH
INSTITUTIONAL FUNDS
SEMIANNUAL - JULY 31, 2003
<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
Investment Portfolio July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
FIXED INCOME SECURITIES 98.1%
U.S. TREASURY 13.9%
U.S. Treasury Bond, 7.25% $ 975,000 5/15/2016 $ 1,185,310
U.S. Treasury Bond, 8.875% 175,000 2/15/2019 243,715
U.S. Treasury Bond, 6.25% 375,000 8/15/2023 411,738
U.S. Treasury Bond, 5.25% 1,640,000 11/15/2028 1,582,023
U.S. Treasury Bond, 6.25% 1,075,000 5/15/2030 1,188,967
U.S. Treasury Note, 7.00% 950,000 7/15/2006 1,075,022
U.S. Treasury Note, 5.00% 2,200,000 8/15/2011 2,311,461
--------------
7,998,236
--------------
U.S. AGENCY MORTGAGE 35.8%
Federal Home Loan Mortgage Corp., 9.00% 8,295 12/01/2009 8,986
Federal National Mortgage Association, 8.00% 9,016 4/01/2008 9,647
Federal National Mortgage Association, 7.75% 9,974 5/01/2008 10,811
Federal National Mortgage Association, 8.00% 8,148 6/01/2008 8,807
Federal National Mortgage Association, 8.25% 4,983 7/01/2008 5,321
Federal National Mortgage Association, 8.50% 22,257 2/01/2009 24,103
Federal National Mortgage Association, 9.00% 2,298 5/01/2009 2,504
Federal National Mortgage Association, 6.50% 87,966 12/01/2014 92,315
Federal National Mortgage Association, 7.00% 26,454 10/01/2015 27,959
Federal National Mortgage Association, 7.00% 729,416 1/01/2017 775,627
Federal National Mortgage Association, 5.50% 975,000 8/18/2018 993,281
Federal National Mortgage Association, 5.00% 1,975,000 8/18/2018 1,971,287
Federal National Mortgage Association, 4.50% 600,000 8/18/2018 584,064
Federal National Mortgage Association, 7.50% 75,066 7/01/2029 79,730
Federal National Mortgage Association, 7.00% 98,747 2/01/2030 103,383
Federal National Mortgage Association, 7.00% 744,889 4/01/2032 779,337
Federal National Mortgage Association TBA, 6.00% 1,610,000 8/18/2018 1,665,848
Federal National Mortgage Association TBA, 7.00% 525,000 8/13/2033 550,266
Federal National Mortgage Association TBA, 6.50% 2,450,000 8/13/2033 2,521,197
Federal National Mortgage Association TBA, 6.00% 3,100,000 8/13/2033 3,134,875
Federal National Mortgage Association TBA, 5.50% 3,025,000 8/13/2033 2,986,250
Federal National Mortgage Association TBA, 5.00% $ 300,000 8/13/2033 $ 286,782
Federal National Mortgage Association TBA, 5.50% 575,000 9/15/2033 565,294
Federal National Mortgage Association TBA, 5.00% 1,175,000 9/15/2033 1,118,823
Government National Mortgage Association, 6.50% 9,164 9/15/2008 9,703
Government National Mortgage Association, 6.50% 24,840 2/15/2009 26,303
Government National Mortgage Association, 7.50% 26,660 6/15/2009 28,669
Government National Mortgage Association, 6.50% 61,091 7/15/2009 64,690
Government National Mortgage Association, 7.50% 22,901 12/15/2009 24,772
Government National Mortgage Association, 7.50% 173,952 12/15/2014 187,709
Government National Mortgage Association, 7.00% 53,027 1/15/2025 55,991
Government National Mortgage Association, 7.00% 74,939 6/15/2028 78,713
Government National Mortgage Association, 7.00% 83,714 11/15/2028 87,939
Government National Mortgage Association, 6.50% 262,844 11/15/2028 272,232
Government National Mortgage Association, 7.50% 171,524 12/15/2028 182,530
Government National Mortgage Association, 7.00% 27,899 6/15/2029 29,297
Government National Mortgage Association, 6.50% 148,037 9/15/2029 153,262
Government National Mortgage Association, 6.50% 297,822 8/15/2031 308,093
Government National Mortgage Association TBA, 7.00% 750,000 8/20/2033 787,969
--------------
20,604,369
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FINANCE/MORTGAGE 32.9%
Allstate Financial Global Funding LLC, 2.50%+ 150,000 6/20/2008 141,356
Amortizing Residential Collateral Trust 2002 Cl. B, 3.15% 150,000 1/25/2032 146,085
Amortizing Residential Collateral Trust 2002 Cl. M2, 2.20% 150,000 6/25/2032 147,423
Artesia Mortgage Inc. Note 1998-C1 Cl. D1, 6.91%+ 125,000 6/25/2030 135,548
BAE Systems Holdings Inc. Note, 6.66%+ 241,389 9/15/2013 270,080
Bank of America Corp. Sub. Note, 7.40% 200,000 1/15/2011 230,551
Bear Stearns Commercial Mortgage Securities Inc. 1999-C1 Cl. A2, 6.02% 25,000 2/14/2031 27,104
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage Securities Inc. 1999-WF2 Cl. A1, 6.80% $ 418,808 9/15/2008 $ 449,508
Bear Stearns Commercial Mortgage Securities Inc. 2000-WF2 Cl. A1, 7.11% 122,490 10/15/2032 135,496
Bear Stearns Commercial Mortgage Securities Inc. 2001 Cl. A1, 6.08% 92,416 2/15/2035 99,841
Chase Commercial Mortgage Securities Corp. Note 1998-2 Cl. A1, 6.025% 77,380 11/18/2030 82,714
Chase Manhattan Auto Owner Trust Note 2002-A, 4.17% 250,000 9/15/2008 256,871
CIT Group Inc., Global Note, 4.125% 150,000 2/21/2006 153,797
Citibank Credit Card Issuance Trust Note 2001 Cl. B1, 1.61% 75,000 1/15/2010 75,661
Citibank Credit Card Issuance Trust Note 2001 Cl. C3, 6.65% 350,000 5/15/2008 377,362
Citibank Credit Card Issuance Trust Note 2000-1 Cl. B1, 7.05% 125,000 9/17/2007 136,941
Citigroup Inc., Sub. Note, 7.25% 300,000 10/01/2010 342,598
Countrywide Asset-Backed Securities Inc. Note 2002-2 M1, 2.75% 125,000 3/26/2033 125,240
Countrywide Asset-Backed Securities Inc. Note 2002-2 M2, 2.25% 175,000 12/25/2031 171,743
Countrywide Home Loan Inc. Note, 7.26% 200,000 5/10/2004 208,963
Countrywide Home Loan Inc. Note, 5.50% 10,000 8/01/2006 10,730
Credit Suisse First Boston USA Note, 5.75% 100,000 4/15/2007 107,888
Delta Airlines Inc. Note, MBIA Insured, 6.42% 125,000 7/02/2012 128,347
Detroit Edison Securitization Note 2001-1 Cl. A4, 6.19% 10,000 3/01/2013 10,965
Discover Card Master Trust, Series 2000 Cl. A, 6.35% 25,000 7/15/2008 27,221
Distribution Financial Services Trust Note 2001-1 Cl. A4, 5.67% 350,000 1/17/2017 365,396
EOP Operating LP Note, 6.50% 275,000 6/15/2004 286,361
ERAC USA Finance Co. Note, 8.25%+ 175,000 5/01/2005 191,203
ERAC USA Finance Co. Note, 6.625%+ 100,000 5/15/2006 108,404
ERAC USA Finance Co. Note, 7.35%+ 50,000 6/15/2008 56,324
ERP Operating LP Note, 6.63% 175,000 4/13/2005 186,169
First National Bank Note, 7.375% $ 75,000 9/15/2006 $ 84,338
First Union-Lehman Brothers Bank Note 1997-C2 Cl. C2, 7.02% 100,000 11/18/2029 110,357
First Union-Lehman Brothers Bank Note 1998-C2 Cl. A1, 6.28% 220,717 11/18/2035 233,310
Fleet Commercial Loan Master LLC Note 2000 Cl. C1, 2.74%+ 450,000 11/16/2007 448,031
Ford Credit Auto Owner Trust Note 2002-C Cl. C, 4.81% 175,000 3/15/2007 178,782
Ford Motor Credit Co. Note, 6.875% 400,000 2/01/2006 420,045
Ford Motor Credit Co. Note, 7.375% 275,000 10/28/2009 280,676
General Electric Capital Corp. Global Note, 6.125% 275,000 2/22/2011 295,857
General Electric Capital Corp. Note, 5.875% 375,000 2/15/2012 392,970
General Motors Acceptance Corp. Note, 6.125% 250,000 2/01/2007 258,116
General Motors Acceptance Corp. Note, 8.00% 75,000 11/01/2031 69,201
General Motors Corp. Note, 8.25% 225,000 7/15/2023 213,217
GGP Mall Properties Note 2001 Cl. C2, 5.56% 97,111 11/15/2011 103,486
GGP Mall Properties Note 2001 Cl. C3, 2.41% 158,612 2/15/2014 159,318
Goldman Sachs Group Inc. Note, 6.875% 325,000 1/15/2011 362,257
Granite Mortgages PLC 2002 Cl. 2.41% 200,000 4/20/2042 198,600
Holmes Financing Note, 1.86% 150,000 7/15/2040 150,000
Household Finance Corp. Note, 6.375% 75,000 10/15/2011 80,135
Household Finance Corp. Note, 6.375% 400,000 11/27/2012 424,914
IMPAC CMB Trust Note 2002-3 Cl. B1, 3.30% 132,226 6/25/2032 130,201
International Lease Finance Corp. Global Note, 5.75% 250,000 2/15/2007 266,870
J.P. Morgan Chase & Co. Note, 6.75% 275,000 2/01/2011 300,577
J.P. Morgan Commercial Mortgage Finance Corp. Note 1997 Cl. C5, 7.24% 75,000 9/15/2029 84,526
J.P. Morgan Commercial Mortgage Finance Corp. Note 1999 Cl. A2, 6.51% 370,000 10/15/2035 407,694
J.P. Morgan Commercial Mortgage Finance Corp. Note 1999 Cl. B, 6.66% 400,000 10/15/2035 443,257
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
John Hancock Global Funding II Note, 7.90%+ $ 225,000 7/02/2010 $ 264,148
LB-UBS Commercial Mortgage Trust Note 2001-WM Cl. A1, 6.16%+ 85,925 7/14/2016 91,843
Lehman Brothers Commercial Conduit Mortgage Trust Note 1998-C4 Cl. A1, 6.21% 425,000 10/15/2035 461,589
Lehman Brothers Holdings Inc. Note, 6.25% 100,000 5/15/2006 109,445
Manufacturers & Traders Trust Co. Note, 3.85%+ 125,000 4/01/2013 122,898
Massachusetts Mutual Life Insurance Co. Note, 5.625%+ 150,000 5/15/2033 135,150
MBNA Corp. Note, 5.625% 275,000 11/30/2007 286,564
MBNA Master Credit Card Trust Note 1999 Cl. A, 7.00% 475,000 2/15/2012 541,157
MBNA Master Credit Card Trust Note 2001 Cl. C3, 6.55% 275,000 12/15/2008 293,323
Merrill Lynch & Company Inc. Note, 4.00% 75,000 11/15/2007 75,074
Merrill Lynch & Company Inc. Note, 3.70% 100,000 4/21/2008 99,193
Morgan Stanley & Company Inc. Note, 4.25% 250,000 5/15/2010 243,462
Morgan Stanley Capital Inc. Note 1999-WF1 Cl. A2, 6.21% 250,000 11/15/2031 272,504
NationsLink Funding Corp. Note 1998-2 Cl. B, 6.795% 250,000 8/20/2030 277,197
NationsLink Funding Corp. Note 1999-2 Cl. D, 7.53% 175,000 6/20/2031 196,649
Northwest Airlines Inc. Note, 8.07% 92,276 10/01/2019 100,826
Residential Asset Mortgage Corp. 2003-RZ2 Cl. M3, 5.50% 150,000 4/25/2033 149,997
Residential Asset Security Corp. 2001-KS2 Cl. AI3, 5.75% 70,454 3/25/2027 71,084
Residential Asset Security Corp. 2002-KS1 Cl. AI3, 4.99% 525,000 2/25/2027 532,552
Residential Asset Security Corp. 2003-KS1 Cl. M2, 2.85% 150,000 1/25/2033 150,913
Safeco Capital Trust Bond Note, 8.07% 150,000 7/15/2037 159,329
Salomon Brothers Commercial Mortgage Trust Note 2001-C1 Cl. A2, 6.23% 350,000 12/18/2035 380,256
Salomon Brothers Mortgage Securities VII Inc. 2001-MMA A2, 6.13%+ 175,000 2/18/2034 189,571
Simon Property Group LP Global Note, 7.375% 225,000 1/20/2006 249,034
Spieker Properties LP Note, 8.00% 75,000 7/19/2005 81,236
Structured Asset Securities Corp. Note 1.42% 336,626 7/25/2032 336,444
Structured Asset Securities Corp. Note 3.05% $ 100,000 4/25/2033 $ 100,289
Union Planters Bank Note, 5.125% 100,000 6/15/2007 104,651
USA Education Inc. Note, 5.625% 125,000 4/10/2007 133,887
Vornado Realty Trust Sr. Note, 5.625% 325,000 6/15/2007 338,145
Wachovia Bank Commercial Mortgage Trust, Note Mortgage Certificate 2.9% 300,000 6/15/2035 279,168
Washington Mutual Inc Note 2003-AR4 3.42% 350,000 5/25/2003 333,254
Washington Mutual Inc. Note 2003-AR5 3.695% 275,000 6/25/2033 261,390
Wells Fargo Bank N. A. Sub Note, 6.45% 175,000 2/01/2011 194,343
West Penn Funding LLC Note 1999A Cl. A3, 6.81% 25,000 9/25/2008 26,956
--------------
18,934,146
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FOREIGN 0.5%
Pemex Project Funding Master Trust, 7.375% 75,000 12/15/2014 77,438
Petroleos Mexicanos Note, 6.50% 100,000 2/01/2005 104,750
Petronas Capital Ltd. Note, 7.00%+ 75,000 5/22/2012 82,316
--------------
264,504
--------------
FOREIGN GOVERNMENT 1.2%
Republic of Chile, 5.625% 200,000 7/23/2007 211,800
Republic of South Africa, 9.125% 200,000 5/19/2009 239,000
United Mexican States, 6.375% 200,000 1/16/2013 197,200
United Mexican States, 8.30% 50,000 8/15/2031 52,125
--------------
700,125
--------------
CORPORATE 13.8%
AT&T Broadband Corp. Note, 9.455% 325,000 11/15/2022 411,915
AT&T Wireless Services Inc. Note, 8.125% 75,000 5/01/2012 85,662
Boeing Co. Note, 8.75% 75,000 8/15/2021 90,861
British Telecommunications PLC Note, 8.875% 100,000 12/15/2030 122,836
Burlington Resources Finance Co. Note, 7.20% 150,000 8/15/2031 164,286
Cargill Inc. Note, 6.25%+ 75,000 5/01/2006 82,177
Clear Channel Communications Inc. Sr. Note, 7.25% 50,000 9/15/2003 50,308
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
Conoco Funding Co. Note 6.35% $ 100,000 10/15/2011 $ 109,681
Continental Airlines Inc. Note, 6.70% 139,674 6/15/2021 133,400
Cox Communications Inc. Note, 7.75% 100,000 8/15/2006 113,220
DaimlerChrysler Holdings Corp. Note, 8.50% 125,000 1/18/2031 136,499
Deutsche Telekom BV Global Note, 5.25% 75,000 7/22/2013 71,811
Deutsche Telekom BV Global Note, 9.25% 125,000 6/01/2032 157,026
Devon Energy Corp. Note, 7.95% 125,000 4/15/2032 144,072
Dominion Resources Inc. Sr. Note, 7.625% 200,000 7/15/2005 219,316
Dover Corp. Note, 6.50% 125,000 2/15/2011 138,570
DTE Energy Co. Note, 6.45% 175,000 6/01/2006 191,102
Entergy Gulf States Inc. Note, 3.60%+ 150,000 6/01/2008 143,813
Exelon Corp. Sr. Note, 6.75% 125,000 5/01/2011 137,637
Federated Department Stores Inc. Sr. Note, 7.00% 75,000 2/15/2028 77,139
France Telecom Global Note, 10.00% 125,000 3/01/2031 155,641
General Electric Co. Note, 5.00% 125,000 2/01/2013 122,313
Georgia Power Co. Note, 5.125% 75,000 11/15/2012 75,076
Hewlett Packard Co. Note, 3.625% 225,000 3/15/2008 223,154
Indiana Michigan Power Co. Note, 6.125% 100,000 12/15/2006 108,944
International Paper Co. Note, 6.75% 75,000 9/01/2011 81,755
John Deere Capital Corp. Note, 3.90% 175,000 1/15/2008 175,763
Kern River Funding Corp. Note, 4.89%+ 149,389 4/30/2018 144,026
Kroger Co. Sr. Note 7.25% 225,000 6/01/2009 250,619
News America Inc. Note, 6.625% 225,000 1/09/2008 248,589
Norfolk Southern Corp. Note, 7.35% 100,000 5/15/2007 113,481
Norfolk Southern Corp. Note, 9.00% 100,000 3/01/2021 123,418
Ohio Power Co. Sr. Note, 6.75% 50,000 7/01/2004 52,425
Progress Energy Inc. Sr. Note, 7.10% 150,000 3/01/2011 163,936
Raytheon Co. Note, 8.20% 150,000 3/01/2006 170,613
Rohm & Haas Co. Note, 9.65% 75,000 6/01/2020 96,125
Safeway Inc. Note, 3.625% 175,000 11/05/2003 175,432
Safeway Inc. Note, 7.50% 150,000 9/15/2009 169,098
Sprint Capital Corp. Note, 7.625% $ 100,000 1/30/2011 $ 107,638
TCI Communications Inc. Note, 7.875% 75,000 2/15/2026 81,662
Telecom de Puerto Rico Inc. Sr. Note, 6.65% 225,000 5/15/2006 244,013
Thomson Corp. Note, 5.75% 125,000 2/01/2008 135,300
Time Warner Entertainment Company LP Note, 8.375% 250,000 3/15/2023 287,802
Time Warner Inc. Note, 9.15% 125,000 2/01/2023 145,380
Unilever Capital Corp. Global Note, 7.125% 75,000 11/01/2010 86,302
Union Pacific Corp. Note, 6.65% 125,000 1/15/2011 136,982
United Technologies Corp. Note, 7.125% 200,000 11/15/2010 228,096
UnitedHealth Group Inc. Note, 7.50% 125,000 11/15/2005 139,235
Valero Energy Corp. Note, 7.375% 100,000 3/15/2006 109,955
Verizon New Jersey Inc. Note, 5.875% 125,000 1/17/2012 130,724
Viacom Inc. Global Note, 7.70% 75,000 7/30/2010 88,076
Vodafone AirTouch PLC Note, 7.75% 125,000 2/15/2010 146,385
Walt Disney Co. Note, 6.75% 200,000 3/30/2006 218,608
Weyerhaeuser Co. Note, 6.00% 225,000 8/01/2006 241,980
--------------
7,959,877
--------------
TOTAL FIXED INCOME SECURITIES
(COST $56,664,831) 56,461,257
--------------
SHORT-TERM INVESTMENTS 14.3%
State Street Navigator Securities Lending Prime Portfolio 8,206,204
--------------
TOTAL SHORT-TERM INVESTMENTS
(COST $8,206,204) 8,206,204
--------------
COMMERCIAL PAPER 31.4%
AIG Funding Inc., 1.01% 2,600,000 8/13/2003 2,599,125
American Express Credit Corp., 1.01% 1,030,000 8/18/2003 1,029,509
American Express Credit Corp., 1.01% 1,637,000 9/04/2003 1,635,438
Caterpillar Financial Services Corp., 1.01% 1,481,000 8/06/2003 1,480,792
Citicorp, 1.02% 2,000,000 8/18/2003 1,999,037
E.I. Du Pont De Nemours & Co., 1.00% 2,509,000 10/02/2003 2,504,679
General Electric Capital Corp., 0.96% 448,000 8/01/2003 448,000
General Electric Capital Corp., 0.91% 412,000 8/01/2003 412,000
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 1.02% $ 371,000 8/11/2003 $ 370,895
General Electric Capital Corp., 1.03% 294,000 9/15/2003 293,621
General Electric Capital Corp., 1.04% 525,000 10/09/2003 523,954
Goldman Sachs Group LP, 1.02% 1,630,000 11/12/2003 1,625,243
J.P. Morgan Chase & Co. Note, 1.01% 2,000,000 10/09/2003 1,996,128
Merck & Co. Inc., 1.05% 150,000 8/06/2003 149,978
Merck & Co. Inc., 1.04% 1,036,000 8/08/2003 1,035,791
--------------
TOTAL COMMERCIAL PAPER
(COST $18,104,190) 18,104,190
--------------
TOTAL INVESTMENTS - (COST $82,975,225) 143.8% 82,771,651
OTHER ASSETS, LESS LIABILITIES - (43.8%) (25,217,692)
--------------
NET ASSETS - 100.0% $ 57,553,959
==============
FEDERAL INCOME TAX INFORMATION:
At July 31, 2003, the net unrealized depreciation of investments based on
cost for Federal income tax purposes of $82,982,533 was as follows:
Aggregate gross unrealized appreciation for all investments in which there
is an excess of value over tax cost $ 1,002,994
Aggregate gross unrealized depreciation for all investments in which there
is an excess of tax cost over value (1,213,876)
--------------
$ (210,882)
==============
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
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.
+ 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 July 31, 2003 were $2,442,911 and $2,606,888 (4.53% of net assets),
respectively.
Futures contracts open at July 31, 2003 are as follows:
<Table>
<Caption>
NUMBER OF NOTIONAL EXPIRATION UNREALIZED APPRECIATION
TYPE CONTRACTS COST MONTH (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------------
2-Year U.S. Treasury Notes Long 10 $ 2,000,000 September 2003 $ (13,329)
5-Year U.S. Treasury Notes Short (28) (2,800,000) September 2003 117,548
10-Year U.S. Treasury Notes Short (5) (500,000) September 2003 39,158
----------
$ 143,377
==========
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<Page>
STATE STREET RESEARCH INSTITUTIONAL
CORE PLUS FIXED INCOME FUND
Investment Portfolio July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
FIXED INCOME SECURITIES 97.9%
U.S. TREASURY 10.9%
U.S. Treasury Bond, 7.25% $ 450,000 5/15/2016 $ 547,066
U.S. Treasury Bond, 8.875% 475,000 2/15/2019 661,512
U.S. Treasury Bond, 6.25% 450,000 8/15/2023 494,086
U.S. Treasury Bond, 5.25% 1,325,000 11/15/2028 1,278,159
U.S. Treasury Bond, 6.25% 775,000 5/15/2030 857,162
U.S. Treasury Note, 7.00% 1,250,000 7/15/2006 1,414,502
U.S. Treasury Note, 5.00%* 150,000 8/15/2011 157,600
U.S. Treasury Note, 5.625% 100,000 5/15/2008 110,887
U.S. Treasury STRIPS, 0.00% 525,000 8/15/2025 145,130
--------------
5,666,104
--------------
U.S. AGENCY MORTGAGE 34.8%
Federal Home Loan Mortgage Corp., 9.00% 6,983 12/01/2009 7,565
Federal National Mortgage Association, 9.50% 37 10/01/2003 37
Federal National Mortgage Association, 8.00% 7,602 4/01/2008 8,134
Federal National Mortgage Association, 7.75% 8,379 5/01/2008 9,083
Federal National Mortgage Association, 8.00% 6,869 6/01/2008 7,424
Federal National Mortgage Association, 8.25% 4,158 7/01/2008 4,440
Federal National Mortgage Association, 8.50% 16,739 2/01/2009 18,127
Federal National Mortgage Association, 7.00% 17,371 10/01/2015 18,359
Federal National Mortgage Association, 6.00% 202,160 5/01/2016 209,133
Federal National Mortgage Association, 7.00% 573,112 1/01/2017 609,421
Federal National Mortgage Association, 7.00% 52,278 2/01/2030 54,732
Federal National Mortgage Association, 7.50% 45,308 6/01/2031 48,002
Federal National Mortgage Association, 7.00% 834,276 4/01/2032 872,858
Federal National Mortgage Association, 6.50% 410,128 7/01/2032 422,057
Federal National Mortgage Association, TBA 5.50% 525,000 9/15/2033 516,138
Federal National Mortgage Association, TBA 5.50% 2,575,000 8/13/2033 2,542,014
Federal National Mortgage Association, TBA 5.00% 2,850,000 8/13/2033 2,784,723
Federal National Mortgage Association, TBA 4.50% 550,000 8/18/2018 535,392
Federal National Mortgage Association TBA, 7.00% 1,050,000 8/13/2033 1,100,531
Federal National Mortgage Association TBA, 6.50% 2,050,000 8/13/2033 2,109,573
Federal National Mortgage Association, TBA, 6.00% 3,900,000 8/13/2033 3,968,485
Federal National Mortgage Association, TBA, 5.50% $ 1,100,000 8/18/2018 $ 1,120,625
Government National Mortgage Association, 6.50% 16,784 2/15/2009 17,772
Government National Mortgage Association, 6.50% 34,154 5/15/2009 36,142
Government National Mortgage Association, 7.50% 17,753 6/15/2009 19,091
Government National Mortgage Association, 6.50% 9,445 6/15/2009 9,998
Government National Mortgage Association, 7.50% 19,084 12/15/2009 20,643
Government National Mortgage Association, 7.50% 57,985 12/15/2014 62,571
Government National Mortgage Association, 7.00% 37,745 1/15/2025 39,855
Government National Mortgage Association, 7.00% 43,605 10/15/2025 45,940
Government National Mortgage Association, 7.00% 85,671 5/15/2027 90,018
Government National Mortgage Association, 7.00% 84,931 6/15/2028 89,208
Government National Mortgage Association, 7.00% 128,361 11/15/2028 134,840
Government National Mortgage Association, 6.50% 54,568 11/15/2028 160,089
Government National Mortgage Association, 7.50% 117,139 12/15/2028 124,655
Government National Mortgage Association, 6.50% 235,117 9/15/2029 243,415
--------------
18,061,090
--------------
FINANCE/MORTGAGE 26.7%
Banc of America Commercial Mortgage Inc. 2000-1 Cl. E, 7.75% 300,000 11/15/2031 340,028
Bank America Corp. Sub. Note, 7.40% 175,000 1/15/2011 201,732
Bear Stearns Commercial Mortgage Securities Inc. 2001 Cl. A, 6.08% 462,081 2/15/2035 499,203
Beazer Homes USA Inc. Sr. Note, 8.375% 150,000 4/15/2012 159,750
Centex Home Equity Loan Trust Note, 2003 B Class M3, 1.00% 100,000 6/25/2033 100,312
Chase Commercial Mortgage Securities Corp. 1998-2 Cl. A, 6.025% 51,587 11/18/2030 55,143
Chase Manhattan Auto Owner Trust Note 2002-A, 4.17% 300,000 9/15/2008 308,245
CIT Group Holdings Inc., Global Senior Note, 4.125% 150,000 2/21/2006 153,797
Citibank Credit Card Master Trust Note Cl. A, 5.50% 50,000 2/15/2006 51,137
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
Citigroup Inc., Sub Note, 7.25% $ 300,000 10/01/2010 $ 342,598
Commercial Mortgage Acceptance Corp. Note 1998-C1 Cl. F, 6.23%+ 400,000 7/15/2031 332,637
Community Program Loan Trust Note-1987-A4, 4.50% 40,308 10/01/2018 39,697
Countrywide Asset-Backed Note, 2.85% 100,000 6/25/2033 100,000
Countrywide Home Loan Inc. Note, 5.50% 100,000 8/01/2006 107,294
Countrywide Home Loan Inc. Note, 6.25% 75,000 4/15/2009 82,452
Credit Suisse First Boston USA Note, 5.75% 125,000 4/15/2007 134,860
Delta Air Lines Inc. Note, 6.42% 325,000 7/02/2012 333,702
EOP Operating LP Note, 6.80% 250,000 1/15/2009 278,256
Equity Residential Properties LP Note, 7.25% 100,000 6/15/2005 108,171
ERAC USA Finance Co. Note, 6.95%+ 125,000 3/01/2004 128,601
ERAC USA Finance Co. Note, 6.625%+ 75,000 5/15/2006 81,303
ERAC USA Finance Co. Note, 7.35%+ 100,000 6/15/2008 112,648
ERP Operating LP Note, 6.63% 200,000 4/13/2005 212,765
First National Bank Note, 7.375% 75,000 9/15/2006 84,338
First Union-Lehman Brothers Bank Note 1997-C2 Cl. A2, 6.60% 41,330 11/18/2029 42,693
Fleet Commercial Loan Master LLC Note 2001 Cl. C1, 2.74%+ 200,000 8/16/2003 199,125
Ford Motor Credit Co. Note, 6.875% 350,000 2/01/2006 367,539
Ford Motor Credit Co. Note, 7.375% 250,000 10/28/2009 255,160
General Electric Business Loan Trust Note, 2.41%+ 99,569 4/15/2031 99,569
General Electric Capital Corp. Global Note, 6.125% 300,000 2/22/2011 322,753
General Electric Capital Corp. Note, 5.875% 175,000 2/15/2012 183,386
General Motors Acceptance Corp. Note, 8.00% 50,000 11/01/2031 46,134
General Motors Acceptance Corp. Note, 6.125% 250,000 2/01/2007 258,115
GGP Mall Properties Trust Note, 5.56% 194,222 8/14/2003 206,972
Goldman Sachs Group Inc. Bond Note, 6.875% 275,000 1/15/2011 306,525
Household Finance Corp. Note, 6.375% 100,000 10/15/2011 106,847
Household Finance Corp. Note, 6.375% 325,000 11/27/2012 345,242
International Lease Finance Corp. Note, 5.75% $ 200,000 2/15/2007 $ 213,496
Istar Financial Inc. Note, 7.00% 50,000 3/15/2008 52,116
J.P. Morgan Chase & Co. Note, 6.75% 225,000 2/01/2011 245,927
J.P. Morgan Commercial Mortgage Finance Corp. Note 1997-C5 Cl. C, 7.24% 125,000 9/15/2029 140,876
J.P. Morgan Commercial Mortgage Finance Corp. Note 1997-C5 Cl. D, 7.35% 100,000 9/15/2029 109,686
J.P. Morgan Commercial Mortgage Finance Corp. Note 1999-C7 Cl. B, 6.66% 100,000 7/01/2003 110,814
John Hancock Global Funding II Note, 7.90%+ 225,000 7/02/2010 264,148
JP Morgan Commercial Mortgage Finance Corp. Note 1999-C7 Cl. A1, 6.18% 188,461 10/15/2035 202,493
LB-UBS Commercial Mortgage Trust 2001-WM Cl. A1, 6.16%+ 164,145 7/14/2016 175,451
Lehman Brothers Holdings Inc. Note, 6.25% 125,000 5/15/2006 136,807
Long Beach Asset Holdings Corp. Note 2001-3 Cl. A, 8.35%+ 429 3/25/2032 429
MBNA Corp. Note, 5.625% 250,000 11/30/2007 260,513
MBNA Credit Card Master Trust Note 2001 Cl. C, 6.55% 300,000 12/15/2008 319,989
Merrill Lynch & Co. Inc. Note, 4.00% 75,000 11/15/2007 75,074
Merrill Lynch & Co. Inc. Note, 3.70% 125,000 4/21/2008 123,992
Morgan Stanley & Co. Inc. Note, 4.25% 225,000 5/15/2010 219,116
Morgan Stanley Capital I Inc. Note, 7.22%+ 247,639 7/15/2029 273,067
Morgan Stanley Dean Witter Capital Inc. Note 2001 Cl. B, 6.81% 200,000 2/15/2033 222,236
Morgan Stanley Dean Witter Capital Inc. Note 2001 Cl. C, 7.00% 100,000 2/15/2033 111,561
NationsLink Funding Corp. Note 1998 Cl. A2, 6.47% 175,000 8/20/2030 192,949
NationsLink Funding Corp. Note 1998 Cl. B, 6.795% 75,000 8/20/2030 83,159
NationsLink Funding Corp. Note 1998 Cl. E, 7.11% 250,000 8/20/2030 266,624
NationsLink Funding Corp. Note 1999 Cl. D, 7.67% 50,000 7/01/2003 56,185
Option One Mortgage Loan Trust Corp. Note, 2.67% 75,000 8/25/2033 75,164
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust Corp. Note, 2.80% $ 100,000 4/25/2033 $ 100,490
Option One Mortgage Loan Trust Corp. Note, 2.75% 100,000 7/25/2033 100,000
PECO Energy Transition Trust Note 2000-A Cl. A4, 7.65% 200,000 3/01/2010 231,590
Safeco Capital Trust Note, 8.07% 125,000 7/15/2037 132,774
Salomon Brothers Commercial Mortgage Trust Note 2001-C1 Cl. A2, 6.23% 375,000 12/18/2035 407,417
Simon Property Group LP Global Note, 7.375% 200,000 1/20/2006 221,364
Structured Asset Investment Loan Trust Note, 3.05% 200,000 4/25/2033 200,089
Structured Asset Securities Corp. Note, 1.42% 318,908 7/25/2032 318,737
Systems 2001 Asset Trust LLC. Note, 6.66% 221,273 9/15/2013 247,574
Union Planters Bank Note, 5.125% 75,000 6/15/2007 78,488
Vornado Realty Trust Sr. Note, 5.625% 200,000 6/15/2007 208,089
Washington Mutual Inc. Note, 3.42% 275,000 5/25/2033 261,842
Washington Mutual Inc. Note, 3.695% 275,000 6/25/2033 261,390
Washinton Mutual Inc. Note, 4.26% 100,000 8/25/2033 101,607
--------------
13,892,052
--------------
FOREIGN 0.5%
Pemex Project Funding Master Trust Note, 7.375% 75,000 12/15/2014 77,438
Petroleos Mexicanos Note, 6.50% 100,000 2/01/2005 104,750
Petronas Capital Ltd. Note, 7.00%+ 75,000 5/22/2012 82,316
--------------
264,504
--------------
FOREIGN GOVERNMENT 3.3%
Republic of Brazil, 8.00% 123,141 4/15/2014 106,825
Republic of Bulgaria, 2.19%++ 190,000 7/28/2011 180,500
Republic of Bulgaria, 8.25% 75,000 1/15/2015 83,250
Republic of Chile, 5.625% 225,000 7/23/2007 238,275
Republic of Colombia, 10.00% 100,000 1/23/2012 106,500
Republic of Peru, 5.00% 96,000 3/07/2017 82,080
Republic of Philippines, 8.375% 75,000 3/12/2009 77,625
Republic of South Africa, 9.125% 175,000 5/19/2009 209,125
Republic of Turkey, 11.00% 75,000 1/14/2013 77,250
Republic of Uruguay, 7.50% 100,000 3/15/2015 73,500
Republic of Vietnam, 3.50% 25,000 3/12/2028 16,359
Russian Federation, 5.00% $ 125,000 3/31/2030 $ 111,875
Ukraine Government Note, 7.65%++ 100,000 6/11/2013 97,000
United Mexican States, 6.375% 175,000 1/16/2013 172,550
United Mexican States, 8.30% 50,000 8/15/2031 52,125
--------------
1,684,839
--------------
CORPORATE 21.7%
ACE Securites Corp. Note 1999 Cl. B2, 2.29% 94,887 7/25/2003 93,980
Allied Waste North America Inc. Sr. Sub. Note, 10.00% 125,000 8/01/2009 131,719
Amerisourcebergen Corp. Note, 7.25% 50,000 11/15/2012 52,250
Ametek Inc. Sr. Note, 7.20% 100,000 7/15/2008 106,625
Anchor Glass Container Corp. Note, 11.00%+ 50,000 2/15/2013 53,875
AT&T Broadband Corp. Bond Note, 9.46% 275,000 11/15/2022 348,544
AT&T Wireless Services Inc. Note, 8.125% 100,000 5/01/2012 114,216
Autonation Inc. Sr. Note, 9.00% 50,000 8/01/2008 55,000
Ball Corp. Note, 6.875% 50,000 12/15/2012 50,000
Beckman Coulter Inc. Sr. Note, 7.45% 50,000 3/04/2008 56,839
Boeing Co. Note, 8.75% 75,000 8/15/2021 90,861
Bombardier Capital Inc. Note, 6.125% 100,000 6/29/2006 103,000
Boston Edison Co. Note, 4.875% 150,000 10/15/2012 147,253
Briggs & Stratton Corp. Sr. Note, 8.875% 50,000 3/15/2011 57,000
British Telecommunication PLC Note, 8.875% 75,000 12/15/2030 92,127
Case New Holland Inc. Note, 9.25% 75,000 8/01/2011 73,966
Clear Channel Communications Inc. Sr. Note, 7.25% 50,000 9/15/2003 50,308
Conoco Funding Co. Note, 7.25% 75,000 10/15/2031 84,332
Continental Airlines Inc. Note, 7.71% 156,644 10/02/2022 150,616
Cox Communications Inc. Note, 7.75% 50,000 8/15/2006 56,610
Crown European Holdings Note, 9.50% + 50,000 3/01/2011 52,000
D. R. Horton Inc. Sr. Note, 8.50% 200,000 4/15/2012 218,000
DaimlerChrysler Holdings Corp. Note, 8.50% 125,000 1/18/2031 136,499
Dana Corp. Sr. Note, 9.00% 100,000 8/15/2011 107,000
Dean Foods Co. Sr. Note, 8.15% 175,000 8/01/2007 185,500
Deutsche Telekom BV Global Note, 9.25% 100,000 6/01/2032 125,621
Deutsche Telekom International Global Note, 5.25% 75,000 7/22/2013 71,811
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
Devon Energy Corp. Bond Note, 7.95% $ 100,000 4/15/2032 $ 115,257
Dillard's Inc. Note, 6.875% 75,000 6/01/2005 73,875
Dominion Resources Inc. Sr. Note, 7.625% 75,000 7/15/2005 82,244
Dominion Resources Inc. Sr. Note, 8.125% 100,000 6/15/2010 117,142
DTE Energy Co. Note, 6.00% 100,000 6/01/2004 103,249
DTE Energy Co. Note, 6.45% 75,000 6/01/2006 81,901
Eircom Funding Note, 8.25% 25,000 8/15/2013 25,469
El Paso Production Holding Co. Note, 7.75%+ 75,000 6/01/2013 68,813
Entergy Gulf States Inc. Note, 3.60%+ 125,000 6/01/2008 119,844
Equistar Chemicals LP Note, 10.125% 100,000 9/01/2008 99,000
Exelon Corp. Sr. Note, 6.75% 125,000 5/01/2011 137,637
Federated Department Stores Inc. Note, 7.00% 100,000 2/15/2028 102,852
Flextronics International Ltd. Note, 9.875% 100,000 7/01/2010 114,000
FMC Corp. Note, 10.25% 75,000 11/01/2009 83,625
France Telecom Note, 10.00% 125,000 3/01/2031 155,641
General Electric Co. Note, 5.00% 275,000 2/01/2013 269,087
General Motors Corp. Note, 8.25% 200,000 7/15/2023 189,527
Georgia Power Co. Note, 4.875% 100,000 7/15/2007 104,555
Hewlett Packard Co. Note, 3.625% 225,000 3/15/2008 223,154
Houghton Mifflin Co. Note, 8.25% 25,000 2/01/2011 25,438
Indiana Michigan Power Co. Note, 6.125% 100,000 12/15/2006 108,944
International Paper Co. Note, 5.85% 125,000 10/30/2012 128,032
ISP Chemco Inc. Sr. Sub Note, 10.25% 75,000 7/01/2011 84,375
J C Penney Co., Inc. Note, 8.00% 75,000 3/01/2010 76,125
John Q Hammons LP. Note, 8.875% 125,000 5/15/2012 130,937
Kroger Co. Sr. Note, 8.00% 75,000 9/15/2029 85,013
Kroger Co. Note, 8.05% 25,000 2/01/2010 28,819
Kroger Co. Sr. Note B, 7.25% 75,000 6/01/2009 83,540
L3 Communications Corp. Note, 7.625% 100,000 6/15/2012 105,000
Lamar Media Corp. Note, 7.25%+ 75,000 1/01/2013 76,500
Luscar Coal Ltd. Sr. Note, 9.75% 100,000 10/15/2011 113,000
Lyondell Chemical Co. Sr. Note Series A, 9.625% 75,000 5/01/2007 72,563
MDP Acquisitions PLC Note, 9.625% 125,000 10/01/2012 131,875
MGM Grand Inc. Sr. Sub. Note, 9.75% 100,000 6/01/2007 109,500
Millennium America Inc. Sr. Note, 9.25% 50,000 6/15/2008 51,250
News America Inc. Sr. Note, 6.625% $ 250,000 1/09/2008 $ 276,210
Norfolk Southern Corp. Note, 6.00% 200,000 4/30/2008 215,345
Ohio Power Co. Sr. Note, 6.75% 50,000 7/01/2004 52,425
Owens Brockway Glass Container Inc. Note, 7.75%+ 25,000 5/15/2011 25,250
Perkinelmer Inc. Note, 8.875%+ 50,000 1/15/2013 54,500
Plains All American Pipeline Note, 7.75% 50,000 10/15/2012 54,875
Premcor Refining Group Inc. Note, 9.25% 50,000 2/01/2010 53,500
Progress Energy Inc. Sr. Note, 7.10% 150,000 3/01/2011 163,936
Raytheon Co. Note, 8.20% 75,000 3/01/2006 85,307
Rhodia Note, 7.625%+ 50,000 6/01/2010 48,750
Safeway Inc. Note, 7.50% 100,000 9/15/2009 112,732
Saks Inc. Note, 8.25% 100,000 11/15/2008 103,500
Seagate Technology Inc. Note, 8.00% 200,000 5/15/2009 216,000
Senior Housing Properties Trust Sr. Note, 8.625% 25,000 1/15/2012 26,375
Sprint Capital Corp. Global Note, 7.625% 50,000 1/30/2011 53,819
Sprint Capital Corp. Note, 7.125% 75,000 1/30/2006 80,988
TCI Communications Inc. Note, 7.875% 75,000 2/15/2026 81,662
Telecom de Puerto Rico Inc. Sr. Note, 6.65% 200,000 5/15/2006 216,900
Telus Corp. Note, 7.50% 75,000 6/01/2007 82,012
Tenet Healthcare Corp. Sr. Note, 6.375% 100,000 12/01/2011 90,750
Terex Corp. Sr. Sub. Note, 9.25% 25,000 7/15/2011 26,375
Thomson Corp. Sr. Note, 5.75% 175,000 2/01/2008 189,419
Time Warner Enterprise Co. Note, 8.375% 225,000 3/15/2023 259,022
Time Warner Inc. Note, 9.15% 100,000 2/01/2023 116,304
Trimas Corp. Note, 9.875%+ 75,000 6/15/2012 76,125
TRW Automotive Inc. Note, 9.375%+ 125,000 2/15/2013 136,250
Tyco International Group SA Note, 6.375% 125,000 2/15/2006 128,750
Unilever Capital Corp. Global Note, 7.125% 250,000 11/01/2010 287,672
Union Pacific Corp. Note, 7.60% 150,000 5/01/2005 163,706
Unisys Corp. Note, 6.875% 125,000 3/15/2010 125,625
United Technologies Corp. Note, 7.125% 75,000 11/15/2010 85,536
Valero Energy Corp. Note, 7.375% 100,000 3/15/2006 109,954
Verizon Global Funding Corp. Note, 6.125% 125,000 6/15/2007 136,554
Viacom Inc. Global Note, 7.70% 75,000 7/30/2010 88,076
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
Vivendi Universal Inc. Note, 6.25% $ 125,000 7/15/2008 $ 122,031
Vodafone Airtouch PLC Note, 7.75% 100,000 2/15/2010 117,108
Walt Disney Co. Global Note, 6.75% 175,000 3/30/2006 191,282
Weyerhaeuser Co. Note, 6.00% 175,000 8/01/2006 188,206
XTO Energy Inc. Sr. Note, 7.50% 100,000 4/15/2012 108,000
--------------
11,294,166
--------------
TOTAL FIXED INCOME SECURITIES
(COST $50,688,379) 50,862,755
--------------
SHORT-TERM INVESTMENTS 11.2%
State Street Navigator Securities Lending Prime Portfolio, $ 5,850,014
--------------
TOTAL SHORT-TERM INVESTMENTS (COST $5,850,014) 5,850,014
--------------
COMMERCIAL PAPER 30.2%
AIG Funding Inc., 1.01% 1,478,000 8/13/2003 1,477,503
American Express Credit Corp., 1.01% 719,000 8/13/2003 718,758
American Express Credit Corp., 1.01% 685,000 8/18/2003 684,673
Caterpillar Financial Services Corp., 1.03% 2,000,000 8/14/2003 1,999,256
Caterpillar Financial Services Corp., 1.02% 500,000 8/18/2003 499,759
Citicorp., 1.02% 2,200,000 8/18/2003 2,198,940
E.I. Du Pont De Nemours & Co., 1.00% 2,000,000 10/02/2003 1,996,556
General Electric Capital Corp., 0.91% $ 1,060,000 8/01/2003 $ 1,060,000
General Electric Capital Corp., 1.02% 569,000 8/18/2003 568,726
Goldman Sachs Group Inc., 1.23% 1,969,000 8/18/2003 1,967,856
Merck & Company. Inc., 1.05% 500,000 8/06/2003 499,927
Merck & Company. Inc., 0.91% 1,457,000 8/06/2003 1,456,816
Wells Fargo & Company, 1.07% 569,000 8/13/2003 568,797
--------------
TOTAL COMMERCIAL PAPER (COST $15,697,567) 15,697,567
--------------
TOTAL INVESTMENTS (COST $72,235,960) - 139.3% 72,410,336
OTHER ASSETS, LESS LIABILITIES - (39.3%) (20,432,203)
--------------
NET ASSETS - 100.0% $ 51,978,133
==============
FEDERAL INCOME TAX INFORMATION:
At July 31, 2003, the net unrealized appreciation of investments based on
cost for Federal income tax purposes of $72,243,471 was as follows:
Aggregate gross unrealized appreciation for all investments in which there
is an excess of value over tax cost $ 1,218,039
Aggregate gross unrealized depreciation for all investments in which there
is an excess of tax cost over value (1,051,174)
--------------
$ 166,865
==============
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
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 July 31, 2003.
++ Interest rates on these floating-rate bonds will reset annually or biannually
based on the six month London Interbank Offered Rate (LIBOR) plus .8125%.
+ 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 July 31, 2003 were $2,433,794 and $2,486,638 (4.78% of net assets),
respectively.
Futures contracts open at July 31, 2003 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 September 2003 $ (14,621)
5-Year U.S. Treasury Notes Short (35) (3,500,000) September 2003 139,899
10-Year U.S. Treasury Notes Short (4) (400,000) September 2003 22,114
---------
$ 147,392
=========
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<Page>
STATE STREET RESEARCH INSTITUTIONAL
LARGE CAP GROWTH FUND
Investment Portfolio July 31, 2003 (Unaudited)
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
COMMON STOCKS 97.4%
AUTOMOBILES & TRANSPORTATION 1.2%
AIR TRANSPORT 1.2%
Expeditors International Washington Inc. 3,500 $ 117,495
Ryanair Holdings PLC ADR* 2,200 94,358
--------------
TOTAL AUTOMOBILES & TRANSPORTATION 211,853
--------------
CONSUMER DISCRETIONARY 22.2%
CASINOS/GAMBLING, HOTEL/MOTEL 2.1%
International Game Technology Inc. 14,824 377,271
--------------
COMMERCIAL SERVICES 4.7%
eBay Inc.* 1,400 150,080
Expedia Inc. Cl. A* 6,700 524,007
Interactive Corp. * 1,772 71,713
Manpower Inc. 3,281 125,006
--------------
870,806
--------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 3.7%
Univision Communications Inc. Cl. A* 9,004 280,925
Walt Disney Co. 17,800 390,176
--------------
671,101
--------------
CONSUMER ELECTRONICS 1.0%
Yahoo!, Inc.* 6,115 190,360
--------------
CONSUMER PRODUCTS 1.7%
Avon Products Inc. 5,012 312,698
--------------
CONSUMER SERVICES 1.3%
Apollo Group Inc. Cl. A* 2,600 168,376
Career Education Corp.* 900 75,060
--------------
243,436
--------------
PRINTING & PUBLISHING 1.9%
News Corp. Ltd. ADR 11,300 343,633
--------------
RESTAURANTS 0.7%
Starbucks Corp.* 4,500 122,985
--------------
RETAIL 4.2%
Best Buy Company Inc.* 3,222 $ 140,640
GAP Inc. 3,263 58,702
Lowes Companies Inc. 4,806 228,573
Wal-Mart Stores Inc. 6,142 343,399
--------------
771,314
--------------
SHOES 0.5%
Nike Inc. Cl. B 1,600 82,784
--------------
TEXTILE APPAREL MANUFACTURERS 0.4%
Coach Inc.* 1,466 77,698
--------------
TOTAL CONSUMER DISCRETIONARY 4,064,086
--------------
CONSUMER STAPLES 6.6%
BEVERAGES 2.5%
Coca-Cola Co. 8,100 364,257
PepsiCo Inc. 1,990 91,679
--------------
455,936
--------------
DRUG & GROCERY STORE CHAINS 0.7%
Whole Foods Market Inc.* 2,541 129,530
--------------
HOUSEHOLD PRODUCTS 3.4%
Clorox Co. 3,437 149,132
Procter & Gamble Co. 5,467 480,385
--------------
629,517
--------------
TOTAL CONSUMER STAPLES 1,214,983
--------------
FINANCIAL SERVICES 9.3%
BANKS & SAVINGS & LOAN 1.4%
Goldman Sachs Group Inc. 3,000 261,420
--------------
INSURANCE 2.6%
American International Group Inc. 4,062 260,780
XL Capital Ltd. 2,685 213,458
--------------
474,238
--------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
MISCELLANEOUS FINANCIAL 5.3%
American Express Co. 6,829 $ 301,637
Capital One Financial Corp. 2,100 100,611
Citigroup Inc. 8,620 386,176
SLM Corp. 4,263 176,744
--------------
965,168
--------------
TOTAL FINANCIAL SERVICES 1,700,826
--------------
HEALTHCARE 23.9%
DRUGS & BIOTECHNOLOGY 17.6%
Allergan Inc. 1,743 140,277
Altana AG ADR 1,851 114,299
Amgen Inc.* 5,767 401,268
Forest Laboratories Inc.* 1,531 73,304
Genentech, Inc.* 2,600 209,950
Gilead Sciences, Inc.* 1,500 102,375
Johnson & Johnson Ltd. 7,850 406,552
Novartis AG ADR 6,536 252,224
Pfizer Inc. 26,815 894,548
Teva Pharmaceutical Industries Ltd. ADR 2,100 120,414
Wyeth Inc. 11,200 510,496
--------------
3,225,707
--------------
HEALTHCARE SERVICES 3.1%
Anthem Inc.* 3,282 247,824
Caremark Rx Inc.* 4,038 101,031
Wellpoint Health Networks Inc. Cl. A* 2,741 229,284
--------------
578,139
--------------
HOSPITAL SUPPLY 3.2%
Guidant Corp. 4,400 207,768
Medtronic Inc. 7,385 380,328
--------------
588,096
--------------
TOTAL HEALTHCARE 4,391,942
--------------
MATERIALS & PROCESSING 1.0%
CHEMICALS 1.0%
Air Products & Chemicals Inc. 3,828 177,925
--------------
TOTAL MATERIALS & PROCESSING 177,925
--------------
OTHER 2.8%
MULTI-SECTOR 2.8%
General Electric Co. 17,911 509,389
--------------
TOTAL OTHER 509,389
--------------
OTHER ENERGY 3.2%
OIL & GAS PRODUCERS 1.6%
Apache Corp. 1,400 $ 86,744
Burlington Resources Inc. 2,418 111,639
Devon Energy Corp. 1,841 87,208
--------------
285,591
--------------
OIL WELL EQUIPMENT & SERVICES 1.6%
BJ Services Co.* 2,947 100,935
Halliburton Co. 5,160 114,397
Nabors Industries Ltd* 2,208 79,047
--------------
294,379
--------------
TOTAL OTHER ENERGY 579,970
--------------
PRODUCER DURABLES 2.5%
PRODUCTION TECHNOLOGY EQUIPMENT 2.5%
Applied Materials Inc.* 10,400 202,800
Novellus Systems Inc.* 3,495 125,156
Teradyne Inc.* 7,900 129,955
--------------
TOTAL PRODUCER DURABLES 457,911
--------------
TECHNOLOGY 23.4%
COMMUNICATIONS TECHNOLOGY 3.8%
Cisco Systems Inc.* 35,975 702,232
--------------
COMPUTER SOFTWARE 7.2%
Microsoft Corp. 41,332 1,091,165
SAP AG ADR 7,411 217,513
--------------
1,308,678
--------------
COMPUTER TECHNOLOGY 4.0%
Dell Inc.* 9,727 327,605
EMC Corp.* 24,389 259,499
IBM Corp. 1,055 85,719
Nvidia Inc.* 3,500 66,920
--------------
739,743
--------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
ELECTRONICS: SEMICONDUCTORS/COMPONENTS 8.4%
Broadcom Corp. Cl. A* 5,000 $ 101,350
Intel Corp. 34,029 849,023
Linear Technology Corp. 7,142 263,397
National Semiconductor Corp.* 6,200 138,570
Texas Instruments Inc. 10,100 190,587
--------------
1,542,927
--------------
TOTAL TECHNOLOGY 4,293,580
--------------
UTILITIES 1.4%
CABLE TELEVISION & RADIO 1.4%
Comcast Corp.* 8,770 256,961
--------------
TOTAL UTILITIES 256,961
--------------
TOTAL COMMON STOCKS (COST $15,264,522) 17,859,426
--------------
SHORT-TERM INVESTMENTS 4.0%
State Street Navigator Securities Lending Prime Portfolio 733,144 733,144
--------------
</Table>
<Table>
<Caption>
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER 2.7%
Merck & Co. Inc. 1.05% $ 500,000 8/06/2003 $ 499,927
--------------
TOTAL COMMERCIAL PAPER (COST $499,927) 499,927
--------------
TOTAL INVESTMENTS (COST $16,497,593)-104.1% $ 19,092,497
CASH AND OTHER ASSETS, LESS LIABILITIES-(4.1%) (751,216)
--------------
NET ASSETS-100.0% $ 18,341,281
==============
FEDERAL INCOME TAX INFORMATION:
At July 31, 2003, the net unrealized appreciation of investments based on
cost for Federal income tax purposes of $16,589,453 was as follows:
Aggregate gross unrealized appreciation for all investments in which there
is an excess of value over tax cost $ 2,582,670
Aggregate gross unrealized depreciation for all investments in which there
is an excess of tax cost over value (79,626)
--------------
$ 2,503,044
==============
</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.
15
<Page>
STATE STREET RESEARCH INSTITUTIONAL
LARGE CAP ANALYST FUND
Investment Portfolio July 31, 2003 (Unaudited)
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
COMMON STOCKS 98.8%
AUTOMOBILES & TRANSPORTATION 1.2%
AUTOMOTIVE PARTS 0.6%
Navistar International Corp.* 860 $ 33,557
--------------
MISCELLANEOUS TRANSPORTATION 0.6%
United Parcel Service Inc. Cl. B 600 37,848
--------------
TOTAL AUTOMOBILES & TRANSPORTATION 71,405
--------------
CONSUMER DISCRETIONARY 14.1%
CASINOS/GAMBLING, HOTEL/MOTEL 1.0%
International Game Technology Inc. 2,520 64,134
--------------
COMMERCIAL SERVICES 2.8%
Cendant Corp.* 2,700 48,465
Interactive Corp. * 3,060 123,838
--------------
172,303
--------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 2.5%
Univision Communications Inc. Cl. A* 1,700 53,040
Walt Disney Co. 4,510 98,859
--------------
151,899
--------------
CONSUMER PRODUCTS 0.6%
Avon Products Inc. 550 34,315
--------------
LEISURE TIME 0.7%
Carnival Corp. 1,200 41,172
--------------
PRINTING & PUBLISHING 0.5%
News Corp. Ltd. ADR 1,100 33,451
--------------
RESTAURANTS 0.8%
Starbucks Corp.* 1,760 48,101
--------------
RETAIL 4.7%
Bed Bath & Beyond Inc.* 780 30,178
GAP Inc. 1,720 30,943
Home Depot Inc. 1,320 41,184
Lowes Companies Inc. 600 28,536
Talbots Inc. 900 29,691
Target Corp. 860 $ 32,955
Wal-Mart Stores Inc. 1,710 95,606
--------------
289,093
--------------
SHOES 0.5%
Nike Inc. Cl. B 600 $ 31,044
--------------
TOTAL CONSUMER DISCRETIONARY 865,512
--------------
CONSUMER STAPLES 6.7%
BEVERAGES 3.3%
Coca-Cola Co. 1,290 58,011
Coca-Cola Enterprises Inc. 1,590 27,110
Pepsi Bottling Group Inc. 1,830 40,223
PepsiCo Inc. 1,700 78,319
--------------
203,663
--------------
HOUSEHOLD PRODUCTS 2.7%
Clorox Co. 900 39,051
Dial Corp. 1,620 31,720
Procter & Gamble Co. 1,050 92,263
--------------
163,034
--------------
TOBACCO 0.7%
Altria Group Inc. 1,080 43,211
--------------
TOTAL CONSUMER STAPLES 409,908
--------------
FINANCIAL SERVICES 21.9%
BANKS & SAVINGS & LOAN 6.7%
Bank of America Corp. 1,000 82,570
Bank of New York Co., Inc. 1,200 36,144
Bank One Corp. 800 31,648
Fifth Third Bancorp. 910 50,059
J.P. Morgan Chase & Co. 1,440 50,472
US Bancorp. 1,300 31,876
Wachovia Corp. 1,100 48,059
Wells Fargo & Co. 1,660 83,880
--------------
414,708
--------------
FINANCIAL DATA PROCESSING SERVICES & SYSTEMS 1.0%
First Data Corp. 1,680 63,437
--------------
INSURANCE 4.2%
American International Group Inc. 1,300 83,460
Hartford Financial Services Group Inc. 1,600 83,504
Travelers Property Casualty Corp. Cl. B 2,237 36,105
XL Capital Ltd. 670 53,265
--------------
256,334
--------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
MISCELLANEOUS FINANCIAL 9.5%
American Express Co. 2,000 $ 88,340
Citigroup Inc. 4,410 197,568
Federal Home Loan Mortgage Corp. 800 39,080
Federal National Mortgage Assoc. 800 51,232
MBNA Corp. 1,480 32,989
Morgan Stanley Dean Witter Inc. 2,390 113,382
Willis Group Holdings Ltd. 1,930 58,093
--------------
580,684
--------------
SECURITIES BROKERAGE & SERVICES 0.5%
Lehman Brothers Holdings Inc. 460 29,104
--------------
TOTAL FINANCIAL SERVICES 1,344,267
--------------
HEALTHCARE 14.9%
DRUGS & BIOTECHNOLOGY 11.0%
Altana AG ADR 580 35,815
Amgen Inc.* 950 66,101
AstraZeneca PLC ADR 1,050 42,231
Biogen Inc.* 690 26,510
Forest Laboratories Inc.* 880 42,134
Genentech, Inc.* 430 34,723
Johnson & Johnson Ltd. 580 30,038
Mylan Laboratories Inc. 1,280 43,226
Novartis AG ADR 2,250 86,827
Pfizer Inc. 3,310 110,422
Teva Pharmaceutical Industries Ltd. ADR 660 37,844
Wyeth Inc. 2,680 122,154
--------------
678,025
--------------
HEALTHCARE FACILITIES 0.5%
HCA Inc. 940 33,135
--------------
HEALTHCARE SERVICES 1.3%
Anthem Inc.* 680 $ 51,347
Wellpoint Health Networks Inc. Cl. A* 340 28,441
--------------
79,788
--------------
HOSPITAL SUPPLY 2.1%
Guidant Corp. 1,190 56,192
Medtronic Inc. 740 38,110
St. Jude Medical Inc.* 600 32,190
--------------
126,492
--------------
TOTAL HEALTHCARE 917,440
--------------
INTEGRATED OILS 2.8%
INTEGRATED INTERNATIONAL 2.8%
BP PLC ADR 800 $ 33,240
Exxon Mobil Corp. 2,290 81,478
Total Fina SA ADR 800 58,880
--------------
TOTAL INTEGRATED OILS 173,598
--------------
MATERIALS & PROCESSING 2.0%
CHEMICALS 1.0%
Air Products & Chemicals Inc. 600 27,888
Dow Chemical Co. 1,000 35,300
--------------
63,188
--------------
PAPER & FOREST PRODUCTS 1.0%
International Paper Co. 1,570 61,418
--------------
TOTAL MATERIALS & PROCESSING 124,606
--------------
OTHER 7.5%
MISCELLANEOUS 2.3%
Standard & Poor's Depositary Receipt 1,400 139,146
--------------
MULTI-SECTOR 5.2%
General Electric Co. 6,040 171,778
ITT Industries Inc. 940 62,698
SPX Corp.* 1,800 84,762
--------------
319,238
--------------
TOTAL OTHER 458,384
--------------
OTHER ENERGY 2.3%
OIL & GAS PRODUCERS 1.5%
Burlington Resources Inc. 1,960 90,493
--------------
OIL WELL EQUIPMENT & SERVICES 0.8%
BJ Services Co.* 800 27,400
Patterson UTI Energy Inc.* 900 24,840
--------------
52,240
--------------
TOTAL OTHER ENERGY 142,733
--------------
PRODUCER DURABLES 4.3%
AEROSPACE 1.2%
United Technologies Corp. 1,030 77,487
--------------
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<Page>
Investment Portfolio (cont'd) July 31, 2003 (Unaudited)
<Table>
<Caption>
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
MACHINERY 1.2%
AGCO Corp.* 3,720 $ 71,350
--------------
MISCELLANEOUS EQUIPMENT 1.3%
Pentair Inc. 1,970 79,489
--------------
PRODUCTION TECHNOLOGY EQUIPMENT 0.6%
Teradyne Inc.* 2,240 36,848
--------------
TOTAL PRODUCER DURABLES 265,174
--------------
TECHNOLOGY 14.3%
COMMUNICATIONS TECHNOLOGY 2.1%
Cisco Systems Inc.* 6,570 128,246
--------------
COMPUTER SOFTWARE 4.0%
Microsoft Corp. 8,020 211,728
Symantec Corp.* 680 31,899
--------------
243,627
--------------
COMPUTER TECHNOLOGY 2.8%
Dell Inc.* 2,100 70,728
EMC Corp.* 2,840 30,218
Hewlett-Packard Co. 1,930 40,858
IBM Corp. 400 32,500
--------------
174,304
--------------
ELECTRONICS 1.2%
Nokia Corp. ADR 2,110 32,283
Sanmina Corp.* 5,450 43,273
--------------
75,556
--------------
ELECTRONICS: SEMICONDUCTORS/COMPONENTS 4.2%
Broadcom Corp. Cl. A* 2,240 45,405
Intel Corp. 7,450 185,877
National Semiconductor Corp.* 1,270 28,385
--------------
259,667
--------------
TOTAL TECHNOLOGY 881,400
--------------
UTILITIES 6.8%
CABLE TELEVISION & RADIO 3.3%
Comcast Corp.* 3,800 $ 111,340
Cox Communications Inc. Cl. A* 2,900 92,191
--------------
203,531
--------------
ELECTRICAL 0.8%
Exelon Corp. 800 45,976
--------------
TELECOMMUNICATIONS 2.7%
Alltel Corp. 1,000 46,790
Bellsouth Corp. 2,500 63,675
SBC Communications Inc. 2,500 58,400
--------------
168,865
--------------
TOTAL UTILITIES 418,372
--------------
TOTAL COMMON STOCKS AND INVESTMENTS
(COST $5,670,984)-98.8% 6,072,799
CASH AND OTHER ASSETS, LESS LIABILITIES-1.2% 72,897
--------------
NET ASSETS-100.0% $ 6,145,696
==============
FEDERAL INCOME TAX INFORMATION:
At July 31, 2003, the net unrealized appreciation of investments based on
cost for Federal income tax purposes of $5,760,022 was as follows:
Aggregate gross unrealized appreciation for all investments in which there
is an excess of value over tax cost $ 517,284
Aggregate gross unrealized depreciation for all investments in which there
is an excess of tax cost over value (204,507)
--------------
$ 312,777
==============
</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.
18
<Page>
STATE STREET RESEARCH INSTITUTIONAL FUNDS
Statements of Assets and Liabilities July 31, 2003 (Unaudited)
<Table>
<Caption>
STATE STREET RESEARCH STATE STREET RESEARCH STATE STREET RESEARCH STATE STREET RESEARCH
INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL
CORE FIXED CORE PLUS FIXED LARGE CAP LARGE CAP
INCOME FUND INCOME FUND GROWTH FUND ANALYST FUND
--------------------- --------------------- --------------------- ---------------------
ASSETS
Investments, at value* $ 82,771,651 $ 72,410,336 $ 19,092,497 $ 6,072,799
Cash - - 70,119 69,266
Receivable for securities sold 1,177,632 1,208,872 - 36,025
Interest and dividends receivable 499,274 496,187 9,649 5,311
Receivable for variation margin 17,625 21,484 - -
Receivable from Adviser (Note 3) - 7,453 - -
Other assets 2,130 - 824 668
--------------- --------------- -------------- --------------
84,468,312 74,144,332 19,173,089 6,184,069
LIABILITIES
Payable for collateral received on
securities loaned 8,206,204 5,850,014 733,144 -
Payable to custodian 6,356 5,289 - -
Payable for securities purchased 18,689,433 16,294,840 90,690 35,948
Accrued management fee (Note 2) 12,360 16,056 7,974 2,425
--------------- --------------- -------------- --------------
26,914,353 22,166,199 831,808 38,373
--------------- --------------- -------------- --------------
NET ASSETS $ 57,553,959 $ 51,978,133 $ 18,341,281 $ 6,145,696
=============== =============== ============== ==============
NET ASSETS CONSIST OF:
Undistributed net investment income
(loss) $ (105,878) $ 129,002 $ 27,368 $ 29,891
Unrealized appreciation (depreciation)
of investments (203,574) 174,376 2,594,904 401,815
Unrealized appreciation of futures
contracts 143,377 147,392 - -
Accumulated net realized gain (loss) 1,067,943 1,273,865 (6,121,544) (1,283,065)
Paid-in capital 56,652,091 50,253,498 21,840,553 6,997,055
--------------- --------------- -------------- --------------
$ 57,553,959 $ 51,978,133 $ 18,341,281 $ 6,145,696
=============== =============== ============== ==============
Shares 5,463,639 4,952,909 3,332,999 717,940
=============== =============== ============== ==============
Net Asset Value and redemption price per
share $ 10.53 $ 10.49 $ 5.50 $ 8.56
=============== =============== ============== ==============
Cost of Investments $ 82,975,225 $ 72,235,960 $ 16,497,593 $ 5,670,984
=============== =============== ============== ==============
</Table>
*INCLUDING SECURITIES ON LOAN VALUED AT $7,961,914, $5,679,095, $723,136 AND $0,
RESPECTIVELY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<Page>
Statements of Operations
For the six months ended July 31, 2003 (Unaudited)
<Table>
<Caption>
STATE STREET RESEARCH STATE STREET RESEARCH STATE STREET RESEARCH STATE STREET RESEARCH
INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL
CORE FIXED CORE PLUS FIXED LARGE CAP LARGE CAP
INCOME FUND INCOME FUND GROWTH FUND ANALYST FUND
--------------------- --------------------- --------------------- ---------------------
INVESTMENT INCOME
Interest (Note 1) $ 988,303 $ 1,092,313 $ 1,616 $ 571
Dividends, net of foreign taxes - - 71,398 42,022
--------------- --------------- -------------- --------------
988,303 1,092,313 73,014 42,593
EXPENSES
Management fee (Note 2) 72,106 79,806 38,188 12,641
Expenses borne by the Adviser (Note 3) - (13,302) - -
--------------- --------------- -------------- --------------
72,106 66,504 38,188 12,641
--------------- --------------- -------------- --------------
Net investment income 916,197 1,025,809 34,826 29,952
--------------- --------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, AND FUTURES CONTRACTS
Net realized gain (loss) on investments
(Notes 1 and 4) 1,051,029 1,343,673 (551,782) (108,740)
Net realized gain (loss) on futures
contracts (Note 1) 22,560 (106,425) - -
--------------- --------------- -------------- --------------
Total net realized gain (loss) 1,073,589 1,237,248 (551,782) (108,740)
--------------- --------------- -------------- --------------
Change in unrealized appreciation
(depreciation) of investments (1,984,486) (1,617,000) 3,334,128 1,043,776
Change in unrealized appreciation of
futures contracts 145,076 191,703 - -
--------------- --------------- -------------- --------------
Total change in unrealized
appreciation (depreciation) (1,839,410) (1,425,297) 3,334,128 1,043,776
--------------- --------------- -------------- --------------
Net gain (loss) on investments and
futures contracts (765,821) (188,049) 2,782,346 935,036
--------------- --------------- -------------- --------------
Net increase in net assets resulting from
operations $ 150,376 $ 837,760 $ 2,817,172 $ 964,988
=============== =============== ============== ==============
</Table>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<Page>
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
------------------------------------- -------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JULY 31, 2003 YEAR ENDED JULY 31, 2003 YEAR ENDED
(UNAUDITED) JANUARY 31, 2003 (UNAUDITED) JANUARY 31, 2003
------------------------------------- -------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 916,197 $ 3,173,598 $ 1,025,809 $ 3,698,413
Net realized gain on investments, foreign
currency, and futures contracts 1,073,589 1,217,946 1,237,248 781,579
Change in unrealized appreciation
(depreciation) of investments and futures
contracts (1,839,410) 1,218,994 (1,425,297) 1,344,724
------------ ------------ ------------ ------------
Net increase resulting from operations 150,376 5,610,538 837,760 5,824,716
------------ ------------ ------------ ------------
Dividends from net investment income: (1,163,460) (3,531,091) (1,088,595) (3,918,058)
------------ ------------ ------------ ------------
Distributions from capital gains: (849,048) (248,752) (493,976) (113,989)
------------ ------------ ------------ ------------
Share Transactions (Note 6):
Proceeds from sale of shares 1,233,480 1,493,866 - 21,708,683
Net asset value of shares issued in
payment of:
Dividends from net investment income 1,162,910 2,969,843 1,088,047 3,187,586
Distributions from capital gains 848,636 250,419 493,726 113,924
Cost of shares repurchased (1,192,740) (18,287,175) (4,266,150) (35,872,928)
------------ ------------ ------------ ------------
Net increase (decrease) from fund share
transactions 2,052,286 (13,573,047) (2,684,377) (10,862,735)
------------ ------------ ------------ ------------
Total increase (decrease) in net assets 190,154 (11,742,352) (3,429,188) (9,070,066)
NET ASSETS
Beginning of period 57,363,805 69,106,157 55,407,321 64,477,387
------------ ------------ ------------ ------------
End of period* $ 57,553,959 $ 57,363,805 $ 51,978,133 $ 55,407,321
============ ============ ============ ============
Number of shares:
Sold 112,033 140,583 - 2,088,678
Issued upon reinvestment of
Dividends from net investment income 107,515 279,037 101,517 310,324
Distribution from capital gains 79,090 23,624 46,534 11,202
Repurchased (116,356) (1,703,506) (403,084) (3,420,863)
------------ ------------ ------------ ------------
Net increase (decrease) in fund shares 182,282 (1,260,262) (255,033) (1,010,659)
============ ============ ============ ============
</Table>
*INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) OF $(105,878) AND
$141,385, AND $129,002 AND $191,788, RESPECTIVELY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<Page>
Statement of Changes in Net Assets (cont'd)
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL STATE STREET RESEARCH INSTITUTIONAL
LARGE CAP GROWTH FUND LARGE CAP ANALYST FUND
------------------------------------- -------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JULY 31, 2003 YEAR ENDED JULY 31, 2003 YEAR ENDED
(UNAUDITED) JANUARY 31, 2003 (UNAUDITED) JANUARY 31, 2003
------------------------------------- -------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 34,826 $ 82,840 $ 29,952 $ 48,746
Net realized loss on investments (551,782) (5,168,538) (108,740) (1,131,627)
Change in unrealized appreciation
(depreciation) of investments 3,334,128 (541,099) 1,043,776 (540,425)
------------ ------------ ------------ ------------
Net increase (decrease) resulting from
operations 2,817,172 (5,626,797) 964,988 (1,623,306)
------------ ------------ ------------ ------------
Dividends from net investment income: (13,323) (65,257) (3,589) (51,605)
------------ ------------ ------------ ------------
Share Transactions (Note 6):
Proceeds from sale of shares - 22,816,367 - 8,978,378
Net asset value of shares issued in
payment of:
Dividends from net investment income 10,702 56,738 1,058 13,605
Cost of shares repurchased (1,129,919) (6,764,140) - (6,995,996)
------------ ------------ ------------ ------------
Net increase (decrease) from fund share
transactions (1,119,217) 16,108,965 1,058 1,995,987
------------ ------------ ------------ ------------
Total increase in net assets 1,684,632 10,416,911 962,457 321,076
NET ASSETS
Beginning of period 16,656,649 6,239,738 5,183,239 4,862,163
------------ ------------ ------------ ------------
End of period* $ 18,341,281 $ 16,656,649 $ 6,145,696 $ 5,183,239
============ ============ ============ ============
Number of shares:
Sold - 4,117,861 - 933,741
Issued upon reinvestment of Dividends from
net investment income 2,262 11,870 144 1,851
Repurchased (247,246) (1,453,666) - (717,797)
------------ ------------ ------------ ------------
Net increase (decrease) in fund shares (244,984) 2,676,065 144 217,795
============ ============ ============ ============
</Table>
*INCLUDING UNDISTRIBUTED NET INVESTMENT INCOME OF $27,368 AND $5,865, AND
$29,891 AND $3,528, RESPECTIVELY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<Page>
Notes to Unaudited Financial Statements July 31, 2003
NOTE 1
State Street Research Institutional Funds (the "Trust") is a Massachusetts
business trust organized on March 3, 1999 and is 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").
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 accounting principles generally accepted in the United States of
America.
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. FOREIGN CURRENCIES
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.
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 securi-
23
<Page>
Notes (cont'd) July 31, 2003
ties 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.
Income dividends and capital gain 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, 2003, the
Institutional Large Cap Growth Fund and the Institutional Large Cap Analyst
Fund had capital loss carryforwards of $3,608,786 and $992,282 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
twelve-month 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 approximately $1,567,000 and $64,000, respectively, and intend to defer
and treat such losses as arising in the fiscal year ended January 31, 2004.
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.
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.
24
<Page>
Notes (cont'd) July 31, 2003
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 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 it receives 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 July 31, 2003, the value of the securities
loaned and the value of the collateral were as follows:
<Table>
<Caption>
MARKET VALUE COLLATERAL
------------ ----------
Institutional Core Fixed Fund $ 7,961,914 $ 8,206,204
Institutional Core Plus Fund $ 5,679,095 $ 5,850,014
Institutional Large Cap Growth Fund $ 723,136 $ 733,144
</Table>
During the six months ended July 31, 2003, income from securities lending for
the Institutional Core Fixed Fund, the Institutional Core Plus Fund and the
Institutional Large Cap Growth Fund amounted to $1,511, $1,963, $757,
respectively, and is included in interest income on the Statement of
Operations. There were no loaned securities for the Institutional Large Cap
Analyst Fund.
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 six
months ended July 31, 2003, the fees pursuant to such agreement amounted to
$72,106, $79,806, $38,188 and $12,641 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. Pursuant to an Amended and Restated Fee Waiver and Expense Agreement,
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
25
<Page>
Notes (cont'd) July 31, 2003
extraordinary legal expenses), securities lending fees and expenses and interest
expense. The Amended and Restated Fee Waiver and Expense Agreement will continue
in effect until at least June 1, 2004. During the six months ended July 31,
2003, the amount of such expenses waived and reimbursed by the Adviser was
$13,302 for the Institutional Core Plus Fund. During the same period, the
Adviser waived or reimbursed no expenses for the Institutional Core Plus Fixed
Fund, The Institutional Large Cap Growth Fund, and the Institutional Large Cap
Analyst Fund.
NOTE 4
For the six months ended July 31, 2003, 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 $ 100,009,622 $ 95,818,030
Institutional Core Plus Fund $ 88,114,998 $ 88,473,477
Institutional Large Cap Growth Fund $ 8,640,178 $ 10,197,144
Institutional Large Cap Analyst Fund $ 2,461,387 $ 2,354,099
</Table>
Purchases of $88,045,302 and $75,230,969 and sales of $86,395,634 and
$76,211,268 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 Fund's independent accountants as of
April 25, 2003. The Trustees voted to appoint Deloitte & Touche LLP as the
Fund's independent accountants for the fund's 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 Fund 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 July 31, 2003, 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.
26
<Page>
STATE STREET RESEARCH
INSTITUTIONAL CORE FIXED INCOME FUND
AND INSTITUTIONAL CORE PLUS FIXED INCOME FUND
Financial Highlights
For a share outstanding throughout each period.(1)
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL CORE FIXED INCOME FUND
------------------------------------------------------------------------
AUGUST 2, 1999
YEARS ENDED JANUARY 31 (COMMENCEMENT OF
SIX MONTHS ENDED --------------------------------- OPERATIONS) TO
JULY 31, 2003 2003 2002(5),(7) 2001(6) JANUARY 31, 2000(6)
------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD ($) 10.86 10.56 10.40 9.86 10.00
------ ------ ------ ------ ------
Net investment income ($)* 0.17 0.50 0.55 0.67 0.30
Net realized and unrealized gain (loss) on investments
and futures contracts (0.12) 0.39 0.23 0.56 (0.17)
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS ($) 0.05 0.89 0.78 1.23 0.13
------ ------ ------ ------ ------
Dividends from net investment income ($) (0.22) (0.55) (0.52) (0.69) (0.24)
Distributions from capital gains (0.16) (0.04) (0.10) - (0.03)
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS ($) (0.38) (0.59) (0.62) (0.69) (0.27)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ($) 10.53 10.86 10.56 10.40 9.86
====== ====== ====== ====== ======
Total return (%)(2) 0.44(3) 8.64 7.71 12.87 1.28(3)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 57,554 57,364 69,106 8,892 8,435
Expense ratio (%)* 0.25(4) 0.25 0.25 0.25 0.25(4)
Ratio of net investment income to average net assets (%)* 3.18(4) 4.61 4.47 6.65 5.93(4)
Portfolio turnover rate (%) 170.37 301.92 314.06 327.36 213.41
*Reflects voluntary reduction of expenses of
these amounts (%) - 0.02 0.14 0.20 0.75(4)
<Caption>
STATE STREET RESEARCH INSTITUTIONAL CORE PLUS FIXED INCOME FUND
------------------------------------------------------------------------
AUGUST 2, 1999
YEARS ENDED JANUARY 31 (COMMENCEMENT OF
SIX MONTHS ENDED --------------------------------- OPERATIONS) TO
JULY 31, 2003 2003 2002(5),(7) 2001(6) JANUARY 31, 2000(6)
------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD ($) 10.64 10.37 10.35 9.86 10.00
------ ------ ------ ------ ------
Net investment income ($)* 0.21 0.53 0.59 0.69 0.31
Net realized and unrealized loss on investments 0.04 0.30 0.15 0.54 (0.14)
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS ($) 0.17 0.83 0.74 1.23 0.17
------ ------ ------ ------ ------
Dividends from net investment income ($) (0.22) (0.55) (0.59) (0.74) (0.26)
Distributions from capital gains (0.10) (0.01) (0.13) (0.05)
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS ($) (0.32) (0.56) (0.72) (0.74) (0.31)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ($) 10.49 10.64 10.37 10.35 9.86
====== ====== ====== ====== ======
Total return (%)(2) 1.55(3) 8.28 7.45 12.93 1.72(3)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 51,978 55,407 64,477 11,987 11,426
Expense ratio (%)* 0.25(4) 0.25 0.25 0.25 0.25(4)
Ratio of net investment income to average net assets (%)* 3.86(4) 4.84 5.55 6.84 6.13(4)
Portfolio turnover rate (%) 167.43 365.81 353.92 323.47 234.12
*Reflects voluntary reduction of expenses of
these amounts (%) 0.05(4) 0.07 0.18 0.20 0.81(4)
</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
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
AUDITS 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 REALIZED GAIN PER SHARE BY $.02 AND $.02, AND
DECREASE THE RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS BY 0.21%
AND 0.20% FOR THE INSTITUTIONAL CORE FIXED FUND AND THE INSTITUTIONAL CORE
PLUS FUND, RESPECTIVELY. THE FINANCIAL HIGHLIGHTS FOR PERIODS PRIOR TO
FEBRUARY 1, 2001 HAVE NOT BEEN RESTATED FOR THIS CHANGE IN POLICY.
(6) REPRESENTS PER-SHARE FIGURES FOR CLASS IV
(7) REPRESENTS PER-SHARE FIGURES FOR ALL CLASSES THROUGH DECEMBER 16, 2001, AND
THEN ONE CLASS EFFECTIVE DECEMBER 17, 2001
27
<Page>
STATE STREET RESEARCH
INSTITUTIONAL LARGE CAP GROWTH FUND
AND INSTITUTIONAL LARGE CAP ANALYST FUND
Financial Highlights (cont'd)
<Table>
<Caption>
STATE STREET RESEARCH INSTITUTIONAL LARGE CAP GROWTH FUND
-------------------------------------------------------------------------
AUGUST 2, 1999
SIX MONTHS ENDED YEARS ENDED JANUARY 31 (COMMENCEMENT OF
JULY 31, 2003 --------------------------------- OPERATIONS) TO
(UNAUDITED) 2003 2002(6) 2001(5) JANUARY 31, 2000(5)
-------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD ($) 4.66 6.92 10.16 12.33 10.00
------ ------ ------ ------ -----
Net investment income (loss) ($)* 0.01 0.03 0.02 (0.00) 0.01
Net realized and unrealized gain (loss) on investments 0.83 (2.28) (3.26) (1.14) 2.32
------ ------ ------ ------ -----
TOTAL FROM INVESTMENT OPERATIONS ($) 0.84 (2.25) (3.24) (1.14) 2.33
------ ------ ------ ------ -----
Dividends from net investment income ($) (0.00) (0.01) - (0.38) -
Distribution from capital gains ($) - - - (0.65) -
------ ------ ------ ------ -----
TOTAL DISTRIBUTIONS ($) (0.00) (0.01) - (1.03) -
------ ------ ------ ------ -----
NET ASSET VALUE, END OF PERIOD ($) 5.50 4.66 6.92 10.16 12.33
====== ====== ====== ====== =====
Total return (%)(2) 18.13(3) (32.48) (31.89) (9.91) 23.30(3)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 18,341 16,657 6,240 269 308
Expense ratio (%)* 0.45(4) 0.45 0.45 0.45 0.45(4)
Ratio of net investment income (loss) to average net 0.41(4) 0.48 0.29 (0.01) 0.09(4)
assets (%)*
Portfolio turnover rate (%) 51.16 178.44 140.04 82.83 41.57
*Reflects voluntary reduction of expenses of
these amounts (%) - 0.01 0.15 0.20 7.25(4)
<Caption>
STATE STREET RESEARCH INSTITUTIONAL LARGE CAP ANALYST FUND
----------------------------------------------------------
DECEMBER 17, 2001
SIX MONTHS ENDED (COMMENCEMENT OF
JULY 31, 2003 YEAR ENDED OPERATIONS) TO
(UNAUDITED) JANUARY 31, 2003 JANUARY 31, 2002
----------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD ($) 7.22 9.72 10.00
----- ------ -----
Net investment income ($)* 0.04 0.08 0.01
Net realized and unrealized gain (loss) on investments 1.31 (2.50) (0.29)
----- ------ -----
TOTAL FROM INVESTMENT OPERATIONS ($) 1.35 (2.42) (0.28)
----- ------ -----
Dividends from net investment income ($) (0.01) (0.08) -
----- ------ -----
TOTAL DISTRIBUTIONS ($) (0.01) (0.08) -
----- ------ -----
NET ASSET VALUE, END OF PERIOD ($) 8.56 7.22 9.72
===== ====== =====
Total return (%) 18.64(3) (24.98) (2.80)(3)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 6,146 5,183 4,862
Expense ratio (%)* 0.45(4) 0.45 0.45(4)
Ratio of net investment income to average net 1.07(4) 0.91 1.06(4)
assets (%)*
Portfolio turnover rate (%) 42.96 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
(6) REPRESENTS PER-SHARE FIGURES FOR ALL CLASSES THROUGH DECEMBER 16, 2001, AND
THEN ONE CLASS EFFECTIVE DECEMBER 17, 2001
28
<Page>
<Table>
<Caption>
NUMBER OF
TERM OF FUNDS IN
OFFICE FUND COMPLEX
AND LENGTH OVERSEEN BY
NAME, ADDRESS POSITION(S) OF TIME PRINCIPAL OCCUPATIONS DURING PAST 5 TRUSTEE/ OTHER DIRECTORSHIPS HELD BY
AND AGE (a) HELD WITH FUND SERVED(b) YEARS OFFICER (c) TRUSTEE/OFFICER
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT
TRUSTEES
Bruce R. Bond (57) Trustee Since 2002 Retired; formerly Chairman of the 19 Ceridian Corporation
Board, Chief Executive Officer and
President, PictureTel Corporation
(video conferencing systems)
Steve A. Garban (65) Trustee Since 2002 Retired; formerly Senior Vice 55 Metropolitan Series Fund,
President for Finance and Operations Inc.(d)
and Treasurer, The Pennsylvania
State University
Dean O. Morton (71) Trustee Since 2002 Retired; formerly Executive Vice 55 The Clorox Company;
President, Chief Operating Officer KLA-Tencor
and Director, Hewlett-Packard Corporation; BEA Systems,
Company (computer manufacturer) Inc.; Cepheid; Pharsight
Corporation; and
Metropolitan Series Fund,
Inc.(d)
Susan M. Phillips (58) Trustee Since 2002 Dean, School of Business and Public 19 The Kroger Co.
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 Investments Ltd. 55 A. P. Pharma, Inc.; and
(investments); formerly President, Metropolitan Series Fund,
The Glen Ellen Company (private Inc.(d)
investment firm)
Michael S. Scott Trustee Since 2002 Jay W. Forrester Professor of 55 Metropolitan Series Fund,
Morton (66) Management, Sloan School of Inc.(d)
Management, Massachusetts Institute
of Technology
James M. Storey (72) Trustee Since 1999 Attorney; formerly Partner, Dechert 19 SEI Investments Funds
(law firm) (consisting of
104 portfolios); and The
Massachusetts Health &
Education Tax-Exempt Trust
INTERESTED
TRUSTEE
Richard S. Davis(e) Trustee Since 2000 Chairman of the Board, President and 19 None
(57) Chief Executive Officer, State
Street Research & Management
Company; formerly Senior Vice
President, Fixed Income Investments,
Metropolitan Life Insurance Company
</Table>
<Page>
<Table>
<Caption>
NUMBER OF
TERM OF FUNDS IN
OFFICE FUND COMPLEX
AND LENGTH OVERSEEN BY
NAME, ADDRESS POSITION(S) OF TIME PRINCIPAL OCCUPATIONS DURING PAST 5 TRUSTEE/ OTHER DIRECTORSHIPS HELD BY
AND AGE (a) HELD WITH FUND SERVED(b) YEARS OFFICER(c) TRUSTEE/OFFICER
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
Christopher C. Abbott Vice President Since 2001 Managing Director, State Street 4 None
(46) Research & Management Company;
formerly Executive Vice President,
State Street Research & Management
Company; Senior Managing Director,
Pioneer Investments; and Northeast
Team Leader, Institutional
Management Group, Putnam Investments
Maureen G. Depp (49) Vice President Since 2001 Managing Director, State Street 6 None
Research & Management Company;
formerly Senior Vice President,
State Street Research & Management
Company
Donald G. DeVeuve Vice President Since 2001 Senior Vice President, State Street 6 None
(46) Research & Management Company;
formerly Vice President, State
Street Research & Management Company
Edward Dowd (36) Vice President Since 2003 Vice President, State Street 7 None
Research & Management Company;
formerly Vice President,
Independence Investment LLC and
equity research associate,
Donaldson, Lufkin and Jenrette
Rosalina Feliciano (39) Vice President Since 2001 Senior Vice President, State Street 6 None
Research & Management Company;
formerly Vice President, State
Street Research & Management Company
C. Kim Goodwin (44) Vice President Since 2002 Managing Director and Chief 18 None
Investment Officer-Equities, State
Street Research & Management
Company; formerly Chief Investment
Officer-U.S. Growth Equities,
American Century; and Senior Vice
President and portfolio manager,
Putnam Investments
Knut Langholm (43) Vice President Since 2000 Senior Vice President, State Street 4 None
Research & Management Company;
formerly Vice President, State
Street Research & Management Company
Jeffrey Lindsey (41) Vice President Since 2003 Managing Director, State Street 7 None
Research & Management Company;
formerly Managing Director and
Senior Vice President, Putnam
Investments
John S. Lombardo (48) Vice President Since 2001 Managing Director, Chief Financial 19 None
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 A. 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
</Table>
<Page>
<Table>
<Caption>
NUMBER OF
TERM OF FUNDS IN
OFFICE FUND COMPLEX
AND LENGTH OVERSEEN BY
NAME, ADDRESS POSITION(S) OF TIME PRINCIPAL OCCUPATIONS DURING PAST 5 TRUSTEE/ OTHER DIRECTORSHIPS HELD BY
AND AGE (a) HELD WITH FUND SERVED(b) YEARS OFFICER(c) TRUSTEE/OFFICER
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONT.)
Jeffrey A. Rawlins Vice President Since 1999 Managing Director, State Street 4 None
(41) Research & Management Company;
formerly Senior Vice President,
State Street Research & Management
Company
Elizabeth M. Westvold Vice President Since 1999 Managing Director, State Street 8 None
(43) Research & Management Company;
formerly Senior Vice President,
State Street Research & Management
Company
Douglas A. Romich Treasurer Since 2001 Senior Vice President and Treasurer, 19 None
(46) 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 Counsel 19 None
III (48) and Secretary, State Street Research
& Management Company; formerly
Executive Vice President, State
Street Research & Management Company
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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 (for Trustees age 72 or more at the
time of the Trust's inception, he or she is required to retire by August
2002). 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 serves as sole investment adviser and all
series of Metropolitan Series Fund, Inc. The primary adviser to Metropolitan
Series Fund, Inc. is MetLife Advisers, LLC, which has retained State Street
Research & Management Company as sub-adviser to certain series of
Metropolitan Series Fund, Inc.
(d) Serves as Director of Metropolitan Series Fund, Inc., as investment company
comprising 36 separate portfolios.
(e) 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 and Management Company, as noted.
This report must be preceded or accompanied by a current State Street Research
Institutional Fund's prospectus. To obtain a prospectus for any State Street
Research Institutional fund call 1-800-531-0131. The prospectus contains more
complete information, including sales charges and expenses. Please read the
prospectus carefully before investing.
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(C) 2002 State Street Research Investment Services, Inc.,
One Financial Center, Boston, MA 02111-2690
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FORM N-CSR(2 OF 3)
ITEM 2 (CODE OF ETHICS): Not applicable to this filing.
ITEM 3 (AUDIT COMMITTEE FINANCIAL EXPERT): Not applicable to this filing.
ITEM 4 (PRINCIPAL ACCOUNTANT FEES AND SERVICES): Not applicable to this filing.
ITEM 5 (RESERVED)
ITEM 6 (RESERVED)
ITEM 7 (DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES): Not applicable to this filing.
ITEM 8 (RESERVED)
ITEM 9 (CONTROLS AND PROCEDURES):
SUB-ITEM 9a - 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 9b - 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 10 (EXHIBITS):
SUB-ITEM 10a - Not applicable to this filing.
SUB-ITEM 10b - Certification Exhibits are attached.
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
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Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date September 29, 2003
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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
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Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date September 29, 2003
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By: /s/ Douglas A. Romich
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Douglas A. Romich, Treasurer
Principal Financial Officer
Date September 29, 2003
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