<PAGE>
===============================================================================
- -------------------------------------------------------------------------------
Goldman Sachs Money Market Trust
Institutional Liquid Assets
- ------------------------------------- ---------------------------------------
Taxable Portfolios
Prime Obligations Portfolio. Securities of the U.S. Government, its agencies,
authorities and instrumentalities, obligations of U.S. banks, commercial paper
and other high quality, short-term obligations of U.S. companies, and repurchase
agreements.
Money Market Portfolio. Securities of the U.S. Government, its agencies,
authorities and instrumentalities, U.S. dollar denominated obligations of U.S.
and foreign banks, U.S. dollar denominated commercial paper and other high
quality, short-term obligations of U.S. and foreign companies and foreign
governments, and repurchase agreements.
Government Portfolio. Securities of the U.S. Government, its agencies,
authorities and instrumentalities, and repurchase agreements.
Treasury Obligations Portfolio. Securities issued or guaranteed by the U.S.
Treasury and repurchase agreements.
Treasury Instruments Portfolio. Securities issued or guaranteed by the U.S.
Treasury.
Federal Portfolio. Securities of the U.S. Government and certain of its
agencies, authorities and instrumentalities, the interest income from which is
generally exempt from state income taxation.
Tax-exempt Portfolios
Tax-exempt Diversified Portfolio. A diversified portfolio of municipal
obligations issued by or on behalf of states, territories and possessions of the
United States and their political subdivisions, agencies, authorities and
instrumentalities, and the District of Columbia.
Tax-exempt California Portfolio. A non-diversified portfolio consisting
primarily of municipal obligations issued by or on behalf of the State of
California, and its political subdivisions, agencies and instrumentalities and
other obligations that are exempt from federal and California state income
taxes.
Tax-exempt New York Portfolio. A non-diversified portfolio consisting primarily
of municipal obligations issued by or on behalf of the State of New York, and
its political subdivisions, agencies and instrumentalities and other obligations
that are exempt from federal, New York state and New York City income taxes.
- ------------------------------------- ---------------------------------------
1
-
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
ILA PRIME OBLIGATIONS PORTFOLIO
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
<S> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS--61.6%
Bank Holding Companies
Bankers Trust New York Corp.
$ 50,000,000 5.35% 11/12/96 $49,004,306
NationsBank Corp.
10,000,000 5.17 07/16/96 9,978,458
Business Credit Institutions
General Electric Capital Corp.
30,000,000 5.20 07/09/96 29,965,333
Commercial Banks
Chase Manhattan Corp.
10,000,000/(d)/ 6.03 07/01/97 10,000,000
40,000,000 5.50 12/09/96 39,016,111
CP Trust Certificates Series 1996-1
35,000,000 5.42/(b)/ 03/28/97 35,000,000
JP Morgan & Co., Inc.
20,000,000 4.95 08/26/96 19,846,000
Norwest Corp.
25,000,000 5.49/(a)/ 10/28/96 25,000,000
Environmental Control
WMX Technologies Inc.
9,900,000 5.35 12/10/96 9,661,658
Industrial
Caterpillar Financial Services Corp.
12,000,000 5.40 11/26/96 11,733,600
Life Insurance
Commonwealth Life Insurance Co.
55,000,000 5.58/(a)/ 09/06/96 55,000,000
Pacific Mutual Life Insurance Co.
25,000,000 5.48/(a)/ 02/28/97 25,000,000
Prudential Funding Corp.
25,000,000 5.00 07/26/96 24,913,194
Motor Vehicles and Equipment
Ford Motor Credit Corp.
45,000,000 5.31 07/12/96 44,926,988
Personal Credit Institutions
Transamerica Finance Corp.
15,000,000 5.50 11/18/96 14,679,167
Receivable/Asset Financings
Banc One Credit Card Master Trust
25,000,000 5.35 07/11/96 24,962,847
Beta Finance Inc.
8,000,000 4.86 08/15/96 7,951,400
32,000,000 5.29 08/27/96 31,731,973
7,000,000 6.11 06/17/97 7,000,000
- -------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
<S> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS
(CONTINUED)
Receivable/Asset Financings (continued)
Dakota Certificates of Standard Credit Card Master Trust
$ 28,775,000 5.33% 08/13/96 $ 28,591,807
Enterprise Funding Corp.
10,200,000 5.31 07/03/96 10,196,991
15,170,000 5.40 07/25/96 15,115,388
International Securitization Corp.
16,825,000 5.52 12/04/96 16,422,546
New Center Asset Trust
50,000,000 5.30 08/22/96 49,617,222
Receivables Capital Corp.
15,995,000 5.31 07/10/96 15,973,767
Savings and Loans
World Savings and Loan Association
5,000,000 5.73/(a)/ 12/13/96 5,001,538
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
50,000,000 5.29 08/20/96 49,632,639
Merrill Lynch & Co., Inc.
25,000,000 5.15 07/12/96 24,960,660
Morgan Stanley Group Inc.
10,000,000 5.29/(a)/ 08/30/96 9,911,833
40,000,000 5.06 08/02/96 39,820,089
Smith Barney, Inc.
30,000,000 5.35 07/01/96 30,000,000
Telecommunications
Ameritech Corp.
25,000,000 4.95 09/06/96 24,769,688
AT&T Corp.
25,000,000 5.15 07/01/96 25,000,000
- -----------------------------------------------------------
TOTAL COMMERCIAL PAPER AND CORPORATE
OBLIGATIONS $820,385,203
- -----------------------------------------------------------
BANK NOTES--18.4%
Colorado National Bank
$ 25,000,000 5.42%/(a)/ 01/15/97 $ 24,997,307
FCC National Bank
15,000,000 5.70 05/22/97 14,960,174
First National Bank of Maryland
25,000,000 5.39/(a)/ 10/02/96 24,998,094
- ------------------------------------------------------------
</TABLE>
2
<PAGE>
- -------------------------------------------------------------------------------
ILA Prime Obligations Portfolio (continued)
June 30, 1996
(Unaudited)
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
BANK NOTES (CONTINUED)
Household Bank FSB
$ 50,000,000 5.42%/(a)/ 08/02/96 $50,000,000
Huntington National Bank
10,000,000 6.05 06/13/97 9,992,459
PNC Bank, N.A.
40,000,000 5.35 04/01/97 39,976,598
Seattle First National Bank
25,000,000 5.33 07/11/96 25,000,000
10,000,000 5.35/(a)/ 11/08/96 9,996,841
Southtrust Bank of Alabama, N.A.
20,000,000 5.38/(a)/ 10/02/96 19,997,967
25,000,000 5.43/(a)/ 10/04/96 24,997,446
- -----------------------------------------------------------
TOTAL BANK NOTES $244,916,886
- -----------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--2.6%
Federal National Mortgage Association
$ 35,000,000 4.97% 07/02/96 $34,995,168
- -----------------------------------------------------------
Total U.S. Government Agency Obligations $34,995,168
- -----------------------------------------------------------
REPURCHASE AGREEMENTS--18.5%
Salomon Brothers Inc., dated 6/28/96, repurchase price $100,046,250 (U.S.
Treasury Stripped Security: $58,287,223, 11/15/98; U.S. Treasury Note:
$43,739,235, 8.5%, 2/15/00)
$100,000,000 5.55% 07/01/96 $100,000,000
Joint Repurchase Agreement Account/(e)/
146,300,000 5.42 07/01/96 146,300,000
- -----------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS $246,300,000
- -----------------------------------------------------------
TOTAL INVESTMENTS $1,346,597,257/(c)/
- -----------------------------------------------------------
- -----------------------------------------------------------
/(a)/Variable rate security-base index is one of the following:
U.S. Treasury Bill
One or three month LIBOR
One month commercial paper
Federal Funds
Prime lending rate
/(b)/Variable rate master note-base index is Federal Funds.
/(c)/The amount stated also represents aggregate cost for federal
income tax purposes.
/(d)/When-issued securities.
/(e)/Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Money Market Portfolio
June 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
Commercial Paper and Corporate Obligations--28.1%
Bank Holding Companies
Bankers Trust New York Corp.
$ 25,000,000 5.35% 11/12/96 $ 24,502,153
Commercial Banks
Chase Manhattan Corp.
25,000,000 5.50 12/09/96 24,385,069
CP Trust Certificates Series 1996-1
20,000,000 5.42/(b)/ 03/28/97 20,000,000
Foreign Banks
Banca Crt Financial Corp.
15,000,000 5.33 07/17/96 14,964,467
4,000,000 5.33 08/22/96 3,969,204
11,000,000 5.35 11/12/96 10,780,947
Bank of Scotland Treasury Services
18,000,000 5.20 07/12/96 17,971,400
IMI Funding Corp., U.S.A.
18,973,000 5.53 11/25/96 18,544,574
Svenska Handelsbanken, Inc.
10,000,000 5.10 08/01/96 9,956,083
Unifunding, Inc.
20,000,000 4.94 08/02/96 19,912,178
Holding Company-Diversified
Mitsui & Co.
10,000,000 5.35 07/22/96 9,968,792
Life Insurance
Commonwealth Life Insurance Co.
25,000,000 5.58/(a)/ 09/06/96 25,000,000
Mortgage Brokers
Nationwide Building Society
10,000,000 5.10 07/22/96 9,970,250
Motor Vehicles and Equipment
Ford Motor Credit Company
15,000,000 5.00 07/26/96 14,947,917
Receivable/Asset Financings
Banc One Credit Card Master Trust
15,000,000 5.35 07/11/96 14,977,708
Security and Commodity Brokers, Dealers and Services
Morgan Stanley Group Inc.
20,000,000 5.27/(b)/ 09/03/96 20,000,000
- --------------------------------------------------------------------------------
Total Commercial Paper and Corporate
Obligations $259,850,742
- --------------------------------------------------------------------------------
Bank Notes--17.3%
Chase Manhattan Corp. /(d)/
$ 10,000,000 6.03% 07/01/97 $ 10,000,000
Colorado National Bank
15,000,000 5.42/(a)/ 01/15/97 14,998,384
FCC National Bank
10,000,000 5.33 07/12/96 10,000,000
10,000,000 5.70 05/22/97 9,973,450
Household Bank FSB
15,000,000 5.37/(a)/ 01/07/97 14,994,903
Huntington National Bank
5,000,000 6.05 06/13/97 4,996,230
PNC Bank, N.A.
20,000,000 5.39/(a)/ 09/30/96 19,996,050
10,000,000 5.35 04/01/97 9,994,149
Seattle First National Bank
15,000,000 5.35/(a)/ 11/08/96 14,995,261
Society National Bank of Cleveland
25,000,000 5.32 05/14/97 24,976,902
Southtrust Bank of Alabama, N.A.
25,000,000 5.43 05/15/97 24,988,877
- --------------------------------------------------------------------------------
Total Bank Notes $159,914,206
- --------------------------------------------------------------------------------
Certificates of Deposit - Foreign Eurodollar--10.3%
Abbey National
$ 15,000,000 5.09% 08/01/96 $ 15,000,253
Bank of Tokyo, Mitsubishi Bank Ltd., London
10,000,000 5.36 07/29/96 10,000,076
Bayerische Hypotheken, Germany
5,000,000 5.34 07/08/96 4,999,988
10,000,000 5.04 08/09/96 10,000,334
Morgan Guaranty Trust, London
25,000,000 5.01 08/19/96 25,000,332
Sumitomo Bank, London
30,000,000 5.50 07/02/96 30,000,043
- --------------------------------------------------------------------------------
Total Certificates of Deposit - Foreign
Eurodollar $ 95,001,026
- --------------------------------------------------------------------------------
Certificates of Deposit - Yankeedollar--8.7%
Industrial Bank of Japan, New York
$ 25,000,000 5.46% 07/16/96 $ 25,000,103
Norinchukin Bank, New York
25,000,000 5.49 08/27/96 25,000,358
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
ILA Money Market Portfolio (continued)
June 30, 1996
(Unaudited)
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
Certificates of Deposit - Yankeedollar (continued)
Societe Generale, New York
$ 10,000,000 6.06% 06/10/97 $ 9,995,495
Westpac Banking Corp., New York
20,000,000 5.23 07/30/96 20,000,000
- -----------------------------------------------------------
Total Certificates of Deposit - Yankeedollar $ 79,995,956
- -----------------------------------------------------------
Sovereign Credit--6.9%
Caisse D'Amortissement De La Dette Sociale
$ 20,000,000 5.50% 12/27/96 $ 19,453,056
Caisse Des Depots ET Consignations
20,000,000 4.87 08/15/96 19,878,250
Province of Quebec
25,000,000 5.45 11/25/96 24,443,646
- -----------------------------------------------------------
Total Sovereign Credit $ 63,774,952
- -----------------------------------------------------------
Taxable Municipal Notes--3.1%
Florida Housing Finance Authority
$ 29,000,000 5.52%/(a)/ 07/07/96 $ 29,000,000
- -----------------------------------------------------------
Total Taxable Municipal Notes $ 29,000,000
- -----------------------------------------------------------
Time Deposit--2.2%
Bank of Tokyo, Mitsubishi Bank Ltd.
$ 20,000,000 5.50% 07/17/96 $ 20,000,000
- -----------------------------------------------------------
Total Time Deposit $ 20,000,000
- -----------------------------------------------------------
Repurchase Agreements--24.6%
Salomon Brothers Inc., dated 6/28/96, repurchase price
$100,045,833 (U.S. Treasury Stripped Securities:
$102,029,181, 2/15/97-8/15/02)
$100,000,000 5.50% 07/01/96 $100,000,000
Joint Repurchase Agreement Account(e)
127,200,000 5.42 07/01/96 $127,200,000
- -----------------------------------------------------------
Total Repurchase Agreements $227,200,000
- -----------------------------------------------------------
Total Investments $934,736,882 /(c)/
- -----------------------------------------------------------
(a)Variable rate security-base index is one of the following:
U.S. Treasury Bill
One or three month LIBOR
One month commercial paper
Federal Funds
Prime lending rate
(b)Variable rate master note-base index is Federal Funds.
(c)The amount stated also represents aggregate cost for federal income tax
purposes.
(d)When-issued security.
(e)Portions of these securities are being segregated for when-issued securities.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Government Portfolio
June 30, 1996
(Unaudited)
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
U.S. Government Agency Obligations--29.9%
Federal Home Loan Bank
$ 50,000,000 5.28%/(a)/ 04/04/97 $ 49,964,717
Federal National Mortgage Association
10,000,000 5.07 07/12/96 9,984,508
30,000,000 4.95 09/06/96 29,723,625
15,000,000 5.64 10/02/96 14,998,054
10,000,000 5.68 10/07/96 9,999,675
25,000,000 5.45/(a)/ 11/15/96 24,993,285
50,000,000 5.26/(a)/ 12/16/96 49,979,934
15,000,000 5.19/(a)/ 01/27/97 14,991,981
- -----------------------------------------------------------
Total U.S. Government Agency Obligations $204,635,779
- -----------------------------------------------------------
U.S. Treasury Obligations--7.2%
United States Treasury Bills
$ 15,000,000 5.29% 05/01/97 $ 14,329,933
United States Treasury Notes
15,000,000 6.50 05/15/97 15,104,140
20,000,000 5.63 06/30/97 19,931,126
- -----------------------------------------------------------
Total U.S. Treasury Obligations $ 49,365,199
- -----------------------------------------------------------
Repurchase Agreements--63.0%
Bear Stearns Companies, Inc., dated 6/28/96, repurchase
price $25,011,146 (U.S. Treasury Stripped Securities:
$25,529,837, 02/15/99)
$ 25,000,000 5.35% 07/01/96 $ 25,000,000
C.S. First Boston Corp., dated 5/22/96, repurchase price
$50,449,028 (FNMA:$51,720,286, 6.00%-7.50%,
07/18/96-04/11/34)
50,000,000 5.30 07/22/96 50,000,000
Daiwa Securities, dated 6/28/96, repurchase price
$25,011,458 (U.S. Treasury Bill:$25,500,581, 12/12/96)
25,000,000 5.50 07/01/96 25,000,000
Goldman, Sachs & Co., dated 5/24/96, repurchase price
$25,224,514 (FHLMC:$26,069,309, 6.23%, 12/01/34)
25,000,000 5.30 07/24/96 25,000,000
Lehman Government Securities, Inc., dated 6/28/96,
repurchase price $50,022,917 (U.S. Treasury Stripped
Securities:$51,002,767, 02/15/97-05/15/97)
50,000,000 5.50 07/01/96 50,000,000
Nomura Securities International, Inc., dated 6/28/96,
repurchase price $25,011,563 (FNMA:$25,881,583, 7.00%,
06/01/26)
25,000,000 5.55 07/01/96 25,000,000
Repurchase Agreements (continued)
Salomon Brothers, Inc., dated 6/28/96, repurchase price
$35,016,188 (U.S. Treasury Stripped Securities:$35,733,935,
02/15/97-05/15/97)
$ 35,000,000 5.55% 07/01/96 $ 35,000,000
Smith Barney, Inc., dated 5/22/96, repurchase price
$24,564,188 (FHLMC:$25,108,620, 6.50%, 02/01/01;
FNMA:$302,718, 7.00%, 06/01/26)
24,342,000 5.30 07/23/96 24,342,000
Joint Repurchase Agreement Account
171,600,000 5.42 07/01/96 171,600,000
- -----------------------------------------------------------
Total Repurchase Agreements $430,942,000
- -----------------------------------------------------------
Total Investments $684,942,978/(b)/
- -----------------------------------------------------------
(a)Variable rate security-base index is one of the following:
Federal Funds
Prime lending rate
One month LIBOR
(b)The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
6
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Treasury Obligations Portfolio
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
<S> <C> <C> <C>
U.S. Treasury Obligations--13.3%
United States Treasury Bill
$ 15,000,000 5.29% 05/01/97 $ 14,329,933
United States Treasury Notes
25,000,000 6.25 08/31/96 25,041,331
10,000,000 6.63 03/31/97 10,064,546
25,000,000 6.50 05/15/97 25,162,667
40,000,000 5.63 06/30/97 39,864,091
- -----------------------------------------------------------
Total U.S. Treasury Obligations $ 114,462,568
- -----------------------------------------------------------
Repurchase Agreements--86.9%
Bankers Trust Securities Corp., dated 6/28/96, repurchase
price $35,015,750 (U.S. Treasury Notes: $35,720,442,
7.88%, 1/15/98)
$35,000,000 5.40% 07/01/96 $ 35,000,000
Bear Stearns Companies Inc., dated 6/28/96, repurchase
price $35,015,604 (U.S. Treasury Stripped Security:
$35,780,850, 2/15/00)
35,000,000 5.35 07/01/96 35,000,000
CS First Boston Corp., dated 6/28/96, repurchase price
$35,015,604 (U.S. Treasury Note: $7,941,551, 7.25%,
11/15/96; U.S. Treasury Bills: $27,234,222,
8/22/96-9/19/96)
35,000,000 5.35 07/01/96 35,000,000
Daiwa Securities, dated 6/28/96, repurchase price
$65,029,792 (U.S. Treasury Bill: $66,300,731, 12/12/96)
65,000,000 5.50 07/01/96 65,000,000
Goldman, Sachs & Co., dated 6/28/96, repurchase price
$35,015,896 (U.S. Treasury Stripped Security: $35,700,273
,8/15/00)
35,000,000 5.45 07/01/96 35,000,000
JP Morgan Securities, Inc., dated 6/28/96, repurchase price
$35,015,750 (U.S. Treasury Note: $35,800,161, 6.13%,
5/15/98)
35,000,000 5.40 07/01/96 35,000,000
Lehman Government Securities, Inc., dated 6/28/96,
repurchase price $35,016,042 (U.S. Treasury Stripped
Securities:$35,703,424, 8/15/00-11/15/00)
35,000,000 5.50 07/01/96 35,000,000
Merrill Lynch Government Securities, Inc., dated 6/28/96,
repurchase price $35,015,458 (U.S. Treasury Stripped
Securities: $35,702,526, 5/15/05-8/15/05)
35,000,000 5.30 07/01/96 35,000,000
Nikko Securities Co., dated 6/28/96, repurchase price
$35,015,750 (U.S. Treasury Note: $35,704,847, 5.38%,
11/30/97)
35,000,000 5.40 07/01/96 35,000,000
Sanwa Securities, dated 6/28/96, repurchase price
$35,015,458 (U.S. Treasury Note: $35,683,952, 6.63%,
3/31/97)
$35,000,000 5.30% 07/01/96 $35,000,000
SBC Capital Markets, dated 6/28/96, repurchase price
$35,015,954 (U.S. Treasury Notes: $35,742,443,
5.00%-6.00%,2/15/99-10/15/99)
35,000,000 5.47 07/01/96 35,000,000
Smith Barney Inc., dated 6/28/96, repurchase price
$35,016,129 (U.S. Treasury Stripped Security:
$35,700,715, 5/15/97)
35,000,000 5.53 07/01/96 35,000,000
UBS Securities Inc., dated 6/28/96, repurchase price
$35,015,896 (U.S. Treasury Notes: $35,694,586,
6.50%-7.88%,4/30/97-11/15/99)
35,000,000 5.45 07/01/96 35,000,000
Joint Repurchase Agreement Account
262,100,000 5.42 07/01/96 262,100,000
- -----------------------------------------------------------
Total Repurchase Agreements $ 747,100,000
- -----------------------------------------------------------
Total Investments $861,562,568/(a)/
===========================================================
</TABLE>
/(a)/The amount stated also represents aggregate cost for
federal income tax purposes.
Interest rates represent either the stated coupon rate,
annualized yield on date of purchase for discounted notes,
or, for floating rate securities, the current reset rate,
which is based upon current interest rate indices.
The percentages shown for each investment category reflect
the value of investments in that category as a percentage
of total net assets.
- -----------------------------------------------------------
The accompanying notes are an integral part of these
financial statements.
7
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Treasury Instruments Portfolio
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--99.3%
United States Treasury Bills
$125,000,000 5.02% 08/22/96 $ 124,094,514
11,400,000 5.05 08/22/96 11,316,926
9,000,000 5.03 08/29/96 8,925,881
10,100,000 5.09 08/29/96 10,015,746
75,000,000 5.10 08/29/96 74,373,740
4,000,000 5.12 08/29/96 3,966,468
50,000,000 5.05 09/05/96 49,537,083
100,000,000 5.08 09/05/96 99,069,583
209,300,000 5.09 09/05/96 207,346,967
United States Treasury Notes
157,000,000 6.13 07/31/96 157,110,943
25,000,000 7.88 07/31/96 25,052,672
50,000,000 4.38 08/15/96 49,943,252
250,000,000 6.25 08/31/96 250,279,195
58,705,000 7.25 08/31/96 58,864,688
- -----------------------------------------------------------
Total U.S. Treasury Obligations $1,129,897,658
- -----------------------------------------------------------
Total Investments $1,129,897,658/(a)/
- -----------------------------------------------------------
</TABLE>
/(a)/The amount stated also represents aggregate cost for
federal income tax purposes.
Interest rates represent either the stated coupon rate,
annualized yield on date of purchase for discounted notes,
or, for floating rate securities, the current reset rate,
which is based upon current interest rate indices.
The percentages shown for each investment category reflect
the value of investments in that category as a percentage
of total net assets.
- -----------------------------------------------------------
The accompanying notes are an integral part of these
financial statements.
8
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
ILA Federal Portfolio
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--105.5%
Federal Farm Credit Bank
$ 33,090,000 5.18%-5.21% 07/03/96 $ 33,080,462
5,300,000 5.21 07/09/96 5,293,864
20,800,000 5.18 07/24/96 20,731,164
51,190,000 5.24-5.25 08/05/96 50,928,961
25,000,000 5.24 08/06/96 24,869,000
20,000,000 5.24 08/07/96 19,892,289
25,000,000 4.90 08/15/96 24,846,875
7,060,000 5.29 08/30/96 6,997,754
6,000,000 5.32 09/04/96 5,942,367
22,000,000 5.24-5.33 09/09/96 21,774,970
13,880,000 5.30 09/11/96 13,732,234
6,000,000 5.32 09/13/96 5,934,387
32,000,000 5.31 09/16/96 31,636,560
9,440,000 5.31 09/17/96 9,331,393
15,000,000 5.30 09/20/96 14,821,125
11,425,000 5.31 09/24/96 11,281,759
200,000,000 5.40/(a)/ 09/26/96 199,958,640
14,000,000 5.30 09/30/96 13,812,439
85,000,000 5.39/(a)/ 10/10/96 84,975,566
45,000,000 5.16/(a)/ 11/08/96 44,982,230
50,000,000 5.30/(a)/ 11/27/96 49,979,582
175,000,000 5.23/(b)/ 02/03/97 175,000,000
50,000,000 5.22/(a)/(e)/03/11/97 49,971,487
50,000,000 5.26(a)(e) 05/21/97 49,957,059
50,000,000 5.84 06/18/97 49,912,366
Federal Home Loan Bank
17,500,000 5.20-5.23 07/03/96 17,494,932
25,000,000 8.13 07/08/96 25,013,206
6,000,000 5.00 07/16/96 5,999,372
70,100,000 5.18 07/17/96 69,938,614
25,000,000 4.91 07/18/96 24,942,035
58,680,000 5.18-5.25 07/24/96 58,484,760
49,935,000 5.25 07/29/96 49,731,099
45,000,000 5.23/(a)/ 08/05/96 44,993,588
24,505,000 5.25-6.13 08/05/96 24,464,384
24,590,000 5.22 08/09/96 24,450,944
14,800,000 5.17 08/12/96 14,710,731
179,990,000 4.91-5.22 08/14/96 178,850,430
36,405,000 4.91 08/15/96 36,181,564
159,005,000 5.19-5.21 08/21/96 157,832,584
90,000,000 5.34 09/04/96 89,132,250
U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
$ 60,200,000 13.50% 09/06/96 $ 61,050,622
92,350,000 5.32-5.34 09/11/96 91,366,130
7,585,000 5.34 09/12/96 7,502,867
39,500,000 5.32 09/18/96 39,038,859
100,000,000 5.30/(a)/ 09/25/96 99,985,190
32,180,000 5.31 09/26/96 31,767,050
15,000,000 6.88 11/18/96 15,062,500
50,000,000 5.25/(a)/ 01/03/97 49,976,514
50,000,000 5.32/(a)(e)/03/27/97 49,967,687
25,000,000 5.84 06/27/97 24,952,701
Student Loan Marketing Association
150,000,000 5.30 07/01/96 150,000,000
150,000,000 5.31/(d)/ 09/30/96 147,986,625
Tennessee Valley Authority
13,000,000 5.20 07/02/96 12,998,122
25,000,000 5.25 07/03/96 24,992,708
400,000 5.18 07/10/96 399,482
50,000,000 5.18 07/11/96 49,928,056
50,000,000 5.24 07/12/96 49,919,944
66,800,000 5.24-5.27 07/18/96 66,634,469
50,000,000 5.24 07/19/96 49,869,000
35,000,000 5.27 07/22/96 34,892,404
6,100,000 5.29 08/14/96 6,060,560
15,000,000 5.29 08/16/96 14,898,608
- -----------------------------------------------------------
Total Investments $2,921,115,124/(c)/
- -----------------------------------------------------------
</TABLE>
(a)Variable rate security-base index is one of the
following:
U.S. Treasury Bill
One or three month LIBOR
Federal Funds
Prime lending rate
(b)Variable rate master note-base index is Federal Funds.
(c)The amount stated also represents aggregate cost for
federal income tax purposes.
(d)When-issued security.
(e)Portions of these securities are being segregated for
when-issued securities.
Interest rates represent either the stated coupon rate,
annualized yield on date of purchase for discounted notes,
or, for floating rate securities, the current reset rate,
which is based upon current interest rate indices.
The percentages shown for each investment category reflect
the value of investments in that category as a percentage
of total net assets.
- -----------------------------------------------------------
The accompanying notes are an integral part of these
financial statements.
9
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
<S> <C> <C> <C>
Alabama--6.9%
Columbia, AL IDB PCRB Series 1995 B VRDN for Alabama Power
Co.(A-1/MIG1)
$23,500,000 3.70% 07/01/96 $ 23,500,000
Columbia, AL IDB PCRB Series 1995 C VRDN for Alabama Power
Co.(A-1/MIG1)
5,800,000 3.75 07/01/96 5,800,000
Columbia, AL IDB PCRB Series 1995 E VRDN for Alabama Power
Co.(A-1/MIG1)
7,300,000 3.60 07/01/96 7,300,000
Homewood, AL VRDN for Samford University (Dai-Ichi Kangyo
Bank LOC) (MIG1)
10,000,000 3.55 07/07/96 10,000,000
Jefferson County, AL Sewer Revenue Warrants Series 1995 A
(Bayerische Landesbank Girozentrale LOC)(A-1+/P-1)
29,700,000 3.40 07/07/96 29,700,000
Mobile County, AL IDA PCRB for M&T Chemicals VRDN (Bankers
Trust Company LOC)(A-1)
3,000,000 3.43 07/07/96 3,000,000
Mobile, AL IDA PCRB for Alabama Power Series 1993A VRDN
(A-1/MIG1)
8,600,000 3.50 07/07/96 8,600,000
Mobile, AL IDA PCRB for Alabama Power Series 1994(A-1/MIG1)
2,100,000 3.70 07/01/96 2,100,000
Parrish, AL IDB PCRB for Alabama Power Series 1994A VRDN
(A-1/MIG1)
5,500,000 3.70 07/01/96 5,500,000
- -----------------------------------------------------------
$ 95,500,000
- -----------------------------------------------------------
Arkansas--1.3%
Crossett, AR PCRB for Georgia Pacific Corp. Series 1991
VRDN (Suntrust Bank LOC)(Aa3)
$ 9,500,000 3.35% 07/07/96 $ 9,500,000
Union County, AR PCRB for Great Lakes Chemical Series
1988(A-1)
9,000,000 3.30 07/07/96 9,000,000
- -----------------------------------------------------------
$ 18,500,000
- -----------------------------------------------------------
California--4.0%
California School Cash Reserves Authority Series 1995 A
(MBIA)(SP-1+/MIG 1)
$ 5,000,000 4.75% 07/03/96 $ 5,000,263
California Statewide Communities Development Authority,
Refunding RB Series 1995A-2(A-1)
12,600,000 3.15 07/07/96 12,600,000
Fremont, CA MF Hsg. RB (Fuji Bank LOC)(MIG1)
$ 1,000,000 4.05% 07/07/96 $ 1,000,000
Los Angeles County TRANS (Credit Suisse/Morgan Guaranty
Trust Co./Westdeutsche Landesbank Girozentrale/Bank of
America/Swiss Bank Corp./Union Bank LOC)(SP-1/MIG1)/(b)/
16,000,000 4.50 06/30/97 16,099,840
Los Angeles County TRANS (Credit Suisse/Morgan Guaranty
Trust Co./Westdeutsche Landesbank Girozentrale/Bank of
America/Swiss Bank Corp./Union Bank LOC)(SP-1/MIG1)
14,190,000 4.50 07/01/96 14,190,000
Orange County, CA Apartment Development RB Issue 1984 C
Seaside Meadow (Fuji Bank LOC)(MIG1)
5,800,000 4.05 07/07/96 5,800,000
- -----------------------------------------------------------
$ 54,690,103
- -----------------------------------------------------------
Connecticut--0.4%
State of Connecticut 2nd Lien VRDN (Commerzbank Bank LOC)
(A-1/MIG1)
$ 5,000,000 3.20% 07/07/96 $ 5,000,000
- -----------------------------------------------------------
District of Columbia--1.0%
District of Columbia VRDN ACES-Series 1988 B, C & E for
Georgetown University(A-1/MIG1)
$ 6,150,000 3.60% 07/07/96 $ 6,150,000
HFA MF Hsg. for Mclean Gardens South Apartments VRDN
(Sumitomo Bank LOC)(MIG1)
7,000,000 3.65 07/07/96 7,000,000
- -----------------------------------------------------------
$ 13,150,000
- -----------------------------------------------------------
Florida--3.9%
Brevard County, FL IDA for Lockheed Space Company Project
VRDN (Bankers Trust LOC)(Aa2)
$ 4,000,000 3.55% 07/07/96 $ 4,000,000
Dade County, FL Water & Sewer Series 1994 VRDN (FGIC)
(A-1+/MIG1)
19,810,000 3.30 07/07/96 19,810,000
Florida Local Government Pooled CP Notes (First Union
National Bank of Florida LOC)(A-1/P-1)
28,717,735 3.70 08/08/96 28,717,735
Hillsborough County, FL IDA PCRB VRDN for Tampa Electric
Series 1990(MIG1)
2,000,000 3.60 07/01/96 2,000,000
- -----------------------------------------------------------
$ 54,527,735
- -----------------------------------------------------------
</TABLE>
- -----------------------------------------------------------
The accompanying notes are an integral part of these
financial statements.
10
<PAGE>
- -----------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
<S> <C> <C> <C>
Georgia--11.5%
Albany Dougherty, GA PCRB for Philip Morris Company VRDN
(A-1/P-1)
$17,000,000 3.35% 07/07/96 $ 17,000,000
Albany Dougherty, GA PCRB Series 1991 for Georgia Power Co.
VRDN(A-1/P-1)
2,120,000 3.35 07/07/96 2,120,000
Burke County, GA PCRB for Georgia Power Co. VRDN(A-1/MIG1)
18,900,000 3.70 07/01/96 18,900,000
14,000,000 3.70 07/01/96 14,000,000
12,425,000 3.35 07/07/96 12,425,000
Burke County, GA PCRB for Georgia Power Co. Series 1994
VRDN(A-1/MIG1)
3,400,000 3.70 07/01/96 3,400,000
Burke County, GA PCRB for Georgia Power Co. Series 1995
VRDN(A+/MIG1)
4,900,000 3.70 07/01/96 4,900,000
Cobb County, GA Institute of Nuclear Power Operations Inc.
for Georgia Power Co. VRDN (Suntrust Bank LOC)(Aa3)
4,590,000 3.35 07/07/96 4,590,000
Cobb County, GA Power Operations Inc. VRDN (Sun Trust Bank
LOC)(Aa3)
2,330,000 3.35 07/07/96 2,330,000
Columbus, GA Hospital Authority for St. Francis Hospital
Project Series 1994 VRDN (Suntrust Bank LOC)(Aa3)
7,750,000 3.35 07/07/96 7,750,000
DeKalb County, GA IDA for Siemens Energy and Automation
Inc. VRDN(P-1)
3,750,000 3.45 07/07/96 3,750,000
Fulco, GA Hospital Authority Revenue Anticipation
Certificates Series 1992 VRDN (Suntrust Bank LOC)(A-1)
4,815,000 3.35 07/07/96 4,815,000
Henry County, GA IDA PCRB for Georgia Pacific Corp. VRDN
(Suntrust Bank LOC)(Aa3)
4,000,000 3.35 07/07/96 4,000,000
Municipal Electric Authority of Georgia Series 1994 B
(Credit Suisse/Morgan Guaranty/Bayerische Landesbank
Girozentrale LOC)(A-1/MIG1)
25,000,000 3.70 08/20/96 25,000,000
Municipal Electric Authority of Georgia Series 1994 C (ABN
Amro Bank LOC)(A-1/MIG1)
7,000,000 3.70 08/21/96 7,000,000
Municipal Electric Authority of Georgia Series 1994 E (ABN
Amro Bank LOC)(A-1/MIG1)
$15,000,000 3.70% 09/11/96 $ 15,000,000
Municipal Electric Authority of Georgia Subordinate General
Resolution Series 1985 C (Credit Suisse/Morgan Guaranty/
Bayerische Landesbank Girozentrale LOC)(A-1+/MIG1)
8,400,000 3.60 08/13/96 8,400,000
Savannah, GA Economic Development Authority PCRB for
Savannah Electric & Power VRDN(A-1/MIG1)
4,085,000 3.35 07/07/96 4,085,000
- -----------------------------------------------------------
$159,465,000
- -----------------------------------------------------------
Hawaii--0.2%
Hawaii Housing Finance and Development Authority VRDN
(Federal Home Loan Bank LOC)(A-1+)
$ 2,200,000 3.45% 07/07/96 $ 2,200,000
- -----------------------------------------------------------
Idaho--0.7%
Idaho Health Facilities for Holy Cross Health Systems VRDN
(A-1/MIG1)
$10,000,000 3.35% 07/07/96 $ 10,000,000
- -----------------------------------------------------------
Illinois--2.6%
Belleville, IL IDA for Weyerhaeuser Company Series 1993
VRDN(A-1)
$ 1,800,000 3.30% 07/07/96 $ 1,800,000
Illinois Health Facilities Authority VRDN Series 1985 D
Revolving Fund Pooled Finance Program (First National
Bank of Chicago LOC)(A-1/MIG1)
18,800,000 3.40 07/07/96 18,800,000
Illinois Health Facility Authority VRDN for Elmhurst
Memorial Hospital(MIG1)
3,600,000 3.75 07/01/96 3,600,000
Illinois Health Facility Authority VRDN for Northwest
Community Hospital(A-1/MIG1)
3,100,000 3.55 07/07/96 3,100,000
Village of Sauget, IL PCRB VRDN Series 1992(P-1)
3,300,000 3.20 07/07/96 3,300,000
Village of Sauget, IL PCRB VRDN Series 1993(P-1)
6,035,000 3.20 07/07/96 6,035,000
- -----------------------------------------------------------
$36,635,000
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these
financial statements.
11
<PAGE>
Statement of Investments
- ----------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
<S> <C> <C> <C>
Indiana--7.1%
Fort Wayne Parkview Memorial Hospital VRDN Series 1985 B,
C & D (Fuji Bank LOC)(MIG1)
$20,155,000 3.35% 07/07/96 $ 20,155,000
Gary, IN CP Notes for U.S. Steel Corp. (Bank of New York
LOC)(A-1/Aa3)
20,000,000 3.75 08/21/96 20,000,000
Indiana Health Facility Financing Authority ACES for
Methodist Hospital VRDN(A-1/MIG1)
5,300,000 3.55 07/07/96 5,300,000
Indiana Hospital Equipment Financing Authority VRDN Series
1985 A (MBIA)(A-1/MIG1)
1,400,000 3.55 07/07/96 1,400,000
Jasper County, IN PCRB for Nipsco Series 1994 A, B & C
(A-1/MIG1)
42,500,000 3.80 07/01/96 42,500,000
Schererville Economic Development VRDN Series 1983 for
Avery International Corp. Project (Bankers Trust LOC)(A1)
4,000,000 3.43 07/07/96 4,000,000
Warrick County PCRB VRDN Series 1992 for Aluminum Company
of America(A-1)
5,000,000 3.50 07/07/96 5,000,000
- -----------------------------------------------------------
$ 98,355,000
- -----------------------------------------------------------
Iowa--1.1%
Muscatine County, IA for Monsanto Corp. VRDN(P-1)
$ 1,000,000 3.20% 07/07/96 $ 1,000,000
Salix, IA PCRB for Midwest Power Systems Inc. VRDN
(A-1/MIG1)
14,245,000 3.40 07/07/96 14,245,000
- -----------------------------------------------------------
$ 15,245,000
- -----------------------------------------------------------
Kentucky--1.1%
City of Calvert, KY Air Products and Chemicals Inc. Project
VRDN(A-1)
$ 1,000,000 3.35% 07/07/96 $ 1,000,000
Mason County, KY Variable/Fixed Rate PCRB Pooled for East
Kentucky Power Facility VRDN (CFC)(A-1+/P-1)
13,700,000 3.15 07/07/96 13,700,000
- -----------------------------------------------------------
$ 14,700,000
- -----------------------------------------------------------
Louisiana--1.3%
Ascension Parish, LA PCRB VRDN Series 1985 for BASF
Wyandotte Corp. (Bank of Tokyo LOC)(P-1)
$ 4,000,000 3.60% 07/01/96 $ 4,000,000
Parish of Desoto, LA PCRB VRDN Series 1991 A (Swiss Bank
LOC)(A-1/MIG1)
3,300,000 3.25 07/07/96 3,300,000
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
<S> <C> <C> <C>
Louisiana (continued)
Parish of Iberville, LA Air Products and Chemicals Inc.
Project VRDN(A-1)
$ 6,200,000 3.35% 07/07/96 $ 6,200,000
West Baton Rouge Parish, LA Series 1991 VRDN for Dow
Chemical Co.(P-1)
4,000,000 3.90 08/08/96 4,000,000
- -----------------------------------------------------------
$ 17,500,000
- -----------------------------------------------------------
Maryland--0.4%
City of Frederick, MD GO Bond VRDN (Fuji Bank LOC)
(A-2/MIG1)
$ 5,200,000 3.55% 07/07/96 $ 5,200,000
- -----------------------------------------------------------
Massachusetts--0.8%
Massachusetts Bay Transportation Authority Series 1996 A
Notes(SP-1/MIG2)
$11,000,000 3.75% 02/28/97 $ 11,033,860
- -----------------------------------------------------------
Michigan--4.3%
Michigan Job Development Authority for Mazda Motor
Manufacturing VRDN (Sumitomo Bank LOC)(MIG1)
$11,100,000 3.55% 07/07/96 $ 11,100,000
State of Michigan GO TRANS(SP-1+/MIG1)
47,600,000 4.00 09/30/96 47,699,738
- -----------------------------------------------------------
$58,799,738
- -----------------------------------------------------------
Minnesota--0.5%
White Bear Lake, MN IDA for Weyerhaeuser Company Series
1993 VRDN(A-1)
$ 6,800,000 3.30% 07/07/96 $ 6,800,000
- -----------------------------------------------------------
Missouri--1.8%
Kansas City Cloversett IDA MF Hsg. RB Series 1988 VRDN
(Boatmen's Bank of Kansas City LOC)(A-1)
$ 8,790,000 3.85% 07/07/96 $ 8,790,000
Missouri Health & Education Facility Authority VRDN (MBIA)
(AAA)
10,700,000 3.35 07/07/96 10,700,000
Monsanto Corporation State Environmental Improvement and
Energy Resources Authority VRDN (Monsanto)(P-1)
5,520,000 3.20 07/07/96 5,520,000
- -----------------------------------------------------------
$ 25,010,000
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these
financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1996
(Unaudited)
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------
<S> <C> <C> <C>
Montana--1.8%
City of Forsyth, MT PCRB Series 1988 for Pacificorp
(Industrial Bank of Japan LOC)(A-1/P-1)
$23,900,000 3.90% 07/07/96 $ 23,900,000
Montana State Board of Investments VRDN Payroll Tax
Bonds(MIG1)
1,000,000 3.45 07/01/96 1,000,000
- -----------------------------------------------------------
$ 24,900,000
- -----------------------------------------------------------
Nevada--1.5%
Clark County for Nevada Airport System VRDN (MBIA)
(A-1/MIG1)
$21,200,000 3.30% 07/07/96 $ 21,200,000
- -----------------------------------------------------------
New Hampshire--0.7%
New Hampshire Business Finance Authority PCRB Series 1990 B
for New England Power(A-1/MIG1)
$10,000,000 3.70% 10/31/96 $ 10,000,000
- -----------------------------------------------------------
New Mexico--0.5%
Albuquerque, NM Sisters of Charity for St. Joseph Series
1992(A-1/MIG1)
$ 5,000,000 3.25% 07/07/96 $ 5,000,000
Farmington, NM PCRB for Arizona Public Service Series 1994
A VRDN (UBS LOC)(A-1/P-1)
2,600,000 3.60 07/01/96 2,600,000
- -----------------------------------------------------------
$ 7,600,000
- -----------------------------------------------------------
New York--0.8%
City of Yonkers, NY IDA VRDN Series 1991 Civic Facility
RB (Industrial Bank of Japan LOC)(MIG1)
$ 200,000 3.55% 07/07/96 $ 200,000
Great Neck, NY North Water Authority Water System RB Series
1993 A VRDN (FGIC)(A-1/MIG1)
400,000 2.85 07/07/96 400,000
New York City GO Bonds (Morgan Guaranty LOC)(A-1/MIG1)
2,200,000 3.65 07/01/96 2,200,000
New York City GO Bonds (Sumitomo Bank LOC)(A-1/MIG1)
2,400,000 3.85 07/07/96 2,400,000
New York State Energy Research and Development Authority
for Orange and Rockland Utilities Series 1995 A VRDN
(AMBAC)(A-1/MIG1)
500,000 3.10 07/07/96 500,000
New York State Local Government Series C VRDN (Landesbank
Hessen-Thueringen Girozentrale LOC)(A-1/MIG1)
2,900,000 3.05 07/07/96 2,900,000
New York State Local Government Series G VRDN (National
Westminster Bank LOC)(A-1/MIG1)
$ 2,000,000 3.10% 07/07/96 $ 2,000,000
- -----------------------------------------------------------
$ 10,600,000
- -----------------------------------------------------------
North Carolina--8.4%
Charlotte City, NC Variable Rate Airport Refunding RB
Series 1993 A (MBIA)(A-1/MIG1)/(c)/
$16,950,000 3.30% 07/07/96 $ 16,950,000
North Carolina Eastern Municipal Power Agency TECP
(Industrial Bank of Japan LOC)(A-1+/P-1)
14,458,000 3.70 07/09/96 14,458,000
9,000,000 3.70 07/10/96 9,000,000
Rockingham County, NC IDA PCRB for Philip Morris Company
VRDN(A-1/P-1)
3,960,000 3.35 07/07/96 3,960,000
Wake County, NC PCRB for Carolina Power & Light Series 1990
A & B (Fuji Bank LOC)(A-2/P-1)
11,000,000 3.50 07/08/96 11,000,000
2,900,000 3.70 07/15/96 2,900,000
9,200,000 3.70 07/17/96 9,200,000
7,000,000 3.70 07/25/96 7,000,000
29,000,000 3.80 07/26/96 29,000,000
12,900,000 3.80 07/29/96 12,900,000
- -----------------------------------------------------------
$116,368,000
- -----------------------------------------------------------
Ohio--4.3%
City of Columbus, OH Electric System Series 1994 RB
(UBS LOC)(MIG1)
$19,420,000 3.55% 07/01/96 $ 19,420,000
Cleveland- Cuyahoga County Port Authority, OH Rock & Roll
Hall of Fame VRDN (Credit Locale de France LOC)(A-1+)
6,000,000 3.45 07/07/96 6,000,000
Franklin County, OH Hospital RB for Holy Cross Health
System 1995(A-1/MIG1)
18,900,000 3.35 07/07/96 18,900,000
Ohio State Air Quality Development Authority for Cincinnati
Gas & Electric PCRB Series 1985 B (J.P. Morgan LOC)(A-1)
11,000,000 3.75 07/01/96 11,000,000
Ohio State Air Quality Development Authority for Cincinnati
Gas & Electric PCRB Series 1995 A(ABN Amro Bank LOC)
(A-1/MIG1)
4,400,000 3.50 07/01/96 4,400,000
- -----------------------------------------------------------
$59,720,000
- -----------------------------------------------------------
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these
financial statements.
13
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Oregon--2.0%
Lane County, OR PCRB Series 1994 Weyerhaeuser Company VRDN(A-1)
$6,500,000 3.30% 07/07/96 $6,500,000
Portland, OR for Columbia Grain Inc. Project VRDN (Fuji Bank/Bank of Tokyo LOC)
(MIG1)
17,650,000 3.55 07/07/96 17,650,000
State of Oregon Veteran's Welfare Series 73 H VRDN (Morgan Guaranty LOC)
(A-1+/MIG1)
3,400,000 3.25 07/07/96 3,400,000
- --------------------------------------------------------------------------------
$27,550,000
- --------------------------------------------------------------------------------
Pennsylvania--3.1%
Allegheny County, PA IDA PCRB Series 1985 for U.S. Steel Corp. (Commerzbank
LOC)(A-1/Aa2)
$28,400,000 3.75% 08/21/96 $28,400,000
City of Philadelphia, PA TRANS(SP-1/MIG1)/(b)/
14,000,000 4.50 06/30/97 14,073,360
- --------------------------------------------------------------------------------
$42,473,360
- --------------------------------------------------------------------------------
Puerto Rico--0.0%
Puerto Rico Government Development Bank VRDN (Credit Suisse LOC)(A-1/MIG1)
$600,000 3.00% 07/07/96 $600,000
- --------------------------------------------------------------------------------
South Carolina--0.8%
York County Floating/Fixed Rate PCRB Pooled Series 1984-North Carolina
Electric Membership Corp. VRDN(CFC)(A-1+/MIG1)
$11,500,000 3.15% 07/07/96 $11,500,000
- --------------------------------------------------------------------------------
Texas--14.9%
Belton, TX IDRB for H.E. Butt Grocery Project VRDN (Texas Commerce Bank LOC)
(P-1)
$4,600,000 3.40% 07/07/96 $4,600,000
Brazos Harbor IDA VRDN for Monsanto Company(P-1)
7,900,000 3.20 07/07/96 7,900,000
Brazos River Authority PCRB Series 1994 for Monsanto Company(P-1)
5,100,000 3.20 07/07/96 5,100,000
Brazos River Authority VRDN for Monsanto Company(P-1)
5,300,000 3.20 07/07/96 5,300,000
Brazos River Harbor Authority VRDN for Dow Chemical Corp. Series 1991(P-1)
13,500,000 3.80 09/10/96 13,500,000
Harris County, TX Hospital RB for Childrens Hospital
Series 1989 B-2 (MIG1)
10,700,000 3.35 07/07/96 10,700,000
</TABLE>
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Texas (continued)
Harris County, TX Toll Road VRDN Series 1994 C(A-1/MIG1)/(c)/
$25,200,000 3.40% 07/07/96 $25,200,000
Lower Colorado River Authority CP Program CP Notes Series B(A-1+/P-1)
4,100,000 3.65 09/13/96 4,100,000
Nueces River IDA PCRB UPDATE Series 1984-San Miguel Electric (CFC)(A-1/MIG1)
25,700,000 3.55 07/10/96 25,700,000
25,000,000 3.55 07/11/96 25,000,000
San Antonio, TX Electric & Gas Systems CP Notes Series A(A-1+/P-1)
12,800,000 3.60 08/06/96 12,800,000
6,000,000 3.75 08/13/96 6,000,000
State of Texas TRANS CP Notes Series 1995 B(A-1+/P-1)
12,000,000 3.65 08/20/96 12,000,000
State of Texas TRANS Series 1995 A(A-1+/MIG1)
48,000,000 4.75 08/30/96 48,088,464
- --------------------------------------------------------------------------------
$205,988,464
- --------------------------------------------------------------------------------
Utah--0.2%
Salt Lake County, UT PCRB for Service Station/British Petroleum Series 1994
B(A-1/Aa3)
$2,815,000 3.70% 07/01/96 $2,815,000
- --------------------------------------------------------------------------------
Virginia--7.9%
Chesapeake, VA IDA PCRB Series 1985 for Virginia Electric & Power(A-1/MIG1)
$22,000,000 3.60% 07/12/96 $22,000,000
Chesterfield County, VA IDA PCRB Series 1985 for Virginia Electric &
Power Co.(A-1/MIG1)
8,000,000 3.65 08/13/96 8,000,000
5,200,000 3.75 08/21/96 5,200,000
Chesterfield County, VA IDA PCRB Series 1987 for Virginia Electric &
Power Co.(A-1/MIG1)
1,000,000 3.75 08/21/96 1,000,000
IDA of Louisa PCRB Series 1984-Virginia Electric & Power Co.
Project(A-1/MIG1)
4,000,000 3.80 07/26/96 4,000,000
4,000,000 3.70 07/30/96 4,000,000
3,000,000 3.75 07/31/96 3,000,000
4,000,000 3.65 08/19/96 4,000,000
IDA of Louisa PCRB Series 1987-Virginia Electric & Power Co. Project(A-1/P-1)
1,300,000 3.60 07/12/96 1,300,000
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Virginia (continued)
Roanoke, VA for Carilion Health Systems Hospital VRDN Series B(A-1)
$37,900,000 3.35% 07/07/96 $37,900,000
Spotsylvania, VA IDA for Carlisle Corporation (Suntrust Bank LOC)(Aa3)
6,500,000 3.35 07/07/96 6,500,000
York County, VA IDA PCRB Series 1985 for Virginia Electric & Power Co.(A-1/A3)
9,400,000 3.65 08/13/96 9,400,000
2,700,000 3.75 08/20/96 2,700,000
- --------------------------------------------------------------------------------
$109,000,000
- --------------------------------------------------------------------------------
Washington--3.5%
Port of Grays Harbor, WA IDA for Weyerhaeuser Project Series 1992 VRDN(A-1)
$1,000,000 3.30% 07/07/96 $1,000,000
Port of Grays Harbor, WA IDA for Weyerhaeuser Project Series 1993 VRDN(A-1)
5,850,000 3.30 07/07/96 5,850,000
Union Gap City IDA for Weyerhaeuser Project Series 1992 VRDN(A-1)
1,600,000 3.30 07/07/96 1,600,000
Washington Public Power Supply Project Electric RB Series 1993 1A-2
(Bank of America LOC)(A-1/MIG1)
28,100,000 3.35 07/07/96 28,100,000
Washington Public Power Supply Project Electric RB Series 1993 A2
(Bank of America LOC)(A-1/MIG1)
11,300,000 3.35 07/07/96 11,300,000
- --------------------------------------------------------------------------------
$47,850,000
- --------------------------------------------------------------------------------
Wyoming--0.3%
Pacificorp for Sweetwater County PCRB Series 1988 B VRDN (Canadian Imperial
Bank of Commerce LOC)(Aa3)
$3,500,000 3.75% 07/01/96 $3,500,000
- --------------------------------------------------------------------------------
Total Investments $1,403,976,260/(a)/
================================================================================
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(a)The amount stated also represents aggregate cost for federal income tax
purposes.
(b)When-issued securities.
(c)Portions of these securities are being segregated for when-issued securities.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
The percentages shown for each investment category reflect the value
of investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
California--90.2%
Anaheim City Electric RANS Tax Exempt CP Notes(A-1+/P-1)
$5,000,000 3.70% 08/07/96 $5,000,000
3,950,000 3.45 08/21/96 3,950,000
California Health Facilities Authority for Kaiser Permanente VRDN
Series 1993 A, B & C RB(A-1)
2,000,000 3.00 07/07/96 2,000,000
California Health Facility Finance Authority RB Series 1990 A VRDN
(Rabobank Nederland LOC)(MIG1)/(c)/
8,400,000 2.80 07/07/96 8,400,000
California PCRB for Pacific Gas & Electric (Banque Nationale de Paris LOC)(A-1)
1,800,000 3.40 07/07/96 1,800,000
6,000,000 3.60 07/31/96 6,000,000
California PCRB for Pacific Gas & Electric (Morgan Guaranty LOC)(A-1)
5,500,000 3.40 08/08/96 5,500,000
California Pollution Control Financing Authority for Southern California
Edison Adjustable TRB Series 1986 B & C (A-1/MIG1)
3,100,000 3.45 07/07/96 3,100,000
California School Cash Reserves Program Authority Series 1995 B
(MBIA)(SP-1+/MIG1)
4,000,000 4.50 12/20/96 4,012,667
California School Cash Reserves Program Authority Series 1995 A
(MBIA)(SP-1+/MIG 1)
8,000,000 4.75 07/03/96 8,000,578
California School Cash Reserves Program Authority Series 1996 A
(MBIA)(SP-1+/MIG 1)/(b)/
4,000,000 4.75 07/02/97 4,034,560
California Statewide Communities Development Authority for Kaiser Foundation
Hospital 1995 COPS(A-1/MIG1)/(c)/
16,500,000 3.00 07/07/96 16,500,000
California Statewide Communities Development Authority Series 1995A-1(A-1)
27,800,000 3.15 07/07/96 27,800,000
City of Fresno MF Hsg. Revenue Refunding Bonds Series 1996 A
(Wells Fargo Bank LOC)(MIG1)
3,315,000 3.20 07/07/96 3,315,000
City of Irwindale IDRB Series 1984 for Toys-R-Us VRDN (Bankers Trust LOC)(A1)
2,000,000 3.43 07/07/96 2,000,000
City of Los Angeles VRDN MF Hsg. Museum Terrace-84H (Bank of America LOC)(MIG1)
3,500,000 3.10 07/07/96 3,500,000
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
City of Newport Beach Floating/Fixed Rate Health Facilities Memorial Hospital
Facility VRDN(MIG1)
$1,830,000 3.55% 07/01/96 $1,830,000
City of San Diego VRDN MF Hsg. RB Series 1985 (Bank of America LOC)(MIG1)
5,500,000 2.85 07/07/96 5,500,000
City of San Diego MF Hsg. for Lacima Apartments VRDN (Citibank LOC)(MIG1)
16,290,000 3.05 07/07/96 16,290,000
City of San Diego MF Hsg. for Nobel Court Apartments VRDN (Citibank LOC)(MIG1)
9,325,000 3.05 07/07/96 9,325,000
Contra Costa MF Hsg. for Lakeshore Apartments VRDN(A-1)
4,700,000 3.10 07/07/96 4,700,000
East Bay Municipal Utility District California Water and Waste (A-1+/P-1)
4,300,000 3.40 07/26/96 4,300,000
7,150,000 3.60 07/30/96 7,150,000
Fremont MF Hsg. RB (Fuji Bank LOC)(MIG1)
13,400,000 4.05 07/07/96 13,400,000
Huntington Beach City Monthly MF Hsg. VRDN Series 1985 A (Bank of America LOC)
(MIG1)
7,500,000 4.00 07/07/96 7,500,000
Kings County Housing Authority MF Hsg. Refunding RB Series 1996 A
(Wells Fargo Bank LOC) (MIG1)
2,000,000 3.20 07/07/96 2,000,000
Los Angeles County Metro Transportation Authority VRDN (MBIA)
(A-1/MIG1)
4,595,000 3.00 07/07/96 4,595,000
Los Angeles County Metro Transportation Authority RANS Series 1996 A
(MIG1)
10,000,000 4.00 02/27/97 10,057,444
Los Angeles County TRANS (Credit Suisse/Morgan Guaranty Trust Co./
Westdeutsche Landesbank Girozentrale/Bank of America/Swiss Bank Corp./
Union Bank LOC)(SP-1/MIG1)
9,000,000 4.50 07/01/96 9,000,000
Los Angeles County Transportation CP Notes (National Westminster/ABN Amro
Bank/Canadian Imperial Bank of Commerce/Banque Nationale de Paris LOC)
(A-1/P-1)
9,400,000 3.60 08/21/96 9,400,000
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
ILA Tax_Exempt California Portfolio (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Los Angeles County TRANS (Credit Suisse/Morgan Guaranty Trust/Union Bank of
Switzerland/Westdeutsche Landesbank Gironzentrale/Bank of America LOC)
(SP-1/MIG1)/(b)/
$4,000,000 4.50% 06/30/97 $4,024,960
Los Angeles County, VRDN MF Hsg. for Valencia Village Series 1984 C
(Industrial Bank of Japan LOC)(A-1)
14,900,000 3.50 07/07/96 14,900,000
Los Angeles Housing Authority MF Hsg. VRDN for Canyon Country Villas
Series 1985 H (Industrial Bank of Japan LOC)(MIG1)
11,105,000 3.25 07/07/96 11,105,000
Northern California Power Agency Geothermal Project Number 3 Adjustable
Rate RB Series 1996 A (AMBAC)(A-1/MIG1)
8,500,000 3.15 07/07/96 8,500,000
Orange County Apartment Development RB Issue 1984 C Seaside Meadow
(Fuji Bank LOC)(MIG1)
17,700,000 4.05 07/07/96 17,700,000
Pomona Public Financing Authority VRDN (Sumitomo Bank LOC)(SP-1)
2,075,000 3.30 07/07/96 2,075,000
Sacramento County 1990 COPS Admin-Center Courthouse Project VRDN
(Union Bank of Switzerland LOC)(A-1/MIG1)
500,000 3.10 07/07/96 500,000
San Bernardino County VRDN-Woodview Apartments Series 1985
(Bank of America LOC)(MIG1)
1,200,000 2.85 07/07/96 1,200,000
San Diego County Regular Transportation Commission CP Notes Series A (A-1/P-1)
2,000,000 3.65 07/19/96 2,000,000
San Diego County MF Hsg. for Country Hills VRDN (FNMA)(A-1)
10,300,000 3.10 07/07/96 10,300,000
San Diego IDB Series 1995 B for San Diego Gas and Electric (A-1/MIG1)
1,000,000 3.25 08/08/96 1,000,000
2,700,000 3.35 08/14/96 2,700,000
San Leandro MF Hsg. VRDN Series 1985 B- Haas Avenue Apartments
(Bank of America LOC)(MIG1)
3,900,000 2.90 07/07/96 3,900,000
Southern California Metro Water District Series A CP Notes(A-1+/P-1)
5,400,000 3.45 08/23/96 5,400,000
Southern California Metropolitan Water District Revenue Refunding Bonds
Series 1996 A (AMBAC)(A-1/MIG1)
4,500,000 2.95 07/07/96 4,500,000
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Southern California Public Power Authority 1991 Subordinated Revenue Refunding
Bonds (AMBAC)(AA/AA)
$10,300,000 3.10% 07/07/96 $10,300,000
Southern California Public Power Authority Power Project RB Series 1996 B
(AMBAC)(A-1/MIG1)
7,500,000 3.10 07/07/96 7,500,000
Triunfo Sanitation District VRDN Refunding RB Series 1994 (Banque Nationale
de Paris LOC)(A-1)
2,500,000 3.00 07/07/96 2,500,000
Tulare-Porterville Schools Finance Authority COPS (Union Bank of California
LOC)(A-1/MIG1)
4,935,000 3.25 07/07/96 4,935,000
- --------------------------------------------------------------------------------
$325,000,209
- --------------------------------------------------------------------------------
Puerto Rico--4.4%
Puerto Rico Government Development Bank CP Notes(A-1+)
$4,000,000 3.65% 07/19/96 $4,000,000
11,700,000 3.65 08/21/96 11,700,000
- --------------------------------------------------------------------------------
$15,700,000
- --------------------------------------------------------------------------------
Total Investments $340,700,209 /(a)/
================================================================================
</TABLE>
(a)The amount stated also represents aggregate cost for federal
income tax purposes.
(b)When-issued securities.
(c)Portions of these securities are being segregated for when-issued securities.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
New York--93.5%
City of Yonkers IDA Series 1991 Civic Facility VRDN(Industrial Bank of Japan
LOC)(MIG1)
$5,400,000 3.55% 07/07/96 $5,400,000
Great Neck North Water Authority Water System RB Series 1993 A VRDN
(FGIC)(A-1/MIG1)
4,100,000 2.85 07/07/96 4,100,000
IDA Civic Facility RB Cold Spring Harbor Labs Series 1989 VRDN (Morgan
Guaranty Trust LOC)(A-1+)
2,200,000 3.45 07/01/96 2,200,000
Metropolitan Transportation Authority Commuter Facility VRDN Series 1991
(National Westminster/Morgan Guaranty/Industrial Bank of Japan/Sumitomo
Bank/J.P. Morgan/Bank of Tokyo/Mitsubishi Bank LOC)(MIG1)
3,400,000 3.15 07/07/96 3,400,000
New York City GO Bonds (Sumitomo Bank LOC)(MIG1)
800,000 3.85 07/01/96 800,000
New York City GO Bonds Series 1994 E (Industrial Bank of Japan LOC)(MIG1)
1,800,000 3.75 07/01/96 1,800,000
New York City GO Bonds VRDN (Dai-Ichi Kangyo Bank Ltd., New York LOC)(MIG1)
200,000 3.80 07/01/96 200,000
New York City GO Bonds VRDN (Norinchukin Bank LOC)(MIG1)
3,700,000 3.80 07/01/96 3,700,000
New York City GO Fiscal 1995 Series B-6 (MBIA)(MIG1)
2,500,000 3.55 07/01/96 2,500,000
New York City IDA - Civic Facility RB 1989 National Audubon Society, Inc.
VRDN (Swiss Bank Corp. LOC)(A-1+)
4,000,000 3.45 07/01/96 4,000,000
New York City IDA for Columbia Grammar Prep School VRDN (Chemical Bank LOC)
(A-1+)
2,500,000 3.10 07/07/96 2,500,000
New York City Municipal Water Finance Authority CP Series 1 (Canadian
Imperial Bank of Commerce LOC)(P-1)
3,000,000 3.70 08/08/96 3,000,000
4,000,000 3.75 08/08/96 4,000,000
New York City Trust for Cultural Resources American Museum of Natural
History Adjustable Rate TRB VRDN (MBIA)(MIG1)
3,200,000 3.10 07/07/96 3,200,000
New York State Dormitory Authority RB Series 1990 B for Cornell University
VRDN(MIG1)
2,700,000 3.45 07/01/96 2,700,000
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York State Energy Research & Development Authority for Long Island Lighting
Co. VRDN (Toronto Dominion Bank LOC)(MIG1)
$3,000,000 3.05% 07/07/96 $3,000,000
New York State Energy Research & Development Authority PCRB for New York State
Electric & Gas Series 1994 D (Union Bank of Switzerland LOC)(MIG1)
2,700,000 3.50 07/07/96 2,700,000
New York State Energy Research & Development Authority PCRB for Rochester
Gas & Electric Series 1984 (Credit Suisse LOC)(P-1)
2,100,000 3.45 07/07/96 2,100,000
New York State Energy Research & Development Authority PCRB for Rochester
Gas & Electric Series 1985 (Credit Suisse LOC)(Aa2)
1,500,000 3.75 11/15/96 1,500,000
New York State Energy Research & Development Authority PCRB Series A & B -
Central Hudson Gas & Electric VRDN (Deutsche Bank LOC)(AAA)
1,300,000 3.10 07/07/96 1,300,000
New York State Energy Research and Development Authority for Orange and
Rockland Utilities Series 1995 A VRDN (AMBAC)(MIG1)
4,500,000 3.10 07/07/96 4,500,000
New York State Local Government Series C VRDN (Landesbank Hessen-Thueringen
Girozentrale LOC)(MIG1)
4,600,000 3.05 07/07/96 4,600,000
New York State Local Government Series G VRDN (National Westminster Bank LOC)
(MIG1)
4,400,000 3.05 07/07/96 4,400,000
New York State Medical Care Facility Financing Agency for Children's Hospital of
Buffalo RB Series 1991 A (Barclays Bank LOC)(MIG1)
2,100,000 3.20 07/07/96 2,100,000
New York State Triborough Bridge & Tunnel Authority VRDN (FGIC)(MIG1)
4,800,000 3.05 07/07/96 4,800,000
Syracuse University IDA VRDN (Morgan Guaranty LOC)(MIG1)
1,200,000 3.45 07/01/96 1,200,000
Westchester County TANS(MIG1)
9,000,000 3.75 12/11/96 9,025,493
- --------------------------------------------------------------------------------
$84,725,493
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Puerto Rico--6.0%
Puerto Rico Commonwealth Government Development Bank Refunding RB Series 1985
(Credit Suisse LOC(A-1+/MIG1)
$400,000 3.00% 07/01/96 $400,000
Puerto Rico Government Development Bank CP Program(A-1+)
3,000,000 3.35 07/12/96 3,000,000
Puerto Rico Industrial Medical and Environmental PCRB Series 1983 A for Key
Pharmaceuticals Inc. (Morgan Guaranty LOC)(AAA)
2,000,000 3.80 12/03/96 2,001,634
- --------------------------------------------------------------------------------
$ 5,401,634
- --------------------------------------------------------------------------------
Total Investments $90,127,127/(a)/
- --------------------------------------------------------------------------------
</TABLE>
/(a)/The amount stated also represents aggregate cost for federal
income tax purposes.
Interest rates represent either the stated coupon rate, annualized yield on the
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Investment Abbreviations:
ACES --Adjustable Convertible Extendible Securities
AMBAC --Insured by American Municipal Bond Assurance Corp.
CFC --Unconditionally Guaranteed by Cooperative Finance Corp.
COPS --Certificates of Particication
CP --Commercial Paper
FGIC --Insured by Financial Guaranty Insurance Co.
FHLB --Federal Home Loan Bank
FNMA --Federal National Mortgage Association
GO --General Obligation
HFA --Health Facility Authority
IDA --Industrial Development Authority
IDB --Industrial Development Bond
LOC --Letter of Credit
MBIA --Insured by Municipal Bond Investors Assurance
MF Hsg. --Multi-Family Housing
PCRB --Pollution Control Revenue Bond
RANS Revenue Anticipation Notes
RB --Revenue Bond
TANS --Tax Anticipation Notes
TECP --Tax-Exempt Commercial Paper
TRANS --Tax Revenue Anticipation Notes
TRB --Tender Revenue Bond
UPDATE --Unit Priced Daily Adjustable Tax-Exempt Security
VRDN --Variable Rate Demand Note
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
June 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
------------------------------------------------
<S> <C> <C> <C>
Assets:
Investments in securities, at value based on amortized cost $1,346,597,257 $934,736,882 $684,942,978
Interest receivable 2,127,412 4,039,580 2,380,258
Cash 67,270 -- 111,683
Other assets 28,178 52,691 28,272
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets 1,348,820,117 938,829,153 687,463,191
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Payable for investment securities purchased 10,000,000 10,000,000 --
Dividends payable 5,974,281 3,951,862 3,054,667
Due to bank -- 66,243 --
Accrued expenses and other liabilities 580,775 375,969 373,540
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 16,555,056 14,394,074 3,428,207
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid in capital 1,332,265,061 924,435,079 683,975,225
Accumulated undistributed net investment income -- -- --
Accumulated undistributed net realized gain (loss)
on investment transactions -- -- 59,759
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets $1,332,265,061 $924,435,079 $684,034,984
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, offering and redemption price per unit
(net assets/units outstanding) $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------------------------------------------
Units Outstanding:
ILA units 1,185,681,179 694,778,407 564,490,695
ILA Administration units 56,752,337 199,545,619 41,391,618
ILA Service units 89,831,469 30,111,053 78,092,912
ILA Class B units 76 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total units of beneficial interest outstanding, $.001 par value
(unlimited number of units authorized) 1,332,265,061 924,435,079 683,975,225
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
================================================================================================
<S> <C> <C> <C> <C> <C>
$861,562,568 $1,129,897,658 $2,921,115,124 $1,403,976,260 $340,700,209 $90,127,127
2,357,968 12,252,875 8,262,691 8,701,022 2,261,566 368,735
89,891 81,046 120,908 4,524,989 26,444,042 341,131
53,335 38,450 52,386 14,451 16,848 16,281
- ------------------------------------------------------------------------------------------------
864,063,762 1,142,270,029 2,929,551,109 1,417,216,722 369,422,665 90,853,274
- ------------------------------------------------------------------------------------------------
-- -- 147,986,625 30,173,200 8,059,520 --
3,521,521 4,313,660 11,164,517 3,823,392 801,004 202,445
-- -- -- -- -- --
421,720 413,822 880,230 440,099 128,845 45,933
- ------------------------------------------------------------------------------------------------
3,943,241 4,727,482 160,031,372 34,436,691 8,989,369 248,378
- ------------------------------------------------------------------------------------------------
860,194,693 1,137,515,957 2,769,590,357 1,382,655,041 360,447,402 90,605,242
-- -- -- 362,642 10,495 1,634
(74,172) 26,590 (70,620) (237,652) (24,601) (1,980)
- ------------------------------------------------------------------------------------------------
$860,120,521 $1,137,542,547 $2,769,519,737 $1,382,780,031 $360,433,296 $90,604,896
================================================================================================
$1.00 $1.00 $1.00 $1.00 $1.00 $1.00
================================================================================================
649,265,718 600,876,647 1,995,604,705 1,317,689,781 360,276,691 63,967,056
74,905,784 105,394,997 632,856,962 36,248,750 170,711 26,638,186
136,023,191 431,244,313 141,128,690 28,913,102 -- --
-- -- -- -- -- --
- ------------------------------------------------------------------------------------------------
860,194,693 1,137,515,957 2,769,590,357 1,382,851,633 360,447,402 90,605,242
================================================================================================
- ----------------------------------------------- ----------------------------------------------------
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
Goldman Sachs Money Market Trust-- Institutional Liquid Assets
- ---------------------------------------------------------------------------------------------------------------------------
Statements of Operations
For the Six Months Ended June 30, 1996
(Unaudited)
- ---------------------------------------------------------------------------------------------------------------------------
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
=======================================================
<S> <C> <C> <C>
Investment income:
Interest income $ 42,974,505 $ 25,357,560 $ 19,507,734
- ---------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment adviser fees 2,717,974 1,608,556 1,251,625
Transfer agent fees 310,626 183,835 143,043
Custodian fees 148,111 94,804 80,197
Professional fees 29,828 24,125 20,986
Trustees' fees 8,777 5,757 4,228
Other 78,346 66,139 59,424
- ---------------------------------------------------------------------------------------------------------------------------
Total expenses 3,293,662 1,983,216 1,559,503
Less--Expenses reimbursable and fees waived by Goldman Sachs (109,657) (328,390) (92,940)
- ---------------------------------------------------------------------------------------------------------------------------
Net expenses 3,184,005 1,654,826 1,466,563
Administration unit fees 45,390 131,258 32,220
Service unit fees 323,006 62,379 157,327
- ---------------------------------------------------------------------------------------------------------------------------
Net expenses and unit fees 3,552,401 1,848,463 1,656,110
- ---------------------------------------------------------------------------------------------------------------------------
Net investment income 39,422,104 23,509,097 17,851,624
- ---------------------------------------------------------------------------------------------------------------------------
Net realized gain(loss) on investment transactions 25,472 20,401 31,619
- ---------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $39,447,576 $23,529,498 $17,883,243
===========================================================================================================================
- ----------------------------------------------------------- -------------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$25,277,636 $24,596,211 $67,354,235 $26,785,278 $6,182,236 $1,720,332
- ------------------------------------------------------------------------------------------------
1,645,958 1,665,536 4,375,718 2,666,370 632,791 181,283
188,110 190,347 500,082 304,728 72,319 20,718
110,471 110,019 229,416 68,820 20,546 11,363
23,575 25,171 43,282 29,356 17,846 14,707
5,577 6,785 17,195 9,060 2,416 604
67,246 53,933 86,714 51,870 10,418 4,653
- ------------------------------------------------------------------------------------------------
2,040,937 2,051,791 5,252,407 3,130,204 756,336 233,328
(112,147) (1,052,471) (2,001,854) (768,641) (15,102) (67,586)
- ------------------------------------------------------------------------------------------------
1,928,790 999,320 3,250,553 2,361,563 741,234 165,742
67,300 71,912 399,150 28,401 105 18,256
252,930 545,683 239,790 73,708 -- --
- ------------------------------------------------------------------------------------------------
2,249,020 1,616,915 3,889,493 2,463,672 741,339 183,998
- ------------------------------------------------------------------------------------------------
23,028,616 22,979,296 63,464,742 24,321,606 5,440,897 1,536,334
- ------------------------------------------------------------------------------------------------
137,008 94,970 (6,264) (6,230) 5,434 --
- ------------------------------------------------------------------------------------------------
$23,165,624 $23,074,266 $63,458,478 $24,315,376 $5,446,331 $1,536,334
- ------------------------------------------------------------------------------------------------
- -------------------------------------------------------- -------------------------------------------------------
</TABLE>
23
<PAGE>
<TABLE>
<CAPTION>
Goldman Sachs Money Market Trust - Institutional Liquid Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Six Months Ended June 30, 1996
(Unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
-------------------------------------------------------
<S> <C> <C> <C>
From Operations:
Net investment income $ 39,422,104 $23,509,097 $17,851,624
Net realized gain (loss) on investment transactions 25,472 20,401 31,619
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 39,447,576 23,529,498 17,883,243
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to Unitholders from:
Net investment income
ILA units (34,078,142) (18,390,515) (14,972,437)
ILA Administration units (1,505,964) (4,378,085) (1,053,077)
ILA Service units (3,837,927) (740,497) (1,826,110)
ILA Class B units (71) -- --
Net realized gain on investment transactions
ILA units (21,245) (16,266) (22,170)
ILA Administration units (1,050) (3,282) (1,594)
ILA Service units (3,177) (853) (2,863)
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions to unitholders (39,447,576) (23,529,498) (17,878,251)
- -----------------------------------------------------------------------------------------------------------------------------------
From unit transactions (at $1.00 per unit):
Proceeds from sales of units 5,255,178,869 3,907,378,227 2,517,138,558
Reinvestment of dividends and distributions 20,540,485 17,458,403 8,595,929
Cost of units repurchased (5,494,956,048) (3,762,058,897) (2,545,142,587)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from unit transactions (219,236,694) 162,777,733 (19,408,100)
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) (219,236,694) 162,777,733 (19,403,108)
Net Assets:
Beginning of period 1,551,501,755 761,657,346 703,438,092
- -----------------------------------------------------------------------------------------------------------------------------------
End of period $1,332,265,061 $924,435,079 $684,034,984
===================================================================================================================================
Accumulated undistributed net investment income -- -- --
===================================================================================================================================
Summary of unit transactions (at $1.00 per unit):
ILA Units:
Units sold 4,721,627,221 2,638,121,069 2,202,652,190
Reinvestment of dividends and distributions 18,614,596 14,301,387 7,080,464
Units repurchased (4,815,769,636) (2,531,799,522) (2,215,678,693)
- -----------------------------------------------------------------------------------------------------------------------------------
(75,527,819) 120,622,934 (5,946,039)
- -----------------------------------------------------------------------------------------------------------------------------------
ILA Administration Units:
Units sold 232,693,867 1,152,891,452 111,445,959
Reinvestment of dividends and distributions 852,859 2,992,853 145,896
Units repurchased (239,849,696) (1,120,760,951) (117,758,448)
- -----------------------------------------------------------------------------------------------------------------------------------
(6,302,970) 35,123,354 (6,166,593)
- -----------------------------------------------------------------------------------------------------------------------------------
ILA Service Units:
Units sold 300,833,139 116,365,706 203,040,409
Reinvestment of dividends and distributions 1,072,990 164,163 1,369,569
Units repurchased (439,312,110) (109,498,424) (211,705,446)
- -----------------------------------------------------------------------------------------------------------------------------------
(137,405,981) 7,031,445 (7,295,468)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in units (219,236,694)/*/ 162,777,733 (19,408,100)
===================================================================================================================================
* ILA Class B had sales, reinvestments of dividends and distributions and repurchases of 24,642,40 and 24,606 units,
respectively, for a net increase of 76 units.
- ----------------------------------------------------------- -------------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 23,028,616 $ 22,979,296 $ 63,464,742 $ 24,321,606 $ 5,440,897 $ 1,536,334
137,008 94,970 (6,264) (6,230) 5,434 --
- -------------------------------------------------------------------------------------------------
23,165,624 23,074,266 63,458,478 24,315,376 5,446,331 1,536,334
- -------------------------------------------------------------------------------------------------
(17,991,643) (14,450,058) (47,393,257) (23,228,531) (5,438,898) (1,189,511)
(2,150,496) (2,316,079) (13,239,483) (578,338) (1,999) (346,823)
(2,886,477) (6,213,159) (2,832,002) (514,737) -- --
-- -- -- -- -- --
(166,441) (47,533) -- -- -- --
(26,110) (7,151) -- -- -- --
(21,491) (19,335) -- -- -- --
- -------------------------------------------------------------------------------------------------
(23,242,658) (23,053,315) (63,464,742) (24,321,606) (5,440,897) (1,536,334)
- -------------------------------------------------------------------------------------------------
2,510,255,997 2,749,827,581 7,398,958,919 5,108,796,106 1,392,367,283 298,563,266
7,156,410 8,839,330 35,694,982 17,045,367 5,558,277 1,571,672
(2,580,758,485) (2,399,406,415) (7,016,556,056) (5,184,059,787) (1,384,286,449) (326,790,647)
- -------------------------------------------------------------------------------------------------
(63,346,078) 359,260,496 418,097,845 (58,218,314) 13,639,111 (26,655,709)
- -------------------------------------------------------------------------------------------------
(63,423,112) 359,281,447 418,091,581 (58,224,544) 13,644,545 (26,655,709)
923,543,633 778,261,100 2,351,428,156 1,441,004,575 346,788,751 117,260,605
- -------------------------------------------------------------------------------------------------
$860,120,521 $1,137,542,547 $2,769,519,737 $1,382,780,031 $360,433,296 $90,604,896
=================================================================================================
-- -- -- $ 362,642 $ 10,495 $ 1,634
=================================================================================================
1,999,547,676 1,924,366,142 5,278,684,049 4,975,588,930 1,391,936,986 157,517,779
6,469,968 8,365,563 30,181,606 16,775,074 5,558,277 1,223,163
(2,067,854,063) (1,918,143,920) (5,045,218,770) (5,017,327,769) (1,383,965,795) (185,309,853)
- -------------------------------------------------------------------------------------------------
(61,836,419) 14,587,785 263,646,885 (24,963,765) 13,529,468 (26,568,911)
- -------------------------------------------------------------------------------------------------
229,974,573 216,503,018 1,513,271,568 69,478,973 430,297 141,045,487
615,814 454,385 4,934,169 178,100 -- 348,509
(248,404,723) (180,271,007) (1,402,306,563) (82,181,404) (320,654) (141,480,794)
- -------------------------------------------------------------------------------------------------
(17,814,336) 36,686,396 115,899,174 (12,524,331) 109,643 (86,798)
- -------------------------------------------------------------------------------------------------
280,733,748 608,958,421 607,003,302 63,728,203 -- --
70,628 19,382 579,207 92,193 -- --
(264,499,699) (300,991,488) (569,030,723) (84,550,614) -- --
- -------------------------------------------------------------------------------------------------
16,304,677 307,986,315 38,551,786 (20,730,218) -- --
- -------------------------------------------------------------------------------------------------
(63,346,078) 359,260,496 418,097,845 (58,218,314) 13,639,111 (26,655,709)
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------- -------------------------------------------------------
</TABLE>
25
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
=============================================================
<S> <C> <C> <C>
From Operations:
Net investment income $ 107,583,870 $ 49,478,386 $ 51,830,087
Net realized gain (loss) on investment transactions 14,828 23,170 168,758
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 107,598,698 49,501,556 51,998,845
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions to Unitholders from:
Net investment income
ILA units (90,145,210) (39,853,826) (42,814,965)
ILA Administration units (5,198,674) (8,266,526) (3,434,653)
ILA Service units (12,239,986) (1,358,034) (5,580,469)
Net realized gain on investment transactions
ILA units (12,607) (18,166) (138,212)
ILA Administration units (741) (4,378) (12,197)
ILA Service units (1,480) (626) (17,502)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions to unitholders (107,598,698) (49,501,556) (51,997,998)
- ------------------------------------------------------------------------------------------------------------------------------------
From unit transactions (at $1.00 per unit):
Proceeds from sales of units 12,338,624,975 6,865,371,082 6,147,457,376
Reinvestment of dividends and distributions 46,658,797 34,033,174 18,869,484
Cost of units repurchased (13,117,315,317) (6,864,945,994) (6,596,822,965)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from unit transactions (732,031,545) 34,458,262 (430,496,105)
- ------------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) (732,031,545) 34,458,262 (430,495,258)
Net Assets:
Beginning of year 2,283,533,300 727,199,084 1,133,933,350
- ------------------------------------------------------------------------------------------------------------------------------------
End of year $ 1,551,501,755 $ 761,657,346 $ 703,438,092
====================================================================================================================================
Accumulated undistributed net investment income -- -- --
====================================================================================================================================
Summary of unit transactions (at $1.00 per unit):
ILA Units:
Units sold 10,673,706,881 5,167,984,860 5,286,093,615
Reinvestment of dividends and distributions 43,663,215 30,173,260 14,307,877
Units repurchased (11,419,966,319) (5,183,472,607) (5,611,448,715)
- ------------------------------------------------------------------------------------------------------------------------------------
(702,596,223) 14,685,513 (311,047,223)
- ------------------------------------------------------------------------------------------------------------------------------------
ILA Administration Units:
Units sold 801,545,537 1,503,847,493 385,128,154
Reinvestment of dividends and distributions 1,574,573 3,545,805 410,476
Units repurchased (889,335,631) (1,488,837,741) (433,455,523)
- ------------------------------------------------------------------------------------------------------------------------------------
(86,215,521) 18,555,557 (47,916,893)
- ------------------------------------------------------------------------------------------------------------------------------------
ILA Service Units:
Units sold 863,372,557 193,538,729 476,235,607
Reinvestment of dividends and distributions 1,421,009 314,109 4,151,131
Units repurchased (808,013,367) (192,635,646) (551,918,727)
- ------------------------------------------------------------------------------------------------------------------------------------
56,780,199 1,217,192 (71,531,989)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in units (732,031,545) 34,458,262 (430,496,105)
====================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
=================================================================================================
<S> <C> <C> <C> <C> <C>
$ 49,882,996 $ 39,027,924 $ 127,991,600 $ 55,137,781 $ 10,292,899 $ 3,354,557
634,764 426,028 (11,971) (38,116) (4,501) --
- -------------------------------------------------------------------------------------------------
50,517,760 39,453,952 127,979,629 55,099,665 10,288,398 3,354,557
- -------------------------------------------------------------------------------------------------
(37,834,730) (31,147,754) (98,487,540) (50,915,901) (10,279,510) (2,746,431)
(5,921,841) (3,930,340) (26,181,728) (2,430,414) (13,389) (608,126)
(6,116,634) (3,949,830) (3,322,332) (1,791,466) -- --
(474,791) (338,176) -- -- -- --
(76,052) (43,832) -- -- -- --
(81,059) (43,878) -- -- -- --
- -------------------------------------------------------------------------------------------------
(50,505,107) (39,453,810) (127,991,600) (55,137,781) (10,292,899) (3,354,557)
- -------------------------------------------------------------------------------------------------
5,295,765,985 4,545,981,787 12,879,366,733 9,669,281,502 2,111,844,558 637,393,901
14,985,214 18,329,605 59,359,416 35,116,542 9,384,940 3,009,869
(5,307,633,793) (4,472,240,590) (12,558,288,438) (9,832,589,904)(2,002,625,120) (646,630,502)
- -------------------------------------------------------------------------------------------------
3,117,406 92,070,802 380,437,711 (128,191,860) 118,604,378 (6,226,732)
- -------------------------------------------------------------------------------------------------
3,130,059 92,070,944 380,425,740 (128,229,976) 118,599,877 (6,226,732)
920,413,574 686,190,156 1,971,002,416 1,569,234,551 228,188,874 123,487,337
- -------------------------------------------------------------------------------------------------
$923,543,633 $778,261,100 $2,351,428,156 $1,441,004,575 $346,788,751 $117,260,605
=================================================================================================
-- -- -- $ 362,642 $ 10,495 $ 1,634
=================================================================================================
4,098,618,029 3,716,958,431 9,845,256,084 9,311,743,687 2,111,311,145 412,445,304
12,443,257 17,215,281 53,443,869 34,419,501 9,375,255 2,397,973
(4,113,675,854) (3,695,227,116) (9,792,323,613) (9,438,508,967) (2,001,353,653) (408,825,174)
- -------------------------------------------------------------------------------------------------
(2,614,568) 38,946,596 106,376,340 (92,345,779) 119,332,747 6,018,103
- -------------------------------------------------------------------------------------------------
852,080,094 450,755,034 2,431,546,258 230,975,117 533,413 224,948,597
2,541,957 1,065,347 5,373,341 522,467 9,685 611,896
(859,607,724) (447,499,474) (2,249,895,904) (280,499,429) (1,271,467) (237,805,328)
- -------------------------------------------------------------------------------------------------
(4,985,673) 4,320,907 187,023,695 (49,001,845) (728,369) (12,244,835)
- -------------------------------------------------------------------------------------------------
345,067,862 378,268,322 602,564,391 126,562,698 -- --
-- 48,977 542,206 174,574 -- --
(334,350,215) (329,514,000) (516,068,921) (113,581,508) -- --
- -------------------------------------------------------------------------------------------------
10,717,647 48,803,299 87,037,676 13,155,764 -- --
- -------------------------------------------------------------------------------------------------
3,117,406 92,070,802 380,437,711 (128,191,860) 118,604,378 (6,226,732)
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------- -------------------------------------------------------
</TABLE>
27
<PAGE>
Goldman Sachs Money Market Trust - Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements
June 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
1. Organization
Goldman Sachs Money Market Trust (the "Trust"), a business trust organized under
the laws of the Commonwealth of Massachusetts on December 6, 1978, includes the
Goldman Sachs--Institutional Liquid Assets Portfolios ("ILA"). The Trust is
registered under the Investment Company Act of 1940 (as amended) as an open-end
management investment company. ILA consists of nine portfolios: Prime
Obligations, Money Market, Government, Treasury Obligations, Treasury
Instruments, Federal, Tax-Exempt Diversified, Tax-Exempt California and
Tax-Exempt New York. All of the portfolios are diversified except for the
Tax-Exempt California and Tax-Exempt New York Portfolios. ILA offers three
classes of units for each of its portfolios: ILA units, ILA Administration units
and ILA Service units. In addition, Prime Obligations offers ILA Class B units.
The investment objective of the Funds is to maximize current income to the
extent consistent with the preservation of capital and maintenance of liquidity.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by ILA which are in conformity with those generally accepted in the
investment company industry. The preparation of financial statements in
conformity with generally accepted accounting principles require management to
make estimates and assumptions that affect the reported amounts.
A. Investment Valuation--
- --------------------------
ILA uses the amortized-cost method for valuing portfolio securities, which
approximates market value. Under this method, all investments purchased at a
discount or premium are valued by amortizing the difference between the original
purchase price and maturity value of the issue over the period to maturity.
B. Interest Income--
- ---------------------
Interest income is determined on the basis of interest accrued, premium
amortized and discount earned.
C. Federal Taxes--
- ------------------
It is each portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute each
year substantially all investment company taxable and tax-exempt income to its
unitholders. Accordingly, no federal tax provisions are required.
The characterization of distributions to unitholders for financial reporting
purposes is determined in accordance with federal income tax rules. Therefore,
the source of the Portfolios' distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or net
realized gain on investment transactions, or from paid-in capital, depending on
the type of book/tax differences that may exist.
At December 31, 1995, ILA's tax year end, the following portfolios had capital
loss carryforwards for U.S. Federal tax purposes of approximately:
<TABLE>
<CAPTION>
Years of
Portfolio Amount Expiration
--------- ------ ----------
<S> <C> <C>
Federal $ 68,000 2000 to 2003
Tax-Exempt Diversified 231,000 1997 to 2003
Tax-Exempt California 30,000 1999 to 2003
Tax-Exempt New York 2,000 1999
</TABLE>
These amounts are available to be carried forward to offset future capital gains
to the extent permitted by applicable laws or regulations.
D. Expenses--
- --------------
Expenses incurred by ILA which do not specifically relate to an individual
portfolio of ILA are allocated to the portfolios based on each portfolio's
relative average net assets for the period.
Unitholders of ILA Administration, ILA Service and ILA Class B units bear all
expenses and fees paid to service and distribution organizations for their
services with respect to such units as well as other expenses (subject to
expense limitations) which are directly attributable to such units.
28
<PAGE>
- --------------------------------------------------------------------------------
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser pursuant to
an Advisory Agreement. Under the Advisory Agreement, GSAM, subject to general
supervision of the Trust's Board of Trustees, manages the portfolios and
provides for the administration of ILA's other affairs. As compensation for the
services rendered under the Advisory Agreement and the assumption of the
expenses related thereto, GSAM is entitled to a fee, computed daily and payable
monthly, at an annual rate equal to .35% of each portfolio's average daily net
assets. For the six months ended June 30, 1996 and until further notice, GSAM
has agreed to waive .05%, .20%, .15%, .10% and .09% of its advisory fees for the
Money Market, Treasury Instruments, Federal, Tax-Exempt Diversified and Tax-
Exempt New York Portfolios, respectively. For the six months ended June 30,
1996, the advisory fees waived amounted to approximately $230,000, $952,000,
$1,875,000, $761,000 and $47,000 for the Money Market, Treasury Instruments,
Federal, Tax-Exempt Diversified and Tax-Exempt New York Portfolios,
respectively.
Goldman Sachs also serves as ILA's transfer agent under a Transfer Agency
Agreement for a fee. In addition, Goldman Sachs acts as ILA's distributor under
a Distribution Agreement for which it receives no compensation. At June 30,
1996, payment was due Goldman Sachs for their services as investment adviser and
transfer agent of approximately $467,000, $267,000, $226,000, $279,000,
$170,000, $536,000, $351,000, $112,000 and $21,000 for the Prime Obligations,
Money Market, Government, Treasury Obligations, Treasury Instruments, Federal,
Tax-Exempt Diversified, Tax-Exempt California and Tax-Exempt New York
Portfolios, respectively. Such amounts are included in "Accrued expenses and
other liabilities" in the accompanying Statements of Assets and Liabilities.
GSAM has voluntarily agreed that if the sum of a portfolio's expenses
(including the advisory fee, but excluding interest, taxes, brokerage
commissions, litigation and indemnification expenses, administration, authorized
dealer service, distribution and service plan fees and other extraordinary
expenses) exceeds on an annualized basis .41% of such portfolio's net assets,
the portfolio will be reimbursed in the amount of such excess monthly.
In addition, GSAM has voluntarily agreed to reimburse the Money Market,
Treasury Instruments, Federal, Tax-Exempt Diversified and Tax-Exempt New York
Portfolios to the extent that each portfolio's expenses, as defined above,
exceed .36%, .21%, .26%, .31% and .32%, respectively, of the average net assets
per annum. At June 30, 1996, the amounts due from GSAM were approximately
$19,000, $46,000, $20,000, $46,000, $33,000, $34,000, $6,000 and $15,000 for the
Prime Obligations, Money Market, Government, Treasury Obligations, Treasury
Instruments, Federal, Tax-Exempt California and Tax-Exempt New York Portfolios,
respectively. These amounts are included in "Other assets" in the accompanying
Statements of Assets and Liabilities. GSAM has also waived advisory fees and
reimbursed varying levels of expenses for certain portfolios in prior periods.
The ILA Class B units of Prime Obligations Portfolio have adopted a
Distribution Plan (the "Distribution Plan") pursuant to Rule 12b-1. Under the
Distribution Plan, Goldman Sachs is entitled to a quarterly fee for distribution
services equal, on an annual basis, up to .75% of ILA Class B's average daily
net assets.
The ILA Class B units of Prime Obligations Portfolio have adopted an
Authorized Dealer Service Plan (the "Service Plan") pursuant to which Goldman
Sachs and Authorized Dealers are compensated for providing personal and account
maintenance services. ILA Class B units pay a fee under this Service Plan equal,
on an annual basis, up to .25% of ILA Class B's average daily net assets.
4. Administration and Service Plans
ILA has adopted Administration and Service Plans. These plans allow for ILA
Administration units and ILA Service units, respectively, to compensate service
organizations for providing varying levels of account administration and
unitholder liaison services to their customers who are beneficial owners of such
units. The Administration and Service Plans provide for compensation to the
service
29
<PAGE>
Goldman Sachs Money Market Trust - Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
June 30, 1996
(Unaudited)
- --------------------------------------------------------------------------------
organizations in an amount up to .15% and .40% (on an annualized basis),
respectively, of the average daily net asset value of the respective units.
5. Line of Credit Facility
ILA participates in a $100,000,000 uncommitted, unsecured revolving line of
credit facility to be used solely for temporary or emergency purposes. Under the
most restrictive arrangement, each Portfolio must own securities having a market
value in excess of 300% of the total bank borrowings. The interest rate on the
borrowings is based on the Federal Funds rate. During the six months ended June
30, 1996, ILA did not have any borrowings under this facility.
6. Repurchase Agreements
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the value
of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping in the customer-only account of State Street
Bank & Trust Co., ILA's custodian, or at subcustodians. GSAM monitors the market
value of the underlying securities by pricing them daily.
7. Joint Repurchase Agreement Accounts
The ILA Portfolios, together with other registered investment companies having
advisory agreements with GSAM or its affiliates, transfer uninvested cash
balances into joint accounts, the daily aggregate balances of which are invested
in one or more repurchase agreements. The underlying securities for the
repurchase agreements are U.S. Treasury obligations.
As of June 30, 1996, the Prime Obligations, Money Market, Government and
Treasury Obligations Portfolios had, respectively, a 5.97%, 5.19%, 7.00% and
10.70% undivided interest in the repurchase agreements in the following joint
account which equaled $146,300,000, $127,200,000, $171,600,000 and $262,100,000
in principal amount, respectively. As of June 30, 1996, the repurchase
agreements in this joint account, along with the corresponding underlying
securities (including the type of security, market value, interest rate and
maturity date), were as follows:
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements
Chase Securities, Inc., dated 06/28/96, repurchase price $1,300,590,417
(U.S. Treasury Notes: $1,212,070,372, 4.75%-9.25%, 09/30/96-
02/15/03; U.S. Treasury Bills: $113,931,124, 08/15/96-06/26/97)
$1,300,000,000 5.45% 07/01/96 $ 1,300,000,000
Morgan Stanley & Co., dated 06/28/96, repurchase price $1,150,515,583
(U.S. Treasury Notes: $741,705,815, 5.25%-8.50%, 04/30/97-12/31/00;
U.S. Treasury Bills: $431,869,506, 08/15/96-06/26/97)
1,150,000,000 5.38 07/01/96 1,150,000,000
- -----------------------------------------------------------------------
Total Joint Repurchase Agreement Account $2,450,000,000
- -----------------------------------------------------------------------
</TABLE>
8. Other Matters
Pursuant to an SEC exemptive order, each taxable Portfolio may enter into
certain principal transactions, including repurchase agreements, with Goldman,
Sachs & Co., or its affiliate, Goldman Sachs Money Markets L.P. subject to
certain limitations which include the following: 25% of eligible security
transactions, as defined, and 10% of repurchase agreement transactions.
30
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights
Selected Data for a Unit Outstanding Throughout Each Period
Prime Obligations Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment operations
-------------------------------------
Net
Net asset realized Total Net asset
value at Net gain on Income from value at
beginning Investment Investment Investment Distributions end Total
of period Income transactions operations to unitholders of period return/(a)/
-----------------------------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... $1.00 $0.0255 -- $0.0255 $(0.0255) $1.00 5.23%/(b)/
1996-ILA Administration units (unaudited) 1.00 0.0248 -- 0.0248 (0.0248) 1.00 5.08/(b)/
1996-ILA Service units (unaudited)....... 1.00 0.0237 -- 0.0237 (0.0237) 1.00 4.82/(b)/
1996-ILA Class B units (unaudited)/(c)/.. 1.00 0.0070 -- 0.0070 (0.0070) 1.00 3.85/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 1.00 0.0566 -- 0.0566 (0.0566) 1.00 5.79
1995-ILA Administration units............ 1.00 0.0551 -- 0.0551 (0.0551) 1.00 5.63
1995-ILA Service units................... 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.37
1994-ILA units........................... 1.00 0.0394 -- 0.0394 (0.0394) 1.00 4.07
1994-ILA Administration units............ 1.00 0.0379 -- 0.0379 (0.0379) 1.00 3.91
1994-ILA Service units................... 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.66
1993-ILA units........................... 1.00 0.0291 0.0002 0.0293 (0.0293) 1.00 2.97
1993-ILA Administration units............ 1.00 0.0275 0.0003 0.0278 (0.0278) 1.00 2.82
1993-ILA Service units................... 1.00 0.0250 0.0001 0.0251 (0.0252) 1.00 2.56
1992-ILA units........................... 1.00 0.0364 0.0010 0.0374 (0.0374) 1.00 3.75
1992-ILA Administration units............ 1.00 0.0339 0.0010 0.0349 (0.0349) 1.00 3.60
1992-ILA Service units................... 1.00 0.0311 0.0010 0.0321 (0.0320) 1.00 3.34
1991-ILA units........................... 1.00 0.0591 0.0003 0.0594 (0.0594) 1.00 6.10
1991-ILA Administration units............ 1.00 0.0568 0.0003 0.0571 (0.0571) 1.00 5.94
1991-ILA Service units................... 1.00 0.0558 0.0003 0.0561 (0.0561) 1.00 5.68
1990-ILA units........................... 1.00 0.0793 -- 0.0793 (0.0793) 1.00 8.21
1990-ILA Administration units /(c)/...... 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.81/(b)/
1990-ILA Service units /(c)/............. 1.00 0.0425 -- 0.0425 (0.0425) 1.00 7.56/(b)/
1989-ILA units........................... 1.00 0.0890 -- 0.0890 (0.0890) 1.00 9.27
1988-ILA units........................... 1.00 0.0714 -- 0.0714 (0.0714) 1.00 7.48
1987-ILA units........................... 1.00 0.0634 -- 0.0634 (0.0634) 1.00 6.50
1986-ILA units........................... 1.00 0.0644 0.0001 0.0645 (0.0645) 1.00 6.67
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Ratio of net Net Ratio of net
Ratio of Net Investment assets at Ratio of net Investment
expenses to Income to end of expenses to Income to
average net average net period average net average net
assets assets (In 000's) assets assets
-----------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... 0.41%/(b)/ 5.12%/(b)/ $1,185,681 0.42%/(b)/ 5.11%/(b)/
1996-ILA Administration units (unaudited) 0.56/(b)/ 4.98/(b)/ 56,752 0.57/(b)/ 4.97/(b)/
1996-ILA Service units (unaudited)....... 0.81/(b)/ 4.75/(b)/ 89,832 0.82/(b)/ 4.74/(b)/
1996-ILA Class B units (unaudited)/(c)/.. 1.41/(b)/ 4.73/(b)/ -- 1.42/(b)/ 4.72/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 0.41 5.66 1,261,251 0.43 5.64
1995-ILA Administration units............ 0.56 5.51 63,018 0.58 5.49
1995-ILA Service units................... 0.81 5.22 227,233 0.83 5.20
1994-ILA units........................... 0.40 3.94 1,963,846 0.42 3.92
1994-ILA Administration units............ 0.55 3.79 149,234 0.57 3.77
1994-ILA Service units................... 0.80 3.65 170,453 0.82 3.63
1993-ILA units........................... 0.40 2.91 2,332,771 0.42 2.89
1993-ILA Administration units............ 0.55 2.75 189,431 0.57 2.73
1993-ILA Service units................... 0.80 2.50 137,804 0.82 2.48
1992-ILA units........................... 0.40 3.64 3,444,591 0.42 3.62
1992-ILA Administration units............ 0.55 3.39 257,321 0.57 3.37
1992-ILA Service units................... 0.80 3.11 22,044 0.82 3.09
1991-ILA units........................... 0.40 5.91 3,531,736 0.42 5.89
1991-ILA Administration units............ 0.55 5.68 198,417 0.57 5.66
1991-ILA Service units................... 0.80 5.58 18,789 0.82 5.56
1990-ILA units........................... 0.38 7.93 2,833,541 0.38 7.93
1990-ILA Administration units /(c)/...... 0.55/(b)/ 7.62/(b)/ 209,272 0.55/(b)/ 7.62/(b)/
1990-ILA Service units /(c)/............. 0.80/(b)/ 7.25/(b)/ 19,039 0.80/(b)/ 7.25/(b)/
1989-ILA units........................... 0.40 8.90 3,761,964 0.40 8.90
1988-ILA units........................... 0.40 7.14 3,799,628 0.40 7.14
1987-ILA units........................... 0.40 6.34 5,814,280 0.40 6.34
1986-ILA units........................... 0.40 6.44 4,654,076 0.40 6.44
- ------------------------------------
</TABLE>
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June of 1990.
ILA Class B unit activity commenced during May of 1996.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
31
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
Selected Data for a Unit Outstanding Throughout Each Period
Money Market Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-------------------------------------
Net
Net asset realized Total Net asset
value at Net gain on income from value at
beginning investment investment investment Distributions end Total
of period income transactions operations to unitholders of period return/(a)/
---------------------------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... $1.00 $0.0257 -- $0.0257 $(0.0257) $1.00 5.28%/(b)/
1996-ILA Administration units (unaudited) 1.00 0.0249 -- 0.0249 (0.0249) 1.00 5.12/(b)/
1996-ILA Service units (unaudited)....... 1.00 0.0236 -- 0.0236 (0.0236) 1.00 4.86/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 1.00 0.0571 -- 0.0571 (0.0571) 1.00 5.85
1995-ILA Administration units............ 1.00 0.0555 -- 0.0555 (0.0555) 1.00 5.69
1995-ILA Service units................... 1.00 0.0529 -- 0.0529 (0.0529) 1.00 5.43
1994-ILA units........................... 1.00 0.0401 -- 0.0401 (0.0401) 1.00 4.13
1994-ILA Administration units............ 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.98
1994-ILA Service units................... 1.00 0.0364 -- 0.0364 (0.0364) 1.00 3.72
1993-ILA units........................... 1.00 0.0296 0.0003 0.0299 (0.0299) 1.00 3.03
1993-ILA Administration units............ 1.00 0.0281 0.0003 0.0284 (0.0284) 1.00 2.88
1993-ILA Service units................... 1.00 0.0257 0.0002 0.0259 (0.0259) 1.00 2.62
1992-ILA units........................... 1.00 0.0368 0.0004 0.0372 (0.0372) 1.00 3.76
1992-ILA Administration units............ 1.00 0.0356 0.0004 0.0360 (0.0360) 1.00 3.61
1992-ILA Service units................... 1.00 0.0358 0.0006 0.0364 (0.0364) 1.00 3.35
1991-ILA units........................... 1.00 0.0591 0.0004 0.0595 (0.0595) 1.00 6.12
1991-ILA Administration units............ 1.00 0.0574 0.0004 0.0578 (0.0578) 1.00 5.96
1991-ILA Service units................... 1.00 0.0547 0.0004 0.0551 (0.0551) 1.00 5.70
1990-ILA units........................... 1.00 0.0793 0.0001 0.0794 (0.0794) 1.00 8.24
1990-ILA Administration units /(c)/...... 1.00 0.0424 0.0001 0.0425 (0.0425) 1.00 7.86/(b)/
1990-ILA Service units /(c)/............. 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.61/(b)/
1989-ILA units........................... 1.00 0.0885 0.0001 0.0886 (0.0886) 1.00 9.31
1988-ILA units........................... 1.00 0.0751 -- 0.0751 (0.0751) 1.00 7.66
For the Period December 2, 1987 (commencement of operations) through December 31,
- ---------------------------------------------------------------------------------
1987-ILA units........................... 1.00 0.0063 -- 0.0063 (0.0063) 1.00 7.38/(b)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (In 000's) assets assets
-----------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... 0.36%/(b)/ 5.16%/(b)/ $694,778 0.43%/(b)/ 5.09%/(b)/
1996-ILA Administration units (unaudited) 0.51/(b)/ 5.00/(b)/ 199,546 0.58/(b)/ 4.93/(b)/
1996-ILA Service units (unaudited)....... 0.76/(b)/ 4.75/(b)/ 30,111 0.83/(b)/ 4.68/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 0.36 5.71 574,155 0.42 5.65
1995-ILA Administration units............ 0.51 5.55 164,422 0.57 5.49
1995-ILA Service units................... 0.76 5.29 23,080 0.82 5.23
1994-ILA units........................... 0.35 4.01 559,470 0.43 3.93
1994-ILA Administration units............ 0.50 3.88 145,867 0.58 3.80
1994-ILA Service units................... 0.75 3.61 21,862 0.83 3.53
1993-ILA units........................... 0.35 2.96 699,604 0.43 2.88
1993-ILA Administration units............ 0.50 2.81 150,452 0.58 2.73
1993-ILA Service units................... 0.75 2.57 11,166 0.83 2.49
1992-ILA units........................... 0.35 3.68 884,571 0.43 3.60
1992-ILA Administration units............ 0.50 3.56 187,445 0.58 3.48
1992-ILA Service units................... 0.75 3.58 15,114 0.83 3.50
1991-ILA units........................... 0.35 5.91 1,153,191 0.42 5.84
1991-ILA Administration units............ 0.50 5.74 210,330 0.57 5.67
1991-ILA Service units................... 0.75 5.47 56,586 0.82 5.40
1990-ILA units........................... 0.35 7.93 924,141 0.40 7.88
1990-ILA Administration units /(c)/...... 0.50/(b)/ 7.63/(b)/ 204,477 0.55/(b)/ 7.58/(b)/
1990-ILA Service units /(c)/............. 0.75/(b)/ 7.46/(b)/ 38,128 0.80/(b)/ 7.41/(b)/
1989-ILA units........................... 0.35 8.85 1,295,389 0.40 8.80
1988-ILA units........................... 0.27 7.51 701,105 0.40 7.38
For the Period December 2, 1987 (commencement of operations) through December 31,
- ---------------------------------------------------------------------------------
1987-ILA units........................... 0.15/(b)/ 7.62/(b)/ 183,633 0.40/(b)/ 7.37/(b)/
- -----------------
</TABLE>
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June of 1990.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Government Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment operations
-------------------------------------
Net
Net asset realized Total Net asset
value at Net gain(loss) Income from value at
beginning Investment on investment Investment Distributions end Total
of period Income transactions operations to unitholders of period return/(a)/
---------------------------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... $1.00 $0.0251 -- $0.0251 $(0.0251) $1.00 5.16%/(b)/
1996-ILA Administration units (unaudited) 1.00 0.0244 -- 0.0244 (0.0244) 1.00 5.00/(b)/
1996-ILA Service units (unaudited)....... 1.00 0.0231 -- 0.0231 (0.0231) 1.00 4.74/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 1.00 0.0562 0.0002 0.0564 (0.0564) 1.00 5.77
1995-ILA Administration units............ 1.00 0.0519 0.0002 0.0551 (0.0551) 1.00 5.62
1995-ILA Service units................... 1.00 0.0519 0.0002 0.0521 (0.0521) 1.00 5.35
1994-ILA units........................... 1.00 0.0378 0.0002 0.0380 (0.0380) 1.00 3.94
1994-ILA Administration units............ 1.00 0.0362 0.0002 0.0364 (0.0364) 1.00 3.79
1994-ILA Service units................... 1.00 0.0350 0.0002 0.0352 (0.0352) 1.00 3.53
1993-ILA units........................... 1.00 0.0262 0.0008 0.0290 (0.0291) 1.00 2.94
1993-ILA Administration units............ 1.00 0.0267 0.0008 0.0275 (0.0276) 1.00 2.79
1993-ILA Service units................... 1.00 0.0242 0.0006 0.0248 (0.0250) 1.00 2.53
1992-ILA units........................... 1.00 0.0338 0.0027 0.0365 (0.0364) 1.00 3.70
1992-ILA Administration units............ 1.00 0.0325 0.0027 0.0352 (0.0351) 1.00 3.55
1992-ILA Service units................... 1.00 0.0309 0.0030 0.0339 (0.0336) 1.00 3.29
1991-ILA units........................... 1.00 0.0567 0.0011 0.0578 (0.0578) 1.00 5.91
1991-ILA Administration units............ 1.00 0.0545 0.0011 0.0556 (0.0556) 1.00 5.75
1991-ILA Service units................... 1.00 0.0522 0.0011 0.0533 (0.0533) 1.00 5.49
1990-ILA units........................... 1.00 0.0779 0.0003 0.0782 (0.0782) 1.00 8.11
1990-ILA Administration units /(c)/...... 1.00 0.0439 0.0004 0.0443 (0.0443) 1.00 7.74/(b)/
1990-ILA Service units /(c)/............. 1.00 0.0359 0.0002 0.0361 (0.0363) 1.00 7.42/(b)/
1989-ILA units........................... 1.00 0.0877 0.0001 0.0878 (0.0878) 1.00 9.15
1988-ILA units........................... 1.00 0.0716 0.0002 0.0718 (0.0718) 1.00 7.42
1987-ILA units........................... 1.00 0.0622 0.0001 0.0623 (0.0624) 1.00 6.43
1986-ILA units........................... 1.00 0.0629 0.0011 0.0640 (0.0641) 1.00 6.65
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Ratio of net Net Ratio of net
Ratio of Net Investment assets at Ratio of net investment
expenses to Income to end of expenses to Income to
average net average net period average net average net
assets assets (in 000's) assets assets
-----------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... 0.41%/(b)/ 5.04%/(b)/ $564,540 0.44%/(b)/ 5.01%/(b)/
1996-ILA Administration units (unaudited) 0.56/(b)/ 4.89/(b)/ 41,395 0.59/(b)/ 4.86/(b)/
1996-ILA Service units (unaudited)....... 0.81/(b)/ 4.64/(b)/ 78,100 0.84/(b)/ 4.61/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 0.41 5.62 570,469 0.43 5.60%
1995-ILA Administration units............ 0.56 5.49 47,558 0.58 5.47
1995-ILA Service units................... 0.81 5.19 85,401 0.83 5.17
1994-ILA units........................... 0.40 3.78 881,520 0.44 3.74
1994-ILA Administration units............ 0.55 3.62 95,483 0.59 3.58
1994-ILA Service units................... 0.80 3.50 156,930 0.84 3.46
1993-ILA units........................... 0.40 2.82 1,315,378 0.43 2.79
1993-ILA Administration units............ 0.55 2.67 161,845 0.58 2.64
1993-ILA Service units................... 0.80 2.42 101,272 0.83 2.39
1992-ILA units........................... 0.40 3.38 1,765,472 0.42 3.36
1992-ILA Administration units............ 0.55 3.25 461,542 0.57 3.23
1992-ILA Service units................... 0.80 3.09 56,389 0.82 3.07
1991-ILA units........................... 0.40 5.67 2,103,627 0.43 5.64
1991-ILA Administration units............ 0.55 5.45 464,060 0.58 5.42
1991-ILA Service units................... 0.80 5.22 200,176 0.83 5.19
1990-ILA units........................... 0.39 7.79 2,203,756 0.39 7.79
1990-ILA Administration units /(c)/...... 0.55/(b)/ 7.49/(b)/ 296,313 0.55/(b)/ 7.49/(b)/
1990-ILA Service units /(c)/............. 0.80/(b)/ 7.15/(b)/ 132,558 0.80/(b)/ 7.13/(b)/
1989-ILA units........................... 0.40 8.77 2,268,330 0.40 8.77
1988-ILA units........................... 0.40 7.16 2,197,796 0.40 7.16
1987-ILA units........................... 0.40 6.22 2,243,870 0.40 6.22
1986-ILA units........................... 0.40 6.29 2,401,140 0.40 6.29
- ------------------------------------
</TABLE>
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June of 1990,
respectively.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
33
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Obligations Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment operations
-------------------------------------
Net
Net asset realized Total Net asset
value at Net gain on Income from value at
beginning Investment Investment Investment Distributions end Total
of period Income transactions operations to unitholders of period return/(a)/
---------------------------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... $1.00 $0.0247 $0.0002 $0.0249 $(0.0249) $1.00 5.12%/(b)/
1996-ILA Administration units (unaudited) 1.00 0.0238 0.0002 0.0240 (0.0241) 1.00 4.96/(b)/
1996-ILA Service units (unaudited)....... 1.00 0.0227 0.0001 0.0228 (0.0229) 1.00 4.70/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 1.00 0.0551 0.0007 0.0558 (0.0558) 1.00 5.73
1995-ILA Administration units............ 1.00 0.0537 0.0007 0.0544 (0.0544) 1.00 5.57
1995-ILA Service units................... 1.00 0.0511 0.0007 0.0518 (0.0518) 1.00 5.31
1994-ILA units........................... 1.00 0.0377 -- 0.0377 (0.0377) 1.00 3.91
1994-ILA Administration units............ 1.00 0.0368 -- 0.0368 (0.0368) 1.00 3.75
1994-ILA Service units................... 1.00 0.0040 -- 0.0340 (0.0340) 1.00 3.49
1993-ILA units........................... 1.00 0.0279 0.0006 0.0285 (0.0256) 1.00 2.89
1993-ILA Administration units............ 1.00 0.0264 0.0006 0.0270 (0.0270) 1.00 2.74
1993-ILA Service units................... 1.00 0.0239 0.0006 0.0245 (0.0246) 1.00 2.48
1992-ILA units........................... 1.00 0.0339 0.0025 0.0364 (0.0362) 1.00 3.65
1992-ILA Administration units............ 1.00 0.0320 0.0023 0.0343 (0.0343) 1.00 3.49
1992-ILA Service units................... 1.00 0.0294 0.0024 0.0318 (0.0318) 1.00 3.23
1991-ILA units........................... 1.00 0.0557 0.0018 0.0575 (0.0575) 1.00 5.90
1991-ILA Administration units............ 1.00 0.0540 0.0018 0.0558 (0.0558) 1.00 5.74
1991-ILA Service units................... 1.00 0.0515 0.0018 0.0503 (0.0533) 1.00 5.48
1990-ILA units........................... 1.00 0.0772 0.0002 0.0774 (0.0774) 1.00 8.05
1990-ILA Administration units /(c)/...... 1.00 0.0413 0.0002 0.0415 (0.0415) 1.00 7.67/(b)/
1990-ILA Service units /(c)/............. 1.00 0.0417 0.0003 0.0420 (0.0421) 1.00 7.42/(b)/
1989-ILA units........................... 1.00 0.0864 0.0005 0.0869 (0.0369) 1.00 9.06
1988-ILA units........................... 1.00 0.0704 0.0004 0.0703 (0.0708) 1.00 7.30
1987-ILA units........................... 1.00 0.0617 0.0002 0.0619 (0.0619) 1.00 6.32
1986-ILA units........................... 1.00 0.0625 0.0012 0.0637 (0.0637) 1.00 6.63
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Ratio of net Net Ratio of net
Ratio of net Investment assets at Ratio of net Investment
expenses to Income to end of expenses to Income to
average net average net period average net average net
assets assets (In 000's) assets assets
-----------------------------------------------------------------------
For the Six Months Ended June 30,
- ---------------------------------
<S>...................................... <C> <C> <C> <C> <C>
1996-ILA units (unaudited)............... 0.41%/(b)/ 4.97%/(b)/ $ 649,210 0.43%/(b)/ 4.95%/(b)/
1996-ILA Administration units (unaudited) 0.56/(b)/ 4.90/(b)/ 74,899 0.58/(b)/ 4.78/(b)/
1996-ILA Service units (unaudited)....... 0.81/(b)/ 4.57/(b)/ 136,012 0.83/(b)/ 4.55/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units........................... 0.41 5.51 711,209 0.43 5.49
1995-ILA Administration units............ 0.56 5.37 92,643 0.58 5.35
1995-ILA Service units................... 0.81 5.11 119,692 0.83 5.09
1994-ILA units........................... 0.40 3.77 713,816 0.44 3.73
1994-ILA Administration units............ 0.55 3.68 97,626 0.59 3.64
1994-ILA Service units................... 0.80 3.39 108,972 0.84 3.35
1993-ILA units........................... 0.40 2.79 969,565 0.43 2.76
1993-ILA Administration units............ 0.55 2.64 121,327 0.58 2.61
1993-ILA Service units................... 0.80 2.39 185,506 0.83 2.36
1992-ILA units........................... 0.40 3.39 1,328,836 0.43 3.36
1992-ILA Administration units............ 0.55 3.20 152,804 0.58 3.17
1992-ILA Service units................... 0.80 2.94 183,208 0.83 2.91
1991-ILA units........................... 0.40 5.57 1,709,321 0.43 5.54
1991-ILA Administration units............ 0.55 5.40 146,795 0.58 5.37
1991-ILA Service units................... 0.80 5.15 154,419 0.83 5.12
1990-ILA units........................... 0.39 7.72 1,816,991 0.39 7.72
1990-ILA Administration units /(c)/...... 0.55/(b)/ 7.42/(b)/ 132,088 0.55/(b)/ 7.42/(b)/
1990-ILA Service units /(c)/............. 0.80/(b)/ 7.11/(b)/ 148,323 0.80/(b)/ 7.11/(b)/
1989-ILA units........................... 0.40 8.64 1,769,974 0.40 8.64
1988-ILA units........................... 0.40 7.04 1,657,215 0.40 7.04
1987-ILA units........................... 0.40 6.17 1,693,767 0.40 6.17
1986-ILA units........................... 0.40 6.25 1,625,331 0.40 6.25
- ------------------------------------
</TABLE>
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) LA Administration and Service unit activity commenced during June an July
of 1990.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Instruments Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
---------------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investments to end
of period income transactions operations unitholders of period
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited) . $1.00 $0.0247 $0.0001 $0.0248 $(0.0247) $1.00
1996-ILA Administration
units (unaudited) ....... 1.00 0.0240 0.0001 0.0241 (0.0241) 1.00
1996-ILA Service units
(unaudited) ............. 1.00 0.0226 0.0001 0.0227 (0.0227) 1.00
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 1.00 0.0550 0.0006 0.0556 (0.0556) 1.00
1995-ILA Administration
units ................... 1.00 0.0534 0.0007 0.0541 (0.0540) 1.00
1995-ILA Service units ..... 1.00 0.0500 0.0005 0.0505 (0.0505) 1.00
1994-ILA units ............. 1.00 0.0397 0.0001 0.0398 (0.0398) 1.00
1994-ILA Administration
units ................... 1.00 0.0397 0.0001 0.0398 (0.0398) 1.00
1994-ILA Service units ..... 1.00 0.0371 0.0001 0.0372 (0.0372) 1.00
1993-ILA units ............. 1.00 0.0288 0.0006 0.0294 (0.0294) 1.00
1993-ILA Administration
units ................... 1.00 0.0273 0.0006 0.0279 (0.0279) 1.00
1993-ILA Service units ..... 1.00 0.0248 0.0006 0.0254 (0.0254) 1.00
1992-ILA units ............. 1.00 0.0338 0.0012 0.0350 (0.0350) 1.00
1992-ILA Administration
units ................... 1.00 0.0326 0.0012 0.0338 (0.0338) 1.00
1992-ILA Service units ..... 1.00 0.0275 0.0011 0.0286 (0.0286) 1.00
For the Period January 30, 1991 (commencement of operations) through December 31,
- ---------------------------------------------------------------------------------
1991-ILA units ............. 1.00 0.0486 0.0013 0.0499 (0.0499) 1.00
1991-ILA Administration 1.00 0.0210 0.0010 0.0220 (0.0220) 1.00
units /(c)/..............
1991-ILA Service units /(c)/ 1.00 0.0473 0.0009 0.0482 (0.0482) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to and expenses to income to
Total average net average net of period average net average net
return/(a)/ assets assets in (000's) assets assets
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited) . 5.08%/(b)/ 0.21%/(b)/ 4.96%/(b)/ $600,891 0.43%/(b)/ 4.74%/(b)/
1996-ILA Administration
units (unaudited) ....... 4.92/(b)/ 0.36/(b)/ 4.83/(b)/ 105,397 0.58/(b)/ 4.61/(b)/
1996-ILA Service units
(unaudited) ............. 4.66/(b)/ 0.61/(b)/ 4.55/(b)/ 431,255 0.83/(b)/ 4.33/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 5.70 0.21 5.50 586,294 0.44 5.27
1995-ILA Administration
units ................... 5.54 0.36 5.34 68,713 0.59 5.11
1995-ILA Service units ..... 5.28 0.61 5.00 123,254 0.84 4.77
1994-ILA units ............. 4.01 0.20 3.96 547,351 0.43 3.73
1994-ILA Administration
units ................... 3.85 0.35 3.97 64,388 0.58 3.74
1994-ILA Service units ..... 3.59 0.60 3.72 74,451 0.83 3.49
1993-ILA units ............. 2.98 0.20 2.88 456,411 0.44 2.64
1993-ILA Administration
units ................... 2.83 0.35 2.73 26,553 0.59 2.49
1993-ILA Service units ..... 2.57 0.60 2.48 34,014 0.84 2.24
1992-ILA units ............. 3.54 0.18 3.38 422,506 0.45 3.11
1992-ILA Administration
units ................... 3.38 0.33 3.26 6,915 0.60 2.99
1992-ILA Service units ..... 3.13 0.58 2.75 29,522 0.85 2.48
For the Period January 30, 1991 (commencement of operations) through December 31,
- ---------------------------------------------------------------------------------
1991-ILA units ............. 5.75/(b)/ 0.10/(b)/ 5.28/(b)/ 424,436 0.45/(b)/ 4.93/(b)/
1991-ILA Administration
units /(c)/.............. 5.21/(b)/ 0.25/(b)/ 4.77/(b)/ 17,649 0.60/(b)/ 4.42/(b)/
1991-ILA Service units /(c)/ 5.33/(b)/ 0.50/(b)/ 5.13/(b)/ 9,430 0.85/(b)/ 4.78/(b)/
</TABLE>
- -------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/ILA Administration and Service unit activity commenced during July and
January of 1991, respectively.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Federal Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
---------------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investments to end
of period income transactions operations unitholders of period
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited).. $1.00 $0.0255 -- $0.0255 $(0.0255) $1.00
1996-ILA Administration
units (unaudited) ....... 1.00 0.0247 -- 0.0247 (0.0247) 1.00
1996-ILA Service units
(unaudited) ............. 1.00 0.0235 -- 0.0235 (0.0235) 1.00
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 1.00 0.0569 -- 0.0569 (0.0569) 1.00
1995-ILA Administration
units ................... 1.00 0.0550 -- 0.0550 (0.0550) 1.00
1995-ILA Service units ..... 1.00 0.0522 -- 0.0522 (0.0522) 1.00
1994-ILA units ............. 1.00 0.0407 -- 0.0407 (0.0407) 1.00
1994-ILA Administration
units ................... 1.00 0.0388 -- 0.0388 (0.0388) 1.00
1994-ILA Service units ..... 1.00 0.0392 -- 0.0392 (0.0392) 1.00
1993-ILA units ............. 1.00 0.0296 -- 0.0296 (0.0296) 1.00
1993-ILA Administration
units ................... 1.00 0.0281 -- 0.0281 (0.0281) 1.00
1993-ILA Service units/(c)/. 1.00 0.0157 -- 0.0157 (0.0157) 1.00
1992-ILA units ............. 1.00 0.0358 -- 0.0358 (0.0358) 1.00
1992-ILA Administration
units ................... 1.00 0.0340 -- 0.0340 (0.0340) 1.00
1991-ILA units ............. 1.00 0.0576 -- 0.0576 (0.0576) 1.00
1991-ILA Administration
units ................... 1.00 0.0542 -- 0.0542 (0.0542) 1.00
1991-ILA Service units/(c)/. 1.00 0.0196 -- 0.0196 (0.0196) 1.00
1990-ILA units ............. 1.00 0.0772 -- 0.0772 (0.0772) 1.00
1990-ILA Administration
units/(d)/............... 1.00 0.0205 -- 0.0205 (0.0205) 1.00
For the Period May 22, 1989 (commencement of operations) through
December 31,
- -------------------------------------------------------------------
1989-ILA units ............. 1.00 0.0516 -- 0.0516 (0.0516) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to and expenses to income to
Total average net average net of period average net average net
return/(a)/ assets assets in (000's) assets assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited).. 5.24%/(b)/ 0.26%/(b)/ 5.13%/(b)/ $1,995,554 0.42%/(b)/ 4.97%/(b)/
1996-ILA Administration
units (unaudited) ....... 5.08/(b)/ 0.41/(b)/ 4.98/(b)/ 632,841 0.57/(b)/ 4.82/(b)/
1996-ILA Service units
(unaudited) ............. 4.82/(b)/ 0.66/(b)/ 4.72/(b)/ 141,125 0.82/(b)/ 4.56/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 5.83 0.26% 5.69 $1,731,935 0.42 5.53
1995-ILA Administration
units ................... 5.67 0.41 5.50 516,917 0.57 5.34
1995-ILA Service units ..... 5.41 0.66 5.22 102,576 0.82 5.06
1994-ILA units ............. 4.11 0.25 4.07 1,625,567 0.42 3.90
1994-ILA Administration
units ................... 3.95 0.40 3.88 329,896 0.57 3.71
1994-ILA Service units ..... 3.69 0.65 3.92 15,539 0.82 3.75
1993-ILA units ............. 3.00 0.25 2.96 1,430,292 0.42 2.79
1993-ILA Administration
units ................... 2.84 0.40 2.81 362,401 0.57 2.64
1993-ILA Service units/(c)/. 2.56/(b)/ 0.65/(b)/ 2.54/(b)/ 1,425 0.82/(b)/ 2.37/(b)/
1992-ILA units ............. 3.61 0.25 3.58 1,600,989 0.42 3.41
1992-ILA Administration
units ................... 3.46 0.40 3.40 312,792 0.57 3.23
1991-ILA units ............. 5.94 0.25 5.76 1,656,232 0.42 5.59
1991-ILA Administration
units ................... 5.78 0.40 5.42 291,810 0.57 5.25
1991-ILA Service units/(c)/. 5.55/(b)/ 0.65/(b)/ 5.56/(b)/ -- 0.82/(b)/ 5.39/(b)/
1990-ILA units ............. 8.06 0.25 7.72 1,368,765 0.40 7.57
1990-ILA Administration
units/(d)/.............. 7.39/(b)/ 0.40/(b)/ 7.25/(b)/ 90,748 0.55/(b)/ 7.10/(b)/
For the Period May 22, 1989 (commencement of operations) through
December 31,
- -------------------------------------------------------------------
1989-ILA units ............. 7.62/(b)/ 0.19/(b)/ 8.41/(b)/ 455,230 0.40/(b)/ 8.20/(b)/
- --------
</TABLE>
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/ILA Service unit activity commenced during April of 1991; no shares were
outstanding during the period from August 7, 1991 through May 15, 1993.
/(d)/ILA Administration unit activity commenced during September of 1990.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt Diversified Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
---------------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investments to end
of period income transactions operations unitholders of period
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited).. $1.00 $0.0159 -- $0.0159 $(0.0159) $1.00
1996-ILA Administration
units (unaudited)........ 1.00 0.0152 -- 0.0152 (0.0152) 1.00
1996-ILA Service units
(unaudited).............. 1.00 0.0139 -- 0.0139 (0.0139) 1.00
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 1.00 0.0365 -- 0.0365 (0.0365) 1.00
1995-ILA Administration
units ................... 1.00 0.0351 -- 0.0351 (0.0352) 1.00
1995-ILA Service units ..... 1.00 0.0324 -- 0.0324 (0.0325) 1.00
1994-ILA units ............. 1.00 0.0264 -- 0.0264 (0.0264) 1.00
1994-ILA Administration
units ................... 1.00 0.0250 -- 0.0250 (0.0250) 1.00
1994-ILA Service units ..... 1.00 0.0220 -- 0.0220 (0.0220) 1.00
1993-ILA units ............. 1.00 0.0222 -- 0.0222 (0.0222) 1.00
1993-ILA Administration
units ................... 1.00 0.0207 -- 0.0207 (0.0207) 1.00
1993-ILA Service units ..... 1.00 0.0183 -- 0.0183 (0.0183) 1.00
1992-ILA units ............. 1.00 0.0277 -- 0.0277 (0.0277) 1.00
1992-ILA Administration
units ................... 1.00 0.0266 -- 0.0266 (0.0266) 1.00
1992-ILA Service units ..... 1.00 0.0243 -- 0.0243 (0.0243) 1.00
1991-ILA units ............. 1.00 0.0424 -- 0.0424 (0.0424) 1.00
1991-ILA Administration
units ................... 1.00 0.0406 -- 0.0406 (0.0406) 1.00
1991-ILA Service units ..... 1.00 0.0386 -- 0.0386 (0.0386) 1.00
1990-ILA units ............. 1.00 0.0550 (0.0001) 0.0549 (0.0549) 1.00
1990-ILA Administration
units /(c)/.............. 1.00 0.0301 -- 0.0301 (0.0300) 1.00
1990-ILA Service units /(c)/ 1.00 0.0259 -- 0.0259 (0.0259) 1.00
1989-ILA units ............. 1.00 0.0591 (0.0001) 0.0590 (0.0590) 1.00
1988-ILA units ............. 1.00 0.0487 0.0003 0.0490 (0.0490) 1.00
1987-ILA units ............. 1.00 0.0413 (0.0003) 0.0410 (0.0410) 1.00
1986-ILA units ............. 1.00 0.0426 -- 0.0426 (0.0426) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to and expenses to income to
Total average net average net of period average net average net
return/(a)/ assets assets in (000's) assets assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited).. 3.25%/(a)/ 0.31%/(a)/ 3.21%/(a)/ $1,317,621 0.41%/(a)/ 3.11%/(a)/
1996-ILA Administration
units (unaudited)........ 3.10/(a)/ 0.46/(a)/ 3.05/(a)/ 36,247 0.56/(a)/ 2.95/(a)/
1996-ILA Service units
(unaudited).............. 2.84/(a)/ 0.71/(a)/ 2.79/(a)/ 28,912 0.81/(a)/ 2.69/(a)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 3.72 0.31 3.65 $1,342,585 0.42 3.54
1995-ILA Administration
units ................... 3.57 0.46 3.51 48,773 0.57 3.40
1995-ILA Service units ..... 3.31 0.71 3.24 49,647 0.82 3.13
1994-ILA units ............. 2.71 0.30 2.64 1,434,965 0.41 2.53
1994-ILA Administration
units ................... 2.55 0.45 2.50 97,778 0.56 2.39
1994-ILA Service units ..... 2.30 0.70 2.20 36,492 0.81 2.09
1993-ILA units ............. 2.25 0.30 2.22 1,769,477 0.41 2.11
1993-ILA Administration
units ................... 2.09 0.45 2.08 99,896 0.56 1.97
1993-ILA Service units ..... 1.84 0.70 1.83 45,172 0.81 1.72
1992-ILA units ............. 2.82 0.30 2.77 1,333,925 0.42 2.65
1992-ILA Administration
units ................... 2.67 0.45 2.66 50,225 0.57 2.54
1992-ILA Service units ..... 2.41 0.70 2.43 29,534 0.82 2.31
1991-ILA units ............. 4.33 0.32 4.24 1,044,986 0.42 4.14
1991-ILA Administration
units ................... 4.17 0.47 4.06 37,567 0.57 3.96
1991-ILA Service units ..... 3.91 0.72 3.86 52,399 0.82 3.76
1990-ILA units ............. 5.64 0.40 5.50 603,895 0.40 5.50
1990-ILA Administration
units /(c)/................ 5.43/(a)/ 0.55/(a)/ 5.40/(a)/ 42,498 0.55/(a)/ 5.40/(a)/
1990-ILA Service units /(c)/.. 5.17/(a)/ 0.80/(a)/ 5.16/(a)/ 56,810 0.80/(a)/ 5.16/(a)/
1989-ILA units ............. 6.07 0.40 5.91 688,556 0.40 5.91
1988-ILA units ............. 5.03 0.40 4.87 907,782 0.40 4.87
1987-ILA units ............. 4.23 0.40 4.13 965,714 0.40 4.13
1986-ILA units ............. 4.45 0.40 4.26 1,492,752 0.40 4.26
</TABLE>
- -------------
/(a)/Annualized.
/(b)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(c)/ILA Administration and Service unit activity commenced during June and July
of 1990, respectively.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
37
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt California Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
---------------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investments to end
of period income transactions operations unitholders of period
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- --------------------------------
1996-ILA units (unaudited) . $1.00 $0.0150 -- $0.0150 $(0.0150) $1.00
1996-ILA Administration
units (unaudited) ....... 1.00 0.0142 -- 0.0142 (0.0142) 1.00
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 1.00 0.0349 -- 0.0349 (0.0350) 1.00
1995-ILA Administration
units ................... 1.00 0.0332 -- 0.0332 (0.0332) 1.00
1994-ILA units ............. 1.00 0.0250 -- 0.0250 (0.0250) 1.00
1994-ILA Administration
units ................... 1.00 0.0233 -- 0.0233 (0.0233) 1.00
1993-ILA units ............. 1.00 0.0206 -- 0.0206 (0.0206) 1.00
1993-ILA Administration
units ................... 1.00 0.0191 -- 0.0191 (0.0191) 1.00
1993-ILA Service units ..... 1.00 0.0166 -- 0.0166 (0.0166) 1.00
1992-ILA units ............. 1.00 0.0256 (0.0001) 0.0255 (0.0256) 1.00
1992-ILA Administration
units ................... 1.00 0.0235 (0.0002) 0.0233 (0.0235) 1.00
1992-ILA Service units/(c)/. 1.00 0.0081 -- 0.0081 (0.0081) 1.00
1991-ILA units ............. 1.00 0.0388 -- 0.0388 (0.0388) 1.00
1991-ILA Administration
units ................... 1.00 0.0376 -- 0.0376 (0.0376) 1.00
1990-ILA units ............. 1.00 0.0511 (0.0001) 0.0510 (0.0511) 1.00
1990-ILA Administration
units/(c)/............... 1.00 0.0042 -- 0.0042 (0.0042) 1.00
1989-ILA units ............. 1.00 0.0573 (0.0001) 0.0572 (0.0572) 1.00
For the Period October 3, 1988 (commencement of operations) through December 31,
- --------------------------------------------------------------------------------
1988-ILA units ............. 1.00 0.0139 -- 0.0139 (0.0139) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to and expenses to income to
Total average net average net of period average net average net
return/(a)/ assets assets in (000's) assets assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited) . 3.06%/(b)/ 0.41%/(b)/ 3.01%/(b)/ $360,263 0.42%/(b)/ 3.00%/(b)/
1996-ILA Administration
units (unaudited) ....... 2.90/(b)/ 0.56/(b)/ 2.85/(b)/ 170 0.57/(b)/ 2.84/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 3.55 0.41 3.49 $346,728 0.41 3.49
1995-ILA Administration
units ................... 3.40 0.56 3.32 61 0.56 3.32
1994-ILA units ............. 2.53 0.40 2.50 227,399 0.41 2.49
1994-ILA Administration
units ................... 2.37 0.55 2.33 790 0.56 2.32
1993-ILA units ............. 2.09 0.40 2.06 229,839 0.44 2.02
1993-ILA Administration
units ................... 1.93 0.55 1.91 1,425 0.59 1.87
1993-ILA Service units ..... 1.68 0.76 1.66 -- 0.84 1.54
1992-ILA units ............. 2.62 0.40 2.56 161,868 0.47 2.49
1992-ILA Administration
units ................... 2.47 0.55 2.35 31 0.62 2.28
1992-ILA Service units/(c)/. 1.99/(b)/ 0.80/(b)/ 2.03/(b)/ 3 0.87/(b)/ 1.96/(b)/
1991-ILA units ............. 3.92 0.40 3.88 102,494 0.47 3.81
1991-ILA Administration
units ................... 3.80 0.55 3.76 13 0.62 3.69
1990-ILA units ............. 5.24 0.40 5.11 106,972 0.40 5.11
1990-ILA Administration
units/(c)/............... 5.14/(b)/ 0.55/(b)/ 5.33/(b)/ 68 0.55/(b)/ 5.33/(b)/
1989-ILA units ............. 5.93 0.40 5.73 112,463 0.40 5.73
For the Period October 3, 1988 (commencement of operations) through December 31,
- --------------------------------------------------------------------------------
1988-ILA units ............. 5.81/(b)/ 0.24/(b)/ 5.74/(b)/ 41,028 0.38/(b)/ 5.60/(b)/
</TABLE>
- -------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/ILA Administration and Service unit activity commenced during December of
1990 and August of 1992, respectively. No Service units were outstanding
for the years ended December 31, 1994, December 31, 1995 or the six months
ended June 30, 1996.
- --------------------------------------------------------------------------------
38
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt New York Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
---------------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investments to end
of period income transactions operations unitholders of period
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30,
- ---------------------------------
1996-ILA units (unaudited) . $1.00 $0.0149 -- $0.0149 $(0.0149) $1.00
1996-ILA Administration
units (unaudited) ....... 1.00 0.0142 -- 0.0142 (0.0142) 1.00
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 1.00 0.0344 -- 0.0344 (0.0344) 1.00
1995-ILA Administration
units ................... 1.00 0.0328 -- 0.0328 (0.0328) 1.00
1994-ILA units ............. 1.00 0.0262 -- 0.0262 (0.0262) 1.00
1994-ILA Administration
units ................... 1.00 0.0247 -- 0.0247 (0.0247) 1.00
1993-ILA units ............. 1.00 0.0221 -- 0.0221 (0.0221) 1.00
1993-ILA Administration
units ................... 1.00 0.0205 -- 0.0205 (0.0205) 1.00
1992-ILA units ............. 1.00 0.0265 -- 0.0265 (0.0265) 1.00
1992-ILA Administration
units ................... 1.00 0.0253 -- 0.0253 (0.0253) 1.00
For the Period February 15, 1991 (commencement of operations) through December 31,
- ----------------------------------------------------------------------------------
1991-ILA units ............. 1.00 0.0347 (0.0002) 0.0345 (0.0347) 1.00
1991-ILA Administration
units/(c)/............... 1.00 0.0330 -- 0.0330 (0.0330) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to and expenses to income to
Total average net average net of period average net average net
return/(a)/ assets assets in (000's) assets assets
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
For the Six Months Ended June 30
- --------------------------------
1996-ILA units (unaudited) . 3.05%/(b)/ 0.32%/(b)/ 3.00%/(b)/ $63,967 0.45%/(b)/ 2.87%/(b)/
1996-ILA Administration
units (unaudited) ....... 2.90/(b)/ 0.47/(b)/ 2.85/(b)/ 26,638 0.60/(b)/ 2.72/(b)/
For the Years Ended December 31,
- --------------------------------
1995-ILA units ............. 3.51 0.30 3.44 90,537 0.44 3.30
1995-ILA Administration
units ................... 3.35 0.45 3.28 26,724 0.59 3.14
1994-ILA units ............. 2.56 0.24 2.62 84,517 0.47 2.39
1994-ILA Administration
units ................... 2.41 0.39 2.47 38,970 0.62 2.24
1993-ILA units ............. 2.21 0.10 2.21 48,367 0.51 1.80
1993-ILA Administration
units ................... 2.05 0.25 2.05 20,306 0.66 1.64
1992-ILA units ............. 2.71 0.10 2.65 16,844 0.57 2.18
1992-ILA Administration
units ................... 2.55 0.25 2.53 14,641 0.72 2.06
For the Period February 15, 1991
- --------------------------------
1991-ILA units ............. 4.02/(b)/ 0.10/(b)/ 3.96/(b)/ 11,070 0.76/(b)/ 3.30/(b)/
1991-ILA Administration
units/(c)/............... 3.87/(b)/ 0.25/(b)/ 3.90/(b)/ 19,198 0.91/(b)/ 3.24/(b)/
</TABLE>
- -------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investmentat the net asset value at the end of the period.
/(b)/Annualized.
/(c)/ILA Administration unit activity commenced during February of 1991.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
39
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42
<PAGE>
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This Semiannual Report is authorized for distribution to prospective investors
only when preceded or accompanied by a Goldman Sachs Money Market
Trust--Institutional Liquid Assets Portfolios' Prospectus which contains facts
concerning each Fund's objectives and policies, management, expenses and other
information.
- --------------------------------------------------------------------------------
43
<PAGE>
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- --------------------------------------------------------------------------------
Goldman Sachs
1 New York Plaza
New York, NY 10004
Trustees
Ashok N. Bakhru, Chairman
David B. Ford
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
Officers
Doug Grip, President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Goldman Sachs
Investment Adviser,
Distributor and Transfer Agent
Goldman Sachs
Money Market Trust
Institutional
Liquid Assets
- ---------------------------------------------------------
Semiannual Report
June 30, 1996
Prime Obligations Portfolio
Money Market Portfolio
Government Portfolio
Treasury Obligations Portfolio
Treasury Instruments Portfolio
Federal Portfolio
Tax-Exempt Diversified Portfolio
Tax-Exempt California Portfolio
Tax-Exempt New York Portfolio
[LOGO OF GOLDMAN SACHS APPEARS HERE]
================================================================================
