<PAGE>
- --------------------------------------------------------------------------------
ILA Unitholder Letter/Annual Report
- --------------------------------------------------------------------------------
Dear Unitholders:
We welcome this opportunity to provide you with a summary of the trends and
key events that affected the economy and the Goldman Sachs Institutional Liquid
Assets (ILA) Portfolios in 1995. It has been a positive year for ILA in which
the Portfolios did well compared with their respective IBC/Donoghue benchmarks
while adhering to their conservative investment guidelines.
1995 in Review:
The Fed Changed Direction as the Economy Slowed
As 1995 began, the economy still showed some residual strength, which
prompted the Federal Reserve to increase the Federal funds rate by 50 basis
points to 6.00% last February in what was to be the last of seven rate hikes in
its tightening cycle. Subsequently, after it became clear that the economy had
slowed significantly, with annualized real Gross Domestic Product (GDP) rising
only modestly by 1.7% and 0.7% in the first and second quarters, the Fed
reversed course and lowered rates by 25 basis points in July. Though real GDP
rebounded to 3.2% in the third quarter, some of the increase was attributed to
an acceleration in government spending in anticipation of the budget debate.
With inflation at bay, the Fed eased again in December, bringing the Federal
funds rate to 5.50% by year end.
Historical Yield Curve (LIBOR)
<TABLE>
<CAPTION>
Historical Yield Curve (LIBOR)
Label A B
- -------------------------------------------------
<S> <C> <C> <C>
Label 12/31/95 12/31/94
- -------------------------------------------------
1. Overnight 5.88 5.64
- -------------------------------------------------
2. 1 5.75 6
- -------------------------------------------------
3. 2 5.69 6.25
- -------------------------------------------------
4. 3 5.63 6.5
- -------------------------------------------------
5. 4 5.63 6.69
- -------------------------------------------------
6. 5 5.56 6.81
- -------------------------------------------------
7. 6 5.56 7
- -------------------------------------------------
8. 9 5.44 7.38
- -------------------------------------------------
9. 12 5.44 7.75
- -------------------------------------------------
</TABLE>
Source: Goldman Sachs Fixed Income database, reflecting the London Interbank
Offered Rate (LIBOR).
Although the targeted Federal funds rate begun and ended the year at 5.50%, the
slope of the LIBOR yield curve shifted dramatically during 1995 as the expected
direction of interest rates changed from increasing to declining. By year end,
the curve was inverted and had shifted significantly downward.
Responsive and Agile Strategy Contributed to
Continued Strong Performance
Taxable Sector. Structuring money market portfolios successfully during 1995,
when the Fed shifted policy from tightening to easing, required strict attention
to risk management, as well as to a detailed analysis of market fundamentals and
technicals. Analyzing the implied forward rates and determining the extent to
which the market had priced in too much or too little easing, and then adjusting
the portfolio's weighted average maturities and structures, were equally
important to our strategy. We also kept a vigilant eye on fiscal policy, as the
"start-and-stop" nature of the balanced budget debate and the subsequent
government shutdowns had an impact on the market.
During the second quarter of 1995, we extended the weighted average
maturities of the Financial Square Funds, which caused them to be well
positioned for the Fed's rate decrease in July. Some signs of a modest
resurgence in growth became evident in late summer, and we correctly anticipated
that the Fed would remain on hold until a budget package was passed or growth
showed signs of slowing further. Between late November and mid-December, we
again extended the Funds' weighted average maturities, given our concern about
slowing growth. That extension proved to be the correct move when the Fed eased
for the second time in late December.
Tax-Exempt Sector. Discussions of a flat tax, decreasing short-term municipal
issuance and the change in direction of short-term interest rates made for an
interesting year in tax-exempt money market funds. During 1995, total assets in
tax-exempt money market funds increased by approximately 8%, while supply
decreased by 7.5%. Consequently, short-term tax-exempt securities traded at
approximately 69% of their Treasury counterparts, as compared with 71% in 1994,
which means that, on average, tax-exempts were more expensive in 1995 than in
1994. All of these factors increased the importance of active portfolio
management to achieve competitive performance.
- --------------------------------------------------------------------------------
1
<PAGE>
- --------------------------------------------------------------------------------
ILA Unitholder Letter/Annual Report (continued)
- --------------------------------------------------------------------------------
By varying the ILA Tax-Exempt Portfolios' exposure to variable rate demand
notes (VRDNs) and tax-exempt commercial paper as supply technicals warranted, we
were able to add incremental yield to the Portfolios. In addition, the
Portfolios' performance benefited from extending and maintaining a longer
weighted average maturity for much of the year.
Summary for ILA Portfolios Institutional Units* as of December 31, 1995
<TABLE>
<CAPTION>
Institutional SEC 7-Day SEC 7-Day 30-Day Weighted
Liquid Assets Current Effective Average Average
Portfolios Yield Yield Yield Maturity
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Prime Obligations 5.38% 5.53% 5.42% 60
- -----------------------------------------------------------------------------------
Money Market 5.45% 5.60% 5.47% 68
- -----------------------------------------------------------------------------------
Treasury Obligations 5.28% 5.42% 5.43% 36
- -----------------------------------------------------------------------------------
Government 5.36% 5.50% 5.43% 40
- -----------------------------------------------------------------------------------
Federal 5.46% 5.60% 5.47% 48
- -----------------------------------------------------------------------------------
Treasury Instruments 5.16% 5.29% 5.29% 60
- -----------------------------------------------------------------------------------
Tax-Exempt Diversified 4.14% 4.22% 3.75% 42
- -----------------------------------------------------------------------------------
Tax-Exempt California 4.45% 4.55% 4.00% 47
- -----------------------------------------------------------------------------------
Tax-Exempt New York 4.15% 4.24% 3.65% 36
===================================================================================
</TABLE>
* ILA offers three separate classes of units (Institutional, Administration and
Service), each of which is subject to different fees and expenses that affect
performance and entitle unitholders to different services. The Administration
units and the Service units offer financial institutions the opportunity to
receive a fee for providing administrative support services. The Administration
units pay an additional 0.15% plus 0.10% from the adviser for a total of 0.25%.
The Service units pay an additional 0.40% plus 0.10% from the adviser for a
total of 0.50%. More complete information, including management fees and
expenses, is included in the Portfolios' prospectus or may be obtained by
calling the Goldman Sachs Institutional Funds at 1-800-621-2550.
Domestic Credit Stronger in 1995
Domestic credit quality strengthened in 1995, thanks to an improving
economy, lower interest rates and corporate productivity gains. Positive credit
trends were particularly notable in the capital-intensive industries. Retailers
did not fare as well, as reluctant consumers worried about slower disposable
income growth, job reductions, a higher debt load and uncertainty about the
health of the economy. The rejuvenated U.S. banking industry continued its trend
toward regional and national banking, largely through mergers and acquisitions.
This equity-financed consolidation is positive for the creditworthiness and
efficiency of the U.S. banking system. Merger activity was also prominent in
other industries, supported by higher stock prices and lower interest rates. The
majority of companies used stock, rather than cash, to pay for their
acquisitions, keeping leverage down. Spin-offs and split-ups counterbalanced the
heavy merger activity as some organizations tried to focus more sharply on their
core businesses.
In the tax-exempt arena, the most notable phenomenon was the increase in
short-term paper that came to the market with credit enhancements (i.e., letters
of credit or insurance) as a result of lingering concerns surrounding the Orange
County, California bankruptcy. In addition, improved disclosure from municipal
issuers, spurred by heightened due diligence, made it easier to distinguish
between weak and strong credits.
A Mixed Credit Picture Abroad
Credit quality trends abroad were mixed, with weakness most notable in
financial institutions in France and Japan. Europe's economic recovery slowed
significantly during 1995, causing the Bundesbank to lower short-term interest
rates by year end and other European countries to follow suit. Asset quality
problems persisted for Japanese financial institutions, with continued
uncertainty regarding the methods and timing of a resolution. Credit quality for
the nonfinancial sectors was much more balanced. The Japanese economy has
recently begun to show signs of resuscitation, spurred by the government's
stimulative fiscal policy, a weaker yen (which should help to revive exports),
and corporate cost-cutting and restructuring.
- --------------------------------------------------------------------------------
2
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Our outlook for global credit quality for 1996 is cautiously optimistic,
although we remain concerned about consumer indebtedness and reluctance to spend
as well as the timing for recovery of the Japanese banking system.
The Goldman Sachs Credit Department, which includes 74 credit professionals
based in London, Tokyo, Frankfurt and Toronto as well as New York, will continue
to be vigilant in monitoring these and other global developments. Consistent
with the trends outlined previously, new names added to the approved list for
the Portfolios have been primarily U.S. banks and industrial companies, in
contrast to a short while ago when foreign banks dominated our approved names.
Outlook and Strategies for 1996
Fourth-quarter 1995 GDP is estimated to be approximately 1.0%, reflecting
the longer-than-expected government shutdown and very weak Christmas sales.
Economic growth is expected to slow to an anemic 0.5% for the first quarter of
1996, and therefore we believe the Fed is likely to lower short-term interest
rates by another 25 to 50 basis points by midyear before the economy begins to
accelerate again during the second half of the year.
As a result, the ILA Portfolios expect to continue to be managed with
longer average life targets and laddered structures to take advantage of our
near-term expectations of lower rates.
In closing, we thank you for your support. As in the past, we will continue
to look for additional ways to improve our services while seeking to provide you
with competitive performance. We welcome your suggestions and questions, and
look forward to another strong year in 1996.
/s/ Kaysie P. Uniacke
Kaysie P. Uniacke
Portfolio Manager
February 1, 1996
- --------------------------------------------------------------------------------
3
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Prime Obligations Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--64.2%
Bank Holding Companies
Bankamerica Corp.
$ 10,000,000 5.56% 04/30/96 $ 9,814,667
Bankers Trust New York Corp.
40,000,000 5.69 02/09/96 39,753,433
Chase Manhattan Corp.
50,000,000 5.57 03/12/96 49,450,736
Corestates Capital Corp.
20,000,000 5.58/(a)/ 04/30/96 19,628,000
10,000,000 5.50 05/13/96 9,796,806
NationsBank Corp.
10,000,000 5.51 04/29/96 9,817,864
10,000,000 5.50 05/13/96 9,796,806
Norwest Corp.
25,000,000 5.75/(a)/ 10/28/96 25,000,000
Business Credit Institutions
General Electric Capital Corp.
20,000,000 5.50 04/18/96 19,670,000
Business Services
International Lease Finance Corp.
35,000,000 5.60 01/29/96 34,847,556
Drugs
Lilly (Eli) & Co.
10,000,000 5.57 04/16/96 9,835,994
Farm Machinery
John Deere Capital Corp.
15,000,000 5.58 04/19/96 14,746,575
Food Products
CPC International Inc.
25,000,000 5.59 04/03/96 24,638,979
15,000,000 5.57 04/22/96 14,740,066
10,000,000 5.42 05/10/96 9,804,278
Life Insurance
Commonwealth Life Insurance Co.
55,000,000 6.03/(a)/ 09/06/96 55,000,000
Pacific Mutual Life Insurance Co.
25,000,000 5.92/(a)/ 03/01/96 25,000,000
Motor Vehicles and Equipment
Ford Motor Credit Corp.
50,000,000 5.51 05/03/96 49,058,708
Personal Credit Institutions
American Express Credit Corp.
$ 25,000,000 5.60% 04/19/96 24,576,111
15,000,000 5.41 05/31/96 14,659,621
Associates Corp. of North America
50,000,000 5.64 02/28/96 49,545,667
Receivable/Asset Financings
Beta Finance Inc.
18,800,000 5.45 05/17/96 18,410,083
Dakota Certificates of Standard Credit Card
Master Trust
25,000,000 5.72 02/09/96 24,845,083
Mckenna Triangle National Corp.
25,000,000 5.57 03/15/96 24,713,764
New Center Asset Trust
50,000,000 5.60 03/15/96 49,424,444
Savings and Loans
World Savings And Loan Association
5,000,000 5.94/(a)/ 12/13/96 5,003,234
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
50,000,000 5.64 03/01/96 49,530,000
Cargill Financial Services Corp.
25,000,000 5.57 04/17/96 24,586,118
5,000,000 5.58 04/19/96 4,915,525
10,000,000 5.60 04/23/96 9,824,222
10,000,000 5.37 06/03/96 9,770,283
JP Morgan Securities, Inc.
40,000,000 5.94/(b)/ 06/28/96 40,000,000
Merrill Lynch & Co., Inc.
20,000,000 5.62 03/29/96 19,725,244
20,000,000 5.55 04/30/96 19,630,000
Morgan Stanley Group Inc.
40,000,000 5.53/(b)/ 09/03/96 40,000,000
Specialty Cleaners
Colgate Palmolive
10,000,000 5.58 04/15/96 9,837,250
Telecommunications
Ameritech Corporation
47,000,000 5.50 03/22/96 46,418,375
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
ILA Prime Obligations Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations (continued)
Telecommunications (continued)
AT&T Corp.
$ 20,000,000 5.52% 03/01/96 $ 19,816,000
30,000,000 5.54 03/28/96 29,598,350
Southwestern Bell Capital Corp.
32,000,000 5.57 04/22/96 31,445,476
- --------------------------------------------------------------------------------
Total Commercial Paper and Corporate
Obligations $996,675,318
- --------------------------------------------------------------------------------
Bank Notes--18.6%
American Express Centurion Bank
$ 10,000,000 5.94%/a/ 04/17/96 $ 10,000,269
Bank of America Illinois
4,000,000 5.70 06/18/96 3,998,388
Boatmen's Bank, Southern Missouri
10,000,000 5.92/a/ 06/12/96 10,000,476
Boatmen's First National Bank, Kansas City
20,000,000 5.73/a/ 02/14/96 19,999,759
FCC National Bank
25,000,000 5.74 03/11/96 25,000,000
15,000,000 5.73 04/23/96 15,000,000
First National Bank of Maryland
25,000,000 5.75 05/01/96 25,000,000
25,000,000 5.92/a/ 10/02/96 24,994,365
First Union National Bank of North Carolina
15,000,000 5.76 02/02/96 15,000,000
Household Bank FSB
50,000,000 5.92/a/ 08/02/96 50,000,000
NationsBank of Texas, N.A.
20,000,000 5.65 05/03/96 20,000,000
NBD Bank of Detroit, N.A.
14,000,000 5.65 05/03/96 13,999,794
Seattle First National Bank
10,000,000 5.83/a/ 11/08/96 9,992,418
Southtrust Bank of Alabama, N.A.
20,000,000 5.92/a/ 10/02/96 19,993,989
25,000,000 5.69/a/ 10/04/96 24,992,554
- --------------------------------------------------------------------------------
Total Bank Notes $287,972,012
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Bankers' Acceptances--1.6%
First Union National Bank of North Carolina
$20,000,000 5.57% 04/15/96 $19,675,083
5,000,000 5.57 04/17/96 4,917,224
- --------------------------------------------------------------------------------
Total Bankers' Acceptances $24,592,307
- --------------------------------------------------------------------------------
Certificates of Deposit--1.6%
Natwest Bank, Delaware
$ 25,000,000 5.70% 03/12/96 $25,000,000
- --------------------------------------------------------------------------------
Total Certificates of Deposit $25,000,000
- --------------------------------------------------------------------------------
Repurchase Agreements--14.3%
Lehman Government Securities, Inc., dated 12/12/95, repurchase price
$25,353,125 (FHLMC:$19,717,134, 6.00%-9.00%, 07/01/06-05/01/09;
FNMA:$6,153,113, 7.64%, 05/01/19)
$ 25,000,000 5.65% 03/11/96 $ 25,000,000
Morgan Stanley & Co., Inc., dated 12/12/95, repurchase price
$76,055,625 (FHLMC:$62,309,985, 6.00%, 11/01/98-12/01/98;
FNMA:$15,684,906, 8.00%-8.50%, 09/01/23-04/01/25)
75,000,000 5.63 03/11/96 75,000,000
Joint Repurchase Agreement Account
122,100,000 5.94 01/02/96 122,100,000
- --------------------------------------------------------------------------------
Total Repurchase Agreements $222,100,000
- --------------------------------------------------------------------------------
Total Investments $1,556,339,637/c/
================================================================================
</TABLE>
/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 LIBOR.
/c/The amount stated also represents aggregate cost for federal
income tax purposes.
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 Money Market Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--32.7%
Bank Holding Companies
Bankers Trust New York Corp.
$ 20,000,000 5.69% 02/09/96 $ 19,876,717
Business Credit Institutions
General Electric Capital Corp.
5,000,000 5.57 04/15/96 4,918,771
15,000,000 5.50 04/18/96 14,752,500
Electric Companies
Enel Commercial Paper, Inc.
9,692,000 5.64 04/25/96 9,517,382
9,865,000 5.52 05/09/96 9,669,870
Foreign Banks
BBL North America, Inc.
10,000,000 5.63 04/18/96 9,831,250
Generale Bank, Inc.
5,000,000 5.61 04/24/96 4,911,175
IMI Funding Corp., USA
20,000,000 5.47 06/03/96 19,532,011
Internationale Nederlanden Funding Corp.
15,000,000 5.58 04/12/96 14,762,850
Royal Bank of Canada
18,000,000 5.59 04/22/96 17,686,960
5,000,000 5.46 05/08/96 4,902,933
Svenska Handelsbanken, Inc.
5,000,000 5.60 04/17/96 4,916,778
Toronto Dominion Holdings, U.S.A.
20,000,000 5.60 04/22/96 19,651,556
Life Insurance
Commonwealth Life Insurance Co.
25,000,000 6.03/a/ 09/06/96 25,000,000
Receivable/Asset Financings
New Center Asset Trust
25,000,000 5.60 03/15/96 24,712,222
Security and Commodity Brokers, Dealers and Services
Merrill Lynch & Co., Inc.
20,000,000 5.55 04/30/96 19,630,000
Telecommunications
AT&T Corp.
25,000,000 5.52 03/01/96 24,770,000
- --------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $249,042,975
================================================================================
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Bank Notes--20.1%
American Express Centurion Bank
$ 7,700,000 5.94%/a/ 04/17/96 $ 7,700,207
Boatmen's Bank, Southern Missouri
5,000,000 5.92/a/ 06/12/96 5,000,238
Boatmen's First National Bank, Kansas City
15,000,000 5.73/a/ 02/14/96 14,999,819
Colorado National Bank
25,000,000 5.91/a/ 06/03/96 25,000,000
FCC National Bank
25,000,000 5.67 03/18/96 25,000,000
First Union National Bank of North Carolina
20,000,000 5.76 02/02/96 20,000,000
NationsBank of Texas, N.A.
20,000,000 5.65 05/03/96 20,000,000
PNC Bank, N.A.
20,000,000 5.65/a/ 09/30/96 19,988,150
Seattle First National Bank
15,000,000 5.83/a/ 11/08/96 14,988,627
- --------------------------------------------------------------------------------
Total Bank Notes $152,677,041
- --------------------------------------------------------------------------------
Bankers' Acceptances--0.6%
NationsBank of Texas, N.A.
$ 5,000,000 5.50% 05/28/96 $ 4,886,944
- --------------------------------------------------------------------------------
Total Bankers' Acceptances $ 4,886,944
- --------------------------------------------------------------------------------
Certificates of Deposit - Foreign Eurodollar--9.9%
Bayerische Hypotheken, Germany
$ 15,000,000 5.65% 05/16/96 $ 15,001,266
Deutsche Bank, London
20,000,000 5.73 04/23/96 20,000,610
Dresdner Bank, London
5,000,000 5.74 04/22/96 5,000,151
Generale Bank, London
10,000,000 5.76 04/23/96 10,000,458
Landesbank Hessen-Thueringen Girozentrale, London
20,000,000 5.73 04/23/96 19,997,448
Mitsubishi Bank Ltd., London
5,000,000 5.83 03/08/96 5,000,140
- --------------------------------------------------------------------------------
Total Certificates of Deposit - Foreign Eurodollar $ 75,000,073
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements
6
<PAGE>
- --------------------------------------------------------------------------------
ILA Money Market Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Certificates of Deposit - Yankeedollar--8.5%
Industrial Bank of Japan Ltd., New York
$ 10,000,000 6.03% 02/23/96 $10,001,353
Mitsubishi Bank Ltd., New York
25,000,000 5.94 03/04/96 25,001,683
Sanwa Bank Ltd., New York
25,000,000 5.79 03/12/96 25,000,486
5,000,000 5.71 06/14/96 5,000,223
- --------------------------------------------------------------------------------
Total Certificates of Deposit - Yankeedollar $65,003,745
- --------------------------------------------------------------------------------
Sovereign Credit--8.0%
Kingdom of Sweden
$ 20,000,000 5.59% 04/22/96 $19,652,178
New South Wales Treasury Corp.
25,000,000 5.57 02/09/96 24,849,146
Province of Quebec
10,000,000 5.52 05/01/96 9,814,467
7,000,000 5.50 05/14/96 6,856,694
- --------------------------------------------------------------------------------
Total Sovereign Credit $61,172,485
- --------------------------------------------------------------------------------
Taxable Municipal Notes--3.8%
Florida Housing Finance Authority
$ 29,200,000 5.86%/a/ 01/07/96 $29,200,000
- --------------------------------------------------------------------------------
Total Taxable Municipal Notes $29,200,000
- --------------------------------------------------------------------------------
Repurchase Agreements--16.6%
Lehman Government Securities, Inc., dated 12/12/95, repurchase price
$15,211,875 (FHLMC:$15,532,410, 6.00%-7.50%, 05/01/09-12/01/25)
$ 15,000,000 5.65% 03/11/96 $ 15,000,000
Morgan Stanley & Co., Inc., dated 12/12/95, repurchase price
$25,351,875 (FNMA:$25,835,553, 7.00%-8.00%, 06/01/24-04/01/25)
25,000,000 5.63 03/11/96 25,000,000
Joint Repurchase Agreement Account
86,300,000 5.94 01/02/96 86,300,000
- --------------------------------------------------------------------------------
Total Repurchase Agreements $126,300,000
- --------------------------------------------------------------------------------
Total Investments $763,283,263/b/
================================================================================
</TABLE>
/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/ The amount stated also represents aggregate cost for federal
income tax purposes.
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 Government Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
U.S. Government Agency Obligations--41.6%
Federal Farm Credit Bank
$ 45,000,000 5.54% 02/09/96 $44,732,850
17,000,000 5.62/a/ 05/09/96 16,997,693
Federal Home Loan Mortgage Corp.
25,000,000 5.75/a/ 06/03/96 24,977,523
Federal National Mortgage Association
15,000,000 5.61 01/18/96 14,960,263
67,260,000 5.46 04/23/96 66,107,276
25,000,000 5.47 04/30/96 24,544,167
15,000,000 5.64 10/02/96 14,994,245
10,000,000 5.68 10/07/96 9,999,072
25,000,000 5.90/a/ 11/15/96 24,984,365
50,000,000 5.76/a/ 12/16/96 49,958,194
- --------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $292,255,648
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--1.4%
United States Treasury Notes
$ 10,000,000 6.00% 07/01/96 $10,015,909
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations $10,015,909
- --------------------------------------------------------------------------------
Repurchase Agreements--57.3%
CS First Boston Corp., dated 12/05/95, repurchase price $30,425,250
(FNMA:$30,972,121, 6.39%-7.04%, 06/01/29-08/01/34)
$ 30,000,000 5.67% 03/04/96 $ 30,000,000
Daiwa Securities, dated 12/29/95, repurchase price $25,016,389 (U.S.
Treasury Notes:$22,749,771, 4.63%-7.75%, 02/29/96-08/15/02;
U.S.Treasury Bills:$3,250,622, 05/02/96-06/27/96)
25,000,000 5.90 01/02/96 25,000,000
Lehman Government Securities, Inc., dated 12/12/95, repurchase price
$30,423,750 (FHLMC:$14,770,650, 6.00%, 05/01/09;
FNMA:$16,318,398, 7.00%-8.00%, 03/01/07-08/01/23)
30,000,000 5.65 03/11/96 30,000,000
Nomura Securities International Inc., dated 12/29/95, repurchase price
$100,071,111 (FHLMC:$27,479,660, 7.00%-8.00%, 08/01/25-09/01/25;
FNMA:$75,672,915, 6.50%-7.00%, 03/01/24-12/01/25)
100,000,000 6.40 01/02/96 100,000,000
Salomon Brothers Inc., dated 12/29/95, repurchase price $25,016,528
(U.S. Treasury Stripped Securities:$5,202,481, 11/15/97-05/15/02;
FHLB:$20,733,873, 6.30%, 08/24/05)
25,000,000 5.95 01/02/96 25,000,000
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Repurchase Agreements (continued)
Smith Barney Inc., dated 12/28/95, repurchase price $25,076,000
(FNMA:$25,964,803, 6.50%-7.00%, 01/01/11-01/01/26)
$ 25,000,000 5.76% 01/16/96 $ 25,000,000
Joint Repurchase Agreement Account
168,400,000 5.94 01/02/96 168,400,000
- --------------------------------------------------------------------------------
Total Repurchase Agreements $403,400,000
- --------------------------------------------------------------------------------
Total Investments $705,671,557/b/
================================================================================
</TABLE>
/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.
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 Treasury Obligations Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
U.S. Treasury Obligations--18.0%
United States Treasury Bills
$ 35,000,000 5.28% 05/23/96 $ 34,265,933
30,000,000 5.32 05/30/96 29,335,000
95,000,000 5.23 07/25/96 92,156,914
United States Treasury Notes
10,000,000 6.13 07/31/96 10,030,199
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations $165,788,046
- --------------------------------------------------------------------------------
Repurchase Agreements--82.4%
Bankers Trust Securities Corp., dated 12/29/95, repurchase price
$35,022,556 (U.S.Treasury Note:$35,675,451, 6.25%, 05/31/00)
$ 35,000,000 5.80% 01/02/96 $35,000,000
Chase Manhattan Securities, dated 12/29/95, repurchase price
$35,022,556 (U.S.Treasury Notes: $35,703,985, 7.50%,
12/31/96-01/31/97)
35,000,000 5.80 01/02/96 35,000,000
CS First Boston Corp., dated 12/29/95, repurchase price
$35,022,556 (U.S. Treasury Bill:$35,174,093, 10/17/96)
35,000,000 5.80 01/02/96 35,000,000
Daiwa Securities, dated 12/29/95, repurchase price $35,022,944
(U.S. Treasury Notes:$30,890,152, 5.75%-8.88%, 10/31/97-05/15/00;
U.S. Treasury Bills: $4,110,454, 03/07/96-06/27/96)
35,000,000 5.90 01/02/96 35,000,000
Goldman, Sachs & Co., dated 12/29/95, repurchase price $35,022,750
(U.S. Treasury Note: $35,700,336, 5.63%, 11/30/00)
35,000,000 5.85 01/02/96 35,000,000
JP Morgan Securities, Inc., dated 12/29/95, repurchase price
$35,023,333 (U.S.Treasury Note:$35,715,364, 7.75%, 01/31/00)
35,000,000 6.00 01/02/96 35,000,000
Merrill Lynch Government Securities, Inc., dated 12/29/95,
repurchase price $35,022,361 (U.S. Treasury Stripped
Securities:$35,700,630, 05/15/05-08/15/05)
35,000,000 5.75 01/02/96 35,000,000
Nomura Securities, dated 12/29/95, repurchase price $35,023,333
(U.S. Treasury Notes:$35,711,239, 5.63%, 06/30/97)
35,000,000 6.00 01/02/96 35,000,000
Sanwa Securities, dated 12/29/95, repurchase price $35,022,750
(U.S. Treasury Notes:$35,712,510, 5.88%-6.50%, 07/31/97-08/15/97)
35,000,000 5.85 01/02/96 35,000,000
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Repurchase Agreements (continued)
UBS Securities Inc., dated 12/29/95, repurchase price $35,022,750 (U.S.
Treasury Notes:$35,745,910, 5.13%-6.50%, 09/30/96-12/31/98)
$ 35,000,000 5.85% 01/02/96 $ 35,000,000
Joint Repurchase Agreement Account
411,600,000 5.94 01/02/96 411,600,000
- --------------------------------------------------------------------------------
Total Repurchase Agreements $761,600,000
- --------------------------------------------------------------------------------
Total Investments $927,388,046/(a)/
- --------------------------------------------------------------------------------
</TABLE>
/(a)/The amount stated also represents aggregate cost for federal
income tax purposes.
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 Treasury Instruments Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
U.S. Treasury Obligations--99.2%
United States Treasury Bills
$ 4,600,000 5.25% 01/11/96 $ 4,593,298
8,900,000 5.30 01/11/96 8,886,897
85,000,000 5.30 01/11/96 84,874,979
94,800,000 5.34 01/11/96 94,659,512
3,500,000 4.29 02/08/96 3,484,169
75,000,000 5.38 02/15/96 74,496,094
65,000,000 4.96 05/02/96 63,908,524
United States Treasury Notes
56,469,000 9.25 01/16/96 56,545,443
33,000,000 4.00 01/31/96 32,966,044
25,000,000 4.63 02/15/96 24,989,238
25,000,000 7.88 02/15/96 25,084,303
70,724,000 4.63 02/29/96 70,650,656
50,000,000 7.50 02/29/96 50,178,775
100,000,000 9.38 04/15/96 101,140,159
75,000,000 7.63 04/30/96 75,526,002
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations $771,984,093
- --------------------------------------------------------------------------------
Total Investments $771,984,093/(a)/
- --------------------------------------------------------------------------------
</TABLE>
/(a)/The amount stated also represents aggregate cost for federal
income tax purposes.
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.
10
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Federal Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
U.S. Government Agency Obligations--102.5%
Federal Farm Credit Bank
$ 25,000,000 5.46% 01/26/96 $ 24,905,208
24,000,000 5.83/a/ 01/26/96 23,998,459
8,900,000 5.55 02/01/96 8,857,465
125,000,000 5.71/b/ 02/01/96 125,000,000
15,000,000 5.40 02/05/96 14,921,250
15,000,000 5.54 02/05/96 14,919,208
20,000,000 5.54 02/09/96 19,879,967
10,600,000 5.38 02/21/96 10,519,210
24,000,000 5.70/a/ 03/21/96 23,999,180
12,000,000 5.32 03/22/96 11,856,360
50,000,000 5.62/a/ 05/09/96 49,993,213
15,000,000 5.34 05/23/96 14,681,825
30,000,000 5.33 05/28/96 29,342,633
200,000,000 5.85/a/ 09/26/96 199,872,115
85,000,000 5.85/a/ 10/10/96 84,931,536
45,000,000 5.84/a/ 11/08/96 44,957,351
50,000,000 5.60/a/ 11/27/96 49,954,643
Federal Home Loan Bank
3,500,000 5.63 01/03/96 3,498,905
50,000,000 5.53 01/11/96 49,923,194
49,635,000 5.59 01/17/96 49,511,685
50,000,000 5.48 01/18/96 49,870,611
50,000,000 5.48 01/23/96 49,832,556
50,000,000 5.53 01/29/96 49,784,944
99,495,000 5.59 01/30/96 99,046,969
33,500,000 5.56 02/01/96 33,339,609
2,400,000 5.45 02/02/96 2,388,373
57,000,000 5.56 02/02/96 56,718,293
30,000,000 5.52 02/08/96 29,825,200
25,000,000 5.54 02/08/96 24,853,806
80,000,000 5.55 02/13/96 79,469,667
63,185,000 5.53 02/20/96 62,699,704
34,500,000 5.51 02/22/96 34,225,418
75,000,000 5.53 02/28/96 74,331,792
16,415,000 5.35 03/01/96 16,268,633
5,300,000 5.52 03/01/96 5,251,240
34,300,000 5.30 03/20/96 33,901,072
11,950,000 5.32 03/20/96 11,810,490
21,300,000 5.43 03/29/96 21,017,278
40,000,000 5.40 04/09/96 39,406,000
41,155,000 5.47 04/15/96 40,498,406
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
$51,710,000 5.46% 04/22/96 $50,831,620
32,975,000 5.45 04/25/96 32,400,388
38,000,000 5.45 04/30/96 37,309,667
35,000,000 5.45 05/02/96 34,353,569
39,495,000 5.34 05/29/96 38,622,095
45,000,000 5.70/a/ 08/05/96 44,960,246
100,000,000 5.59/a/ 09/25/96 99,953,847
50,000,000 5.50/a/ 01/03/97 49,953,785
Tennessee Valley Authority
27,100,000 5.59 01/08/96 27,070,544
50,000,000 5.59 01/10/96 49,930,125
80,000,000 5.62 01/22/96 79,737,733
80,000,000 5.62 01/23/96 79,725,245
40,000,000 5.55 02/02/96 39,802,667
25,000,000 5.55 02/06/96 24,861,250
50,000,000 5.55 02/09/96 49,699,375
- --------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $2,409,275,624
- --------------------------------------------------------------------------------
Total Investments $2,409,275,624/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.
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.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Alabama--6.2%
City of Birmingham, AL Medical Clinic VRDN(A-1+)
$ 7,400,000 6.10% 01/01/96 $ 7,400,000
Columbia, AL IDB PCRB 1995 Series B VRDN (Alabama
Power Company)(A-1/MIG1)
18,300,000 6.00 01/01/96 18,300,000
Columbia, AL IDB PCRB Series 1995 E VRDN (Alabama
Power Company)(A-1/MIG1)
9,400,000 5.90 01/01/96 9,400,000
Gadsden City, AL IDB Series 1994 for Alabama
Power VRDN(A-1/MIG1)
5,750,000 6.00 01/01/96 5,750,000
Homewood, AL VRDN for Samford University (Dai-Ichi
Kangyo LOC)(MIG1)/(b)/
10,000,000 5.25 01/07/96 10,000,000
Jefferson County, AL MF Hsg. for Hickory Knolls Project
VRDN (Amsouth Bank LOC)(P-1)
4,165,000 5.20 01/07/96 4,165,000
Jefferson County, AL Sewer and Water RB (Bayerische
Landesbank Girozentrale LOC)(A-1+/P-1)/(b)/
19,300,000 5.20 01/07/96 19,300,000
Mobile County, AL IDA PCR for M+T Chemicals VRDN
(Bankers Trust LOC)(Aa2)
3,000,000 5.12 01/07/96 3,000,000
Mobile, AL IDA PCRB for Alabama Power Co.
VRDN(A-1/MIG1)
2,100,000 6.00 01/01/96 2,100,000
Mobile, AL IDA PCRB for Alabama Power Series 1993 A
VRDN(A-1/MIG1)
8,600,000 5.00 01/07/96 8,600,000
Parrish, AL IDA PCRB for Alabama Power
VRDN(A-1/MIG1)
1,650,000 6.00 01/01/96 1,650,000
- --------------------------------------------------------------------------------
$ 89,665,000
- --------------------------------------------------------------------------------
Alaska--0.4%
City of Valdez, AK Marine RB 1994 Series B
VRDN(AAA/MIG1)
$ 5,000,000 5.90% 01/01/96 $ 5,000,000
- --------------------------------------------------------------------------------
Arizona--0.8%
Salt River Project Agricultural and Power District CP(A-1+/P-1)
$10,800,000 3.80% 01/29/96 $ 10,800,000
- --------------------------------------------------------------------------------
Arkansas--0.7%
Crossett, AR PCRB for Georgia Pacific Corp. VRDN
(Trust Company Bank LOC)(Aa3)
$ 9,500,000 5.15% 01/07/96 $ 9,500,000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
California--7.1%
California School Cash Reserves Authority Series A(SP1+/MIG1)
$ 5,000,000 4.75% 07/03/96 $ 5,024,213
City of Fremont MF Hsg. VRDN Series 1985 D-Creekside
Village Apartment Project (Fuji Bank LOC)(MIG1)
4,000,000 5.55 01/07/96 4,000,000
Los Angeles County TRANS (Bank of America/Credit Suisse/
Morgan Guaranty Trust Co./Swiss Bank Corp./UBS/
Westdeutsche Landesbank Girozentrale LOC)(SP-1/MIG1)
47,190,000 4.50 07/01/96 47,345,859
Los Angeles County, VRDN MF Hsg. for Valencia Village
Series 1994 C (Industrial Bank of Japan LOC)(A-1+)
5,800,000 5.35 01/07/96 5,800,000
State of California RAWS Series C (Bank of America/Banque
Nationale de Paris/Bank of Nova Scotia/Chemical/CIBC/
Citibank/Morgan Guaranty Trust Co./Credit Suisse/National
Westminster Bank/Societe General/Swiss Bank Corp./
Sumitomo Bank Ltd./Toronto Dominion Bank /Westdeutsche
Landesbank Girozentrale LOC)(A-1/MIG1)
40,000,000 5.75 04/25/96 40,130,304
- --------------------------------------------------------------------------------
$102,300,376
- --------------------------------------------------------------------------------
Colorado--0.3%
Colorado Student Obligation Bond Authority Series 1990 C
VRDN (Fuji Bank LOC)(MIG1)
$ 4,900,000 5.35% 01/07/96 $ 4,900,000
- --------------------------------------------------------------------------------
Connecticut--1.0%
State of Connecticut GO VRDN Economic Recovery Notes Series B
(A-1+/MIG1)
$ 600,000 5.10% 01/07/96 $ 600,000
State of Connecticut Series 1993 Unemployment RB VRDN
(Mitsubishi Bank LOC)(A-1+/MIG1)/(b)/
14,410,000 5.40 01/07/96 14,410,000
- --------------------------------------------------------------------------------
$ 15,010,000
- --------------------------------------------------------------------------------
District of Columbia--0.9%
District of Columbia VRDN ACES-Series 1988 B-E
Georgetown University(A-1+/MIG1)
$ 1,500,000 5.65% 01/07/96 $ 1,500,000
3,875,000 5.65 01/07/96 3,875,000
1,100,000 5.65 01/07/96 1,100,000
HFA MF Hsg. for Mclean Gardens South Apartments VRDN
(Sumitomo Bank LOC)(MIG1)
7,000,000 5.30 01/07/96 7,000,000
- --------------------------------------------------------------------------------
$ 13,475,000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Florida--3.8%
Brevard County, FL IDA for Lockheed Space Company Project
VRDN (Bankers Trust LOC)(Aa2)
$ 4,000,000 5.25% 01/07/96 $ 4,000,000
City of Jacksonville, FL CP Notes Series A(A-1/P-1)
3,000,000 3.55 02/07/96 3,000,000
Florida Local Government Pooled CP Notes (First Union
National Bank of Florida LOC)(A-1+/P-1)
5,000,000 3.75 01/30/96 5,000,000
2,145,000 3.75 01/31/96 2,145,000
13,352,735 3.65 02/13/96 13,352,735
Orange County, FL Health Facilities Authority CP (MBIA)(A-1/MIG1)
1,500,000 3.55 01/26/96 1,500,000
1,500,000 3.50 01/31/96 1,500,000
10,000,000 3.65 01/31/96 10,000,000
1,200,000 3.55 02/07/96 1,200,000
Putnam County Development Authority for Seminole Electric H-1
VRDN (CFC)(A-1/MIG1) /(b)/
13,050,000 4.65 01/07/96 13,050,000
- --------------------------------------------------------------------------------
$ 54,747,735
- --------------------------------------------------------------------------------
Georgia--15.5%
Albany Dougherty, GA PCRB for Philip Morris Company
VRDN(A-1/P-1)
$ 8,400,000 5.15% 01/07/96 $ 8,400,000
Albany Dougherty, GA PCRB Series 1991 for Georgia Power Co.
VRDN(A-1/P-1)
2,120,000 5.15 01/07/96 2,120,000
Burke County, GA PCR for Georgia Power Co. VRDN(A-1+/MIG1)
32,985,000 6.00 01/01/96/(b)/ 32,985,000
8,800,000 6.10 01/01/96 8,800,000
12,425,000 5.15 01/07/96 12,425,000
Burke County, GA PCRB for Georgia Power Company Vogtle
Project VRDN(A-1/MIG1)
1,300,000 6.00 01/01/96 1,300,000
Cobb County, GA Institute of Nuclear Power Operations Inc.
for Georgia Power Co. VRDN(Aa3)
4,590,000 5.15 01/07/96 4,590,000
Cobb County, GA Power Operations Inc. VRDN (Trust
Company Bank)(AA-)
2,330,000 5.15 01/07/96 2,330,000
Columbus, GA Hospital Authority for St.
Francis Hospital Project Series 1994 VRDN (Trust
Company Bank LOC)(MIG1)/(b)/
7,750,000 5.15 01/07/96 7,750,000
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Georgia (continued)
Dekalb County GA, IDA for Siemens Energy and Automation Inc.
VRDN(P-1)
$ 3,750,000 5.20% 01/07/96 $ 3,750,000
Fulco, GA Hospital Authority for Piedmont Hospital VRDN
(Trust Company Bank LOC)(A-1+)/(a)/
5,815,000 5.15 01/07/96 5,815,000
Henry County, GA IDA PCRB for Georgia Pacific Corp. VRDN
(Trust Company Bank LOC)(Aa3)
4,000,000 5.15 01/07/96 4,000,000
Monroe County, GA for Georgia Power Co. VRDN(A-1/MIG1)
2,400,000 6.00 01/01/96 2,400,000
Municipal Electric Authority of Georgia 1994 Series E
(A-1/MIG1)
13,000,000 3.80 01/03/96 13,000,000
20,000,000 5.15 01/03/96 20,000,000
Municipal Electric Authority of Georgia Short Term BANS
CP(A-1+/P-1)
12,000,000 3.85 01/03/96 12,000,000
10,000,000 5.25 01/03/96 10,000,000
8,000,000 3.80 01/10/96 8,000,000
4,000,000 3.85 01/10/96 4,000,000
7,830,000 4.05 01/10/96 7,830,000
13,920,000 4.55 01/10/96 13,920,000
19,150,000 4.00 01/18/96 19,150,000
Municipal Electric Authority of Georgia Short Term BANS CP
Series 1994 C (A-1/MIG1)
7,000,000 3.80 01/03/96 7,000,000
Municipal Electric Authority of Georgia Subordinate General
Resolution Series C (A-1+/P-1)
2,900,000 3.80 01/10/96 2,900,000
4,200,000 4.90 03/04/96 4,204,421
Savannah, GA Economic Development Authority PCR for
Savannah Electric & Power VRDN(A-1/MIG1)
4,085,000 5.15 01/07/96 4,085,000
- --------------------------------------------------------------------------------
$222,754,421
- --------------------------------------------------------------------------------
Hawaii--0.2%
Hawaii Housing Finance and Development Authority VRDN
(Federal Home Loan Bank)(A-1+)
$ 2,200,000 5.15% 01/07/96 $ 2,200,000
- --------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Illinois--5.5%
Belleville, IL IDA for Weyerhaeuser Company Series 1993
VRDN(A-1)
$ 1,800,000 5.20% 01/07/96 $ 1,800,000
Illinois Health Facilities Authority Series 1993 Resurrection
Healthcare System VRDN(A-1/MIG1)
19,100,000 6.10 01/01/96 19,100,000
13,200,000 5.20 01/07/96 13,200,000
Illinois Health Facilities Authority VRDN Series 1985 C and D
Revolving Fund Pooled Finance Program (First National
Bank of Chicago LOC)(A-1/MIG1)
20,800,000 5.20 01/07/96 20,800,000
Illinois Health Facility Authority VRDN for Elmhurst
Memorial Hospital(MIG1)
7,710,000 6.50 01/01/96 7,710,000
Joliet Regional Port Authority for Exxon Corp. VRDN(A-1+/P-1)
3,300,000 5.90 01/01/96 3,300,000
Sauget Village of IL PCRB VRDN Series 1993(P-1)
9,335,000 5.10 01/07/96 9,335,000
Springfield, IL for Springfield Memorial Hospital VRDN
(Kredietbank LOC)(MIG-1)
4,130,000 5.60 01/07/96 4,130,000
- --------------------------------------------------------------------------------
$ 79,375,000
- --------------------------------------------------------------------------------
Indiana--3.6%
Fort Wayne Parkview Memorial Hospital VRDN
Series 1985 B,C & D (Fuji Bank LOC)(MIG-1)
$ 7,655,000 5.60% 01/07/96 $ 7,655,000
12,500,000 5.60 01/07/96(a) 12,500,000
Gary, IN CP Notes for U.S. Steel Corp. (Norinchukin Bank LOC)
(A-1+/P-1)
20,000,000 4.05 01/31/96 20,000,000
Indiana Health Facility for Methodist Hospital VRDN
(A-1+/MIG1)/(a)/
6,000,000 5.15 01/07/96 6,000,000
Indiana Hospital Equipment Financing Authority VRDN
Series 1985 A (MBIA)(A-1/MIG1)
1,175,000 5.60 01/07/96 1,175,000
Schereville Economic Development VRDN Series 1983 Avery
International Corp. Project (Bankers Trust LOC)(Aa2)
4,000,000 5.13 01/07/96 4,000,000
- --------------------------------------------------------------------------------
$ 51,330,000
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Iowa--1.5%
Louisa County, IA PCRB for Midwest Power Systems
VRDN(A-1/MIG1)/(b)/
$ 15,000,000 5.25% 01/07/96 $ 15,000,000
Muscatine County, IA for Monsanto Corp. VRDN(P-1)
1,000,000 5.15 01/07/96 1,000,000
Salix, IA PCRB for Midwest Power Systems Inc. VRDN
(A-1/MIG-1)/(a)/
5,000,000 5.05 01/07/96 5,000,000
- --------------------------------------------------------------------------------
$ 21,000,000
- --------------------------------------------------------------------------------
Kentucky--2.1%
City of Calvert, KY Air Products and Chemicals Inc. Project
VRDN(A-1)
$ 1,000,000 5.15% 01/07/96 $ 1,000,000
Mason County, KY Variable/Fixed Rate PCRB Pooled for East
Kentucky Power Facility VRDN (CFC)(A-1+/Aa3)
28,650,000 4.65 01/07/96 28,650,000
- --------------------------------------------------------------------------------
$29,650,000
- --------------------------------------------------------------------------------
Louisiana--0.4%
Parish of Iberville, LA Air Products and Chemicals Inc. Project
VRDN(A-1)
$ 6,200,000 5.15% 01/07/96 $ 6,200,000
- --------------------------------------------------------------------------------
Maryland--0.4%
City of Frederick, MD GO Bond VRDN (Fuji Bank LOC)(A-1/MIG1)
$ 5,200,000 5.25% 01/07/96 $ 5,200,000
- --------------------------------------------------------------------------------
Massachusetts--3.3%
Massachusetts GO Bonds(SP-1/MIG1)
$35,000,000 4.25% 06/12/96 $ 35,089,650
Massachusetts State Health and Education Facility Authority
RB, Capital Asset Program Series G-1 (MBIA)(A-1+)/(a)/
13,000,000 5.15 01/07/96 13,000,000
- --------------------------------------------------------------------------------
$ 48,089,650
- --------------------------------------------------------------------------------
Michigan--1.2%
Becker, MI for Northern State Power CP Notes(A-1+/P-1)
$ 6,700,000 3.80% 01/30/96 $ 6,700,000
Michigan Job Development Authority for Mazda Motor
Manufacturing VRDN (Sumitomo Bank Ltd., LOC)(MIG1)
11,100,000 5.25 01/07/96 11,100,000
- --------------------------------------------------------------------------------
$ 17,800,000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Minnesota--0.5%
White Bear Lake, MN IDA for Weyerhaeuser Company
Series 1993 VRDN(A-1)
$ 6,800,000 5.20% 01/07/96 $ 6,800,000
- --------------------------------------------------------------------------------
Missouri--0.6%
Kansas City Cloversett IDA MF Hsg. RB Series 1988 VRDN
(Boatmen's Bank of Kansas City LOC)(A-1+)
$ 8,790,000 5.50% 01/07/96 $ 8,790,000
- --------------------------------------------------------------------------------
Montana--1.2%
City of Forsyth, Rosebud County, MT PCR Series 1988 for
Pacificorp (Industrial Bank of Japan LOC)(A-1/P-1)
$ 8,000,000 4.00% 01/12/96 $ 8,000,000
8,000,000 3.70 01/11/96 8,000,000
Montana State Board of Investments VRDN Payroll Tax
Bonds(A/MIG1)
1,000,000 5.25 01/07/96 1,000,000
- --------------------------------------------------------------------------------
$ 17,000,000
- --------------------------------------------------------------------------------
Nebraska--0.3%
Lancaster County, NE IDA for AS Mid-America Project
VRDN (Heller Financial GTD)(A-1)
$ 4,200,000 5.30% 01/07/96 $ 4,200,000
- --------------------------------------------------------------------------------
Nevada--0.1%
Clark County for Nevada Airport System VRDN (MBIA)
(A-1+/MIG1)/(a)/
$ 1,000,000 5.15% 01/07/96 $ 1,000,000
- --------------------------------------------------------------------------------
New York--11.2%
Greatneck North Water Authority, NY Water System RB
Series 1993 A VRDN (FGIC)(A-1+/MIG1)
$ 1,500,000 4.90% 01/07/96 $ 1,500,000
New York City GO Bonds VRDN (FGIC)(A-1+/MIG1)
19,350,000 5.00 01/01/96 19,350,000
New York City GO Bonds VRDN (Union Bank of Switzerland
LOC)(A-1/MIG-1)
3,800,000 5.00 01/01/96 3,800,000
18,800,000 5.05 01/01/96 18,800,000
New York City RANS (SP1+/MIG1)
83,010,000 4.50 04/11/96 83,156,491
New York City RANS Series B (CIBC/Chemical Bank/
Citibank/Commerz Bank/Morgan Guaranty Trust Co./
Union Bank of Switzerland LOC)(SP1+/MIG1)
14,900,000 4.75 06/28/96 14,973,013
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
New York (continued)
New York City Water Finance Authority Water & Sewer
System RB (FGIC)(AAA/MIG1)
$ 8,200,000 5.50% 01/01/96 $ 8,200,000
New York State Local Government Series G VRDN
(National Westminster Bank LOC)(A-1+/MIG1)
1,800,000 4.90 01/07/96 1,800,000
New York State Triborough Bridge and Tunnel Authority
VRDN (FGIC)(A-1+/MIG1)(a)
10,000,000 4.90 01/01/96 10,000,000
- --------------------------------------------------------------------------------
$161,579,504
- --------------------------------------------------------------------------------
North Carolina--4.4%
North Carolina Eastern Municipal Power Agency TECP
(Industrial Bank of Japan LOC)(A-1+/P-1)
$ 5,000,000 3.65% 02/13/96 $ 5,000,000
2,718,000 3.80 02/21/96 2,718,000
Rockingham County, NC IDA PCRB for Philip Morris
Company VRDN(A-1/P-1)
3,960,000 5.15 01/07/96 3,960,000
Wake County, NC PCR for Carolina Power & Light
(Fuji Bank LOC)(A-1/P-1)
1,100,000 4.05 01/17/96 1,100,000
4,300,000 3.75 01/30/96 4,300,000
15,900,000 3.80 02/07/96 15,900,000
1,800,000 3.85 02/14/96 1,800,000
25,000,000 3.75 03/07/96 25,000,000
4,000,000 3.75 03/08/96 4,000,000
- --------------------------------------------------------------------------------
$ 63,778,000
- --------------------------------------------------------------------------------
Ohio--1.2%
City of Columbus, OH Electric System Series 1984 VRDN
(Dai Ichi Kangyo Bank Ltd., NY LOC)(MIG1)
$11,480,000 3.90% 01/01/96 $ 11,480,000
Cleveland-Cuyahoga County Port Authority, OH Rock & Roll
Hall of Fame VRDN (Credit Local de France LOC)(A-1+)
6,000,000 5.15 01/07/96 6,000,000
- --------------------------------------------------------------------------------
$17,480,000
- --------------------------------------------------------------------------------
Oklahoma--1.8%
Tulsa, OK IDA for St. Johns Medical Center Series 1987 B
VRDN(A-1+/MIG1)
$12,775,000 5.13% 01/07/96 $ 12,775,000
- --------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Oklahoma (continued)
Tulsa, OK IDA for University of Tulsa Project VRDN
(Fuji Bank LOC)(MIG1)
$13,100,000 5.25% 01/07/96 $ 13,100,000
- --------------------------------------------------------------------------------
$ 25,875,000
- --------------------------------------------------------------------------------
Oregon--1.7%
Lane County, OR PCRB Series 1994 Weyerhaeuser Company
VRDN(A-1)
$ 6,500,000 5.20% 01/07/96 $ 6,500,000
Portland, OR for Columbia Grain Inc. Project VRDN
(Fuji Bank/Bank of Tokyo LOC)(MIG1)
17,650,000 5.25 01/07/96 17,650,000
- --------------------------------------------------------------------------------
$ 24,150,000
- --------------------------------------------------------------------------------
Pennsylvania--3.5%
Allegheny County, PA IDA PCRB Series 1985 for U.S. Steel
Corp. (Norinchukin Bank LOC)(A-1+/P-1)
$16,600,000 3.90% 01/22/96 $ 16,600,000
20,200,000 3.80 01/23/96 20,200,000
13,200,000 4.05 01/30/96 13,200,000
- --------------------------------------------------------------------------------
$ 50,000,000
- --------------------------------------------------------------------------------
Puerto Rico--0.0%
Puerto Rico Government Development Bank VRDN(A-1/MIG1)
$ 700,000 4.50% 01/07/96 $ 700,000
- --------------------------------------------------------------------------------
South Carolina--1.1%
York County Floating/Fixed Rate PCRB Pooled Series 1984-North
Carolina Electric Membership Corp. VRDN (CFC)(A-1+/P-1)
$11,500,000 4.65% 01/07/96 $ 11,500,000
York County, SC for Duke Power Co.(A-1+/MIG1)
5,000,000 3.55 01/30/96 5,000,000
- --------------------------------------------------------------------------------
$ 16,500,000
- --------------------------------------------------------------------------------
Texas--13.2%
Belton, TX IDRB for H.E. Butt Grocery Project VRDN
(Texas Commerce Bank LOC)(P-1)
$ 4,600,000 5.35% 01/07/96 $ 4,600,000
Brazos River Authority IDA VRDN for Monsanto Company(P-1)
10,200,000 5.10 01/07/96 10,200,000
Brazos River Authority PCR Series 1994 for Monsanto Company(P-1)
6,100,000 5.10 01/07/96 6,100,000
City of Houston, TX CP Notes Series A(A-1+/P-1)
6,000,000 3.75 02/28/96 6,000,000
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Texas (continued)
Gulf Coast Waste Disposal Authority PCRB for Amoco Corp.
(A-1+/MIG1)
$ 3,850,000 5.90% 01/01/96 $ 3,850,000
Gulf Coast Waste Disposal Authority PCRB for Monsanto
Company VRDN(A-1/P-1)
7,925,000 5.10 01/07/96 7,925,000
Lower Colorado River Authority CP Program(A-1+/P-1)
4,400,000 3.80 02/14/96 4,400,000
10,000,000 3.75 03/29/96 10,000,000
Nueces River IDA PCRB UPDATE Series 1984-San Miguel
Electric (CFC)(A-1+/MIG1)
25,700,000 3.80 01/10/96 25,700,000
25,000,000 3.80 01/11/96 25,000,000
San Antonio, TX Electric & Gas Systems CP Notes Series A
(A-1+/P-1)
12,800,000 3.45 02/07/96 12,800,000
State of Texas TRANS CP Notes(A-1+/P-1)
15,000,000 3.70 03/15/96 15,000,000
12,000,000 3.65 08/20/96 12,000,000
State of Texas TRANS Series A(SP1+/MIG1)
33,000,000 4.75 08/30/96 33,211,775
Texas A&M University Board of Regents Series B(A-1+/MIG1)
3,600,000 3.55 02/07/96 3,600,000
3,200,000 3.75 02/07/96 3,200,000
Texas Public Finance Authority Tax-Exempt CP Revenue Notes
Series B (A-1+/P-1)
7,200,000 3.75 02/07/96 7,200,000
- --------------------------------------------------------------------------------
$190,786,775
- --------------------------------------------------------------------------------
Utah--0.2%
Carbon County, UT PCRB Series 1994 VRDN for Pacificorp.
(AMBAC)(A-1/MIG1)
$ 3,365,000 5.90% 01/01/96 $ 3,365,000
- --------------------------------------------------------------------------------
Virginia--4.3%
IDA Chesapeake PCRB Series 1985 for Virginia Electric & Power
Co.(A-1/P-1)
$22,000,000 3.50% 02/09/96 $ 22,000,000
IDA of Louisa PCRB Series 1984-Virginia Electric & Power Co.
Project(A-1/P-1)
4,000,000 4.35 01/16/96 4,000,000
2,500,000 4.35 01/17/96 2,500,000
4,000,000 3.75 01/24/96 4,000,000
4,000,000 3.90 01/25/96 4,000,000
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
==================================================================================
<S> <C> <C> <C>
Virginia (continued)
IDA of Louisa PCRB Series 1984-Virginia Electric & Power Co.
Project(A-1/P-1) (continued)
$ 4,000,000 3.65% 01/30/96 $ 4,000,000
4,000,000 3.75 01/31/96 4,000,000
4,000,000 3.75 02/21/96 4,000,000
4,000,000 3.80 02/26/96 4,000,000
1,500,000 3.75 02/27/96 1,500,000
IDA of Louisa PCRB Series 1987-Virginia Electric & Power Co.
Project(A-1/P-1)
1,300,000 3.50 02/09/96 1,300,000
Roanoke, VA IDA Hospital RB for Roanoke Memorial Hospital
Project A VRDN(A-1+)
400,000 5.10 01/07/96 400,000
Spotsylvania, VA IDA for Carlisle Corporation (Trust Company
Bank LOC)(Aa3)
6,500,000 5.15 01/07/96 6,500,000
- ----------------------------------------------------------------------------------
$ 62,200,000
- ----------------------------------------------------------------------------------
Washington--2.5%
Port of Grays Harbor, WA IDA for Weyerhaeuser Project
Series 1992 VRDN(A-1)
$ 6,850,000 5.20% 01/07/96 $ 6,850,000
Union Gap City IDA for Weyerhaeuser Project Series 1992
VRDN(A-1)
1,600,000 5.20 01/07/96 1,600,000
Washington Public Power Supply Project Electric RB VRDN
(Industrial Bank of Japan LOC)(A-1/MIG1)
27,885,000 5.35 01/07/96 27,885,000
- ----------------------------------------------------------------------------------
$ 36,335,000
- ----------------------------------------------------------------------------------
Wyoming--1.3%
Kemmerer, WY PCRB Series 1984 for Exxon Project VRDN(A-1+)
$ 4,600,000 5.90% 01/01/96 $ 4,600,000
Pacificorp for Sweetwater County PCRB Series 1990 A VRDN
(Credit Suisse LOC)(MIG)
9,000,000 5.25 01/07/96/(a)/ 9,000,000
1,200,000 5.25 01/07/96 1,200,000
4,335,000 3.75 01/30/96 4,335,000
- ----------------------------------------------------------------------------------
$ 19,135,000
- ----------------------------------------------------------------------------------
Total Investments $1,498,671,461/(c)/
==================================================================================
</TABLE>
- --------------------------------------------------------------------------------
================================================================================
/(a)/ When-issued securities.
/(b)/ Portions of these securities are being segregated for when-issued
securities.
/(c)/ 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.
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 California Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
California--92.1%
Anaheim City, CA Electric RANS Tax Exempt CP Notes(A-1+/P-1)
$ 4,300,000 3.65% 03/15/96 $ 4,300,000
California Health Facility Finance Authority RB Series 1990 A
VRDN (Rabobank Nederland LOC)(A-1+/MIG1)
8,400,000 4.95 01/07/96 8,400,000
California PCRB for Pacific Gas & Electric (Banque Nationale
de Paris LOC)(A-1/P-1)
6,000,000 3.40 02/09/96 6,000,000
California School Cash Reserve Program Authority TRANS
Series A (MBIA)(SP-1+/MIG1)
5,000,000 4.75 07/03/96 5,024,213
California School Cash Reserve Program Authority TRANS
Series B (MBIA)(SP-1+/MIG1)
4,000,000 4.50 12/20/96 4,026,070
California State Department Water Resources CP Notes Series 1
(A-1+/P-1)
9,500,000 3.55 01/25/96 9,500,000
California State Kaiser Foundations Hospital VRDN(A-1+/MIG1)
5,000,000 4.90 01/07/96 5,000,000
California Statewide Communities Development Authority for Irvine
Apartment Communities RB Subordinate Series A-3 VRDN(A-1+)
32,900,000 4.90 01/07/96 32,900,000
City of Fremont MF Hsg. VRDN Series 1985 D-Creekside Village
Apartment Project (Fuji Bank LOC)(MIG1)
8,100,000 5.55 01/07/96 8,100,000
City of Irwindale IDRB Series 1984 Toys-R-Us VRDN (Bankers
Trust LOC)(Aa2)
2,000,000 5.13 01/07/96 2,000,000
City of Los Angeles, VRDN MF Hsg. Museum Terrace-84H
(Bank of America LOC)(MIG1)
3,500,000 4.55 01/07/96 3,500,000
City of Newport Beach Floating/Fixed Rate Health Facilities
Memorial Hospital Facility VRDN(A-1/MIG1)
7,130,000 5.90 01/01/96 7,130,000
City of San Diego, CA MF Hsg. for Lacima Apartments VRDN
(Citibank LOC)(MIG1)
13,630,000 4.80 01/07/96 13,630,000
City of San Diego, CA MF Hsg. for Nobel Court Apartment
VRDN (Citibank LOC)(MIG1)
8,160,000 4.80 01/07/96 8,160,000
Contra Costa, CA MF Hsg. for Lakeshore Apartments VRDN
(FNMA)(A-1+)
4,800,000 5.00 01/07/96 4,800,000
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
California (continued)
East Bay Municipal Utility District California Water and Waste
(A-1+/P-1)
$ 7,150,000 3.60% 02/13/96 $ 7,150,000
Huntington Beach City Monthly MF Hsg. VRDN Series 1985 A
(Bank of America LOC)(MIG1)
7,600,000 4.00 01/01/96 7,600,000
Los Angeles, California Transportation CP Notes (ABN AMRO
Bank/Bank of California/Banque Nationale de Paris/
CIBC/National Westminster Bank LOC)(A-1+/P-1)
9,400,000 3.70 03/07/96 9,400,000
Los Angeles County Metro Transportation Authority (MBIA)
(A-1+/MIG1)
4,595,000 5.00 01/07/96 4,595,000
Los Angeles County Metro Transportation Authority VRDN
(MBIA)(MIG1)
10,000,000 5.00 04/25/96 10,037,682
Los Angeles County MF Hsg. for Canyon Country Villas VRDN
(Industrial Bank of Japan LOC)(MIG1)
16,000,000 5.35 01/07/96 16,000,000
Los Angeles County, CA TRANS (Bank of America/Credit
Suisse/Morgan Guaranty Trust Co./Swiss Bank Corp./
UBS/Westdeutsche Landesbank Girozentrale LOC)(SP-1/MIG1)
18,460,000 4.50 07/01/96 18,520,281
Los Angeles County, VRDN MF Hsg. for Valencia Village
Series 1994 C (Industrial Bank of Japan LOC)(A-1+)
14,100,000 5.35 01/07/96 14,100,000
Orange County Seaside Meadows VRDN (Fuji Bank LOC)
(A-1/MIG1)
24,000,000 5.80 01/07/96 24,000,000
Pomona Public Financing Authority VRDN (Sumitomo Bank
Ltd., LOC)(SP-1+)
2,200,000 5.25 01/07/96 2,200,000
Porterville Union High School District, Tulare City School
District, Tulare Joint Union High School District VRDN COP
(Bank of California LOC)(MIG1)
5,000,000 5.45 01/07/96 5,000,000
Sacramento County 1990 COP Admin-Center Courthouse Project
VRDN (Union Bank of Switzerland LOC)(A-1+/MIG1)
500,000 4.75 01/07/96 500,000
San Bernadino County VRDN-Woodview Apartments Series 1985
(Bank of America LOC)(MIG1)
1,200,000 5.00 01/07/96 1,200,000
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
California (continued)
San Diego County, CA MF Hsg. for Country Hills VRDN
(FNMA)(A-1+)
$10,400,000 5.00% 01/07/96 $ 10,400,000
San Diego Lus Mer Masa VRDN (Bank of America LOC)(MIG1)
4,900,000 5.00 01/07/96 4,900,000
San Diego Regional Transportation Commission 2nd Senior
Sales Tax RB 1992 Series A (FGIC)(AAA/Aaa)
7,700,000 4.00 04/01/96 7,710,829
San Diego, CA IDR Series 1995 B for San Diego Gas and Electric
(A-1/MIG1)
2,700,000 3.60 01/30/96 2,700,000
1,000,000 3.70 01/19/96 1,000,000
San Leandro California MF Hsg. VRDN Series 1985 B- Haas
Avenue Apartments (Bank of America LOC)(MIG1)
3,900,000 4.80 01/07/96 3,900,000
Southern California Public Power Authority VRDN
(Swiss Bank LOC)(A-1+/MIG1)
13,000,000 4.75 01/07/96 13,000,000
State of California RAWS Series C (Bank of America/Banque
Nationale de Paris/Bank of Nova Scotia/Chemical Bank/
CIBC/Citibank/Morgan Guaranty Trust Co./Credit Suisse/
National Westminster Bank/Societe General/Swiss Bank
Corp./Sumitomo Bank Ltd./Toronto Dominion Bank/
Westdeutsche Landesbank Girozentrale LOC)(SP-1/MIG1)
30,190,000 5.75 04/25/96 30,311,082
Ventura County, CA for Triurfo Sanitation District VRDN
(Banque Nationale de Paris LOC)(A-1+)
2,500,000 5.15 01/07/96 2,500,000
- --------------------------------------------------------------------------------
$319,195,157
- --------------------------------------------------------------------------------
Puerto Rico--7.4%
Puerto Rico Government Development Bank CP Notes(A-1+)
$ 4,000,000 3.70% 01/23/96 $ 4,000,000
10,000,000 3.35 02/08/96 10,000,000
11,700,000 3.65 03/08/96 11,700,000
- --------------------------------------------------------------------------------
$ 25,700,000
- --------------------------------------------------------------------------------
Total Investments $344,895,157/(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.
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.
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio
December 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
New York--94.9%
City of Yonkers IDA Series 1991 Civic Facility VRDN
(Industrial Bank of Japan LOC)(MIG1)
$5,600,000 5.30% 01/07/96 $ 5,600,000
IDA Civic Facility RB, Cold Spring Harbor Labs Series 1989
VRDN (Morgan Guaranty Trust Co.)(A-1+)
2,200,000 6.00 01/01/96 2,200,000
Metropolitan Transportation Authority Commuter Facility
VRDN Series 1991 (Morgan Guaranty & Trust Co./Mitsubishi
Bank/Bank of Tokyo LOC)(A-1+/MIG1)
3,400,000 5.00 01/07/96 3,400,000
Nassau County RANS (SP-1)
3,500,000 4.25 03/15/96 3,503,450
Nassau County, GO Refunding Bond Import Series 1993 H
(MBIA)(AAA/Aaa)
1,585,000 3.80 06/15/96 1,586,052
New York City GO Bonds VRDN (Dai Ichi Kangyo Bank Ltd.,
New York LOC)(A-1/MIG1)
3,700,000 5.05 01/01/96 3,700,000
New York City GO Bonds VRDN (Norinchunkin Bank LOC)
(A-1+/MIG1)
1,700,000 5.05 01/01/96 1,700,000
New York City Housing Development Corp. MF Hsg. for York
Avenue Development VRDN (Chemical Bank LOC) (AMT)(A-1)
2,000,000 5.00 01/07/96 2,000,000
New York City IDA for Columbia Grammar Prep School VRDN
(Chemical Bank LOC)(A-1+)
2,500,000 4.90 01/07/96 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 5.90 01/01/96 4,000,000
New York City Muncipal Water and Sewer Finance Authority
VRDN (FGIC)(AAA/MIG1)
2,600,000 5.50 01/01/96 2,600,000
New York City Municipal Water Finance Authority
(Credit Suisse LOC)(A-1+/P-1)
2,300,000 3.75 01/26/96 2,300,000
3,000,000 3.75 01/30/96 3,000,000
New York City RANS (SP-1+/MIG1)
5,000,000 4.50 04/11/96 5,009,401
New York City Trust for Cultural Resources American Museum
of Natural History Adjustable Rate TRB VRDN(MIG1)
3,200,000 4.90 01/07/96 3,200,000
New York Medicare Facility for Childrens Hospital of Buffalo
VRDN (Barclays Bank LOC)(MIG1)
2,100,000 5.00 01/07/96 2,100,000
New York State CP Series Q(A-1/P-1)
5,900,000 3.75 01/16/96 5,900,000
3,000,000 3.75 01/23/96 3,000,000
New York State Dormitory Authority RB, Series 1990 B
Cornell University VRDN(A-1+/MIG1)
4,300,000 5.90 01/01/96 4,300,000
New York State Energy and Research Development Authority
for Long Island Lighting Co. (Deutsche Bank LOC)(MIG1)
2,000,000 4.70 03/01/96 2,000,000
New York State Energy Research & Development Authority
for Long Island Lighting Co. VRDN (Toronto Dominion
Bank LOC) (AMT)(MIG1)
3,000,000 5.00 01/07/96 3,000,000
New York State Energy Research & Development Authority
PCRB Rochester Series 1984 G and E (P-1)
2,100,000 3.55 01/01/96 2,100,000
New York State Energy Research and Development Authority
PCRB Series A & B- Central Hudson Gas & Electric VRDN
(Deutsche Bank LOC)(Aa2)
1,300,000 4.90 01/07/96 1,300,000
New York State Local Government Series B (Bank of Nova
Scotia LOC)(A-1+/MIG1)
6,800,000 4.95 01/07/96 6,800,000
New York State Local Government Series C (Landesbank
Hessen-Thueringen Girozentrale LOC)(A-1+/MIG1)
1,400,000 4.85 01/07/96 1,400,000
New York State Local Government Series G (National
Westminster Bank LOC)(A-1+/MIG1)
2,200,000 4.90 01/07/96 2,200,000
New York State PCR for Rockland County VRDN (AMBAC)
(A-1+/MIG1)
4,300,000 4.90 01/07/96 4,300,000
New York State Research & Development PCRB Series D
for New York State Electric and Gas (United Bank of
Switzerland LOC)(A-1+/MIG1)
6,000,000 6.00 01/01/96 6,000,000
New York State Rochester Gas and Electric (Credit Suisse LOC)
(A-1+/P-1)
1,500,000 3.75 11/15/96 1,500,000
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio (continued)
December 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
=====================================================================================
<S> <C> <C> <C>
New York (continued)
New York State Triborough Bridge & Tunnel Authority VRDN
(FGIC)(A-1+/MIG1)
$ 3,500,000 4.90% 01/07/96 $ 3,500,000
Northport - East Northport USD TANS(MIG1)
4,000,000 4.13 06/28/96 4,009,907
Port Authority of New York/New Jersey CP Notes(A-1+/P-1)
3,120,000 3.45 01/19/96 3,120,000
Syracuse University IDA VRDN (JP Morgan LOC)(A-1+/MIG1)
4,200,000 5.90 01/01/96 4,200,000
Water Authority of Greatneck North Series 1993 A VRDN (FGIC)
(A-1+/MIG1)
4,300,000 4.90 01/07/96 4,300,000
- -------------------------------------------------------------------------------------
$111,328,810
- -------------------------------------------------------------------------------------
Puerto Rico--2.0%
Puerto Rico Government Development Bank-Adjustable Refunding
Bonds, Series 1985 VRDN (Credit Suisse LOC)(A-1/MIG1)
$ 300,000 4.50% 01/07/96 $ 300,000
Puerto Rico Industrial Medical and Environmental PCR for Schering
Plough Corp.(Morgan Guaranty Trust Co. LOC)(AAA)
2,000,000 3.80 12/01/96 2,003,554
- -------------------------------------------------------------------------------------
$ 2,303,554
- -------------------------------------------------------------------------------------
Total Investments $113,632,364/(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.
================================================================================
Tax-Exempt Investment Abbreviations:
ACES -- Adjustable Convertible Extendible Securities
AMBAC -- Insured by American Municipal Bond Assurance Corp.
CFC -- Unconditionally guaranteed by CFC, Cooperative Finance Corp.
COP -- Certificate of Participation
CP -- Commercial Paper
FGIC -- Insured by Financial Guaranty Insurance Co.
FNMA -- Federal National Mortgage Association
GO -- General Obligation
IDA -- Industrial Development Authority
IDB -- Industrial Development Bond
IDRB -- Industrial Development Revenue 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
RAWS -- Revenue Anticipation Warrants
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.
21
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1995
<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 $1,556,339,637 $763,283,263 $705,671,557
Interest receivable 3,843,438 2,565,683 1,642,125
Cash 55,506 -- 128,156
Other assets 213,546 36,409 108,888
- --------------------------------------------------------------------------------
Total assets 1,560,452,127 765,885,355 707,550,726
- --------------------------------------------------------------------------------
Liabilities:
Payable for investment securities
purchased -- -- --
Dividends payable 8,141,681 3,861,327 3,675,312
Accrued expenses and other
liabilities 808,691 366,682 437,322
- --------------------------------------------------------------------------------
Total liabilities 8,950,372 4,228,009 4,112,634
- --------------------------------------------------------------------------------
Net Assets:
Paid in capital 1,551,501,755 761,657,346 703,383,325
Accumulated undistributed net
investment income -- -- --
Accumulated undistributed net
realized gain (loss) on investment
transactions -- -- 54,767
- --------------------------------------------------------------------------------
Net assets $1,551,501,755 $761,657,346 $703,438,092
================================================================================
Net asset value, offering and
redemption price per unit
(net assets/units outstanding) $1.00 $1.00 $1.00
================================================================================
Units Outstanding:
ILA units 1,261,208,998 574,155,473 570,436,734
ILA Administration units 63,055,307 164,422,265 47,558,211
ILA Service units 227,237,450 23,079,608 85,388,380
- --------------------------------------------------------------------------------
Total units of beneficial interest
outstanding, $.001 par value
(unlimited number of units
authorized) 1,551,501,755 761,657,346 703,383,325
================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
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>
$927,388,046 $771,984,093 $2,409,275,624 $1,498,671,461 $344,895,157 $113,632,364
630,997 9,483,381 3,598,134 9,669,063 2,858,050 648,680
14,721 120,860 55,710 238,690 280,992 3,316,255
157,830 75,801 161,760 56,974 19,205 14,775
- -------------------------------------------------------------------------------------------
928,191,594 781,664,135 2,413,091,228 1,508,636,188 348,053,404 117,612,074
- -------------------------------------------------------------------------------------------
-- -- 49,953,785 62,318,171 -- --
4,192,668 3,196,332 10,955,690 4,850,149 1,152,288 314,065
455,293 206,703 753,597 463,293 112,365 37,404
- -------------------------------------------------------------------------------------------
4,647,961 3,403,035 61,663,072 67,631,613 1,264,653 351,469
- -------------------------------------------------------------------------------------------
923,540,771 778,255,461 2,351,492,512 1,440,873,355 346,808,291 117,260,951
-- -- -- 362,642 10,495 1,634
2,862 5,639 (64,356) (231,422) (30,035) (1,980)
- -------------------------------------------------------------------------------------------
$923,543,633 $778,261,100 $2,351,428,156 $1,441,004,575 $346,788,751 $117,260,605
===========================================================================================
$1.00 $1.00 $1.00 $1.00 $1.00 $1.00
===========================================================================================
711,102,137 586,288,862 1,731,957,820 1,342,653,546 346,747,223 90,535,967
92,720,120 68,708,601 516,957,788 48,773,081 61,068 26,724,984
119,718,514 123,257,998 102,576,904 49,643,320 -- --
- -------------------------------------------------------------------------------------------
923,540,771 778,255,461 2,351,492,512 1,441,069,947 346,808,291 117,260,951
===========================================================================================
</TABLE>
23
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Statements of Operations
For the Year Ended December 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
===================================================
<S> <C> <C> <C>
Investment income:
Interest income $ 116,500,483 $ 52,928,559 $ 56,149,303
- -------------------------------------------------------------------------------------------------
Expenses:
Investment adviser fees 6,728,074 3,054,275 3,259,056
Transfer agent fees 768,923 349,060 372,463
Custodian fees 434,548 224,320 245,304
Professional fees 65,417 27,474 22,956
Trustees' fees 50,898 20,711 28,187
Other 136,837 20,311 143,725
- -------------------------------------------------------------------------------------------------
Total expenses 8,184,697 3,696,151 4,071,691
Less--Expenses reimbursable and fees
waived by GSAM (347,317) (572,040) (276,785)
- -------------------------------------------------------------------------------------------------
Net expenses 7,837,380 3,124,111 3,794,906
Administration unit fees 141,500 223,420 94,196
Service unit fees 937,733 102,642 430,114
- -------------------------------------------------------------------------------------------------
Net expenses and unit fees 8,916,613 3,450,173 4,319,216
- -------------------------------------------------------------------------------------------------
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
=================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
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>
$54,265,539 $40,952,372 $134,819,866 $ 60,135,598 $11,495,659 $ 3,673,507
- -------------------------------------------------------------------------------------------
3,206,490 2,518,236 7,951,196 5,313,451 1,030,447 343,853
366,456 287,798 908,708 607,252 117,765 39,298
225,987 160,385 392,725 114,042 55,743 28,579
21,510 21,812 65,698 36,287 12,288 2,079
20,055 10,770 38,951 27,183 5,457 1,990
102,078 161,548 212,442 333,097 85 17,235
- -------------------------------------------------------------------------------------------
3,942,576 3,160,549 9,569,720 6,431,312 1,221,785 433,034
(203,882) (1,662,644) (3,709,808) (1,757,958) (19,625) (141,867)
- -------------------------------------------------------------------------------------------
3,738,694 1,497,905 5,859,912 4,673,354 1,202,160 291,167
165,430 110,355 713,846 103,673 600 27,783
478,419 316,188 254,508 220,790 -- --
- -------------------------------------------------------------------------------------------
4,382,543 1,924,448 6,828,266 4,997,817 1,202,760 318,950
- -------------------------------------------------------------------------------------------
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
===========================================================================================
</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
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1994
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
====================================================
<S> <C> <C> <C>
From Operations:
Net investment income $ 102,000,915 $ 35,271,209 $ 51,191,147
Net realized gain (loss) on investment
transactions 22,898 1,379 210,100
- --------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 102,023,813 35,272,588 51,401,247
- --------------------------------------------------------------------------------------------------
Distributions to Unitholders:
From net investment income
ILA units (89,611,120) (27,629,787) (40,943,467)
ILA Administration units (6,633,576) (6,900,562) (4,966,425)
ILA Service units (5,756,219) (740,860) (5,281,255)
In excess of net investment income
ILA units -- -- --
ILA Administration units -- -- --
ILA Service units -- -- --
From net realized gain on investment transactions
ILA units (20,115) (1,085) (226,026)
ILA Administration units (1,605) (260) (29,098)
ILA Service units (1,178) (34) (26,399)
- --------------------------------------------------------------------------------------------------
Total distributions to unitholders (102,023,813) (35,272,588) (51,472,670)
- --------------------------------------------------------------------------------------------------
From unit transactions (at $1.00 per unit):
Proceeds from sale of units 18,942,358,212 8,134,683,883 9,152,798,250
Reinvestment of dividends and distributions 43,235,395 21,934,470 15,739,748
Cost of units repurchased (19,362,066,753) (8,290,641,120) (9,613,028,411)
- --------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
resulting from unit transactions (376,473,146) (134,022,767) (444,490,413)
- --------------------------------------------------------------------------------------------------
Total increase (decrease) (376,473,146) (134,022,767) (444,561,836)
Net Assets:
Beginning of year 2,660,006,446 861,221,851 1,578,495,186
- --------------------------------------------------------------------------------------------------
End of year $ 2,283,533,300 $ 727,199,084 $ 1,133,933,350
==================================================================================================
Accumulated undistributed (distributions
in excess of) net investment income -- -- --
==================================================================================================
Summary of unit transactions:
ILA Units:
Units sold 17,069,145,403 6,527,992,495 7,241,535,390
Reinvestment of dividends and distributions 40,475,407 20,052,124 11,995,781
Units repurchased (17,478,545,420) (6,688,177,414) (7,687,338,826)
- --------------------------------------------------------------------------------------------------
(368,924,610) (140,132,795) (433,807,655)
- --------------------------------------------------------------------------------------------------
ILA Administration Units:
Units sold 1,310,578,974 1,437,965,563 941,022,566
Reinvestment of dividends and distributions 2,533,724 1,716,679 584,943
Units repurchased (1,353,310,306) (1,444,274,909) (1,007,963,198)
- --------------------------------------------------------------------------------------------------
(40,197,608) (4,592,667) (66,355,689)
- --------------------------------------------------------------------------------------------------
ILA Service Units:
Units sold 562,633,835 168,725,825 970,240,294
Reinvestment of dividends and distributions 226,264 165,667 3,159,024
Units repurchased (530,211,027) (158,188,797) (917,726,387)
- --------------------------------------------------------------------------------------------------
32,649,072 10,702,695 55,672,931
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in units (376,473,146) (134,022,767) (444,490,413)
==================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
28
<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>
$ 37,665,016 $ 18,067,220 $ 68,529,060 $ 45,851,945 $ 6,189,541 $ 2,024,157
16,928 33,799 (16,697) 48,154 16,702 --
- --------------------------------------------------------------------------------------------------------
37,681,944 18,101,019 68,512,363 45,900,099 6,206,243 2,024,157
- --------------------------------------------------------------------------------------------------------
(29,686,671) (14,791,986) (55,476,234) (42,382,812) (6,159,244) (1,586,734)
(4,280,505) (1,534,410) (12,715,593) (2,438,862) (30,117) (437,423)
(3,697,840) (1,740,824) (337,233) (1,029,042) -- --
(9,054) -- -- -- -- --
(737) -- -- -- -- --
-- -- -- -- -- --
(30,901) (49,308) -- -- -- --
(2,517) (3,439) -- -- -- --
-- (4,089) -- -- -- --
- --------------------------------------------------------------------------------------------------------
(37,708,225) (18,124,056) (68,529,060) (45,850,716) (6,189,361) (2,024,157)
- --------------------------------------------------------------------------------------------------------
5,310,839,810 3,123,698,015 9,899,967,810 11,289,202,553 1,460,150,550 537,712,309
11,653,368 7,630,093 26,961,558 22,770,526 5,494,692 1,403,300
(5,678,451,559) (2,962,092,645) (9,750,028,739) (11,657,332,806) (1,468,737,443) (484,301,741)
- --------------------------------------------------------------------------------------------------------
(355,958,381) 169,235,463 176,900,629 (345,359,727) (3,092,201) 54,813,868
- --------------------------------------------------------------------------------------------------------
(355,984,662) 169,212,426 176,883,932 (345,310,344) (3,075,319) 54,813,868
1,276,398,236 516,977,730 1,794,118,484 1,914,544,895 231,264,193 68,673,469
- --------------------------------------------------------------------------------------------------------
$ 920,413,574 $ 686,190,156 $ 1,971,002,416 $ 1,569,234,551 $ 228,188,874 $ 123,487,337
========================================================================================================
$(9,791) -- -- $ 362,642 $ 10,495 $ 1,634
========================================================================================================
4,145,495,977 2,604,056,684 8,598,427,526 10,834,591,814 1,457,109,899 358,860,803
10,734,731 7,228,126 26,683,021 22,155,772 5,473,342 1,010,558
(4,411,963,120) (2,520,326,417) (8,429,822,187) (11,191,304,544) (1,465,039,917) (323,722,255)
- --------------------------------------------------------------------------------------------------------
(255,732,412) 90,958,393 195,288,360 (334,556,958) (2,456,676) 36,149,106
- --------------------------------------------------------------------------------------------------------
835,736,562 285,580,424 1,172,289,474 369,065,934 3,040,641 178,851,506
918,637 399,805 278,537 562,006 21,350 392,742
(860,345,269) (248,144,894) (1,205,069,467) (371,749,391) (3,697,498) (160,579,486)
- --------------------------------------------------------------------------------------------------------
(23,690,070) 37,835,335 (32,501,456) (2,121,451) (635,507) 18,664,762
- --------------------------------------------------------------------------------------------------------
329,607,271 234,060,907 129,250,810 85,544,805 10 --
-- 2,162 -- 52,748 -- --
(406,143,170) (193,621,334) (115,137,085) (94,278,871) (28) --
- --------------------------------------------------------------------------------------------------------
(76,535,899) 40,441,735 14,113,725 (8,681,318) (18) --
- --------------------------------------------------------------------------------------------------------
(355,958,381) 169,235,463 176,900,629 (345,359,727) (3,092,201) 54,813,868
========================================================================================================
</TABLE>
29
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1995
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. 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 the Institutional Liquid Assets Portfolios which are in conformity
with those generally accepted in the investment company industry. The
preparation of these financial statements, in accordance with generally accepted
accounting principles, incorporates estimates made by management in determining
the reported amounts of assets, liabilities, revenues and expenses of the Funds.
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 of its 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 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, 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. Deferred Organization Expenses--
- ------------------------------------
Organization-related costs are being amortized on a straight-line basis over a
period of five years.
Included in "Other Assets" in the accompanying Statements of Assets and
Liabilities is approximately $1,500 and $1,600 for the Treasury Instruments
Portfolio and the Tax-Exempt New York Portfolio, respectively, related to the
unamortized organization costs for each portfolio at December 31, 1995.
30
<PAGE>
- --------------------------------------------------------------------------------
E. 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 and ILA Service units bear all expenses
and fees paid to service 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.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser under 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. As of December 31, 1995 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 year ended December 31, 1995, the advisory
fees waived amounted to approximately $436,000, $1,439,000, $3,408,000,
$1,518,000 and $109,000 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 December 31,
1995, payment of approximately $2,516,000 was due Goldman Sachs for their
services as investment adviser and transfer agent; such amounts are included in
"Accrued expenses and other liabilities" in the accompanying Statements of
Assets and Liabilities.
GSAM has 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 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. Prior to March 15, 1995, the expense limitation referred to above was
.40%.
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 December 31, 1995, the amounts due from GSAM were approximately
$92,000, $34,000 $32,000, $74,000, $132,000, $32,000, $11,000 and $12,000 for
the Prime Obligations, Money Market, Treasury Obligations, Treasury Instruments,
Federal, Tax-Exempt Diversified, 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.
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 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.
31
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1995
- --------------------------------------------------------------------------------
5. Line of Credit Facility
The Portfolios participate 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
fiscal year 1995, the Portfolios 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, at the Federal Reserve Bank of Boston 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, transfer uninvested cash balances into joint
accounts, the daily aggregate balances of which are invested in repurchase
agreements. The underlying securities for the repurchase agreements are U.S.
Treasury obligations.
As of December 31, 1995, the Prime Obligations, Money Market, Government
and Treasury Obligations Portfolios had, respectively, a 5.2%, 3.7%, 7.2% and
17.6% undivided interest in the repurchase agreements in the following joint
account which equaled $122,100,000, $86,300,000, $168,400,000 and $411,600,000
in principal amount, respectively. As of December 31, 1995, 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
Bear Stearns Companies, Inc., dated 12/29/95, repurchase price
$500,325,000 (U.S. Treasury Bills: $511,267,175, 05/15/98-08/15/02)
$500,000,000 5.85% 01/02/96 $ 500,000,000
Morgan Stanley & Co., dated 12/29/95, repurchase price $500,348,333
(U.S. Treasury Bills: $510,213,707, 06/20/96-12/12/96)
500,000,000 6.27 01/02/96 500,000,000
Smith Barney, Inc., dated 12/29/95, repurchase price $100,062,222
(U.S. Treasury Stripped Securities: $102,000,086, 08/15/96-08/15/05)
100,000,000 5.60 01/02/96 100,000,000
Smith Barney, Inc., dated 12/29/95, repurchase price $500,325,556
(U.S. Treasury Notes: $452,845,339, 5.50%-8.88%, 11/30/96-09/30/00;
U.S. Treasury Stripped Securities: $57,154,783, 05/15/97-05/15/05)
500,000,000 5.86 01/02/96 500,000,000
Swiss Bank Corp., dated 12/29/95, repurchase price $740,483,445
(U.S. Treasury Notes: $651,461,859, 4.38%-8.88%, 08/31/96-11/15/01;
U.S. Treasury Stripped Securities: $82,825,172, 02/15/02-08/15/02;
U.S. Treasury Bills: $20,818,558, 02/29/96-11/14/96)
740,000,000 5.88 01/02/96 740,000,000
- --------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $2,340,000,000
================================================================================
</TABLE>
8. Certain Reclassifications
In accordance with Statement of Position 93-2, the Tax-Exempt Diversified Fund
has reclassified $196,592 from accumulated undistributed net realized loss to
paid-in capital. This reclassification has no impact on the net asset value of
the Fund and is designed to present the Fund's capital accounts on a tax basis.
9. 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.
32
<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 of
of period income transactions operations to unitholders period
-------------------------------------------------------------------------------
For the Years Ended December 31,
- ------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... $1.00 $0.0566 $ -- $0.0566 $(0.0566) $1.00
1995-ILA
Administration units.... 1.00 0.0551 -- 0.0551 (0.0551) 1.00
1995-ILA Service
units................... 1.00 0.0522 -- 0.0522 (0.0522) 1.00
1994-ILA units........... 1.00 0.0394 -- 0.0394 (0.0394) 1.00
1994-ILA
Administration units.... 1.00 0.0379 -- 0.0379 (0.0379) 1.00
1994-ILA Service
units................... 1.00 0.0365 -- 0.0365 (0.0365) 1.00
1993-ILA units........... 1.00 0.0291 0.0002 0.0293 (0.0293) 1.00
1993-ILA
Administration units.... 1.00 0.0275 0.0003 0.0278 (0.0278) 1.00
1993-ILA Service
units................... 1.00 0.0250 0.0001 0.0251 (0.0252) 1.00
1992-ILA units........... 1.00 0.0364 0.0010 0.0374 (0.0374) 1.00
1992-ILA
Administration units.... 1.00 0.0339 0.0010 0.0349 (0.0349) 1.00
1992-ILA Service
units................... 1.00 0.0311 0.0010 0.0321 (0.0320) 1.00
1991-ILA units........... 1.00 0.0591 0.0003 0.0594 (0.0594) 1.00
1991-ILA
Administration units.... 1.00 0.0568 0.0003 0.0571 (0.0571) 1.00
1991-ILA Service
units................... 1.00 0.0558 0.0003 0.0561 (0.0561) 1.00
1990-ILA units........... 1.00 0.0793 -- 0.0793 (0.0793) 1.00
1990-ILA
Administration
units/(b)/.............. 1.00 0.0438 -- 0.0438 (0.0438) 1.00
1990-ILA Service
units/(b)/.............. 1.00 0.0425 -- 0.0425 (0.0425) 1.00
1989-ILA units........... 1.00 0.0890 -- 0.0890 (0.0890) 1.00
1988-ILA units........... 1.00 0.0714 -- 0.0714 (0.0714) 1.00
1987-ILA units........... 1.00 0.0634 -- 0.0634 (0.0634) 1.00
1986-ILA units........... 1.00 0.0644 0.0001 0.0645 (0.0645) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations/(d)/
-------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses to
Total average net average net period average net average
return/(a)/ assets assets (in 000s) assets net assets
--------------------------------------------------------------------------------
For the Years Ended December 31,
- ------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... 5.79% 0.41% 5.66% $1,261,251 0.43% 5.64%
1995-ILA
Administration units.... 5.63 0.56 5.51 63,018 0.58 5.49
1995-ILA Service
units................... 5.37 0.81 5.22 227,233 0.83 5.20
1994-ILA units........... 4.07 0.40 3.94 1,963,846 0.42 3.92
1994-ILA
Administration units.... 3.91 0.55 3.79 149,234 0.57 3.77
1994-ILA Service
units................... 3.66 0.80 3.65 170,453 0.82 3.63
1993-ILA units........... 2.97 0.40 2.91 2,332,771 0.42 2.89
1993-ILA
Administration units.... 2.82 0.55 2.75 189,431 0.57 2.73
1993-ILA Service
units................... 2.56 0.80 2.50 137,804 0.82 2.48
1992-ILA units........... 3.75 0.40 3.64 3,444,591 0.42 3.62
1992-ILA
Administration units.... 3.60 0.55 3.39 257,321 0.57 3.37
1992-ILA Service
units................... 3.34 0.80 3.11 22,044 0.82 3.09
1991-ILA units........... 6.10 0.40 5.91 3,531,736 0.42 5.89
1991-ILA
Administration units.... 5.94 0.55 5.68 198,417 0.57 5.66
1991-ILA Service
units................... 5.68 0.80 5.58 18,789 0.82 5.56
1990-ILA units........... 8.21 0.38 7.93 2,833,541 0.38 7.93
1990-ILA
Administration
units/(b)/.............. 7.81/(c)/ 0.55/(c)/ 7.62/(c)/ 209,272 0.55/(c)/ 7.62/(c)/
1990-ILA Service
units/(b)/.............. 7.56/(c)/ 0.80/(c)/ 7.25/(c)/ 19,039 0.80/(c)/ 7.25/(c)/
1989-ILA units........... 9.27 0.40 8.90 3,761,964 0.40 8.90
1988-ILA units........... 7.48 0.40 7.14 3,799,628 0.40 7.14
1987-ILA units........... 6.50 0.40 6.34 5,814,280 0.40 6.34
1986-ILA units........... 6.67 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)/ ILA Administration and Service unit activity commenced during June of
1990.
/(c)/ Annualized.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
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
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
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... $1.00 $0.0571 $ -- $0.0571 ($0.0571) $1.00
1995-ILA
Administration units.... 1.00 0.0555 -- 0.0555 (0.0555) 1.00
1995-ILA Service
units................... 1.00 0.0529 -- 0.0529 (0.0529) 1.00
1994-ILA units........... 1.00 0.0401 -- 0.0401 (0.0401) 1.00
1994-ILA
Administration units.... 1.00 0.0388 -- 0.0388 (0.0388) 1.00
1994-ILA Service
units................... 1.00 0.0364 -- 0.0364 (0.0364) 1.00
1993-ILA units........... 1.00 0.0296 0.0003 0.0299 (0.0299) 1.00
1993-ILA
Administration units.... 1.00 0.0281 0.0003 0.0284 (0.0284) 1.00
1993-ILA Service
units................... 1.00 0.0257 0.0002 0.0259 (0.0259) 1.00
1992-ILA units........... 1.00 0.0368 0.0004 0.0372 (0.0372) 1.00
1992-ILA
Administration units.... 1.00 0.0356 0.0004 0.0360 (0.0360) 1.00
1992-ILA Service
units................... 1.00 0.0358 0.0006 0.0364 (0.0364) 1.00
1991-ILA units........... 1.00 0.0591 0.0004 0.0595 (0.0595) 1.00
1991-ILA
Administration units.... 1.00 0.0574 0.0004 0.0578 (0.0578) 1.00
1991-ILA Service
units................... 1.00 0.0547 0.0004 0.0551 (0.0551) 1.00
1990-ILA units........... 1.00 0.0793 0.0001 0.0794 (0.0794) 1.00
1990-ILA
Administration
units/(c)/.............. 1.00 0.0424 0.0001 0.0425 (0.0425) 1.00
1990-ILA Service
units/(c)/.............. 1.00 0.0438 -- 0.0438 (0.0438) 1.00
1989-ILA units........... 1.00 0.0885 0.0001 0.0886 (0.0886) 1.00
1988-ILA units........... 1.00 0.0751 -- 0.0751 (0.0751) 1.00
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
Ratios assuming no
waiver of fees and no
expense limitations/(d)/
-------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
For the Years Total average net average net period average net to average
Ended December 31, return/(a)/ assets assets (in 000s) assets net assets
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... 5.85% 0.36% 5.71% $ 574,155 0.42% 5.65%
1995-ILA
Administration units.... 5.69 0.51 5.55 164,422 0.57 5.49
1995-ILA Service
units................... 5.43 0.76 5.29 23,080 0.82 5.23
1994-ILA units........... 4.13 0.35 4.01 559,470 0.43 3.93
1994-ILA
Administration units.... 3.98 0.50 3.88 145,867 0.58 3.80
1994-ILA Service
units................... 3.72 0.75 3.61 21,862 0.83 3.53
1993-ILA units........... 3.03 0.35 2.96 699,604 0.43 2.88
1993-ILA
Administration units.... 2.88 0.50 2.81 150,452 0.58 2.73
1993-ILA Service
units................... 2.62 0.75 2.57 11,166 0.83 2.49
1992-ILA units........... 3.76 0.35 3.68 884,571 0.43 3.60
1992-ILA
Administration units.... 3.61 0.50 3.56 187,445 0.58 3.48
1992-ILA Service
units................... 3.35 0.75 3.58 15,114 0.83 3.50
1991-ILA units........... 6.12 0.35 5.91 1,153,191 0.42 5.84
1991-ILA
Administration units.... 5.96 0.50 5.74 210,330 0.57 5.67
1991-ILA Service
units................... 5.70 0.75 5.47 56,586 0.82 5.40
1990-ILA units........... 8.24 0.35 7.93 924,141 0.40 7.88
1990-ILA
Administration
units/(c)/.............. 7.86/(b)/ 0.50/(b)/ 7.63/(b)/ 204,477 0.55/(b)/ 7.58/(b)/
1990-ILA Service
units/(c)/.............. 7.61/(b)/ 0.75/(b)/ 7.46/(b)/ 38,128 0.80/(b)/ 7.41/(b)/
1989-ILA units........... 9.31 0.35 8.85 1,295,389 0.40 8.80
1988-ILA units........... 7.66 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 7.38/(b)/ 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.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
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
Government Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
------------------------------------------
Net
Net asset realized Total Net asset
value at Net gain on income from value at
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... $1.00 $0.0562 $0.0002 $0.0564 $(0.0564) $1.00
1995-ILA
Administration units.... 1.00 0.0549 0.0002 0.0551 (0.0551) 1.00
1995-ILA Service
units................... 1.00 0.0519 0.0002 0.0521 (0.0521) 1.00
1994-ILA units........... 1.00 0.0378 0.0002 0.0380 (0.0380) 1.00
1994-ILA
Administration units.... 1.00 0.0362 0.0002 0.0364 (0.0364) 1.00
1994-ILA Service
units................... 1.00 0.0350 0.0002 0.0352 (0.0352) 1.00
1993-ILA units........... 1.00 0.0282 0.0008 0.0290 (0.0291) 1.00
1993-ILA
Administration units.... 1.00 0.0267 0.0008 0.0275 (0.0276) 1.00
1993-ILA Service
units................... 1.00 0.0242 0.0006 0.0248 (0.0250) 1.00
1992-ILA units........... 1.00 0.0338 0.0027 0.0365 (0.0364) 1.00
1992-ILA
Administration units.... 1.00 0.0325 0.0027 0.0352 (0.0351) 1.00
1992-ILA Service
units................... 1.00 0.0309 0.0030 0.0339 (0.0336) 1.00
1991-ILA units........... 1.00 0.0567 0.0011 0.0578 (0.0578) 1.00
1991-ILA
Administration units.... 1.00 0.0545 0.0011 0.0556 (0.0556) 1.00
1991-ILA Service
units................... 1.00 0.0522 0.0011 0.0533 (0.0533) 1.00
1990-ILA units........... 1.00 0.0779 0.0003 0.0782 (0.0782) 1.00
1990-ILA
Administration
units/(b)/.............. 1.00 0.0439 0.0004 0.0443 (0.0443) 1.00
1990-ILA Service
units/(b)/.............. 1.00 0.0359 0.0002 0.0361 (0.0363) 1.00
1989-ILA units........... 1.00 0.0877 0.0001 0.0878 (0.0878) 1.00
1988-ILA units........... 1.00 0.0716 0.0002 0.0718 (0.0718) 1.00
1987-ILA units........... 1.00 0.0622 0.0001 0.0623 (0.0624) 1.00
1986-ILA units........... 1.00 0.0629 0.0011 0.0640 (0.0641) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations/(d)/
--------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
For the Years Total average net average net period average net to average
Ended December 31, return/(a)/ assets assets (in 000s) assets net assets
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... 5.77% 0.41% 5.62% $ 570,469 0.43% 5.60%
1995-ILA
Administration units.... 5.62 0.56 5.49 47,558 0.58 5.47
1995-ILA Service
units................... 5.35 0.81 5.19 85,401 0.83 5.17
1994-ILA units........... 3.94 0.40 3.78 881,520 0.44 3.74
1994-ILA
Administration units.... 3.79 0.55 3.62 95,483 0.59 3.58
1994-ILA Service
units................... 3.53 0.80 3.50 156,930 0.84 3.46
1993-ILA units........... 2.94 0.40 2.82 1,315,378 0.43 2.79
1993-ILA
Administration units.... 2.79 0.55 2.67 161,845 0.58 2.64
1993-ILA Service
units................... 2.53 0.80 2.42 101,272 0.83 2.39
1992-ILA units........... 3.70 0.40 3.38 1,785,472 0.42 3.36
1992-ILA
Administration units.... 3.55 0.55 3.25 461,542 0.57 3.23
1992-ILA Service
units................... 3.29 0.80 3.09 56,389 0.82 3.07
1991-ILA units........... 5.91 0.40 5.67 2,103,627 0.43 5.64
1991-ILA
Administration units.... 5.75 0.55 5.45 464,060 0.58 5.42
1991-ILA Service
units................... 5.49 0.80 5.22 200,176 0.83 5.19
1990-ILA units........... 8.11 0.39 7.79 2,203,756 0.39 7.79
1990-ILA
Administration
units/(b)/.............. 7.74/(c)/ 0.55/(c)/ 7.49/(c)/ 296,313 0.55/(c)/ 7.49/(c)/
1990-ILA Service
units/(b)/.............. 7.42/(c)/ 0.80/(c)/ 7.15/(c)/ 132,888 0.80/(c)/ 7.15/(c)/
1989-ILA units........... 9.15 0.40 8.77 2,268,330 0.40 8.77
1988-ILA units........... 7.42 0.40 7.16 2,197,796 0.40 7.16
1987-ILA units........... 6.43 0.40 6.22 2,243,870 0.40 6.22
1986-ILA units........... 6.65 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)/ ILA Administration and Service unit activity commenced during June and
July of 1990.
/(c)/ Annualized.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
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
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
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... $1.00 $0.0551 $0.0007 $0.0558 $(0.0558) $1.00
1995-ILA
Administration units.... 1.00 0.0537 0.0007 0.0544 (0.0544) 1.00
1995-ILA Service
units................... 1.00 0.0511 0.0007 0.0518 (0.0518) 1.00
1994-ILA units........... 1.00 0.0377 -- 0.0377 (0.0377) 1.00
1994-ILA
Administration units.... 1.00 0.0368 -- 0.0368 (0.0368) 1.00
1994-ILA Service
units................... 1.00 0.0340 -- 0.0340 (0.0340) 1.00
1993-ILA units........... 1.00 0.0279 0.0006 0.0285 (0.0286) 1.00
1993-ILA
Administration units.... 1.00 0.0264 0.0006 0.0270 (0.0270) 1.00
1993-ILA Service
units................... 1.00 0.0239 0.0006 0.0245 (0.0246) 1.00
1992-ILA units........... 1.00 0.0339 0.0025 0.0364 (0.0362) 1.00
1992-ILA
Administration units.... 1.00 0.0320 0.0023 0.0343 (0.0343) 1.00
1992-ILA Service
units................... 1.00 0.0294 0.0024 0.0318 (0.0318) 1.00
1991-ILA units........... 1.00 0.0557 0.0018 0.0575 (0.0575) 1.00
1991-ILA
Administration units.... 1.00 0.0540 0.0018 0.0558 (0.0558) 1.00
1991-ILA Service
units................... 1.00 0.0515 0.0018 0.0533 (0.0533) 1.00
1990-ILA units........... 1.00 0.0772 0.0002 0.0774 (0.0774) 1.00
1990-ILA
Administration
units/(b)/............... 1.00 0.0413 0.0002 0.0415 (0.0415) 1.00
1990-ILA Service
units/(b)/.............. 1.00 0.0417 0.0003 0.0420 (0.0421) 1.00
1989-ILA units........... 1.00 0.0864 0.0005 0.0869 (0.0869) 1.00
1988-ILA units........... 1.00 0.0704 0.0004 0.0708 (0.0708) 1.00
1987-ILA units........... 1.00 0.0617 0.0002 0.0619 (0.0619) 1.00
1986-ILA units........... 1.00 0.0625 0.0012 0.0637 (0.0637) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations/(d)/
--------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
For the Years Total average net average net period average net to average
Ended December 31, return/(a)/ assets assets (in 000s) assets net assets
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1995-ILA units........... 5.73% 0.41% 5.51% $ 711,209 0.43% 5.49%
1995-ILA
Administration units.... 5.57 0.56 5.37 92,643 0.58 5.35
1995-ILA Service
units................... 5.31 0.81 5.11 119,692 0.83 5.09
1994-ILA units........... 3.91 0.40 3.77 713,816 0.44 3.73
1994-ILA
Administration units.... 3.75 0.55 3.68 97,626 0.59 3.64
1994-ILA Service
units................... 3.49 0.80 3.39 108,972 0.84 3.35
1993-ILA units........... 2.89 0.40 2.79 969,565 0.43 2.76
1993-ILA
Administration units.... 2.74 0.55 2.64 121,327 0.58 2.61
1993-ILA Service
units................... 2.48 0.80 2.39 185,506 0.83 2.36
1992-ILA units........... 3.65 0.40 3.39 1,328,036 0.43 3.36
1992-ILA
Administration units.... 3.49 0.55 3.20 152,804 0.58 3.17
1992-ILA Service
units................... 3.23 0.80 2.94 183,208 0.83 2.91
1991-ILA units........... 5.90 0.40 5.57 1,709,321 0.43 5.54
1991-ILA
Administration units.... 5.74 0.55 5.40 146,795 0.58 5.37
1991-ILA Service
units................... 5.48 0.80 5.15 154,419 0.83 5.12
1990-ILA units........... 8.05 0.39 7.72 1,816,991 0.39 7.72
1990-ILA
Administration
units/(b)/.............. 7.67/(c)/ 0.55/(c)/ 7.42/(c)/ 132,088 0.55/(c)/ 7.42/(c)/
1990-ILA Service
units/(b)/.............. 7.42/(c)/ 0.80/(c)/ 7.11/(c)/ 148,323 0.80/(c)/ 7.11/(c)/
1989-ILA units........... 9.06 0.40 8.64 1,769,974 0.40 8.64
1988-ILA units........... 7.30 0.40 7.04 1,657,215 0.40 7.04
1987-ILA units........... 6.32 0.40 6.17 1,693,767 0.40 6.17
1986-ILA units........... 6.63 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)/ ILA Administration and Service unit activity commenced during June and
July of 1990, respectively.
/(c)/ Annualized.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
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
Treasury Instruments Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
------------------------------------------
Net
Net asset realized Total Net asset
value at Net gain on income from value at
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
units/(c)/............... 1.00 0.0210 0.0010 0.0220 (0.0220) 1.00
1991-ILA Service
units/(d)/.............. 1.00 0.0473 0.0009 0.0482 (0.0482) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations/(d)/
--------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
For the Years Total average net average net period average net to average
Ended December 31, return/(a)/ assets assets (in 000s) assets net assets
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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/(d)/.............. 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.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
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
Federal Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
------------------------------------
Net
Net asset realized Total Net asset
value at Net gain on income from value at
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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/(d)/
--------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
Total average net average net period average net to average
For the Years return/(a)/ assets assets (in 000s) assets net assets
Ended December 31, -------------------------------------------------------------------------------
- ------------------
<S> <C> <C> <C> <C> <C> <C>
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 and Service unit activity commenced during September of
1990.
/(e)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
38
<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
Net asset realized Total Net asset
value at Net (gain)loss on income from value at
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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/(d)/
--------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
Total average net average net period average net to average
For the Years return/(a)/ assets assets (in 000s) assets net assets
Ended December 31, -------------------------------------------------------------------------------
- ------------------
<S> <C> <C> <C> <C> <C> <C>
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/(b)/ 0.55/(b)/ 5.40/(b)/ 42,498 0.55/(b)/ 5.40/(b)/
1990-ILA Service
units/(c)/.............. 5.17/(b)/ 0.80/(b)/ 5.16/(b)/ 56,810 0.80/(b)/ 5.16/(b)/
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)/ 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 and
July of 1990, respectively.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
39
<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
Net asset realized Total Net asset
value at Net (loss) on income from value at
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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/(d)/
-------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
For the Years Total average net average net period average net to average
Ended December 31, return/(a)/ assets assets (in 000s) assets net assets
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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/(b)/ 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,
- ---------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
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 shares were outstanding
for the years ended December 31, 1994 and December 31, 1995.
/(d)/ Prior year ratios have been restated in order to conform with current
presentation.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
40
<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
Net asset realized Total Net asset
value at Net (loss) on income from value at
For the Years beginning investment investment investment Distributions end of
Ended December 31, of period income transactions operations to unitholders period
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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/(d)/
--------------------------
Ratio of net Net Ratio
Ratio of net investment assets at Ratio of net of net
expenses to income to end of expenses to expenses
For the Years Total average net average net period average net to average
Ended December 31, return/(a)/ assets assets (in 000s) assets net assets
- ------------------ -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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 (commencement of operations) through December 31,
- ---------------------------------------------------------------------
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)/ 19,189 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
investment at the net asset value at the end of the period.
/(b)/ Annualized.
/(c)/ ILA Administration and Service unit activity commenced during February of
1991.
/(d)/ Prior year ratios have been restated in order to conform with current year
presentation.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
41
<PAGE>
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------------------------------------------------
To the Unitholders and Board of Trustees of Goldman Sachs Money Market Trust--
Institutional Liquid Assets:
We have audited the accompanying statements of assets and liabilities of
Goldman Sachs Money Market Trust--Institutional Liquid Assets (a Massachusetts
business trust comprising the Prime Obligations, Money Market, Government,
Treasury Obligations, Treasury Instruments, Federal, Tax-Exempt Diversified,
Tax-Exempt California and Tax-Exempt New York Portfolios), including the
statements of investments as of December 31, 1995, and the related statements of
operations for the year then ended, the statements of changes in net assets and
the financial highlights for the periods presented. These financial statements
and the financial highlights are the responsibility of the Funds' management.
Our responsibility is to express an opinion on these financial statements and
the financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and the financial highlights
referred to above present fairly, in all material respects, the financial
position of each of the respective portfolios constituting Goldman Sachs Money
Market Trust--Institutional Liquid Assets as of December 31, 1995, the results
of their operations for the year then ended, the changes in their net assets and
the financial highlights for the periods presented, in conformity with generally
accepted accounting principles.
Arthur Andersen LLP
Boston, Massachusetts
February 9, 1996
42
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This Annual 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>
Goldman Sachs
1 New York Plaza
New York, NY 10004
TRUSTEES
Paul C. Nagel, Jr., Chairman
Ashok N. Bakhru
Marcia L. Beck
David B. Ford
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
OFFICERS
Marcia L. Beck, President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
GOLDMAN SACHS
Investment Adviser, Administrator,
Distributor and Transfer Agent
ila/ANN/1295
- --------------------------------------------------------------------------------
GOLDMAN SACHS
MONEY MARKET TRUST
INSTITUTIONAL
LIQUID ASSETS
- ------------------
Annual Report
December 31, 1995
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]
- --------------------------------------------------------------------------------
