<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
GOLDMAN SACHS TRUST
INSTITUTIONAL LIQUID ASSETS
- -------------------------------- --------------------------------
- -------------------------------- --------------------------------
TAXABLE PORTFOLIOS
PRIME OBLIGATIONS PORTFOLIO. Securities of the U.S. Government, its agencies,
authorities and instrumentalities, obligations of U.S. banks, commercial paper
and other high quality, short-term obligations of U.S. companies, and
repurchase agreements.
MONEY MARKET PORTFOLIO. Securities of the U.S. Government, its agencies,
authorities and instrumentalities, U.S. dollar denominated obligations of U.S.
and foreign banks, U.S. dollar denominated commercial paper and other high
quality, short-term obligations of U.S. and foreign companies and foreign
governments, and repurchase agreements.
GOVERNMENT PORTFOLIO. Securities of the U.S. Government, its agencies,
authorities and instrumentalities, and repurchase agreements.
TREASURY OBLIGATIONS PORTFOLIO. Securities issued or guaranteed by the U.S.
Treasury and repurchase agreements.
TREASURY INSTRUMENTS PORTFOLIO. Securities issued or guaranteed by the U.S.
Treasury.
FEDERAL PORTFOLIO. Securities of the U.S. Government and certain of its
agencies, authorities and instrumentalities, the interest income from which is
generally exempt from state income taxation.
TAX-EXEMPT PORTFOLIOS
TAX-EXEMPT DIVERSIFIED PORTFOLIO. A diversified portfolio of municipal
obligations issued by or on behalf of states, territories and possessions of
the United States and their political subdivisions, agencies, authorities and
instrumentalities, and the District of Columbia.
TAX-EXEMPT CALIFORNIA PORTFOLIO. A non-diversified portfolio consisting
primarily of municipal obligations issued by or on behalf of the State of
California, and its political subdivisions, agencies and instrumentalities and
other obligations that are exempt from federal and California state income
taxes.
TAX-EXEMPT NEW YORK PORTFOLIO. A non-diversified portfolio consisting
primarily of municipal obligations issued by or on behalf of the State of New
York, and its political subdivisions, agencies and instrumentalities and other
obligations that are exempt from federal, New York state and New York City
income taxes.
1
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA PRIME OBLIGATIONS PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS--64.7%
BANK HOLDING COMPANIES
American Express Centurion Bank
$ 5,000,000 5.66%(b) 07/08/97 $ 5,000,000
5,000,000 5.66(b) 07/14/97 5,000,000
5,000,000 5.66(b) 07/18/97 5,000,000
Bank One Columbus, N.A.
25,000,000 5.67(b) 07/01/97 24,983,064
Bank One Texas
25,000,000 5.47(b) 07/09/97 24,980,686
Comerica Bank Detroit
20,000,000 5.59 07/07/97 19,991,884
15,000,000 5.59 07/15/97 14,991,859
Corestates Bank, N.A.
20,000,000 5.65 07/02/97 20,000,000
5,000,000 5.65 07/07/97 5,000,000
Corestates Capital Corp.
25,000,000 5.66 07/01/97 25,000,000
FCC National Bank
20,000,000 5.61 07/01/97 19,991,737
First Bank, N.A.
35,000,000 5.59 07/16/97 34,981,208
15,000,000 5.60 07/16/97 14,993,265
PNC Bank, N.A.
10,000,000 5.60 07/09/97 9,996,983
Southtrust Bank of Alabama, N.A.
40,000,000 5.63 07/01/97 39,990,289
BUSINESS CREDIT INSTITUTIONS
General Electric Capital Corp.
50,000,000 5.66 11/19/97 48,891,583
COMMERCIAL BANKS
CP Trust Certificates Series 1996-1
35,000,000 5.67(a) 07/01/97 35,000,000
INDUSTRIAL
Caterpillar Financial Services Corp.
15,000,000 5.39 08/26/97 14,874,233
LIFE INSURANCE
Commonwealth Life Insurance Co.
55,000,000 5.83(b) 07/01/97 55,000,000
Pacific Mutual Life Insurance Co.
25,000,000 5.71(b) 07/01/97 25,000,000
Prudential Funding Corp.
50,000,000 5.70 09/29/97 49,287,500
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS
(CONTINUED)
MOTOR VEHICLES AND EQUIPMENT
Ford Motor Credit Corp.
$ 35,000,000 5.35% 08/18/97 $ 34,750,333
PERSONAL CREDIT INSTITUTIONS
Associates Corp.
50,000,000 6.30 07/01/97 50,000,000
RECEIVABLE/ASSET FINANCINGS
Corporate Receivables Corp.
40,000,000 5.55 07/30/97 39,821,167
Dakota Certificates of Standard Credit Card Master Trust
50,000,000 5.63 07/01/97 49,593,389
Falcon Asset Securitization Corp.
10,000,000 5.59 07/22/97 9,967,392
Receivables Capital Corp.
10,000,000 5.57 07/10/97 9,986,075
SECURITY AND COMMODITY BROKERS, DEALERS AND SERVICES
Bankers Trust Securities Corp.
50,000,000 5.55 07/21/97 49,845,833
Bear Stearns Companies, Inc.
40,000,000 5.64 08/18/97 39,699,200
10,000,000 5.60 09/08/97 9,892,667
Merrill Lynch & Co., Inc.
10,000,000 5.65 07/11/97 9,998,632
10,000,000 5.65 07/14/97 9,998,636
10,000,000 5.38 08/04/97 9,949,189
10,000,000 5.64 08/11/97 9,935,767
10,000,000 5.70 11/17/97 9,779,917
- ------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS $ 841,172,488
- ------------------------------------------------------------------------------------------------
BANK NOTES--12.3%
Bank of America
$ 50,000,000 5.70% 09/22/97 $ 50,000,000
Comerica Bank Detroit
15,000,000 6.00 03/27/98 14,982,068
Fifth Third Bank of Northwestern Ohio
10,000,000 5.55 07/10/97 9,999,975
First National Bank of Boston
40,000,000 5.50 08/04/97 40,000,000
10,000,000 5.46 08/11/97 10,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
2
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BANK NOTES (CONTINUED)
First National Bank of Chicago
$ 20,000,000 5.72% 08/20/97 $ 20,000,000
Morgan Guaranty Trust Co.
15,000,000 6.02 03/25/98 14,989,736
- ----------------------------------------------------------------------------------------------
TOTAL BANK NOTES $ 159,971,779
- ----------------------------------------------------------------------------------------------
BANKERS' ACCEPTANCES--2.7%
Suntrust Bank of Atlanta
$ 4,734,202 5.67% 08/06/97 $ 4,707,359
Wachovia Bank of Georgia, N.A.
30,000,000 5.54 07/03/97 29,990,767
- ----------------------------------------------------------------------------------------------
TOTAL BANKERS' ACCEPTANCES $ 34,698,126
- ----------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT--6.1%
Morgan Guaranty Trust Co.
$ 15,000,000 5.91% 03/19/98 $ 14,995,898
Regions Bank
15,000,000 6.00 03/18/98 14,997,959
Union Bank of Los Angeles
50,000,000 5.54 08/27/97 50,000,000
- ----------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT $ 79,993,857
- ----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--14.2%
Joint Repurchase Agreement Account
$184,900,000 6.01% 07/01/97 $ 184,900,000
- ----------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT $ 184,900,000
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $1,300,736,250(c)
- ----------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
(a) Variable rate master note-base index is Federal Funds.
(b) 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
(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 percentage shown for each investment category reflects 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.
3
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA MONEY MARKET PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS--64.6%
BANK HOLDING COMPANIES
American Express Centurion Bank
$ 5,000,000 5.66% 07/08/97 $ 5,000,000
5,000,000 5.66 07/14/97 5,000,000
5,000,000 5.66 07/18/97 5,000,000
Bank One Columbus, N.A.
25,000,000 5.67 07/01/97 24,983,064
Comerica Bank Detroit
17,500,000 5.59 07/07/97 17,492,899
20,000,000 5.59 07/15/97 19,989,146
Corestates Bank, N.A.
5,000,000 5.65 07/07/97 5,000,000
Corestates Capital Corp.
25,000,000 5.66 07/01/97 25,000,000
FCC National Bank
30,000,000 5.61 07/01/97 29,987,606
First Bank, N.A.
15,000,000 5.60 07/16/97 14,993,265
PNC Bank, N.A.
10,000,000 5.60 07/09/97 9,996,983
Southtrust Bank of Alabama, N.A.
20,000,000 5.63 07/01/97 19,995,144
BUSINESS CREDIT INSTITUTIONS
General Electric Capital Corp.
25,000,000 6.75 07/01/97 25,000,000
COMMERCIAL BANKS
CP Trust Certificates Series 1996-1
20,000,000 5.67(a) 07/01/97 20,000,000
FOREIGN BANKS
Abbey National
50,000,000 5.57 07/15/97 49,962,809
ABN/AMRO Bank, New York
11,000,000 5.61 07/01/97 10,997,688
Banca Crt Financial Corp.
10,000,000 5.40 09/04/97 9,902,500
12,500,000 5.59 09/15/97 12,352,486
Bayerische Landesbank
35,000,000 5.56 07/28/97 34,973,146
Commerzbank U.S. Finance
20,000,000 5.58 09/16/97 19,761,300
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS (CONTINUED)
FOREIGN BANKS (CONTINUED)
Den Danske Bank, New York
$25,000,000 5.64% 07/01/97 $ 24,996,173
15,000,000 5.64 07/25/97 14,998,569
Indosuez North America
12,000,000 5.70 07/14/97 11,975,300
25,000,000 5.75 08/14/97 24,824,306
Nordbanken North America
40,000,000 5.39 08/01/97 39,814,344
San Paolo U.S. Finance Corp.
25,000,000 5.35 08/08/97 24,858,819
Societe Generale, New York
5,000,000 5.64 07/01/97 4,999,178
LIFE INSURANCE
Commonwealth Life Insurance Co.
25,000,000 5.83(b) 07/01/97 25,000,000
Prudential Funding Corp.
50,000,000 6.30 07/01/97 50,000,000
MORTGAGE BROKERS
Nationwide Building Society
40,000,000 5.37 08/01/97 39,815,033
RECEIVABLE/ASSET FINANCINGS
Asset Securitization Corp.
15,000,000 5.65 08/19/97 14,884,646
15,000,000 5.65 08/21/97 14,879,938
Beta Finance
7,000,000 5.57 09/22/97 6,910,106
CC U.S.A. Inc.
25,000,000 5.69 09/18/97 24,688,115
SECURITY AND COMMODITY BROKERS, DEALERS AND SERVICES
Merrill Lynch & Co., Inc.
10,000,000 5.65 07/11/97 9,998,632
10,000,000 5.65 07/14/97 9,998,636
30,000,000 5.70 11/17/97 29,339,750
- -----------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS $ 737,369,581
- -----------------------------------------------------------------------------------------------
BANK NOTES--3.1%
First National Bank of Maryland
$ 5,000,000 5.63%(b) 07/30/97 $ 4,999,514
PNC Bank, N.A.
20,000,000 5.59(b) 07/01/97 19,996,038
</TABLE>
The accompanying notes are an integral part of these financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BANK NOTES (CONTINUED)
Westpac Banking Corp., New York
$10,000,000 5.97% 03/23/98 $ 9,994,440
- ---------------------------------------------------------------------------------------------
TOTAL BANK NOTES $ 34,989,992
- ---------------------------------------------------------------------------------------------
BANKERS' ACCEPTANCES--1.0%
Royal Bank of Canada
$ 9,616,923 5.65% 08/11/97 $ 9,555,041
- ---------------------------------------------------------------------------------------------
TOTAL BANKERS' ACCEPTANCES $ 9,555,041
- ---------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - YANKEEDOLLAR--21.1%
Canadian Imperial Bank of Commerce, New York
$15,500,000 5.94% 03/17/98 $ 15,496,844
Norinchukin Bank, New York
10,000,000 5.77 07/07/97 10,000,017
35,000,000 5.78 07/07/97 35,000,116
5,000,000 5.71 08/18/97 5,000,066
Rabobank Nederland
35,000,000 6.07 03/26/98 34,990,186
5,000,000 6.05 03/27/98 4,995,781
Sanwa Bank Limited, New York
50,000,000 5.75 08/21/97 50,000,699
Societe Generale, New York
30,000,000 5.49 08/11/97 30,000,333
10,000,000 5.55 09/02/97 10,000,000
Standard Chartered Bank, New York
25,000,000 5.75 07/01/97 25,000,000
Westdeutsche Landesbank, New York
20,000,000 5.70 08/13/97 20,000,000
- ---------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT - YANKEEDOLLAR $ 240,484,042
- ---------------------------------------------------------------------------------------------
TIME DEPOSIT--3.5%
Dai Ichi Kangyo Bank, New York
$40,000,000 5.70% 07/10/97 $ 40,000,000
- ---------------------------------------------------------------------------------------------
TOTAL TIME DEPOSIT $ 40,000,000
- ---------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--7.0%
Joint Repurchase Agreement Account
$79,800,000 6.01% 07/01/97 $ 79,800,000
- ---------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT $ 79,800,000
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $1,142,198,656(c)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) Variable rate master note-base index is Federal Funds.
(b) 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
(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.
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA GOVERNMENT PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS--71.5%
Federal Farm Credit Bank
$ 8,000,000 5.45% 03/03/98 $ 7,968,363
50,000,000 5.49(a) 04/14/98 49,965,218
Federal Home Loan Bank
5,000,000 5.55 09/05/97 4,949,125
25,000,000 5.45 11/12/97 24,990,309
10,000,000 5.42 12/02/97 9,993,849
25,000,000 5.52(a) 12/26/97 24,986,988
8,000,000 5.67 03/10/98 7,988,027
25,000,000 5.51 03/18/98 24,989,881
Federal Home Loan Mortgage Corp.
8,000,000 5.72 03/17/98 7,992,641
18,000,000 5.50(a) 03/20/98 17,987,839
Federal National Mortgage Association
20,000,000 5.26(a) 09/29/97 19,997,548
10,000,000 5.50 10/24/97 9,999,548
7,500,000 5.53 10/29/97 7,498,834
50,000,000 5.53(a) 12/03/97 49,985,515
75,000,000 5.52(a) 01/15/98 74,975,601
10,000,000 5.79 03/25/98 9,985,794
23,000,000 6.02 04/15/98 22,980,945
10,000,000 5.89 05/21/98 9,992,689
- -------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS $387,228,714
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--28.4%
C.S. First Boston Corp., dated 5/23/97, repurchase price $25,231,667
(FNMA: $25,709,586, 6.76%, 4/1/35)
$ 25,000,000 5.56% 07/22/97 $ 25,000,000
Joint Repurchase Agreement Account
128,600,000 6.01 07/01/97 128,600,000
- -------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS $153,600,000
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $540,828,714(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.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflects the value of the
investments in that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TREASURY OBLIGATIONS PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--10.2%
United States Treasury Notes
$ 10,000,000 5.25% 12/31/97 $ 9,987,624
20,000,000 7.25 02/17/98 20,180,214
5,000,000 5.13 02/28/98 4,978,076
15,000,000 6.13 03/31/98 15,028,047
29,000,000 7.88 04/15/98 29,403,896
- ---------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS $ 79,577,857
- ---------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--90.0%
Bankers Trust Securities Corp., dated 6/30/97, repurchase price $30,004,792
(U.S. Treasury Note: $30,624,517, 6.75%, 6/30/99)
$ 30,000,000 5.75% 07/01/97 $ 30,000,000
Bear Stearns Companies, Inc., dated 6/30/97, repurchase price $33,005,454
(U.S. Treasury Stripped Securities: $33,529,155, 8/15/01-2/15/06)
33,000,000 5.95 07/01/97 33,000,000
Chase Manhattan Securities, dated 6/30/97, repurchase price $33,005,408
(U.S. Treasury Notes: $33,662,528, 6.00%-7.75%, 6/30/99-12/31/99)
33,000,000 5.90 07/01/97 33,000,000
CIBC Wood Gundy Securities, dated 6/30/97, repurchase price $30,004,896
(U.S. Treasury Notes: $30,604,712, 6.25%-6.75%, 7/31/98-5/31/99)
30,000,000 5.88 07/01/97 30,000,000
Dresdner Kleinwort Benson, dated 6/30/97, repurchase price $33,005,408 (U.S.
Treasury Note: $33,664,116, 6.00%, 6/30/99)
33,000,000 5.90 07/01/97 33,000,000
Goldman, Sachs & Co., dated 6/19/97, repurchase price $60,549,000 (U.S.
Treasury Note: $61,200,590, 6.00%, 6/30/99)
60,000,000 5.49 08/18/97 60,000,000
Goldman, Sachs & Co., dated 6/09/97, repurchase price $60,646,333 (U.S.
Treasury Note: $61,200,590, 6.00%, 6/30/99)
60,000,000 5.54 08/19/97 60,000,000
JP Morgan Securities, Inc., dated 6/30/97, repurchase price $33,005,454
(U.S. Treasury Notes: $33,692,136, 7.50%, 11/15/01)
33,000,000 5.95 07/01/97 33,000,000
Merrill Lynch Government Securities, Inc., dated 6/30/97, repurchase price
$30,004,750 (U.S. Treasury Stripped Securities: $30,600,751, 5/15/08-
8/15/08)
30,000,000 5.70 07/01/97 30,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
Morgan Stanley & Co., dated 6/30/97, repurchase price $30,004,792 (U.S.
Treasury Notes: $30,425,388, 5.13%-7.75%, 11/30/98-12/31/99)
$ 30,000,000 5.75% 07/01/97 $ 30,000,000
Nomura Securities International, Inc., dated 6/30/97, repurchase price
$30,004,792 (U.S. Treasury Notes: $30,612,768, 6.13%, 8/31/98)
30,000,000 5.75 07/01/97 30,000,000
Sanwa Securities, dated 6/30/97, repurchase price $30,004,833 (U.S.
Treasury Notes: $30,399,730, 5.38%-7.75%, 11/30/97-2/15/04; U.S.
Treasury Bills: $200,586, 4/30/98-6/25/98)
30,000,000 5.80 07/01/97 30,000,000
Smith Barney, Inc., dated 6/30/97, repurchase price $33,005,454 (U.S.
Treasury Notes: $33,660,749, 6.13%-7.75%, 8/31/98-1/31/00)
33,000,000 5.95 07/01/97 33,000,000
UBS Securities, Inc., dated 6/30/97, repurchase price $33,005,454 (U.S.
Treasury Notes: $33,640,927, 5.13%, 12/31/98)
33,000,000 5.95 07/01/97 33,000,000
Joint Repurchase Agreement Account
202,800,000 6.01 07/01/97 202,800,000
- -------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS $700,800,000
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $780,377,857(a)
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
The 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 the
investments in that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TREASURY INSTRUMENTS PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--93.6%
United States Treasury Bills
$ 1,100,000 4.75% 07/03/97 $ 1,099,710
3,200,000 4.45 07/10/97 3,196,440
2,800,000 4.57 07/17/97 2,794,313
5,000,000 4.65 07/31/97 4,980,625
1,200,000 4.85 07/31/97 1,195,150
15,400,000 4.89 07/31/97 15,337,245
40,000,000 5.02 08/14/97 39,754,578
75,700,000 5.05 08/14/97 75,232,763
United States Treasury Notes
175,000,000 5.88 07/31/97 175,102,087
50,000,000 6.50 08/15/97 50,066,797
150,000,000 5.63 08/31/97 149,998,684
145,000,000 6.00 08/31/97 145,079,041
90,000,000 5.75 09/30/97 90,094,495
- -------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS $753,931,928
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $753,931,928(a)
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
The interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of the
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA FEDERAL PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS--100.0%
Federal Farm Credit Bank
$ 30,000,000 5.38% 07/01/97 $ 30,000,000
15,590,000 5.40 07/01/97 15,590,000
10,000,000 5.37 07/11/97 9,985,083
27,000,000 5.42 07/14/97 26,947,155
22,500,000 5.42 07/21/97 22,432,250
21,400,000 5.48 07/21/97 21,334,849
14,800,000 5.48 07/22/97 14,752,689
21,000,000 5.42 07/24/97 20,927,349
21,715,000 5.41 07/25/97 21,636,681
8,305,000 5.42 07/25/97 8,274,991
20,000,000 5.48 07/25/97 19,926,934
6,895,000 5.41 07/28/97 6,867,024
10,555,000 5.40 07/31/97 10,507,503
81,235,000 5.55 08/01/97 81,226,568
14,000,000 5.45 08/19/97 13,896,147
17,100,000 5.51 08/19/97 16,971,755
10,500,000 5.45 08/25/97 10,412,573
50,000,000 5.51(a) 08/26/97 49,993,565
50,000,000 5.49(a) 10/02/97 49,986,347
50,000,000 5.41 01/02/98 49,981,178
135,000,000 5.42 02/02/98 135,000,000
45,000,000 5.45 03/03/98 44,822,330
100,000,000 6.05 05/01/98 99,980,479
Federal Home Loan Bank
30,700,000 5.41 07/07/97 30,672,319
50,000,000 5.41 07/17/97 49,879,778
47,620,000 5.42 07/31/97 47,404,916
100,000,000 5.51 08/01/97 99,525,528
20,000,000 5.54 08/11/97 19,873,811
35,850,000 5.43 08/21/97 35,574,224
19,300,000 5.45 08/28/97 19,130,535
10,000,000 5.46 08/28/97 9,912,033
57,700,000 5.47 08/28/97 57,191,503
50,000,000 5.53(a) 08/28/97 49,994,586
65,000,000 5.52(a) 09/26/97 64,987,807
50,000,000 5.52(a) 12/26/97 49,979,762
25,000,000 5.67 03/10/98 24,962,583
116,000,000 5.51(a) 03/18/98 115,939,622
125,000,000 5.51(a) 04/14/98 124,927,542
Student Loan Marketing Association
75,000,000 5.42 07/31/97 74,661,250
25,000,000 5.45 07/31/97 24,886,458
25,000,000 5.44 08/01/97 24,882,889
25,000,000 5.43 08/15/97 24,830,313
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (CONTINUED)
Student Loan Marketing Association (continued)
$ 72,080,000 5.42% 08/29/97 $ 71,440,320
31,085,000 5.42 09/23/97 30,691,878
25,000,000 5.42 09/29/97 24,661,251
75,000,000 5.26(a) 10/02/97 74,990,745
74,000,000 5.25(a) 11/10/97 73,984,474
Tennessee Valley Authority
50,000,000 5.52 07/14/97 49,900,333
20,000,000 5.42 07/21/97 19,939,833
75,000,000 5.40 07/22/97 74,763,750
42,000,000 5.50 07/23/97 41,858,833
25,000,000 5.42 08/13/97 24,838,153
35,800,000 5.51 08/18/97 35,536,989
25,000,000 5.45 08/19/97 24,814,549
25,000,000 5.42 09/12/97 24,725,236
- -----------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS $2,302,817,253
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $2,302,817,253(b)
- -----------------------------------------------------------------------------------------------
</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) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ALABAMA--4.5%
Columbia IDB PCRB for Alabama Power Co. Series 1996 A
(A-1/VMIG1)
$11,000,000 4.05% 07/01/97 $ 11,000,000
Columbia IDB PCRB VRDN for Alabama Power Company Series 1995 B (A-1/VMIG1)
23,500,000 4.05 07/01/97 23,500,000
Homewood RB for Samford University (Bank of Nova Scotia LOC) (AA-/AA3)
14,700,000 4.05 07/01/97 14,700,000
Mobile County IDA PCRB for M&T Chemicals Series 1984
(Bankers Trust Company LOC)(A-1/P-1)
3,000,000 4.25 07/07/97 3,000,000
Mobile IDA PCRB for Alabama Power Series 1993A
(A-1/VMIG1)
8,600,000 4.15 07/07/97 8,600,000
Montgomery Special Care RB Series 1994 A (Amsouth Bank LOC) (VMIG1)
6,845,000 4.15 07/01/97 6,845,000
- -----------------------------------------------------------------------------------------------
$ 67,645,000
- -----------------------------------------------------------------------------------------------
ALASKA--0.2%
Valdez Marine Terminal RB Series 1994 C for Arco, Inc.
(A-1/VMIG1)
$ 2,600,000 3.75% 07/25/97 $ 2,600,000
- -----------------------------------------------------------------------------------------------
ARKANSAS--1.2%
Crossett PCRB for Georgia Pacific Corp. Series 1991 VRDN
(Suntrust Bank LOC)(A-1+/P-1)
$ 9,500,000 4.20% 07/07/97 $ 9,500,000
Union County PCRB Series 1988 for Great Lakes Chemical(A-1+)
9,000,000 4.21 07/07/97 9,000,000
- -----------------------------------------------------------------------------------------------
$ 18,500,000
- -----------------------------------------------------------------------------------------------
CALIFORNIA--2.2%
California GO TECP(A-1/P-1)
$23,300,000 3.90% 09/12/97 $ 23,300,000
California School Cash Reserves Program Authority Series 1996 A
(MBIA)(SP1/MIG1)
10,000,000 4.75 07/02/97 10,000,309
- -----------------------------------------------------------------------------------------------
$ 33,300,309
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CONNECTICUT--0.3%
State of Connecticut State 2nd Lien VRDN (Commerzbank Bank LOC)(A-1+)
$ 4,800,000 4.10% 07/07/97 $ 4,800,000
- -----------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA--0.7%
District of Columbia VRDN ACES for Georgetown University Series 1988 B, C
& E(A-1+/VMIG1)
$10,075,000 4.15% 07/07/97 $ 10,075,000
- -----------------------------------------------------------------------------------------------
FLORIDA--2.0%
Florida Local Government Pooled CP Notes (First Union National Bank of
Florida LOC)(A-1/P-1)
$29,162,000 3.70% 07/17/97 $ 29,162,000
1,800,000 3.85 09/10/97 1,800,000
- -----------------------------------------------------------------------------------------------
$ 30,962,000
- -----------------------------------------------------------------------------------------------
GEORGIA--9.3%
Albany Dougherty PCRB for Philip Morris Company(A-1/P-1)
$17,000,000 4.35% 07/07/97 $ 17,000,000
Albany Dougherty PCRB Series 1991 for Georgia Power Co.(VMIG1)
2,120,000 4.20 07/07/97 2,120,000
Burke County 1995 PCRB for Georgia Power Co. Fifth Series 1995 (VMIG1)
2,700,000 5.50 07/07/97 2,700,000
Burke County PCRB for Georgia Power Co.(VMIG1)
12,425,000 4.20 07/07/97 12,425,000
Burke County PCRB for Georgia Power Co. Eighth Series 1994
(A-1/VMIG1)
6,600,000 5.50 07/07/97 6,600,000
Burke County PCRB for Georgia Power Co. Ninth Series 1994
(A-1/VMIG1)
6,800,000 4.05 07/07/97 6,800,000
Burke County PCRB Series 1993 A for Oglethorpe Power Corp. (FGIC)(A-1+)
2,350,000 4.15 07/07/97 2,350,000
Burke County PCRB Series 1994 A for Oglethorpe Power Corp. (FGIC)(A-1+)
3,600,000 4.15 07/07/97 3,600,000
Cobb County VRDN for Institute of Nuclear Operations Inc. (Suntrust Bank
LOC)(AA3)
5,925,000 4.20 07/07/97 5,925,000
Cobb County Power Operations Inc. VRDN
(Trust Company Bank LOC)(VMIG1)
8,330,000 4.20 07/07/97 8,330,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GEORGIA (CONTINUED)
Columbus Hospital Authority RB for St. Francis Hospital
(Suntrust Bank LOC)(VMIG1)
$ 7,350,000 4.20% 07/07/97 $ 7,350,000
Coweta County PCRB Series 1996 for Georgia Power Co.(A-1/VMIG1)
1,600,000 5.50 07/01/97 1,600,000
Dekalb County Hospital Authority RB Series 1993 B (Suntrust Bank
LOC)(VMIG1)
5,500,000 4.20 07/07/97 5,500,000
Dekalb County IDA VRDN for Siemens Energy and Automation, Inc. (P-1)
3,750,000 4.25 07/07/97 3,750,000
Dekalb Private Hospital Authority VRDN for Egleston Children's Hospital
Series 1994 A (Suntrust Bank LOC)(VMIG1)
1,800,000 4.20 07/07/97 1,800,000
Floyd County PCRB for Georgia Power Co. Series 1996(A-1/VMIG1)
1,500,000 5.50 07/01/97 1,500,000
Fulco Hospital Authority Series 1992 Revenue Anticipation Certificates
(Suntrust Bank LOC)(A-1+)
4,415,000 4.20 07/07/97 4,415,000
Georgia Municipal Gas Authority RB for Gas Portfolio II Project
Series A(A-1+)
4,800,000 4.15 07/07/97 4,800,000
Georgia Municipal Gas Authority RB for Gas Portfolio II Project
Series A (A-1+)(b)
3,000,000 4.15 07/07/97 3,000,000
Heard County PCRB for Georgia Power Co. Series 1996(A-1/VMIG1)
1,800,000 5.50 07/01/97 1,800,000
Henry County Georgia IDA PCRB Series 1993 for Georgia Pacific Corp.
(Suntrust Bank LOC)(A-1+/P-1)
4,000,000 4.20 07/07/97 4,000,000
Monroe County IDA PCRB Series 1997 A(A-1/VMIG1)
1,500,000 5.50 07/01/97 1,500,000
Municipal Electric Authority of Georgia Subordinate General Resolution
Series 1985 A(A-1+/VMIG1)
5,000,000 3.80 07/23/97 5,000,000
2,500,000 3.80 08/14/97 2,500,000
Municipal Electric Authority of Georgia Subordinate General Resolution
Series 1985 B(A-1+/VMIG1)
12,650,000 3.75 07/15/97 12,650,000
Municipal Electric Authority of Georgia Subordinate General Resolution
Series 1985 B (Credit Suisse/Morgan Guaranty/Bayerische Landesbank
Girozentrale LOC)(A-1+/VMIG1)
8,145,000 4.10 07/07/97 8,145,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GEORGIA (CONTINUED)
Savannah Economic Development Authority PCRB VRDN for Savannah Electric &
Power(A-1/VMIG1)
$ 4,085,000 4.20% 07/07/97 $ 4,085,000
- -----------------------------------------------------------------------------------------------
$ 141,245,000
- -----------------------------------------------------------------------------------------------
HAWAII--0.1%
Hawaii Housing Finance and Development Authority VRDN
(FHLB)(A-1)
$ 2,200,000 4.10% 07/07/97 $ 2,200,000
- -----------------------------------------------------------------------------------------------
IDAHO--0.7%
Idaho Health Facilities for Holy Cross Health Systems(A-1/VMIG1)
$10,000,000 4.15% 07/07/97 $ 10,000,000
- -----------------------------------------------------------------------------------------------
ILLINOIS--4.3%
Belleville IDA for Weyerhaeuser Company Series 1993(A-1)
$ 1,800,000 4.20% 07/07/97 $ 1,800,000
Chicago GO Tender Notes Series 1997(A-1+/VMIG1)
25,000,000 3.65 02/05/98 25,000,000
Illinois Health Facilities Authority VRDN for Healthcorp Affiliates
Projects Series 1985 A (Northern Trust Company LOC)(VMIG1)
2,700,000 4.20 07/07/97 2,700,000
Illinois Health Facilities Authority VRDN Series 1985 D Revolving Fund
Pooled Finance Program (First National Bank of Chicago
LOC)(A-1+/VMIG1)
10,575,000 4.15 07/07/97 10,575,000
Illinois Health Facilities Authority VRDN Series 1985 C Revolving Fund
Pooled Finance Program (First National Bank of Chicago
LOC)(A-1+/VMIG1)
8,300,000 4.15 07/07/97 8,300,000
Illinois Health Facilities Authority VRDN Series 1995(A-1+/VMIG1)
1,700,000 4.30 07/07/97 1,700,000
Sauget PCRB VRDN Series 1992(P-1)
3,300,000 4.25 07/07/97 3,300,000
Societe Generale Municipal Securities Trust Receipts For Chicago Midway
Airport RB Series 1996 A (MBIA)(A-1+)
12,000,000 4.35 07/07/97 12,000,000
- -----------------------------------------------------------------------------------------------
$ 65,375,000
- -----------------------------------------------------------------------------------------------
INDIANA--2.9%
Fort Wayne Hospital Authority VRDN Series 1985 C and D (Bank of America
LOC)(VMIG1)
$ 1,180,000 4.15% 07/07/97 $ 1,180,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO (continued)
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INDIANA (CONTINUED)
Fort Wayne Parkview Memorial Hospital VRDN Series 1985 B & C (Bank of
America LOC)(VMIG1)
$13,355,000 4.15% 07/07/97 $ 13,355,000
Gary CP Notes For U.S. Steel Corp. (Bank of New York LOC)(A-1/P-1)
20,000,000 3.75 08/13/97 20,000,000
Schererville Economic Development VRDN Series 1983 for Avery International
Corp. Project (Bankers Trust LOC)(P-1/A-1)
4,000,000 4.25 07/07/97 4,000,000
Warrick County PCRB for Aluminum Company of America Series 1992(A-1)
5,000,000 4.20 07/07/97 5,000,000
- -----------------------------------------------------------------------------------------------
$ 43,535,000
- -----------------------------------------------------------------------------------------------
IOWA--0.6%
Muscatine County VRDN for Monsanto Corp.(P-1)
$ 1,000,000 4.25% 07/07/97 $ 1,000,000
Salix PCRB VRDN for Midwest Power Systems Inc.(A-1/VMIG1)
7,795,000 4.20 07/07/97 7,795,000
- -----------------------------------------------------------------------------------------------
$ 8,795,000
- -----------------------------------------------------------------------------------------------
KENTUCKY--1.0%
Calvert VRDN for Air Products and Chemicals Inc. Project(A-1)
$ 1,000,000 4.20% 07/07/97 $ 1,000,000
Mason County Variable/Fixed Rate PCRB Pooled for East Kentucky Power
(CFC)(A-1+/P-1)
8,950,000 4.20 07/07/97 8,950,000
Mason County Variable/Fixed Rate PCRB Pooled for East Kentucky Power
Facility VRDN (CFC)(A-1+/P-1)
4,500,000 4.20 07/07/97 4,500,000
- -----------------------------------------------------------------------------------------------
$ 14,450,000
- -----------------------------------------------------------------------------------------------
LOUISIANA--2.5%
Ascension Parish PCRB for Vulcan Materials Co. Series 1996
(A-1+/VMIG1)
$ 8,200,000 4.25% 07/07/97 $ 8,200,000
Louisiana GO Refunding Bonds Series 1991 A (Credit Local de France LOC)(A-
1+/VMIG1)
7,800,000 3.75 09/11/97 7,800,000
Parish of Iberville VRDN for Air Products and Chemicals Inc.
Project(A-1)
6,200,000 4.20 07/07/97 6,200,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
LOUISIANA (CONTINUED)
South Louisiana Port Commission RB for Occidental Petroleum Corp. Series
1996 (Wachovia Bank LOC)(P-1)
$10,600,000 4.05% 07/07/97 $ 10,600,000
St. James Parish PCRB for Occidental Petroleum Corp. Series 1996 (Wachovia
Bank LOC)(P-1)
5,000,000 4.05 07/07/97 5,000,000
- -----------------------------------------------------------------------------------------------
$ 37,800,000
- -----------------------------------------------------------------------------------------------
MARYLAND--0.4%
Anne Arundel County Port Facility RB Series 1985 for Baltimore Gas &
Electric(A-1/VMIG1)
$ 1,200,000 3.80% 08/14/97 $ 1,200,000
Frederick GO VRDN Series 1989 (Fuji Bank LOC)(A-2/VMIG1)
4,800,000 4.38 07/07/97 4,800,000
- -----------------------------------------------------------------------------------------------
$ 6,000,000
- -----------------------------------------------------------------------------------------------
MASSACHUSETTS--2.0%
Massachusetts Health & Education Authority RB for Harvard University
Series I(VMIG1)
$18,300,000 4.00% 07/07/97 $ 18,300,000
Massachusetts Health & Education Authority RB Series I for Massachusetts
Institute of Technology
11,800,000 3.90 07/07/97 11,800,000
- -----------------------------------------------------------------------------------------------
$ 30,100,000
- -----------------------------------------------------------------------------------------------
MICHIGAN--4.3%
Michigan GO Notes(SP-1+/MIG1)
$54,000,000 4.50% 09/30/97 $ 54,132,304
Michigan Job Development Authority for Mazda Motor Manufacturing VRDN
(Sumitomo Bank LOC)(VMIG1)
11,100,000 4.38 07/07/97 11,100,000
- -----------------------------------------------------------------------------------------------
$ 65,232,304
- -----------------------------------------------------------------------------------------------
MINNESOTA--1.6%
Becker PCRB Series 1992 A for Northern States Power Co.(A-1+/P-1)
$ 8,000,000 3.70% 07/23/97 $ 8,000,000
6,000,000 3.80 09/16/97 6,000,000
Becker PCRB Series 1993 A for Northern States Power Co.(A-1+/VMIG1)
4,000,000 3.80 09/16/97 4,000,000
White Bear Lake IDA RB Series 1993 for Weyerhaeuser Co.(A-1)
6,800,000 4.20 07/07/97 6,800,000
- -----------------------------------------------------------------------------------------------
$ 24,800,000
- -----------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MISSISSIPPI--1.2%
Canton IDR Series 1995 for Levi Strauss & Co. (Bank of America LOC)(A-1+)
$10,000,000 4.10% 07/07/97 $ 10,000,000
Claiborne County Pooled RB Series 1985 G (CFC)(A-1+/P-1)
3,900,000 3.80 09/12/97 3,900,000
Grenada County Refunding RB VRDN For Georgia Pacific Corp. Series 1994
(Sumitomo Bank LOC)(A-1/P-1)
5,000,000 4.35 07/07/97 5,000,000
- -----------------------------------------------------------------------------------------------
$ 18,900,000
- -----------------------------------------------------------------------------------------------
MISSOURI--1.6%
Kansas City Cloversett IDA MF Hsg. RB Series 1988 (Boatmen's Bank of
Kansas City LOC)(A-1)
$ 8,720,000 4.55% 07/07/97 $ 8,720,000
Missouri Health & Education Facility Authority VRDN
(MBIA)(A-1+)
10,500,000 4.15 07/07/97 10,500,000
Monsanto Corporation State Environmental Improvement and Energy Resources
Authority (Monsanto)(P-1)
5,000,000 4.25 07/07/97 5,000,000
- -----------------------------------------------------------------------------------------------
$ 24,220,000
- -----------------------------------------------------------------------------------------------
NEVADA--1.3%
Eagle Tax Exempt Trust Series 97C2801 Class A COPS for Nevada GO Bonds
Series 1994(A-1+)
$19,700,000 4.25% 07/07/97 $ 19,700,000
- -----------------------------------------------------------------------------------------------
NEW MEXICO--0.5%
Farmington PCRB for Public Service Co. of New Mexico San Juan Project
Series 1997 A (Bank of America LOC)(A-1+/VMIG1)
$ 8,000,000 4.20% 07/07/97 $ 8,000,000
- -----------------------------------------------------------------------------------------------
NEW YORK--3.7%
City of Yonkers IDA RB for Consumers (Industrial Bank of Japan LOC)(VMIG1)
$ 1,000,000 3.95% 07/07/97 $ 1,000,000
Great Neck North Water Authority Water System RB Series 1993 A VRDN
(FGIC)(A-1+/VMIG1)
1,600,000 4.05 07/07/97 1,600,000
Nassau County IDA Civic Facility RB Cold Spring Harbor Labs Series 1989
VRDN (Morgan Guaranty Trust LOC)(A-1+)
100,000 4.10 07/07/97 100,000
New York City GO Bonds (Sumitomo Bank LOC)(A-1+/VMIG1)
800,000 4.00 07/01/97 800,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK (CONTINUED)
New York City GO Series 1994 E (Morgan Guaranty
LOC)(A-1+/VMIG1)
$ 2,500,000 4.00% 07/01/97 $ 2,500,000
New York City GO VRDN (Norinchukin Bank LOC)(A-1+/VMIG1)
900,000 5.50 07/01/97 900,000
New York City Health & Hospitals Corporation, Health System Bonds, 1997
Series B (Canadian Imperial Bank of Commerce)(A-1+)
9,300,000 4.05 07/07/97 9,300,000
New York City Municipal Water Finance Authority CP Series 5 Lot B
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank
Girozentrale/Landesbank Hessen-Thueringen Girozentrale
LOC)(P-1/A-1+)
20,000,000 3.75 07/31/97 20,000,000
New York City Puttable Tax-exempt Receipts GO Bonds Fiscal 1995 Series D
(MBIA)(VMIG1)
9,800,000 4.10 07/07/97 9,800,000
New York State Energy Research & Development Authority PCRB for Brooklyn
Union Gas Series 1997 A-1 (MBIA)(A-1+/VMIG1)
100,000 4.05 07/07/97 100,000
New York State Energy Research & Development Authority RB for Brooklyn
Union Gas Series 1997 Series A-2 (MBIA)(A-1+/VMIG1)
1,400,000 4.20 07/07/97 1,400,000
New York State Floating Rate Trust Receipts Series 1997(A-1+/VMIG1)
6,425,000 4.35 07/07/97 6,425,000
New York State Housing Finance Agency for Normandie Court Housing RB
Series 1987 A (Fleet Bank LOC)(VMIG1)
2,000,000 4.10 07/07/97 2,000,000
New York State Local Government Series C VRDN (Landesbank Hessen-
Thueringen Girozentrale LOC)(A-1+/VMIG1)
1,100,000 4.05 07/07/97 1,100,000
- -----------------------------------------------------------------------------------------------
$ 57,025,000
- -----------------------------------------------------------------------------------------------
NORTH CAROLINA--6.3%
Charlotte Variable Rate Airport Refunding RB Series 1993 A
(MBIA)(A-1+/VMIG1)
$ 9,080,000 4.15% 07/07/97 $ 9,080,000
North Carolina Eastern Municipal Power Agency RB Series 1988 B (Morgan
Guaranty/Union Bank of Switzerland LOC)(A-1+)
10,400,000 3.75 07/21/97 10,400,000
Rockingham County IDA PCRB for Philip Morris Company(A-1/P-1)
3,960,000 4.40 07/07/97 3,960,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO (continued)
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
Wake County PCRB for Carolina Power & Light 1990 B (Fuji Bank LOC)(A-2/P-
1)
$ 7,000,000 3.85% 07/15/97 $ 7,000,000
Wake County Pollution Control Financing Authority RB Series 1990 A for
Carolina Power & Light (Fuji Bank LOC)(A-2/P-1)
23,100,000 4.10 07/10/97 23,100,000
Wake County Pollution Control Financing Authority RB Series 1990 B for
Carolina Power & Light (Fuji Bank LOC)(A-2/P-1)
41,900,000 3.95 07/11/97 41,900,000
- ------------------------------------------------------------------------------------------------
$ 95,440,000
- ------------------------------------------------------------------------------------------------
OHIO--2.6%
Franklin County Hospital RB for Holy Cross Health System Series 1995(A-
1+/VMIG1)
$ 7,900,000 4.15% 07/07/97 $ 7,900,000
Hamilton County Adjustable Rate Hospital Facilities RB Series 1997 B for
The Health Alliance of Greater Cincinnati (MBIA)(A-1+/VMIG1)
26,675,000 4.15 07/07/97 26,675,000
Ohio State Air Quality Development Authority RB for Cincinnati Gas &
Electric Series 1995 A (ABN Amro Bank LOC)(A-1+/VMIG1)
5,000,000 4.00 07/01/97 5,000,000
- ------------------------------------------------------------------------------------------------
$ 39,575,000
- ------------------------------------------------------------------------------------------------
OREGON--1.8%
Lane County PCRB VRDN for Weyerhaeuser Company Series 1994(A-1)
$ 6,500,000 4.20% 07/07/97 $ 6,500,000
Portland VRDN for Columbia Grain Inc. Project (Fuji Bank/Bank of Tokyo
LOC)(VMIG1)
17,650,000 4.38(c) 07/07/97 17,650,000
State of Oregon Veteran's Welfare VRDN Series 1973 H (Morgan Guaranty
LOC)(A-1+/VMIG1)
3,400,000 4.05 07/07/97 3,400,000
- ------------------------------------------------------------------------------------------------
$ 27,550,000
- ------------------------------------------------------------------------------------------------
PENNSYLVANIA--1.9%
Allegheny County IDA PCRB Series 1985 for U.S. Steel (ABN Amro Bank
NV/Commerzbank LOC)(A-1+/P-1)
$28,400,000 3.85% 08/08/97 $ 28,400,000
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PUERTO RICO--2.6%
Commonwealth of Puerto Rico RANS Series 1997 A(SP-1+/MIG1)
$32,000,000 4.00% 07/30/97 $ 32,014,229
Puerto Rico Government Development Bank TECP(A-1+)
7,967,000 3.90 09/12/97 7,967,000
- -------------------------------------------------------------------------------------------------
$ 39,981,229
- -------------------------------------------------------------------------------------------------
SOUTH CAROLINA--0.7%
York County Floating/Fixed Rate PCRB Pooled Series 1984-North Carolina
Electric Membership Corp. VRDN (CFC)(A-1+/VMIG1)
$11,275,000 4.20% 07/07/97 $ 11,275,000
- -------------------------------------------------------------------------------------------------
SOUTH DAKOTA--0.7%
Puttable Floating Option Tax-Exempt Receipts Series PT-73(A-1+)
$10,980,000 4.30% 07/07/97 $ 10,980,000
- -------------------------------------------------------------------------------------------------
TEXAS--19.6%
Belton VRDN Series 1993 (Texas Commerce Bank LOC)(P-1)
$ 4,025,000 4.20% 07/07/97 $ 4,025,000
Brazos Harbor IDA VRDN for Monsanto Company(P-1)
3,500,000 4.25 07/07/97 3,500,000
Brazos River Authority PCRB Series 1987 A & B for Dow Chemical(P-1)
8,350,000 3.75 08/11/97 8,350,000
Brazos River Authority PCRB Series 1990 for Dow Chemical(P-1)
2,000,000 3.75 08/11/97 2,000,000
Brazos River Authority PCRB Series 1994 for Monsanto Company(P-1)
5,100,000 4.25 07/07/97 5,100,000
Brazos River Authority VRDN for Monsanto Company(P-1)
5,300,000 4.25 07/07/97 5,300,000
Harris County Health Facilities Development Corp. VRDN Series 1997 A(A-
1+/VMIG1)
22,965,000 3.70 07/30/97 22,965,000
Harris County Hospital RB for Childrens Hospital Series 1989 B-2 (VMIG1)
12,900,000 4.15 07/07/97 12,900,000
Harris County Toll Road VRDN Series 1994 E(A-1+/VMIG1)
28,200,000 4.05 07/07/97 28,200,000
Harris County Toll Road VRDN Series 1994 F(A-1+/VMIG1)(b)
14,100,000 4.05 07/07/97 14,100,000
Lower Colorado River Authority CP Notes Series C(A-1+/P-1)
7,000,000 3.80 09/10/97 7,000,000
Nueces River IDA PCRB UPDATE Series 1984 for San Miguel
(CFC)(A-1+/VMIG1)
50,700,000 4.55 07/10/97 50,700,000
San Antonio Electric & Gas Systems CP Notes Series A(A-1+/P-1)
18,800,000 3.80 1609/15/97 18,800,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
TEXAS (CONTINUED)
Societe Generale Municipal Securities Trust Receipts for San Antonio Texas
Electric and Gas System RB New Series 1997
SG 104/SG 105(A-1+)
$33,000,000 3.85% 08/07/97 $ 33,000,000
State of Texas TRANS Series 1996(SP-1+/MIG1)
81,000,000 4.75 08/29/97 81,137,602
- -----------------------------------------------------------------------------------------------
$ 297,077,602
- -----------------------------------------------------------------------------------------------
VIRGINIA--6.6%
Chesapeake IDA PCRB Series 1985 for Virginia Electric &
Power(A-1/VMIG1)
$22,000,000 3.85% 09/10/97 $ 22,000,000
Chesterfield County IDA PCRB Series 1985 for Virginia Electric & Power(A-
1/VMIG1)
5,200,000 3.75 07/24/97 5,200,000
8,000,000 3.70 07/25/97 8,000,000
Chesterfield County IDA PCRB Series 1987 A for Virginia Electric &
Power(A-1/VMIG1)
5,000,000 3.85 09/10/97 5,000,000
Chesterfield County IDA PCRB Series 1987 C for Virginia Electric &
Power(A-1/VMIG1)
1,000,000 3.75 07/24/97 1,000,000
Louisa IDA PCRB Series 1987 for Virginia Electric & Power(A-1)
1,300,000 3.85 09/10/97 1,300,000
Louisa PCRB Series 1984 for Virginia Electric & Power(A-1/VMIG1)
4,000,000 3.85 07/18/97 4,000,000
4,000,000 3.80 07/24/97 4,000,000
1,300,000 3.80 07/25/97 1,300,000
4,000,000 3.90 08/08/97 4,000,000
4,000,000 3.90 08/11/97 4,000,000
Richmond VRDN Public Utility Revenue Notes Series A(A-1+/VMIG1)
14,000,000 4.25 07/07/97 14,000,000
Roanoke VRDN for Carilion Health Systems Hospital Series A(A-1)
7,400,000 4.15 07/07/97 7,400,000
Spotsylvania IDA PCRB Series 1993 for Carlisle Corp. (Suntrust Bank
LOC)(A-1+/P-1)
6,500,000 4.20 07/07/97 6,500,000
York County PCRB for Virginia Electric & Power Series 1985(A-1/A3)
2,700,000 3.85 07/17/97 2,700,000
9,400,000 3.75 08/13/97 9,400,000
- -----------------------------------------------------------------------------------------------
$ 99,800,000
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
WASHINGTON--7.3%
King County Sewer Revenue BANS Series A(A-1/P-1)
$10,000,000 3.50% 08/20/97 $ 10,000,000
10,000,000 3.80 09/16/97 10,000,000
Port of Grays Harbor IDA VRDN for Weyerhaeuser Project Series 1992 &
1993(A-1)
6,850,000 4.20 07/07/97 6,850,000
Union Gap City IDA VRDN for Weyerhaeuser Project Series 1992(A-1)
1,600,000 4.20 07/07/97 1,600,000
Washington Public Power Supply Project Electric RB Series 1993-1A (Bank
of America LOC)(A-1+/VMIG1)
37,660,000 4.10 07/07/97 37,660,000
Washington Public Power Supply Project Electric RB Series 1993-2A (Bank
of America LOC)(A-1/VMIG1)
23,500,000 4.10 07/07/97 23,500,000
Washington Public Power Supply System RB Series 1993-3A (Bank of
America LOC)(A-1+/VMIG1)
3,115,000 4.00 07/07/97 3,115,000
18,900,000 4.10(c) 07/07/97 18,900,000
- ---------------------------------------------------------------------------------------------
$ 111,625,000
- ---------------------------------------------------------------------------------------------
WYOMING--1.4%
Lincoln County PCRB Series 1991 for Pacificorp. (Union Bank of
Switzerland LOC)(A-1+/VMIG1)
$ 4,250,000 3.75% 07/17/97 $ 4,250,000
Pacificorp PCRB VRDN for Sweetwater County Series 1990 A (Credit Suisse
LOC)(VMIG1)
16,700,000 4.05 07/07/97 16,700,000
- ---------------------------------------------------------------------------------------------
$ 20,950,000
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $1,527,913,444(a)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
(b) When-issued securities.
(c) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those type of securities.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT CALIFORNIA PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA--82.3%
California GO TECP(A-1/P-1)
$ 7,400,000 3.90% 09/11/97 $ 7,400,000
California Health Facilities Authority for Kaiser Permanente Series
1993 A, B & C RB(A-1+)
2,000,000 3.85 07/07/97 2,000,000
California Health Facility Finance Authority RB Series 1990 A VRDN
(Rabobank Nederland LOC)(VMIG1)
7,500,000 4.05 07/07/97 7,500,000
California PCRB for Pacific Gas & Electric (Banque Nationale de Paris
LOC)(A-1)
5,100,000 3.85 07/01/97 5,100,000
California PCRB for Pacific Gas & Electric Series 1996 E (Morgan Guaranty
LOC)(A-1+/VMIG1)
2,000,000 3.75 08/13/97 2,000,000
California Pollution Control Financing Authority for Southern California
Edison TRB Series 1986 A, B, C & D(A-1/VMIG1)
10,590,000 5.20 07/07/97 10,590,000
California School Cash Reserves Program Authority Series 1996 A
(MBIA)(SP1/MIG1)
12,000,000 4.75 07/02/97 12,000,276
California School Cash Reserves Program Authority Series 1996 B
(MBIA)(SP1/MIG1)
10,000,000 4.50 12/19/97 10,040,689
California State Puttable Floating Option Tax-Exempt Receipts Series PT-
1001 (FGIC)(A-1+)
18,870,000 4.25 07/07/97 18,870,000
California Statewide Communities Development Authority RB(A-1+)(b)
1,800,000 3.75 07/07/97 1,800,000
California Statewide Communities Development Authority Refunding RB Series
1995(A-1+)
700,000 3.90 07/07/97 700,000
California Statewide Communities Development Authority Refunding RB Series
1995A-2(A-1+)
8,000,000 3.90 07/07/97 8,000,000
California Statewide Communities Development Authority RB Series 1995A-1(A-
1+)
14,200,000 3.90 07/07/97 14,200,000
Chula Vista RB Series 1996 A for San Diego Gas & Electric(A-1/VMIG1)
3,300,000 3.75 07/07/97 3,300,000
City of Fresno MF Hsg. Revenue Refunding Bonds Series 1996 A
(First Interstate Bank of California LOC)(VMIG1)
3,315,000 3.95 07/07/97 3,315,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
City of Irwindale IDRB Series 1984 for Toys-R-Us VRDN
(Bankers Trust LOC)
$ 2,000,000 4.25% 07/07/97 $ 2,000,000
City of Los Angeles VRDN MF Hsg. Museum Terrace-84H
(Bank of America LOC)(VMIG1)
4,000,000 4.00 07/07/97 4,000,000
City of Newport Beach Floating/Fixed Rate Health Facilities Memorial
Hospital Facility VRDN(VMIG1)(c)
4,200,000 4.00 07/01/97 4,200,000
City of Newport Beach VRDN RB Series 1996 B(A-1+)(c)
5,200,000 4.00 07/01/97 5,200,000
City of San Diego MF Hsg. for Lacima Apartments VRDN
(Citibank LOC)(VMIG1)
15,385,000 4.05 07/07/97 15,385,000
City of San Diego MF Hsg. for Nobel Court Apartments VRDN (Citibank
LOC)(VMIG1)
8,695,000 4.05 07/07/97 8,695,000
City of San Diego VRDN MF Hsg. RB Series 1985 (Bank of America
LOC)(VMIG1)(c)
15,700,000 4.10 07/07/97 15,700,000
Contra Costa MF Hsg. for Lakeshore Apartments VRDN(A-1+)
4,600,000 4.00 07/07/97 4,600,000
East Bay Municipal Utility District Water & Waste RB (A-1+/P-1)
4,300,000 3.65 07/14/97 4,300,000
Fremont MF Hsg. RB Series 1985 D (Credit Suisse LOC)(VMIG1)
14,400,000 3.90 07/07/97 14,400,000
Huntington Beach City Monthly MF Hsg. VRDN Series 1985 A
(Bank of America LOC)(VMIG1)
7,500,000 4.00 07/31/97 7,500,000
Kings County Housing Authority MF Hsg. Refunding RB Series 1996 A (First
Interstate Bank of California LOC)(VMIG1)
5,750,000 3.95 07/07/97 5,750,000
Los Angeles County TRANS (SP-1+/VMIG1)(b)
10,000,000 4.50 06/30/98 10,062,400
Los Angeles County Metro TRANS Authority VRDN
(MBIA)(A-1/VMIG1)
8,095,000 4.00 07/07/97 8,095,000
Los Angeles County, VRDN MF Hsg. for Valencia Village Series 1984 C
(Industrial Bank of Japan Ltd. LOC)(A-1+)(c)
15,200,000 4.30 07/07/97 15,200,000
Los Angeles Housing Authority MF Hsg. VRDN for Canyon Country Villas Series
1985 H (Industrial Bank of Japan Ltd. LOC)(VMIG1)
19,000,000 4.30 07/07/97 19,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
Los Angeles Metro Transportation Authority Series A CP (National
Westminster/Bayerische Vereinsbank/Canadian Imperial Bank of Commerce
LOC)(A-1/P-1)
$10,000,000 3.85% 09/24/97 $ 10,000,000
MSR Public Power Agency RB Series 1997 D&E (MBIA)(A-1+/VMIG1)
24,000,000 3.90 07/07/97 24,000,000
Newport Beach VRDN RB Series 1996 C for Hoag Memorial Hospital(A-1+)(c)
1,500,000 4.00 07/01/97 1,500,000
Northern California Power Agency Geothermal Project Number 3 Adjustable
Rate RB Series 1996 A (AMBAC)(A-1+/VMIG1)
8,500,000 3.90 07/07/97 8,500,000
Orange County Apartment Development RB Issue 1984 C Seaside Meadow (Fuji
Bank Ltd.)(VMIG1)
24,000,000 3.90 07/07/97 24,000,000
Pomona Public Financing Authority VRDN (Sumitomo Bank
LOC)(SP-1+)
1,950,000 4.10 07/07/97 1,950,000
Sacramento County 1990 COP Admin-Center Courthouse Project VRDN (Union Bank
of Switzerland LOC)(A-1+/VMIG1)
500,000 3.90 07/07/97 500,000
San Bernardino County VRDN-Woodview Apartments Series 1985 (Bank of America
LOC)(VMIG1)
6,500,000 4.10 07/07/97 6,500,000
San Diego County MF Hsg. for Country Hills VRDN (FNMA)(A-1+)
10,200,000 4.00 07/07/97 10,200,000
San Diego TECP Series A(A-1/P-1)
10,800,000 3.80 08/05/97 10,800,000
San Francisco Redevelopment MF Hsg. (A-1+/VMIG1)(b)
10,000,000 3.70 07/07/97 10,000,000
San Leandro MF Hsg. VRDN Series 1985 B- Haas Avenue Apartments (Bank of
America LOC)(VMIG1)
3,900,000 3.75 07/07/97 3,900,000
Southern California Metropolitan Water District Revenue Refunding Bonds
Series 1996 A (AMBAC)(A-1+/VMIG1)
5,940,000 4.00 07/07/97 5,940,000
Southern California Metropolitan Water District Series A CP(A-1+/P-1)
2,000,000 3.65 07/15/97 2,000,000
5,400,000 3.65 09/10/97 5,400,000
Southern California Public Power Authority 1991 Subordinated Revenue
Refunding Bonds (AMBAC)(A-1+/VMIG1)
5,100,000 3.90 07/01/97 5,100,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
Southern California Public Power Authority Power Project RB Series 1996
B & C (AMBAC)(A-1+/VMIG1)
$16,200,000 3.90% 07/01/97 $ 16,200,000
Triunfo Sanitation District VRDN Refunding RB Series 1994 (Banque
Nationale de Paris LOC)(A-1)
3,700,000 4.20 07/07/97 3,700,000
Tulare-Porterville Schools Finance Authority COPS (Union Bank of
California LOC)(A-1/VMIG1)
4,870,000 4.25 07/07/97 4,870,000
University of California Trust Receipts Series 1997 D (MBIA)(A-1+/VMIG1)
10,905,000 4.25 07/07/97 10,905,000
- ------------------------------------------------------------------------------------------------
$416,868,365
- ------------------------------------------------------------------------------------------------
PUERTO RICO--12.1%
Commonwealth of Puerto Rico RANS Series 1997 A(SP-1+/MIG1)
$14,000,000 4.00% 07/30/97 $ 14,006,225
Puerto Rico Government Development Bank TECP(A-1+)
11,500,000 3.75 07/15/97 11,500,000
20,000,000 3.75 08/12/97 20,000,000
9,490,000 3.90 09/12/97 9,490,000
Puerto Rico Government Development Bank VRDN(A-1+)
5,000,000 3.80 08/13/97 5,000,000
Puerto Rico Government Development Bank VRDN (Credit Suisse LOC)(A-
1+/VMIG1)
1,000,000 3.75 07/07/97 1,000,000
- ------------------------------------------------------------------------------------------------
$ 60,996,225
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $477,864,590(a)
- ------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
(b) When-issued security.
(c) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT NEW YORK PORTFOLIO
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK--87.3%
City of Yonkers IDA Series 1991 Civic Facility RB (Credit Local de France
LOC)(VMIG1)
$4,600,000 3.95% 07/07/97 $ 4,600,000
Great Neck North Water Authority Water System RB Series 1993 A (FGIC)(A-
1+/VMIG1)
4,500,000 4.05 07/07/97 4,500,000
Trust for Cultural Resources RB for the City of New York Series B
(A-1+/VMIG1) (Swiss Bank LOC)
3,000,000 4.00 07/01/97 3,000,000
Hempstead IDA RB Series 1997(A-1)
2,800,000 4.15 07/07/97 2,800,000
IDA Civic Facility Cold Spring Harbor Labs Series 1989 VRDN
(Morgan Guaranty LOC)(A-1+)
2,100,000 4.10 07/01/97 2,100,000
Metropolitan Transportation Authority Commuter Facility VRDN
Series 1991 (National Westminster Bank/Morgan Guaranty/Industrial Bank of
Japan/Sumitomo Bank/Bank of Tokyo LOC)(A-1/VMIG1)
3,400,000 4.15 07/07/97 3,400,000
Nassau County TANS Series 1996 B (SP-1+)
3,500,000 4.25 08/29/97 3,503,873
New York City Health & Hospitals Corporation Series 1997 B
(Canadian Imperial Bank of Commerce)(A-1+VMIG1)
8,000,000 4.05 07/07/97 8,000,000
New York City IDA for Columbia Grammar Prep School VRDN
(Chase Manhattan LOC)(A-1)
2,400,000 4.00 07/07/97 2,400,000
New York City Municipal Water Finance Authority CP Series 3 (Toronto
Dominion Bank/Bank of Nova Scotia LOC)(A-1+/P-1)
2,500,000 3.80 10/09/97 2,500,000
New York City Municipal Water Finance Authority CP Series 4 (Credit Suisse
LOC)(A-1+/P-1)
1,000,000 3.75 10/16/97 1,000,000
New York City Municipal Water Finance Authority CP Series 5 Lot B
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank
Girozentrale/Landesbank Hessen-thueringen Girozentrale LOC)
(A-1+/P-1)
1,000,000 3.75 07/31/97 1,000,000
2,000,000 3.70 09/15/97 2,000,000
New York City Trust for Cultural Resources American Museum of Natural
History Adjustable Rate TRB VRDN Series 1991 B (MBIA)(A-1+/VMIG1)
3,100,000 4.05 07/07/97 3,100,000
New York State Dormitory Authority VRDN for Metropolitan Museum of Art(A-
1+/VMIG1)
1,500,000 3.85 07/07/97 1,500,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK (CONTINUED)
New York State Energy Research & Development Authority for Long Island
Lighting Co. VRDN Series 1993 (Toronto Dominion Bank LOC)(VMIG1)
$3,000,000 4.20% 07/07/97 $ 3,000,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Series 1985 A (Morgan Guaranty LOC)(A-1+/P-1)
3,000,000 3.65 03/16/98 3,000,000
New York State Energy Research & Development Authority PCRB for Orange &
Rockland Utilities Series 1995 A (AMBAC)(A-1+/VMIG1)
400,000 4.05 07/07/97 400,000
New York State Energy Research & Development Authority PCRB for Rochester
Gas & Electric Series 1984 (Credit Suisse LOC)(P-1)
5,300,000 3.55 07/31/97 5,300,000
New York State Energy Research & Development Authority PCRB Series 1985 B
(Deutsche Bank LOC)(AA1)
1,300,000 3.90 07/07/97 1,300,000
New York State Energy Research & Development Authority RB for Brooklyn
Union Gas Series 1997 Series A-2 (MBIA)(A-1+/VMIG1)
1,100,000 4.20 07/07/97 1,100,000
New York State Floating Rate Trust Receipts Series 1997(A-1/VMIG1)
1,500,000 4.35 07/07/97 1,500,000
New York State GO BANS Series T(A-1/P-1)
3,500,000 3.80 07/24/97 3,500,000
4,500,000 3.70 08/20/97 4,500,000
New York State Housing Finance Agency for Normandie Court Housing RB
Series 1987 A (Fleet Bank LOC)(VMIG1)
3,900,000 4.10 07/07/97 3,900,000
New York State Local Government Assistance Series 1995 C VRDN (Landesbank
Hessen-Thueringen Girozentrale LOC)(A-1+/VMIG1)
4,400,000 4.05 07/07/97 4,400,000
New York State Local Government Assistance RB Series 1995 F
(Toronto Dominion Bank LOC)(A-1+/VMIG1)
1,000,000 4.05 07/07/97 1,000,000
New York State Local Government Assistance RB Series 1995 G (National
Westminster Bank LOC)(A-1+/VMIG1)
300,000 4.05 07/07/97 300,000
New York State Medical Care Facility Financing Agency For Children's
Hospital of Buffalo RB Series 1991 A (Barclays Bank LOC)(VMIG1)
4,400,000 4.10 07/07/97 4,400,000
Oswego County IDA PCRB Series 1992 for Philip Morris(A-1/P-1)
1,000,000 4.25 07/07/97 1,000,000
Port Authority of New York and New Jersey Floating Rate Trust Receipts
(FSA)(A-1/P-1)
6,000,000 4.25 07/07/97 6,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK (CONTINUED)
Rensselaer County IDA RB for Rensselaer Polytechnic Institute
Series 1997A(VMIG1)
$4,440,000 4.25% 07/07/97 $ 4,440,000
Syracuse University IDA RB Series 1993 (Morgan Guaranty LOC)
(A-1+/VMIG1)
1,200,000 4.00 07/01/97 1,200,000
Triborough Bridge & Tunnel Authority VRDN Series 1994 (FGIC)
(A-1+/VMIG1)
400,000 4.15 07/07/97 400,000
- -----------------------------------------------------------------------------------------------
$ 96,043,873
- -----------------------------------------------------------------------------------------------
PUERTO RICO--12.3%
Puerto Rico Government Development Bank TECP(A-1+)
$2,000,000 3.55% 07/24/97 $ 2,000,000
2,500,000 3.75 08/12/97 2,500,000
2,000,000 3.90 09/12/97 2,000,000
Puerto Rico Medical & Environmental PCRB Series 1983 A for Key
Pharmaceuticals (Morgan Guaranty LOC)(A-1+/P-1)
2,000,000 3.75 12/01/97 2,000,000
Puerto Rico TRANS Series 1997 A(SP-1+/MIG1)
5,000,000 4.00 07/30/97 5,002,132
- -----------------------------------------------------------------------------------------------
$ 13,502,132
- -----------------------------------------------------------------------------------------------
ToTAL INVESTMENTS $109,546,005(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 type of securities.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
INVESTMENT ABBREVIATIONS:
ACES--Adjustable Convertible Extendible Securities
AMBAC--Insured by American Municipal Bond Assurance Corp.
BANS--Bond Anticipation Notes
COPS--Certificates of Participation
CP --Commercial Paper
FGIC--Insured by Financial Guaranty Insurance Co.
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
RB--Revenue Bond
TANS--Tax Anticipation Notes
TECP--Tax Exempt Commercial Paper
TRANS--Tax Revenue Anticipation Notes
TRB--Tender Revenue Bond
UPDATE--Unit Priced Daily Adjustable Tax-Exempt Security
VRDN--Variable Rate Demand Note
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at value
based on amortized cost $1,300,736,250 $1,142,198,656 $540,828,714
Receivable for investments sold -- -- --
Interest receivable 5,670,220 4,792,986 2,825,131
Cash 557,572 140,469 377,130
Other assets 231,711 10,660 4,361
- -------------------------------------------------------------------------------
TOTAL ASSETS 1,307,195,753 1,147,142,771 544,035,336
- -------------------------------------------------------------------------------
LIABILITIES:
Payable for investment securities
purchased -- -- --
Dividends payable 5,866,117 5,004,260 2,426,195
Accrued expenses and other liabili-
ties 536,924 444,567 256,565
- -------------------------------------------------------------------------------
TOTAL LIABILITIES 6,403,041 5,448,827 2,682,760
- -------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 1,300,792,712 1,141,690,924 541,306,770
Accumulated undistributed net in-
vestment income -- -- --
Accumulated undistributed net
realized gain (loss) on investment
transactions -- 3,020 45,806
- -------------------------------------------------------------------------------
NET ASSETS $1,300,792,712 $1,141,693,944 $541,352,576
- -------------------------------------------------------------------------------
Net asset value, offering and re-
demption price per unit
(net assets/units outstanding) $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
UNITS OUTSTANDING:
ILA units 1,175,000,909 818,627,520 448,716,539
ILA Administration units 33,005,504 298,516,525 10,011,985
ILA Service units 92,158,753 24,546,879 82,578,246
ILA B units 627,546 -- --
- -------------------------------------------------------------------------------
Total units of beneficial inter-
est outstanding, $.001 par value
(unlimited number of units au-
thorized) 1,300,792,712 1,141,690,924 541,306,770
- -------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
ILA ILA ILA ILA ILA
TREASURY TREASURY ILA TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT
OBLIGATIONS INSTRUMENTS FEDERAL DIVERSIFIED CALIFORNIA NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$780,377,857 $753,931,928 $2,302,817,253 $1,527,913,444 $477,864,590 $109,546,005
-- -- -- 1,100,000 -- --
1,744,407 12,497,120 6,786,880 11,023,421 3,362,359 621,487
39,605 306,146 2,458,781 534,437 48,551,676 145,047
4,858 5,543 18,013 75,981 32,512 523
- ---------------------------------------------------------------------------------------
782,166,727 766,740,737 2,312,080,927 1,540,647,283 529,811,137 110,313,062
- ---------------------------------------------------------------------------------------
-- -- -- 17,100,341 21,864,747 --
2,923,488 3,125,763 10,513,299 4,448,275 1,378,029 289,498
303,640 390,510 854,394 430,449 191,523 25,228
- ---------------------------------------------------------------------------------------
3,227,128 3,516,273 11,367,693 21,979,065 23,434,299 314,726
- ---------------------------------------------------------------------------------------
$778,938,312 763,220,615 2,300,713,754 1,518,550,991 506,395,032 110,003,221
-- -- -- 362,642 10,495 1,634
1,287 3,849 (520) (245,415) (28,689) (6,519)
- ---------------------------------------------------------------------------------------
$778,939,599 $763,224,464 $2,300,713,234 $1,518,668,218 $506,376,838 $109,998,336
- ---------------------------------------------------------------------------------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------
511,112,612 334,968,813 1,576,686,979 1,439,400,936 506,030,319 64,377,577
126,423,998 93,941,688 664,317,311 39,370,344 364,713 45,625,644
141,401,702 334,310,114 59,709,464 39,976,303 -- --
-- -- -- -- -- --
- ---------------------------------------------------------------------------------------
778,938,312 763,220,615 2,300,713,754 1,518,747,583 506,395,032 110,003,221
- ---------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income $36,818,726 $31,551,085 $20,415,357
- -----------------------------------------------------------------------------
EXPENSES:
Management fees 2,304,601 1,970,975 1,296,807
Transfer agent fees 263,383 225,254 148,207
Custodian fees 158,751 88,304 50,693
Professional fees 28,138 9,591 18,582
Trustees' fees 8,181 4,827 4,342
Other 114,290 42,038 10,976
- -----------------------------------------------------------------------------
TOTAL EXPENSES 2,877,344 2,340,989 1,529,607
Less--Expenses reimbursable and fees
waived by Goldman Sachs (153,728) (294,516) --
- -----------------------------------------------------------------------------
Net expenses 2,723,616 2,046,473 1,529,607
Administration unit fees 22,355 226,122 19,346
Service unit fees 171,261 47,597 206,530
- -----------------------------------------------------------------------------
NET EXPENSES AND UNIT FEES 2,917,232 2,320,192 1,755,483
- -----------------------------------------------------------------------------
NET INVESTMENT INCOME 33,901,494 29,230,893 18,659,874
- -----------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON INVESTMENT
TRANSACTIONS 1,238 5,729 39,273
- -----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $33,902,732 $29,236,622 $18,699,147
- -----------------------------------------------------------------------------
</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>
$20,288,543 $22,781,661 $79,599,126 $28,921,005 $8,196,886 $1,883,639
- ---------------------------------------------------------------------------
1,299,943 1,533,942 5,088,963 2,839,675 823,200 188,173
148,565 175,308 581,596 324,534 94,080 21,505
77,876 97,140 188,461 74,954 23,864 7,421
11,352 3,341 16,630 22,830 3,069 3,205
3,725 3,941 12,359 8,556 1,641 584
15,408 50,603 73,708 148,789 56,212 4,095
- ---------------------------------------------------------------------------
1,556,869 1,864,275 5,961,717 3,419,338 1,002,066 224,983
(21,940) (930,851) (2,139,560) (878,512) (29,819) (51,279)
- ---------------------------------------------------------------------------
1,534,929 933,424 3,822,157 2,540,826 972,247 173,704
69,046 60,517 494,104 38,270 251 23,906
227,510 585,414 318,447 91,865 -- --
- ---------------------------------------------------------------------------
1,831,485 1,579,355 4,634,708 2,670,961 972,498 197,610
- ---------------------------------------------------------------------------
18,457,058 21,202,306 74,964,418 26,250,044 7,224,388 1,686,029
- ---------------------------------------------------------------------------
54,081 38,676 73,578 (1,025) 1,331 --
- ---------------------------------------------------------------------------
$18,511,139 $21,240,982 $75,037,996 $26,249,019 $7,225,719 $1,686,029
- ---------------------------------------------------------------------------
</TABLE>
23
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1997
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 33,901,494 $ 29,230,893 $ 18,659,874
Net realized gain (loss) on
investment transactions 1,238 5,729 39,273
- -------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 33,902,732 29,236,622 18,699,147
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
ILA units (31,099,511) (20,978,957) (15,587,434)
ILA Administration units (749,719) (7,677,118) (635,632)
ILA Service units (2,046,451) (574,818) (2,436,808)
ILA B units (5,813) -- --
Net realized gain on in-
vestment transactions
ILA units (747) (2,182) (53,496)
ILA Administration units (19) (876) (2,184)
ILA Service units (49) (60) (9,310)
ILA B units (2) -- --
- -------------------------------------------------------------------------------
Total distributions to
unitholders (33,902,311) (29,234,011) (18,724,864)
- -------------------------------------------------------------------------------
FROM UNIT TRANSACTIONS (AT
$1.00 PER UNIT):
Proceeds from sales of
units 3,760,690,390 5,041,180,250 2,198,862,487
Reinvestment of dividends
and distributions 16,526,040 24,581,481 9,359,410
Cost of units repurchased (3,740,002,235) (4,913,270,305) (2,491,777,555)
- -------------------------------------------------------------------------------
Increase (decrease) in net
assets resulting from
unit transactions 37,214,195 152,491,426 (283,555,658)
- -------------------------------------------------------------------------------
Total increase (decrease) 37,214,616 152,494,037 (283,581,375)
NET ASSETS:
Beginning of period 1,263,578,096 989,199,907 824,933,951
- -------------------------------------------------------------------------------
End of period $ 1,300,792,712 $ 1,141,693,944 $ 541,352,576
- -------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- --
- -------------------------------------------------------------------------------
SUMMARY OF UNIT TRANSAC-
TIONS (AT $1.00 PER UNIT):
ILA UNITS:
Units sold 3,350,620,464 2,908,319,866 1,924,754,590
Reinvestment of dividends
and distributions 14,692,525 18,106,184 7,389,638
Units repurchased (3,345,057,769) (2,810,895,116) (2,178,032,034)
- -------------------------------------------------------------------------------
20,255,220 115,530,934 (245,887,806)
- -------------------------------------------------------------------------------
ILA ADMINISTRATION UNITS:
Units sold 135,768,531 2,045,066,180 61,155,315
Reinvestment of dividends
and distributions 684,572 6,303,002 122,350
Units repurchased (127,223,457) (2,010,111,055) (87,310,534)
- -------------------------------------------------------------------------------
9,229,646 41,258,127 (26,032,869)
- -------------------------------------------------------------------------------
ILA SERVICE UNITS:
Units sold 273,194,749 87,794,204 212,952,582
Reinvestment of dividends
and distributions 1,144,108 172,295 1,847,422
Units repurchased (266,890,746) (92,264,134) (226,434,987)
- -------------------------------------------------------------------------------
7,448,111 (4,297,635) (11,634,983)
- -------------------------------------------------------------------------------
Net increase (decrease) in
units 37,214,195* 152,491,426 (283,555,658)
- -------------------------------------------------------------------------------
</TABLE>
* In addition, ILA B units had sales, reinvestments of dividends and
distributions and repurchases of 1,106,646, 4,835 and 830,263 units,
respectively, for a net increase of 281,218 units.
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>
$ 18,457,058 $ 21,202,306 $ 74,964,418 $ 26,250,044 $ 7,224,388 $ 1,686,029
54,081 38,676 73,578 (1,025) 1,331 --
- ----------------------------------------------------------------------------------------------------
18,511,139 21,240,982 75,037,996 26,249,019 7,225,719 1,686,029
- ----------------------------------------------------------------------------------------------------
(13,549,901) (12,526,985) (54,464,717) (24,783,319) (7,219,332) (1,199,325)
(2,256,930) (1,952,923) (16,678,440) (791,248) (5,056) (486,704)
(2,650,227) (6,722,398) (3,821,261) (675,477) -- --
-- -- -- -- -- --
(60,363) (27,381) (3,814) -- -- --
(10,461) (5,258) (1,246) -- -- --
(12,754) (17,538) (205) -- -- --
-- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------
(18,540,636) (21,252,483) (74,969,683) (26,250,044) (7,224,388) (1,686,029)
- ----------------------------------------------------------------------------------------------------
2,511,157,494 2,198,082,018 8,930,667,103 4,810,716,339 1,647,073,802 421,203,402
6,619,660 9,434,425 52,166,415 20,421,977 6,582,276 1,558,025
(2,545,874,608) (2,674,886,161) (9,972,818,873) (4,914,929,886) (1,587,898,925) (427,257,572)
- ----------------------------------------------------------------------------------------------------
(28,097,454) (467,369,718) (989,985,355) (83,791,570) 65,757,153 (4,496,145)
- ----------------------------------------------------------------------------------------------------
(28,126,951) (467,381,219) (989,917,042) (83,792,595) 65,758,484 (4,496,145)
807,066,550 1,230,605,683 3,290,630,276 1,602,460,813 440,618,354 114,494,481
- ----------------------------------------------------------------------------------------------------
$ 778,939,599 $ 763,224,464 $ 2,300,713,234 $ 1,518,668,218 $ 506,376,838 $ 109,998,336
- ----------------------------------------------------------------------------------------------------
-- -- -- $ 362,642 $ 10,495 $ 1,634
- ----------------------------------------------------------------------------------------------------
1,762,782,076 1,667,129,939 6,237,841,459 4,670,298,460 1,646,349,481 238,303,240
5,738,877 8,895,121 43,038,982 19,959,755 6,581,995 1,086,581
(1,832,017,336) (2,050,046,518) (7,007,897,193) (4,765,380,801) (1,587,397,014) (245,190,270)
- ----------------------------------------------------------------------------------------------------
(63,496,383) (374,021,458) (727,016,752) (75,122,586) 65,534,462 (5,800,449)
- ----------------------------------------------------------------------------------------------------
230,971,899 181,044,845 2,164,353,021 41,568,155 724,321 182,900,162
220,667 499,456 7,964,940 83,412 281 471,444
(213,684,999) (225,303,784) (2,302,579,048) (61,378,482) (501,911) (182,067,302)
- ----------------------------------------------------------------------------------------------------
17,507,567 (43,759,483) (130,261,087) (19,726,915) 222,691 1,304,304
- ----------------------------------------------------------------------------------------------------
517,403,519 349,907,234 528,472,623 98,849,724 -- --
660,116 39,848 1,162,493 378,810 -- --
(500,172,273) (399,535,859) (662,342,632) (88,170,603) -- --
- ----------------------------------------------------------------------------------------------------
17,891,362 (49,588,777) (132,707,516) 11,057,931 -- --
- ----------------------------------------------------------------------------------------------------
(28,097,454) (467,369,718) (989,985,355) (83,791,570) 65,757,153 (4,496,145)
- ----------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended December 31, 1996
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 75,135,513 $ 50,329,934 $ 35,679,612
Net realized gain (loss)
on investment transac-
tions 72,405 72,865 62,662
- -------------------------------------------------------------------------------
Net increase in net as-
sets resulting from op-
erations 75,207,918 50,402,799 35,742,274
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
ILA units (67,076,054) (38,261,044) (29,556,990)
ILA Administration units (2,206,827) (10,545,315) (2,048,010)
ILA Service units (5,850,540) (1,523,575) (4,074,612)
ILA B units (2,092) -- --
Net realized gain on in-
vestment transactions
ILA units (65,059) (54,983) (38,029)
ILA Administration units (2,127) (15,267) (2,635)
ILA Service units (5,640) (2,206) (5,242)
- -------------------------------------------------------------------------------
Total distributions to
unitholders (75,208,339) (50,402,390) (35,725,518)
- -------------------------------------------------------------------------------
FROM UNIT TRANSACTIONS (AT
$1.00 PER UNIT):
Proceeds from sales of
units 9,633,671,566 8,281,604,075 5,115,245,365
Reinvestment of dividends
and distributions 40,414,429 38,191,105 17,312,306
Cost of units repurchased (9,962,009,233) (8,092,253,028) (5,011,078,568)
- -------------------------------------------------------------------------------
Increase (decrease) in
net assets resulting
from unit transactions (287,923,238) 227,542,152 121,479,103
- -------------------------------------------------------------------------------
Total increase (decrease) (287,923,659) 227,542,561 121,495,859
NET ASSETS:
Beginning of year 1,551,501,755 761,657,346 703,438,092
- -------------------------------------------------------------------------------
End of year $ 1,263,578,096 $ 989,199,907 $ 824,933,951
- -------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- --
- -------------------------------------------------------------------------------
SUMMARY OF UNIT TRANSAC-
TIONS (AT $1.00 PER
UNIT):
ILA UNITS:
Units sold 8,756,241,159 5,161,953,773 4,490,979,392
Reinvestment of dividends
and distributions 36,833,028 30,348,683 13,978,786
Units repurchased (8,899,537,496) (5,063,361,343) (4,380,790,567)
- -------------------------------------------------------------------------------
(106,463,309) 128,941,113 124,167,611
- -------------------------------------------------------------------------------
ILA ADMINISTRATION UNITS:
Units sold 318,656,203 2,902,067,359 220,574,807
Reinvestment of dividends
and distributions 1,520,549 7,510,848 283,223
Units repurchased (359,456,201) (2,816,742,074) (232,371,387)
- -------------------------------------------------------------------------------
(39,279,449) 92,836,133 (11,513,357)
- -------------------------------------------------------------------------------
ILA SERVICE UNITS:
Units sold 558,266,701 217,582,943 403,691,166
Reinvestment of dividends
and distributions 2,060,072 331,574 3,050,297
Units repurchased (702,853,581) (212,149,611) (397,916,614)
- -------------------------------------------------------------------------------
(142,526,808) 5,764,906 8,824,849
- -------------------------------------------------------------------------------
Net increase (decrease) in
units (288,269,566)* 227,542,152 121,479,103
- -------------------------------------------------------------------------------
</TABLE>
* In addition, ILA B units had sales, reinvestments of dividends and
distributions and repurchases of 507,503, 780 and 161,955 units,
respectively, for a net increase of 346,328 units.
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>
$ 44,242,234 $ 50,019,031 $ 137,805,192 $ 49,128,456 $ 12,042,847 $ 3,053,285
195,578 416,602 (4,477) (12,968) 15 (4,539)
- -----------------------------------------------------------------------------------------------------
44,437,812 50,435,633 137,800,715 49,115,488 12,042,862 3,048,746
- -----------------------------------------------------------------------------------------------------
(32,818,890) (30,911,761) (101,011,206) (46,819,418) (12,036,826) (2,289,010)
(4,742,767) (4,651,770) (30,041,532) (1,375,597) (6,021) (764,275)
(6,680,577) (14,455,500) (6,752,454) (933,441) -- --
-- -- -- -- -- --
(124,367) (251,459) -- -- -- --
(17,973) (37,841) -- -- -- --
(25,316) (117,591) -- -- -- --
- -----------------------------------------------------------------------------------------------------
(44,409,890) (50,425,922) (137,805,192) (49,128,456) (12,042,847) (3,053,285)
- -----------------------------------------------------------------------------------------------------
5,362,879,167 5,282,794,697 15,965,974,823 9,518,523,372 2,958,021,573 648,758,829
13,347,956 20,444,542 79,358,869 35,078,864 11,445,149 2,949,980
(5,492,732,128) (4,850,904,367) (15,106,127,095) (9,392,133,030) (2,875,637,134) (654,470,394)
- -----------------------------------------------------------------------------------------------------
(116,505,005) 452,334,872 939,206,597 161,469,206 93,829,588 (2,761,585)
- -----------------------------------------------------------------------------------------------------
(116,477,083) 452,344,583 939,202,120 161,456,238 93,829,603 (2,766,124)
923,543,633 778,261,100 2,351,428,156 1,441,004,575 346,788,751 117,260,605
- -----------------------------------------------------------------------------------------------------
$ 807,066,550 $ 1,230,605,683 $ 3,290,630,276 $ 1,602,460,813 $ 440,618,354 $ 114,494,481
- -----------------------------------------------------------------------------------------------------
-- -- -- $ 362,642 $ 10,495 $ 1,634
- -----------------------------------------------------------------------------------------------------
3,696,243,017 3,783,423,031 11,171,686,790 9,264,641,627 2,957,305,487 340,781,821
11,811,603 19,300,481 66,486,820 34,471,658 11,444,982 2,236,468
(3,844,547,762) (3,680,022,103) (10,666,427,699) (9,127,243,309) (2,875,001,835) (363,376,230)
- -----------------------------------------------------------------------------------------------------
(136,493,142) 122,701,409 571,745,911 171,869,976 93,748,634 (20,357,941)
- -----------------------------------------------------------------------------------------------------
659,581,577 470,006,128 3,606,492,816 142,908,870 716,086 307,977,008
855,243 1,082,829 11,506,068 298,114 167 713,512
(644,240,509) (402,096,387) (3,340,378,274) (132,882,806) (635,299) (291,094,164)
- -----------------------------------------------------------------------------------------------------
16,196,311 68,992,570 277,620,610 10,324,178 80,954 17,596,356
- -----------------------------------------------------------------------------------------------------
1,007,054,573 1,029,365,538 1,187,795,217 110,972,875 -- --
681,110 61,232 1,365,981 309,092 -- --
(1,003,943,857) (768,785,877) (1,099,321,122) (132,006,915) -- --
- -----------------------------------------------------------------------------------------------------
3,791,826 260,640,893 89,840,076 (20,724,948) -- --
- -----------------------------------------------------------------------------------------------------
(116,505,005) 452,334,872 939,206,597 161,469,206 93,829,588 (2,761,585)
- -----------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
1.ORGANIZATION
Effective May 1, 1997, the Goldman Sachs Money Market Trust was reorganized
from a Massachusetts business trust to a Delaware business trust named the
Goldman Sachs Trust (the "Trust"). The Trust includes the Goldman Sachs--
Institutional Liquid Assets Portfolios, collectively "ILA". The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. ILA consists of nine portfolios: Prime
Obligations, Money Market, Government, Treasury Obligations, Treasury
Instruments, Federal, Tax-Exempt Diversified, Tax-Exempt California and Tax-
Exempt New York. All of the portfolios are diversified except for the Tax-
Exempt California and Tax-Exempt New York Portfolios. ILA offers three classes
of units for each of its portfolios: ILA units, ILA Administration units and
ILA Service units. In addition, the Prime Obligations Portfolio offers ILA B
units. The investment objective of the Funds is to maximize current income to
the extent consistent with the preservation of capital and maintenance of
liquidity.
2.SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by ILA. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that may affect the reported amounts.
A. Investment Valuation--
ILA uses the amortized-cost method for valuing portfolio securities, which
approximates market value. Under this method, all investments purchased at a
discount or premium are valued by amortizing the difference between the
original purchase price and maturity value of the issue over the period to
maturity.
B. Interest Income--
Interest income is determined on the basis of interest accrued, premium
amortized and discount earned.
C. Federal Taxes--
It is each portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
each year substantially all investment company taxable and tax-exempt income to
its unitholders. Accordingly, no federal tax provisions are required.
The characterization of distributions to unitholders for financial reporting
purposes is determined in accordance with federal income tax rules. Therefore,
the source of the Portfolio's 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, 1996 (tax year end), the following portfolios had capital loss
carryforwards for U.S. Federal tax purposes of approximately:
<TABLE>
<CAPTION>
YEARS OF
PORTFOLIO AMOUNT EXPIRATION
--------- -------- ------------
<S> <C> <C>
Federal $ 72,000 2000 to 2004
Tax-Exempt Diversified 244,000 1997 to 2004
Tax-Exempt California 30,000 1999 to 2003
Tax-Exempt New York 7,000 1999 to 2004
</TABLE>
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
D. Expenses--
Expenses incurred by ILA which do not specifically relate to an individual
portfolio of ILA are allocated to the portfolios based on each portfolio's
relative average net assets for the period.
Unitholders of ILA Administration, ILA Service and ILA B units bear all
expenses and fees paid to service and distribution organizations for their
services with respect
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
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 pursuant to
an investment Management Agreement (the "Agreement"). Under the Agreement,
GSAM, subject to general supervision by 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 Agreement and the assumption
of the expenses related thereto, GSAM is entitled to a fee, computed daily and
payable monthly, at an annual rate equal to .35% of each portfolio's average
daily net assets. For the six months ended June 30, 1997, GSAM has voluntarily
agreed to waive a portion of its management fees 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. Amounts due to
Goldman Sachs are included in "Accrued expenses and other liabilities" in the
accompanying Statements of Assets and Liabilities.
GSAM has voluntarily agreed that if the sum of a portfolio's expenses
(including the advisory fee, but excluding interest, taxes, brokerage
commissions, litigation and indemnification expenses, administration,
authorized dealer service, distribution and service plan fees and other
extraordinary expenses) exceeds on an annualized basis .42% (.41% prior to May
1, 1997) of such portfolio's net assets, the portfolio will be reimbursed in
the amount of such excess monthly.
For the six months ended June 30, 1997, 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 .37%, .22%, .27%, .32% and .33%,
respectively, of the average net assets per annum. Amounts due from Goldman
Sachs at June 30, 1997 are included in "Other assets"in the accompanying
Statements of Assets and Liabilities.
The ILA B units of Prime Obligations Portfolio have adopted a Distribution
Plan (the "Distribution Plan") pursuant to Rule 12b-1. Under the Distribution
Plan, Goldman Sachs is entitled to a quarterly fee for distribution services
equal, on an annual basis, up to .75% of ILA B units average daily net assets.
The ILA B units of Prime Obligations Portfolio have also adopted an Authorized
Dealer Service Plan (the "Service Plan") pursuant to which Goldman Sachs and
Authorized Dealers are compensated for providing personal and account
maintenance services. ILA B units pay a fee under this Service Plan equal, on
an annual basis, up to .25% of ILA Class B's average daily net assets.
29
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 1997
(Unaudited)
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
The chart below outlines the fee waivers and expense reimbursements for the
six months ended June 30, 1997 and amounts owed to and due from Goldman Sachs
at June 30, 1997 (in thousands):
<TABLE>
<CAPTION>
Amounts
Amounts due
Management Expense due to from
Fee Reimburse- Goldman Goldman
Portfolio Waived ments Total Sachs Sachs
<S> <C> <C> <C> <C> <C>
Prime
Obligations
Portfolio $ -- $154 $ 154 $422 $63
- -------------------------------------------------------------
Money Market
Portfolio 263 32 295 352 --
- -------------------------------------------------------------
Government
Portfolio -- -- -- 228 --
- -------------------------------------------------------------
Treasury
Obligations
Portfolio -- 22 22 262 --
- -------------------------------------------------------------
Treasury
Instruments
Portfolio 863 68 931 135 --
- -------------------------------------------------------------
Federal
Portfolio 2,140 -- 2,140 546 --
- -------------------------------------------------------------
Tax-Exempt
Diversified
Portfolio 786 93 879 378 58
- -------------------------------------------------------------
Tax-Exempt
California
Portfolio -- 30 30 161 21
- -------------------------------------------------------------
Tax-Exempt New
York Portfolio 47 4 51 25 --
</TABLE>
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.
5.LINE OF CREDIT FACILITY
ILA participates in a $250,000,000 uncommitted, unsecured revolving line of
credit facility to be used solely for temporary or emergency purposes. Under
the most restrictive arrangement, each Portfolio must own securities having a
market value in excess of 300% of the total bank borrowings. The interest rate
on the borrowings is based on the Federal Funds rate. During the six months
ended June 30, 1997, ILA did not have any borrowings under this facility.
6.REPURCHASE AGREEMENTS
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the
value of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping by a custodian.
7.JOINT REPURCHASE AGREEMENT ACCOUNTS
The ILA Portfolios, together with other registered investment companies having
management agreements with GSAM or its affiliates, may transfer uninvested cash
balances into joint accounts, the daily aggregate balances of which are
invested in one or more repurchase agreements. The underlying securities for
the repurchase agreements are U.S. Treasury obligations.
As of June 30, 1997, the Prime Obligations, Money Market, Government and
Treasury Obligations Portfolios had investments in the following joint account
of $184,900,000, $79,800,000, $128,600,000 and $202,800,000 in principal
amount, respectively. As of June 30, 1997, the repurchase agreements in this
joint account, along with the corresponding underlying securities (including
the
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
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
CIBC Wood Gundy Securities, dated 06/30/97, repurchase price $32,905,438
(U.S. Treasury Note: $33,560,121, 6.375%, 03/31/01)
$32,900,000 5.95% 07/01/97 $ 32,900,000
Deutsche Bank, dated 06/30/97, repurchase price $975,165,208 (U.S.
Treasury Notes: $972,860,973, 5.00%-8.50%, 11/30/97-05/15/07; U.S.
Treasury Stripped Securities: $21,639,768, 08/15/99-02/15/07)
975,000,000 6.10 07/01/97 975,000,000
Donaldson Lufkin & Jenrette, Inc., dated 06/30/97, repurchase price
$520,085,944 (U.S. Treasury Stripped Securities: $499,717,019, 08/15/97-
05/15/07; U.S. Treasury Notes: $30,683,075, 6.125%-6.25%, 09/30/00-
02/15/07))
520,000,000 5.95 07/01/97 520,000,000
Swiss Bank Corp., dated 06/30/97, repurchase price $503,483,200 (U.S.
Treasury Notes: $480,019,868, 3.375%-9.125%, 07/31/97-01/15/07; U.S.
Treasury Bills: $34,569,420, 07/24/97-05/28/98; U.S. Treasury Bond:
$615,008, 10.75%, 08/15/05)
503,400,000 5.95 07/01/97 503,400,000
Swiss Bank Corp., dated 06/30/97, repurchase price $100,014,722 (U.S.
Treasury Notes: $95,543,523, 3.375%-9.125%, 07/31/97-01/15/07; U.S.
Treasury Bills: $6,880,724, 07/24/97-05/28/98; U.S. Treasury Bond:
$122,412, 10.75%, 08/15/05)
100,000,000 5.30 07/01/97 100,000,000
- -----------------------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $2,131,300,000
- -----------------------------------------------------------------------------------------------
</TABLE>
8.OTHER MATTERS
Pursuant to an SEC exemptive order, certain of the Portfolios may enter into
certain principal transactions, including repurchase agreements, with Goldman,
Sachs & Co. subject to certain limitations which include the following: 25% of
eligible security transactions, as defined, and 10% of repurchase agreement
transactions.
31
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Selected Data for a Unit Outstanding Throughout Each Period
Prime Obligations Portfolio
- -------------------------------------------------------------------------------
- ------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Ratio of net
Net asset Net realized Total Net asset Ratio of net investment
value at Net gain on income from value at expenses to income to
beginning investment investment investment Distributions end Total average net average net
of period income transactions operations to unitholders of period return(a) assets assets
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $1.00 $0.0257 -- $0.0257 $(0.0257) $1.00 5.30%(d) 0.41%(d) 5.18%(d)
1997-ILA
Administration
units........... 1.00 0.0249 -- 0.0249 (0.0249) 1.00 5.15(d) 0.56(d) 5.03(d)
1997-ILA Service
units........... 1.00 0.0237 -- 0.0237 (0.0237) 1.00 4.89(d) 0.81(d) 4.78(d)
1997-ILA B
units........... 1.00 0.0207 -- 0.0207 (0.0207) 1.00 4.26(d) 1.41(d) 4.17(d)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1.00 0.0511 -- 0.0511 (0.0511) 1.00 5.22 0.41 5.11
1996-ILA
Administration
units........... 1.00 0.0497 -- 0.0497 (0.0497) 1.00 5.06 0.56 4.97
1996-ILA Service
units........... 1.00 0.0474 -- 0.0474 (0.0474) 1.00 4.80 0.81 4.74
1996-ILA B
units(b)........ 1.00 0.0262 -- 0.0262 (0.0262) 1.00 3.97(d) 1.41(d) 4.09(d)
1995-ILA units.. 1.00 0.0566 -- 0.0566 (0.0566) 1.00 5.79 0.41 5.66
1995-ILA
Administration
units........... 1.00 0.0551 -- 0.0551 (0.0551) 1.00 5.63 0.56 5.51
1995-ILA Service
units........... 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.37 0.81 5.22
1994-ILA units.. 1.00 0.0394 -- 0.0394 (0.0394) 1.00 4.07 0.40 3.94
1994-ILA
Administration
units........... 1.00 0.0379 -- 0.0379 (0.0379) 1.00 3.91 0.55 3.79
1994-ILA Service
units........... 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.66 0.80 3.65
1993-ILA units.. 1.00 0.0291 0.0002 0.0293 (0.0293) 1.00 2.97 0.40 2.91
1993-ILA
Administration
units........... 1.00 0.0275 0.0003 0.0278 (0.0278) 1.00 2.82 0.55 2.75
1993-ILA Service
units........... 1.00 0.0250 0.0001 0.0251 (0.0252) 1.00 2.56 0.80 2.50
1992-ILA units.. 1.00 0.0364 0.0010 0.0374 (0.0374) 1.00 3.75 0.40 3.64
1992-ILA
Administration
units........... 1.00 0.0339 0.0010 0.0349 (0.0349) 1.00 3.60 0.55 3.39
1992-ILA Service
units........... 1.00 0.0311 0.0010 0.0321 (0.0320) 1.00 3.34 0.80 3.11
1991-ILA units.. 1.00 0.0591 0.0003 0.0594 (0.0594) 1.00 6.10 0.40 5.91
1991-ILA
Administration
units........... 1.00 0.0568 0.0003 0.0571 (0.0571) 1.00 5.94 0.55 5.68
1991-ILA Service
units........... 1.00 0.0558 0.0003 0.0561 (0.0561) 1.00 5.68 0.80 5.58
1990-ILA units.. 1.00 0.0793 -- 0.0793 (0.0793) 1.00 8.21 0.38 7.93
1990-ILA
Administration
units(c)........ 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.81(d) 0.55(d) 7.62(d)
1990-ILA Service
units(c)........ 1.00 0.0425 -- 0.0425 (0.0425) 1.00 7.56(d) 0.80(d) 7.25(d)
1989-ILA units.. 1.00 0.0890 -- 0.0890 (0.0890) 1.00 9.27 0.40 8.90
1988-ILA units.. 1.00 0.0714 -- 0.0714 (0.0714) 1.00 7.48 0.40 7.14
1987-ILA units.. 1.00 0.0634 -- 0.0634 (0.0634) 1.00 6.50 0.40 6.34
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Net Ratio of net
assets at Ratio of net investment
end of expenses to income to
period average net average net
(in 000's) assets assets
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $1,175,001 0.43%(d) 5.16%(d)
1997-ILA
Administration
units........... 33,005 0.58(d) 5.01(d)
1997-ILA Service
units........... 92,159 0.83(d) 4.76(d)
1997-ILA B
units........... 628 1.43(d) 4.15(d)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1,154,787 0.43 5.09
1996-ILA
Administration
units........... 23,738 0.58 4.95
1996-ILA Service
units........... 84,707 0.83 4.72
1996-ILA B
units(b)........ 346 1.43(d) 4.07(d)
1995-ILA units.. 1,261,251 0.43 5.64
1995-ILA
Administration
units........... 63,018 0.58 5.49
1995-ILA Service
units........... 227,233 0.83 5.20
1994-ILA units.. 1,963,846 0.42 3.92
1994-ILA
Administration
units........... 149,234 0.57 3.77
1994-ILA Service
units........... 170,453 0.82 3.63
1993-ILA units.. 2,332,771 0.42 2.89
1993-ILA
Administration
units........... 189,431 0.57 2.73
1993-ILA Service
units........... 137,804 0.82 2.48
1992-ILA units.. 3,444,591 0.42 3.62
1992-ILA
Administration
units........... 257,321 0.57 3.37
1992-ILA Service
units........... 22,044 0.82 3.09
1991-ILA units.. 3,531,736 0.42 5.89
1991-ILA
Administration
units........... 198,417 0.57 5.66
1991-ILA Service
units........... 18,789 0.82 5.56
1990-ILA units.. 2,833,541 0.38 7.93
1990-ILA
Administration
units(c)........ 209,272 0.55(d) 7.62(d)
1990-ILA Service
units(c)........ 19,039 0.80(d) 7.25(d)
1989-ILA units.. 3,761,964 0.40 8.90
1988-ILA units.. 3,799,628 0.40 7.14
1987-ILA units.. 5,814,280 0.40 6.34
</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 Class B unit activity commenced during May of 1996.
(c)ILA Administration and Service unit activity commenced during June of 1990.
(d)Annualized.
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
Goldman Sachs 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 asset Net realized Total
value at Net gain on income from
beginning investment investment investment
of period income transactions operations
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED
JUNE 30, (UNAUDITED)
1997-ILA units.. $1.00 $0.0260 $ -- $0.0260
1997-ILA
Administration
units........... 1.00 0.0253 -- 0.0253
1997-ILA Service
units........... 1.00 0.0240 -- 0.0240
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1.00 0.0515 0.0001 0.0516
1996-ILA
Administration
units........... 1.00 0.0500 0.0001 0.0501
1996-ILA Service
units........... 1.00 0.0475 0.0001 0.0476
1995-ILA units.. 1.00 0.0571 -- 0.0571
1995-ILA
Administration
units........... 1.00 0.0555 -- 0.0555
1995-ILA Service
units........... 1.00 0.0529 -- 0.0529
1994-ILA units.. 1.00 0.0401 -- 0.0401
1994-ILA
Administration
units........... 1.00 0.0388 -- 0.0388
1994-ILA Service
units........... 1.00 0.0364 -- 0.0364
1993-ILA units.. 1.00 0.0296 0.0003 0.0299
1993-ILA
Administration
units........... 1.00 0.0281 0.0003 0.0284
1993-ILA Service
units........... 1.00 0.0257 0.0002 0.0259
1992-ILA units.. 1.00 0.0368 0.0004 0.0372
1992-ILA
Administration
units........... 1.00 0.0356 0.0004 0.0360
1992-ILA Service
units........... 1.00 0.0358 0.0006 0.0364
1991-ILA units.. 1.00 0.0591 0.0004 0.0595
1991-ILA
Administration
units........... 1.00 0.0574 0.0004 0.0578
1991-ILA Service
units........... 1.00 0.0547 0.0004 0.0551
1990-ILA units.. 1.00 0.0793 0.0001 0.0794
1990-ILA
Administration
units(c)........ 1.00 0.0424 0.0001 0.0425
1990-ILA Service
units(c)........ 1.00 0.0438 -- 0.0438
1989-ILA units.. 1.00 0.0885 0.0001 0.0886
1988-ILA units.. 1.00 0.0751 -- 0.0751
FOR THE PERIOD DECEMBER 2, 1987 (COMMENCEMENT OF
OPERATIONS) THROUGH DECEMBER 31,
1987-ILA units.. 1.00 0.0063 -- 0.0063
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net Net investment
Net asset Ratio of net investment assets at Ratio of net income to
Distributions value at expenses to income to end expenses to average
to end Total average net average net of period average net net
unitholders of period return(a) assets assets (in 000's) assets assets
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED
JUNE 30, (UNAUDITED)
1997-ILA units.. $(0.0260) $1.00 5.37%(b) 0.36%(b) 5.24%(b) $ 818,629 0.42%(b) 5.18%(b)
1997-ILA
Administration
units........... (0.0253) 1.00 5.21(b) 0.51(b) 5.09(b) 298,518 0.57(b) 5.03(b)
1997-ILA Service
units........... (0.0240) 1.00 4.95(b) 0.76(b) 4.84(b) 24,547 0.82(b) 4.78(b)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. (0.0516) 1.00 5.27 0.36 5.15 703,097 0.43 5.08
1996-ILA
Administration
units........... (0.0501) 1.00 5.12 0.51 5.00 257,258 0.58 4.93
1996-ILA Service
units........... (0.0476) 1.00 4.86 0.76 4.75 28,845 0.83 4.68
1995-ILA units.. (0.0571) 1.00 5.85 0.36 5.71 574,155 0.42 5.65
1995-ILA
Administration
units........... (0.0555) 1.00 5.69 0.51 5.55 164,422 0.57 5.49
1995-ILA Service
units........... (0.0529) 1.00 5.43 0.76 5.29 23,080 0.82 5.23
1994-ILA units.. (0.0401) 1.00 4.13 0.35 4.01 559,470 0.43 3.93
1994-ILA
Administration
units........... (0.0388) 1.00 3.98 0.50 3.88 145,867 0.58 3.80
1994-ILA Service
units........... (0.0364) 1.00 3.72 0.75 3.61 21,862 0.83 3.53
1993-ILA units.. (0.0299) 1.00 3.03 0.35 2.96 699,604 0.43 2.88
1993-ILA
Administration
units........... (0.0284) 1.00 2.88 0.50 2.81 150,452 0.58 2.73
1993-ILA Service
units........... (0.0259) 1.00 2.62 0.75 2.57 11,166 0.83 2.49
1992-ILA units.. (0.0372) 1.00 3.76 0.35 3.68 884,571 0.43 3.60
1992-ILA
Administration
units........... (0.0360) 1.00 3.61 0.50 3.56 187,445 0.58 3.48
1992-ILA Service
units........... (0.0364) 1.00 3.35 0.75 3.58 15,114 0.83 3.50
1991-ILA units.. (0.0595) 1.00 6.12 0.35 5.91 1,153,191 0.42 5.84
1991-ILA
Administration
units........... (0.0578) 1.00 5.96 0.50 5.74 210,330 0.57 5.67
1991-ILA Service
units........... (0.0551) 1.00 5.70 0.75 5.47 56,586 0.82 5.40
1990-ILA units.. (0.0794) 1.00 8.24 0.35 7.93 924,141 0.40 7.88
1990-ILA
Administration
units(c)........ (0.0425) 1.00 7.86(b) 0.50(b) 7.63(b) 204,477 0.55(b) 7.58(b)
1990-ILA Service
units(c)........ (0.0438) 1.00 7.61(b) 0.75(b) 7.46(b) 38,128 0.80(b) 7.41(b)
1989-ILA units.. (0.0886) 1.00 9.31 0.35 8.85 1,295,389 0.40 8.80
1988-ILA units.. (0.0751) 1.00 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.. (0.0063) 1.00 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.
The accompanying notes are an integral part of these financial statements.
33
<PAGE>
Goldman Sachs 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 assets realized Total
value at Net gain on income from
beginning investment investment investment
of period income transactions operations
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED
JUNE 30, (UNAUDITED)
- ------------------------
1997-ILA units.. $1.00 $0.0253 $0.0001 $0.0254
1997-ILA
Administration
units........... 1.00 0.0244 0.0001 0.0245
1997-ILA Service
units........... 1.00 0.0234 -- 0.0234
FOR THE YEARS ENDED
DECEMBER 31,
- -------------------
1996-ILA units.. 1.00 0.0504 0.0001 0.0505
1996-ILA
Administration
units........... 1.00 0.0489 0.0001 0.0490
1996-ILA Service
units........... 1.00 0.0463 0.0001 0.0464
1995-ILA units.. 1.00 0.0562 0.0002 0.0564
1995-ILA
Administration
units........... 1.00 0.0549 0.0002 0.0551
1995-ILA Service
units........... 1.00 0.0519 0.0002 0.0521
1994-ILA units.. 1.00 0.0378 0.0002 0.0380
1994-ILA
Administration
units........... 1.00 0.0362 0.0002 0.0364
1994-ILA Service
units........... 1.00 0.0350 0.0002 0.0352
1993-ILA units.. 1.00 0.0282 0.0008 0.0290
1993-ILA
Administration
units........... 1.00 0.0267 0.0008 0.0275
1993-ILA Service
units........... 1.00 0.0242 0.0006 0.0248
1992-ILA units.. 1.00 0.0338 0.0027 0.0365
1992-ILA
Administration
units........... 1.00 0.0325 0.0027 0.0352
1992-ILA Service
units........... 1.00 0.0309 0.0030 0.0339
1991-ILA units.. 1.00 0.0567 0.0011 0.0578
1991-ILA
Administration
units........... 1.00 0.0545 0.0011 0.0556
1991-ILA Service
units........... 1.00 0.0522 0.0011 0.0533
1990-ILA units.. 1.00 0.0779 0.0003 0.0782
1990-ILA
Administration
units(c)........ 1.00 0.0439 0.0004 0.0443
1990-ILA Service
units(c)........ 1.00 0.0359 0.0002 0.0361
1989-ILA units.. 1.00 0.0877 0.0001 0.0878
1988-ILA units.. 1.00 0.0716 0.0002 0.0718
1987-ILA units.. 1.00 0.0622 0.0001 0.0623
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Net asset Ratio of net investment assets at Ratio of net investment
value at expenses to income to end expenses to income to
Distributions end Total average net average net of period average net average net
to unitholders of period return(a) assets assets (in 000's) assets assets
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED
JUNE 30, (UNAUDITED)
- ------------------------
1997-ILA units.. $(0.0254) $1.00 5.25%(b) 0.41%(b) 5.09%(b) $ 448,755 0.41%(b) 5.09%(b)
1997-ILA
Administration
units........... (0.0245) 1.00 5.09(b) 0.56(b) 4.94(b) 10,013 0.56(b) 4.94(b)
1997-ILA Service
units........... (0.0234) 1.00 4.83(b) 0.81(b) 4.69(b) 82,585 0.81(b) 4.69(b)
FOR THE YEARS ENDED
DECEMBER 31,
- -------------------
1996-ILA units.. (0.0504) 1.00 5.15 0.41 5.04 694,651 0.44 5.01
1996-ILA
Administration
units........... (0.0489) 1.00 4.99 0.56 4.89 36,055 0.59 4.86
1996-ILA Service
units........... (0.0463) 1.00 4.73 0.81 4.63 94,228 0.84 4.60
1995-ILA units.. (0.0564) 1.00 5.77 0.41 5.62 570,469 0.43 5.60
1995-ILA
Administration
units........... (0.0551) 1.00 5.62 0.56 5.49 47,558 0.58 5.47
1995-ILA Service
units........... (0.0521) 1.00 5.35 0.81 5.19 85,401 0.83 5.17
1994-ILA units.. (0.0380) 1.00 3.94 0.40 3.78 881,520 0.44 3.74
1994-ILA
Administration
units........... (0.0364) 1.00 3.79 0.55 3.62 95,483 0.59 3.58
1994-ILA Service
units........... (0.0352) 1.00 3.53 0.80 3.50 156,930 0.84 3.46
1993-ILA units.. (0.0291) 1.00 2.94 0.40 2.82 1,315,378 0.43 2.79
1993-ILA
Administration
units........... (0.0276) 1.00 2.79 0.55 2.67 161,845 0.58 2.64
1993-ILA Service
units........... (0.0250) 1.00 2.53 0.80 2.42 101,272 0.83 2.39
1992-ILA units.. (0.0364) 1.00 3.70 0.40 3.38 1,785,472 0.42 3.36
1992-ILA
Administration
units........... (0.0351) 1.00 3.55 0.55 3.25 461,542 0.57 3.23
1992-ILA Service
units........... (0.0336) 1.00 3.29 0.80 3.09 56,389 0.82 3.07
1991-ILA units.. (0.0578) 1.00 5.91 0.40 5.67 2,103,627 0.43 5.64
1991-ILA
Administration
units........... (0.0556) 1.00 5.75 0.55 5.45 464,060 0.58 5.42
1991-ILA Service
units........... (0.0533) 1.00 5.49 0.80 5.22 200,176 0.83 5.19
1990-ILA units.. (0.0782) 1.00 8.11 0.39 7.79 2,203,756 0.39 7.79
1990-ILA
Administration
units(c)........ (0.0443) 1.00 7.74(b) 0.55(b) 7.49(b) 296,313 0.55(b) 7.49(b)
1990-ILA Service
units(c)........ (0.0363) 1.00 7.42(b) 0.80(b) 7.15(b) 132,888 0.80(b) 7.15(b)
1989-ILA units.. (0.0878) 1.00 9.15 0.40 8.77 2,268,330 0.40 8.77
1988-ILA units.. (0.0718) 1.00 7.42 0.40 7.16 2,197,796 0.40 7.16
1987-ILA units.. (0.0624) 1.00 6.43 0.40 6.22 2,243,870 0.40 6.22
</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.
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
Goldman Sachs 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 asset Net realized Total
value at Net gain on income from
beginning investment investment investment
of period income transactions operations
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED
JUNE 30, (UNAUDITED)
- ------------------------
1997-ILA units.. $1.00 $0.0250 $0.0001 $0.0251
1997-ILA
Administration
units........... 1.00 0.0243 0.0001 0.0244
1997-ILA Service
units........... 1.00 0.0231 0.0001 0.0232
FOR THE YEARS ENDED
DECEMBER 31,
- -------------------
1996-ILA units.. 1.00 0.0498 0.0002 0.0500
1996-ILA
Administration
units........... 1.00 0.0483 0.0003 0.0486
1996-ILA Service
units........... 1.00 0.0459 0.0001 0.0460
1995-ILA units.. 1.00 0.0551 0.0007 0.0558
1995-ILA
Administration
units........... 1.00 0.0537 0.0007 0.0544
1995-ILA Service
units........... 1.00 0.0511 0.0007 0.0518
1994-ILA units.. 1.00 0.0377 -- 0.0377
1994-ILA
Administration
units........... 1.00 0.0368 -- 0.0368
1994-ILA Service
units........... 1.00 0.0340 -- 0.0340
1993-ILA units.. 1.00 0.0279 0.0006 0.0285
1993-ILA
Administration
units........... 1.00 0.0264 0.0006 0.0270
1993-ILA Service
units........... 1.00 0.0239 0.0006 0.0245
1992-ILA units.. 1.00 0.0339 0.0025 0.0364
1992-ILA
Administration
units........... 1.00 0.0320 0.0023 0.0343
1992-ILA Service
units........... 1.00 0.0294 0.0024 0.0318
1991-ILA units.. 1.00 0.0557 0.0018 0.0575
1991-ILA
Administration
units........... 1.00 0.0540 0.0018 0.0558
1991-ILA Service
units........... 1.00 0.0515 0.0018 0.0533
1990-ILA units.. 1.00 0.0772 0.0002 0.0774
1990-ILA
Administration
units(c)........ 1.00 0.0413 0.0002 0.0415
1990-ILA Service
units(c)........ 1.00 0.0417 0.0003 0.0420
1989-ILA units.. 1.00 0.0864 0.0005 0.0869
1988-ILA units.. 1.00 0.0704 0.0004 0.0708
1987-ILA units.. 1.00 0.0617 0.0002 0.0619
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Net asset Ratio of net investment assets at Ratio of net investment
Distributions value at expenses to income to end expenses to income to
to end Total average net average net of period average net average net
unitholders of period return(a) assets assets (in 000's) assets assets
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED
JUNE 30, (UNAUDITED)
- ------------------------
1997-ILA units.. $(0.0251) $1.00 5.19%(b) 0.41%(b) 5.05%(b) $ 511,114 0.42%(b) 5.04%(b)
1997-ILA
Administration
units........... (0.0244) 1.00 5.03(b) 0.56(b) 4.90(b) 126,424 0.57(b) 4.89(b)
1997-ILA Service
units........... (0.0232) 1.00 4.77(b) 0.81(b) 4.65(b) 141,402 0.82(b) 4.64(b)
FOR THE YEARS ENDED
DECEMBER 31,
- -------------------
1996-ILA units.. (0.0500) 1.00 5.11 0.41 4.98 574,734 0.43 4.96
1996-ILA
Administration
units........... (0.0486) 1.00 4.95 0.56 4.83 108,850 0.58 4.81
1996-ILA Service
units........... (0.0460) 1.00 4.69 0.81 4.59 123,483 0.83 4.57
1995-ILA units.. (0.0558) 1.00 5.73 0.41 5.51 711,209 0.43 5.49
1995-ILA
Administration
units........... (0.0544) 1.00 5.57 0.56 5.37 92,643 0.58 5.35
1995-ILA Service
units........... (0.0518) 1.00 5.31 0.81 5.11 119,692 0.83 5.09
1994-ILA units.. (0.0377) 1.00 3.91 0.40 3.77 713,816 0.44 3.73
1994-ILA
Administration
units........... (0.0368) 1.00 3.75 0.55 3.68 97,626 0.59 3.64
1994-ILA Service
units........... (0.0340) 1.00 3.49 0.80 3.40 108,972 0.84 3.35
1993-ILA units.. (0.0286) 1.00 2.89 0.40 2.79 969,565 0.43 2.76
1993-ILA
Administration
units........... (0.0270) 1.00 2.74 0.55 2.64 121,327 0.58 2.61
1993-ILA Service
units........... (0.0246) 1.00 2.48 0.80 2.39 185,506 0.83 2.36
1992-ILA units.. (0.0362) 1.00 3.65 0.40 3.39 1,328,036 0.43 3.36
1992-ILA
Administration
units........... (0.0343) 1.00 3.49 0.55 3.20 152,804 0.58 3.17
1992-ILA Service
units........... (0.0318) 1.00 3.23 0.80 2.94 183,208 0.83 2.91
1991-ILA units.. (0.0575) 1.00 5.90 0.40 5.57 1,709,321 0.43 5.54
1991-ILA
Administration
units........... (0.0558) 1.00 5.74 0.55 5.40 146,795 0.58 5.37
1991-ILA Service
units........... (0.0533) 1.00 5.48 0.80 5.15 154,419 0.83 5.12
1990-ILA units.. (0.0774) 1.00 8.05 0.39 7.72 1,816,991 0.39 7.72
1990-ILA
Administration
units(c)........ (0.0415) 1.00 7.67(b) 0.55(b) 7.42(b) 132,088 0.55(b) 7.42(b)
1990-ILA Service
units(c)........ (0.0421) 1.00 7.42(b) 0.80(b) 7.11(b) 148,323 0.80(b) 7.11(b)
1989-ILA units.. (0.0869) 1.00 9.06 0.40 8.64 1,769,974 0.40 8.64
1988-ILA units.. (0.0708) 1.00 7.30 0.40 7.04 1,657,215 0.40 7.04
1987-ILA units.. (0.0619) 1.00 6.32 0.40 6.17 1,693,767 0.40 6.17
</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.
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Instruments Portfolio
- -------------------------------------------------------------------------------
- ------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net asset Net realized Total
value at Net gain on income from
beginning investment investment investment
of period income transactions operations
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $1.00 $0.0247 $ -- $0.0247
1997-ILA
Administration
units........... 1.00 0.0240 -- 0.0240
1997-ILA Service
units........... 1.00 0.0228 -- 0.0228
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1.00 0.0496 0.0004 0.0500
1996-ILA
Administration
units........... 1.00 0.0482 0.0004 0.0486
1996-ILA Service
units........... 1.00 0.0456 0.0004 0.0460
1995-ILA units.. 1.00 0.0550 0.0006 0.0556
1995-ILA
Administration
units........... 1.00 0.0534 0.0007 0.0541
1995-ILA Service
units........... 1.00 0.0500 0.0005 0.0505
1994-ILA units.. 1.00 0.0397 0.0001 0.0398
1994-ILA
Administration
units........... 1.00 0.0397 0.0001 0.0398
1994-ILA Service
units........... 1.00 0.0371 0.0001 0.0372
1993-ILA units.. 1.00 0.0288 0.0006 0.0294
1993-ILA
Administration
units........... 1.00 0.0273 0.0006 0.0279
1993-ILA Service
units........... 1.00 0.0248 0.0006 0.0254
1992-ILA units.. 1.00 0.0338 0.0012 0.0350
1992-ILA
Administration
units........... 1.00 0.0326 0.0012 0.0338
1992-ILA Service
units........... 1.00 0.0275 0.0011 0.0286
FOR THE PERIOD JANUARY 30, 1991 (COMMENCEMENT OF
OPERATIONS) THROUGH DECEMBER 31,
1991-ILA units.. 1.00 0.0486 0.0013 0.0499
1991-ILA
Administration
units (c)....... 1.00 0.0210 0.0010 0.0220
1991-ILA Service
units (c)....... 1.00 0.0473 0.0009 0.0482
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Net asset Ratio of net investment assets at Ratio of net investment
Distributions value at expenses to income to end expenses to income to
to end Total average net average net of period average net average net
unitholders of period return(a) assets assets (in 000's) assets assets
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $(0.0247) $1.00 5.13%(b) 0.21%(b) 4.98%(b) $334,970 0.43%(b) 4.76%(b)
1997-ILA
Administration
units........... (0.0240) 1.00 4.97(b) 0.36(b) 4.83(b) 93,942 0.58(b) 4.61(b)
1997-ILA Service
units........... (0.0228) 1.00 4.71(b) 0.61(b) 4.58(b) 334,311 0.83(b) 4.36(b)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. (0.0500) 1.00 5.10 0.21 4.96 708,999 0.43 4.74
1996-ILA
Administration
units........... (0.0486) 1.00 4.95 0.36 4.82 137,706 0.58 4.60
1996-ILA Service
units........... (0.0460) 1.00 4.68 0.61 4.56 383,901 0.83 4.34
1995-ILA units.. (0.0556) 1.00 5.70 0.21 5.50 586,294 0.44 5.27
1995-ILA
Administration
units........... (0.0540) 1.00 5.54 0.36 5.34 68,713 0.59 5.11
1995-ILA Service
units........... (0.0505) 1.00 5.28 0.61 5.00 123,254 0.84 4.77
1994-ILA units.. (0.0398) 1.00 4.01 0.20 3.96 547,351 0.43 3.73
1994-ILA
Administration
units........... (0.0398) 1.00 3.85 0.35 3.97 64,388 0.58 3.74
1994-ILA Service
units........... (0.0372) 1.00 3.59 0.60 3.72 74,451 0.83 3.49
1993-ILA units.. (0.0294) 1.00 2.98 0.20 2.88 456,411 0.44 2.64
1993-ILA
Administration
units........... (0.0279) 1.00 2.83 0.35 2.73 26,553 0.59 2.49
1993-ILA Service
units........... (0.0254) 1.00 2.57 0.60 2.48 34,014 0.84 2.24
1992-ILA units.. (0.0350) 1.00 3.54 0.18 3.38 422,506 0.45 3.11
1992-ILA
Administration
units........... (0.0338) 1.00 3.38 0.33 3.26 6,915 0.60 2.99
1992-ILA Service
units........... (0.0286) 1.00 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.. (0.0499) 1.00 5.75(b) 0.10(b) 5.28(b) 424,436 0.45(b) 4.93(b)
1991-ILA
Administration
units (c)....... (0.0220) 1.00 5.21(b) 0.25(b) 4.77(b) 17,649 0.60(b) 4.42(b)
1991-ILA Service
units (c)....... (0.0482) 1.00 5.33(b) 0.50(b) 5.13(b) 9,430 0.85(b) 4.78(b)
</TABLE>
- ----
(a)Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the investment
at the net asset value at the end of the period.
(b)Annualized.
(c)ILA Administration and Service unit activity commenced during July and
January of 1991, respectively.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Federal Portfolio
- -------------------------------------------------------------------------------
- ------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Ratio of net
Net asset Net realized Total Net asset Ratio of net investment
value at Net gain on income from Distributions value at expenses to income to
beginning investment investment investment to end Total average net average net
of period income transactions operations unitholders of period return(a) assets assets
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
- ----------------
1997-ILA units.. $1.00 $0.0258 -- $0.0258 $(0.0258) $1.00 5.35%(b) 0.26%(b) 5.21%(b)
1997-ILA
Administration
units........... 1.00 0.0251 -- 0.0251 (0.0251) 1.00 5.19(b) 0.41(b) 5.06(b)
1997-ILA Service
units........... 1.00 0.0238 -- 0.0238 (0.0238) 1.00 4.93(b) 0.66(b) 4.81(b)
FOR THE YEARS
ENDED
DECEMBER 31,
- ----------------
1996-ILA units.. 1.00 0.0513 -- 0.0513 (0.0513) 1.00 5.24 0.26 5.13
1996-ILA
Administration
units........... 1.00 0.0498 -- 0.0498 (0.0498) 1.00 5.09 0.41 4.98
1996-ILA Service
units........... 1.00 0.0473 -- 0.0473 (0.0473) 1.00 4.83 0.66 4.73
1995-ILA units.. 1.00 0.0569 -- 0.0569 (0.0569) 1.00 5.83 0.26 5.69
1995-ILA
Administration
units........... 1.00 0.0550 -- 0.0550 (0.0550) 1.00 5.67 0.41 5.50
1995-ILA Service
units........... 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.41 0.66 5.22
1994-ILA units.. 1.00 0.0407 -- 0.0407 (0.0407) 1.00 4.11 0.25 4.07
1994-ILA
Administration
units........... 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.95 0.40 3.88
1994-ILA Service
units........... 1.00 0.0392 -- 0.0392 (0.0392) 1.00 3.69 0.65 3.92
1993-ILA units.. 1.00 0.0296 -- 0.0296 (0.0296) 1.00 3.00 0.25 2.96
1993-ILA
Administration
units........... 1.00 0.0281 -- 0.0281 (0.0281) 1.00 2.84 0.40 2.81
1993-ILA Service
units (c)....... 1.00 0.0157 -- 0.0157 (0.0157) 1.00 2.56(b) 0.65(b) 2.54(b)
1992-ILA units.. 1.00 0.0358 -- 0.0358 (0.0358) 1.00 3.61 0.25 3.58
1992-ILA
Administration
units........... 1.00 0.0340 -- 0.0340 (0.0340) 1.00 3.46 0.40 3.40
1991-ILA units.. 1.00 0.0576 -- 0.0576 (0.0576) 1.00 5.94 0.25 5.76
1991-ILA
Administration
units........... 1.00 0.0542 -- 0.0542 (0.0542) 1.00 5.78 0.40 5.42
1991-ILA Service
units (c)....... 1.00 0.0196 -- 0.0196 (0.0196) 1.00 5.55(b) 0.65(b) 5.56(b)
1990-ILA units.. 1.00 0.0772 -- 0.0772 (0.0772) 1.00 8.06 0.25 7.72
1990-ILA
Administration
units (d)....... 1.00 0.0205 -- 0.0205 (0.0205) 1.00 7.39(b) 0.40(b) 7.25(b)
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 7.62(b) 0.19(b) 8.41(b)
</TABLE>
<TABLE>
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Net Ratio of net
assets at Ratio of net investment
end expenses to income to
of period average net average net
(in 000's) assets assets
---------------------------------------
<S> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
- ----------------
1997-ILA units.. $1,576,687 0.41%(b) 5.06%(b)
1997-ILA
Administration
units........... 664,317 0.56(b) 4.91(b)
1997-ILA Service
units........... 59,709 0.81(b) 4.66(b)
FOR THE YEARS
ENDED
DECEMBER 31,
- ----------------
1996-ILA units.. 2,303,677 0.43 4.96
1996-ILA
Administration
units........... 794,537 0.58 4.81
1996-ILA Service
units........... 192,416 0.83 4.56
1995-ILA units.. 1,731,935 0.42 5.53
1995-ILA
Administration
units........... 516,917 0.57 5.34
1995-ILA Service
units........... 102,576 0.82 5.06
1994-ILA units.. 1,625,567 0.42 3.90
1994-ILA
Administration
units........... 329,896 0.57 3.71
1994-ILA Service
units........... 15,539 0.82 3.75
1993-ILA units.. 1,430,292 0.42 2.79
1993-ILA
Administration
units........... 362,401 0.57 2.64
1993-ILA Service
units (c)....... 1,425 0.82(b) 2.37(b)
1992-ILA units.. 1,600,989 0.42 3.41
1992-ILA
Administration
units........... 312,792 0.57 3.23
1991-ILA units.. 1,656,232 0.42 5.59
1991-ILA
Administration
units........... 291,810 0.57 5.25
1991-ILA Service
units (c)....... -- 0.82(b) 5.39(b)
1990-ILA units.. 1,368,765 0.40 7.57
1990-ILA
Administration
units (d)....... 90,748 0.55(b) 7.10(b)
FOR THE PERIOD
MAY 22, 1989
(COMMENCEMENT OF
OPERATIONS)
THROUGH
DECEMBER 31,
- -----------------
1989-ILA units.. 455,230 0.40(b) 8.20(b)
</TABLE>
- --------
(a)Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the investment
at the net asset value at the end of the period.
(b)Annualized.
(c)ILA Service unit activity commenced during April of 1991; no shares were
outstanding during the period from August 7, 1991 through May 15, 1993.
(d)ILA Administration unit activity commenced during September of 1990.
The accompanying notes are an integral part of these financial statements.
37
<PAGE>
Goldman Sachs 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
-----------------------------------
Ratio of net
Net asset Net realized Total Net asset Ratio of net investment
value at Net gain on income from value at expenses to income to
beginning investment investment investment Distributions end Total average net average net
of period income transactions operations to unitholders of period return(a) assets assets
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $1.00 $0.0161 $ -- $0.0161 $(0.0161) $1.00 3.32%(b) 0.31%(b) 3.25%(b)
1997-ILA
Administration
units........... 1.00 0.0154 -- 0.0154 (0.0154) 1.00 3.16(b) 0.46(b) 3.10(b)
1997-ILA Service
units........... 1.00 0.0146 -- 0.0146 (0.0146) 1.00 2.91(b) 0.71(b) 2.95(b)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1.00 0.0320 -- 0.0320 (0.0320) 1.00 3.25 0.31 3.20
1996-ILA
Administration
units........... 1.00 0.0306 -- 0.0306 (0.0306) 1.00 3.09 0.46 3.06
1996-ILA Service
units........... 1.00 0.0279 -- 0.0279 (0.0279) 1.00 2.84 0.71 2.79
1995-ILA units.. 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.72 0.31 3.65
1995-ILA
Administration
units........... 1.00 0.0351 -- 0.0351 (0.0352) 1.00 3.57 0.46 3.51
1995-ILA Service
units........... 1.00 0.0324 -- 0.0324 (0.0325) 1.00 3.31 0.71 3.24
1994-ILA units.. 1.00 0.0264 -- 0.0264 (0.0264) 1.00 2.71 0.30 2.64
1994-ILA
Administration
units........... 1.00 0.0250 -- 0.0250 (0.0250) 1.00 2.55 0.45 2.50
1994-ILA Service
units........... 1.00 0.0220 -- 0.0220 (0.0220) 1.00 2.30 0.70 2.20
1993-ILA units.. 1.00 0.0222 -- 0.0222 (0.0222) 1.00 2.25 0.30 2.22
1993-ILA
Administration
units........... 1.00 0.0207 -- 0.0207 (0.0207) 1.00 2.09 0.45 2.08
1993-ILA Service
units........... 1.00 0.0183 -- 0.0183 (0.0183) 1.00 1.84 0.70 1.83
1992-ILA units.. 1.00 0.0277 -- 0.0277 (0.0277) 1.00 2.82 0.30 2.77
1992-ILA
Administration
units........... 1.00 0.0266 -- 0.0266 (0.0266) 1.00 2.67 0.45 2.66
1992-ILA Service
units........... 1.00 0.0243 -- 0.0243 (0.0243) 1.00 2.41 0.70 2.43
1991-ILA units.. 1.00 0.0424 -- 0.0424 (0.0424) 1.00 4.33 0.32 4.24
1991-ILA
Administration
units........... 1.00 0.0406 -- 0.0406 (0.0406) 1.00 4.17 0.47 4.06
1991-ILA Service
units........... 1.00 0.0386 -- 0.0386 (0.0386) 1.00 3.91 0.72 3.86
1990-ILA units.. 1.00 0.0550 (0.0001) 0.0549 (0.0549) 1.00 5.64 0.40 5.50
1990-ILA
Administration
units (c)....... 1.00 0.0301 -- 0.0301 (0.0300) 1.00 5.43(b) 0.55(b) 5.40(b)
1990-ILA Service
units (c)....... 1.00 0.0259 -- 0.0259 (0.0259) 1.00 5.17(b) 0.80(b) 5.16(b)
1989-ILA units.. 1.00 0.0591 (0.0001) 0.0590 (0.0590) 1.00 6.07 0.40 5.91
1988-ILA units.. 1.00 0.0487 0.0003 0.0490 (0.0490) 1.00 5.03 0.40 4.87
1987-ILA units.. 1.00 0.0413 (0.0003) 0.0410 (0.0410) 1.00 4.23 0.40 4.13
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Net Ratio of net
assets at Ratio of net investment
end of expenses to income to
period average net average net
(in 000's) assets assets
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $1,439,326 0.42%(b) 3.14%(b)
1997-ILA
Administration
units........... 39,368 0.57(b) 2.99(b)
1997-ILA Service
units........... 39,974 0.82(b) 2.84(b)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1,514,443 0.41 3.10
1996-ILA
Administration
units........... 59,097 0.56 2.96
1996-ILA Service
units........... 28,921 0.81 2.69
1995-ILA units.. 1,342,585 0.42 3.54
1995-ILA
Administration
units........... 48,773 0.57 3.40
1995-ILA Service
units........... 49,647 0.82 3.13
1994-ILA units.. 1,434,965 0.41 2.53
1994-ILA
Administration
units........... 97,778 0.56 2.39
1994-ILA Service
units........... 36,492 0.81 2.09
1993-ILA units.. 1,769,477 0.41 2.11
1993-ILA
Administration
units........... 99,896 0.56 1.97
1993-ILA Service
units........... 45,172 0.81 1.72
1992-ILA units.. 1,333,925 0.42 2.65
1992-ILA
Administration
units........... 50,225 0.57 2.54
1992-ILA Service
units........... 29,534 0.82 2.31
1991-ILA units.. 1,044,986 0.42 4.14
1991-ILA
Administration
units........... 37,567 0.57 3.96
1991-ILA Service
units........... 52,399 0.82 3.76
1990-ILA units.. 603,895 0.40 5.50
1990-ILA
Administration
units (c)....... 42,498 0.55(b) 5.40(b)
1990-ILA Service
units (c)....... 56,810 0.80(b) 5.16(b)
1989-ILA units.. 688,556 0.40 5.91
1988-ILA units.. 907,782 0.40 4.87
1987-ILA units.. 965,714 0.40 4.13
</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.
The accompanying notes are an integral part of these financial statements.
38
<PAGE>
Goldman Sachs 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
-----------------------------------
Ratio of net
Net asset Net realized Total Net asset Ratio of net investment
value at Net gain on income from value at expenses to income to
beginning investment investment investment Distributions end Total average net average net
of period income transactions operations to unitholders of period return(a) assets assets
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $1.00 $0.0152 $ -- $0.0152 $(0.0152) $1.00 3.13%(b) 0.41%(b) 3.07%(b)
1997-ILA
Administration
units........... 1.00 0.0147 -- 0.0147 (0.0147) 1.00 2.97(b) 0.56(b) 2.92(b)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 1.00 0.0299 -- 0.0299 (0.0299) 1.00 3.03 0.41 2.99
1996-ILA
Administration
units........... 1.00 0.0284 -- 0.0284 (0.0284) 1.00 2.88 0.56 2.84
1995-ILA units.. 1.00 0.0349 -- 0.0349 (0.0350) 1.00 3.55 0.41 3.49
1995-ILA
Administration
units........... 1.00 0.0332 -- 0.0332 (0.0332) 1.00 3.40 0.56 3.32
1994-ILA units.. 1.00 0.0250 -- 0.0250 (0.0250) 1.00 2.53 0.40 2.50
1994-ILA
Administration
units........... 1.00 0.0233 -- 0.0233 (0.0233) 1.00 2.37 0.55 2.33
1993-ILA units.. 1.00 0.0206 -- 0.0206 (0.0206) 1.00 2.09 0.40 2.06
1993-ILA
Administration
units........... 1.00 0.0191 -- 0.0191 (0.0191) 1.00 1.93 0.55 1.91
1993-ILA Service
units........... 1.00 0.0166 -- 0.0166 (0.0166) 1.00 1.68 0.76 1.66
1992-ILA units.. 1.00 0.0256 (0.0001) 0.0255 (0.0256) 1.00 2.62 0.40 2.56
1992-ILA
Administration
units........... 1.00 0.0235 (0.0002) 0.0233 (0.0235) 1.00 2.47 0.55 2.35
1992-ILA Service
units (c)....... 1.00 0.0081 -- 0.0081 (0.0081) 1.00 1.99(b) 0.80(b) 2.03(b)
1991-ILA units.. 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.92 0.40 3.88
1991-ILA
Administration
units........... 1.00 0.0376 -- 0.0376 (0.0376) 1.00 3.80 0.55 3.76
1990-ILA units.. 1.00 0.0511 (0.0001) 0.0510 (0.0511) 1.00 5.24 0.40 5.11
1990-ILA
Administration
units (c)....... 1.00 0.0042 -- 0.0042 (0.0042) 1.00 5.14(b) 0.55(b) 5.33(b)
1989-ILA units.. 1.00 0.0573 (0.0001) 0.0572 (0.0572) 1.00 5.93 0.40 5.73
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 5.81(b) 0.24(b) 5.74(b)
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Net Ratio of net
assets at Ratio of net investment
end of expenses to income to
period average net average net
(in 000's) assets assets
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
1997-ILA units.. $506,012 0.42%(b) 3.06%(b)
1997-ILA
Administration
units........... 365 0.57(b) 2.91(b)
FOR THE YEARS
ENDED DECEMBER
31,
1996-ILA units.. 440,476 0.42 2.98
1996-ILA
Administration
units........... 142 0.57 2.83
1995-ILA units.. 346,728 0.41 3.49
1995-ILA
Administration
units........... 61 0.56 3.32
1994-ILA units.. 227,399 0.41 2.49
1994-ILA
Administration
units........... 790 0.56 2.32
1993-ILA units.. 229,839 0.44 2.02
1993-ILA
Administration
units........... 1,425 0.59 1.87
1993-ILA Service
units........... -- 0.84 1.54
1992-ILA units.. 161,868 0.47 2.49
1992-ILA
Administration
units........... 31 0.62 2.28
1992-ILA Service
units (c)....... 3 0.87(b) 1.96(b)
1991-ILA units.. 102,494 0.47 3.81
1991-ILA
Administration
units........... 13 0.62 3.69
1990-ILA units.. 106,972 0.40 5.11
1990-ILA
Administration
units (c)....... 68 0.55(b) 5.33(b)
1989-ILA units.. 112,463 0.40 5.73
FOR THE PERIOD OCTOBER 3, 1988 (COMMENCEMENT OF
OPERATIONS) THROUGH DECEMBER 31,
1988-ILA units.. 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, 1995, 1996, or for the six months ended
June 30, 1997.
The accompanying notes are an integral part of these financial statements.
39
<PAGE>
Goldman Sachs 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
------------------------------------
Ratio of net
Net asset Net realized Total Net asset Ratio of net investment
value at Net gain (loss) income from value at expenses to income to
beginning investment on investment investment Distributions end Total average net average net
of period income transactions operations to unitholders of period return(a) assets assets
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
- --------------
1997-ILA units.. $1.00 $0.0157 $ -- $0.0157 ($0.0157) $1.00 3.25%(b) 0.32%(b) 3.17%(b)
1997-ILA
Administration
units........... 1.00 0.0151 -- 0.0151 (0.0151) 1.00 3.09(b) 0.47(b) 3.05(b)
FOR THE YEARS
ENDED
DECEMBER 31,
- ----------------
1996-ILA units.. 1.00 0.0301 -- 0.0301 (0.0301) 1.00 3.05 0.32 3.01
1996-ILA
Administration
units........... 1.00 0.0288 -- 0.0288 (0.0288) 1.00 2.90 0.47 2.88
1995-ILA units.. 1.00 0.0344 -- 0.0344 (0.0344) 1.00 3.51 0.30 3.44
1995-ILA
Administration
units........... 1.00 0.0328 -- 0.0328 (0.0328) 1.00 3.35 0.45 3.28
1994-ILA units.. 1.00 0.0262 -- 0.0262 (0.0262) 1.00 2.56 0.24 2.62
1994-ILA
Administration
units........... 1.00 0.0247 -- 0.0247 (0.0247) 1.00 2.41 0.39 2.47
1993-ILA units.. 1.00 0.0221 -- 0.0221 (0.0221) 1.00 2.21 0.10 2.21
1993-ILA
Administration
units........... 1.00 0.0205 -- 0.0205 (0.0205) 1.00 2.05 0.25 2.05
1992-ILA units.. 1.00 0.0265 -- 0.0265 (0.0265) 1.00 2.71 0.10 2.65
1992-ILA
Administration
units........... 1.00 0.0253 -- 0.0253 (0.0253) 1.00 2.55 0.25 2.53
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 4.02(b) 0.10(b) 3.96(b)
1991-ILA
Administration
units (c)....... 1.00 0.0330 -- 0.0330 (0.0330) 1.00 3.87(b) 0.25(b) 3.90(b)
</TABLE>
<TABLE>
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Net Ratio of Ratio of net
Assets at net investment
end expenses to income to
of period average net average net
(in 000's) assets assets
--------------------------------------
<S> <C> <C> <C>
FOR THE SIX
MONTHS ENDED
JUNE 30,
(UNAUDITED)
- ----------------
1997-ILA units.. $64,374 0.42%(b) 3.07%(b)
1997-ILA
Administration
units........... 45,624 0.57(b) 2.95(b)
FOR THE YEARS
ENDED
DECEMBER 31,
- ----------------
1996-ILA units.. 70,175 0.43 2.90
1996-ILA
Administration
units........... 44,319 0.58 2.77
1995-ILA units.. 90,537 0.44 3.30
1995-ILA
Administration
units........... 26,724 0.59 3.14
1994-ILA units.. 84,517 0.47 2.39
1994-ILA
Administration
units........... 38,970 0.62 2.24
1993-ILA units.. 48,367 0.51 1.80
1993-ILA
Administration
units........... 20,306 0.66 1.64
1992-ILA units.. 16,844 0.57 2.18
1992-ILA
Administration
units........... 14,641 0.72 2.06
FOR THE PERIOD
FEBRUARY 15,
1991
(COMMENCEMENT
OF OPERATIONS)
THROUGH
DECEMBER 31,
- ----------------
1991-ILA units.. 11,070 0.76(b) 3.30(b)
1991-ILA
Administration
units (c)....... 19,198 0.91(b) 3.24(b)
</TABLE>
- --------
(a)Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the investment
at the net asset value at the end of the period.
(b)Annualized.
(c)ILA Administration unit activity commenced during February of 1991.
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
[This page intentionally left blank]
41
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
[This page intentionally left blank]
42
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
This Semiannual Report is authorized for distribution to prospective investors
only when preceded or accompanied by a Goldman Sachs Trust Institutional Liquid
Assets Prospectus which contains facts concerning each Fund's objectives and
policies, management, expenses and other information.
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs
1 New York Plaza
New York, NY 10004
TRUSTEES
Ashok N. Bakhru, Chairman
David B. Ford
Douglas C. Grip
John P. McNulty
Mary P. McPherson
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
OFFICERS
Douglas C. Grip, President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
GOLDMAN SACHS
Investment Adviser,
Distributor and Transfer Agent
ILA/SAR 6/97
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
GOLDMAN SACHS
TRUST
INSTITUTIONAL
LIQUID ASSETS
- --------------------------------------------------------------------------------
SEMIANNUAL REPORT
JUNE 30, 1997
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] GOLDMAN
SACHS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
