<PAGE>
================================================================================
- --------------------------------------------------------------------------------
ILA Unitholder Letter/Annual Report
- --------------------------------------------------------------------------------
Dear Unitholders:
We welcome this opportunity to provide you with a summary of the trends and
key events that affected the economy and the Goldman Sachs Institutional Liquid
Assets (ILA) Portfolios in 1996. It has been another positive year for ILA in
which the Portfolios did well compared with their respective IBC Financial Data,
Inc. averages while adhering to their conservative investment guidelines.
1996 in Review: After Easing Early in the Year, the Fed Remained Neutral Amid
Moderate Growth and Benign Inflation
Last year began on a weak note, with the economy still in the doldrums as
harsh winter storms and a strike at General Motors continued to restrain growth.
Against that backdrop, the Federal Reserve Board (the "Fed") cut the Federal
funds rate by 25 basis points to 5.25% in January 1996, following an easing of
the same magnitude in December 1995. It soon became evident that the economy had
responded and was somewhat healthier than expected, with first-quarter real
Gross Domestic Product (GDP) reported at 2.0% annualized. Growth was more
dramatic during the second quarter, as industrial activity and automobile and
home sales all showed significant improvement, pushing real GDP to 4.7%, its
highest rate in two years. That growth rate caused some to expect the Fed to
change direction and tighten before year-end. However, the economy subsequently
moderated significantly, with third-quarter annualized real GDP retreating to
2.1%, reflecting lackluster consumer spending and a widening U.S. trade deficit.
As 1996 drew to a close, moderate economic growth and contained inflation kept
the Fed in a neutral mode, despite a very robust stock market.
Historical Yield Curve (LIBOR)
[BAR GRAPH APPEARS HERE]
[PLOT POINTS TO COME]
Source: Goldman Sachs Fixed Income Database, reflecting the London Interbank
Offered Rate (LIBOR).
The Federal funds rate began the year at 5.50% and ended at 5.25%. The slope of
the LIBOR yield curve steepened significantly over the course of the year. By
the end of 1996, the spread between one- and 12-month LIBOR moved to plus 28
basis points.
A Nimble Strategy Contributed to Strong Performance
Taxable Sector. Structuring money market portfolios successfully during
1996 as the Fed shifted policy from easing to neutral to a bias to tighten
required strict attention to risk management, as well as to a detailed analysis
of market fundamentals and technicals. Analyzing the implied forward rates and
determining the extent to which the market had priced in too much easing at the
beginning of 1996 or too much tightening by midyear 1996 and then adjusting the
portfolios' weighted average maturities and structures were equally important to
our strategy.
During the second and third quarters of 1996, we extended the ILA
Portfolios' weighted average maturities as the yield curve steepened in
anticipation of a Fed tightening that did not materialize. During the early part
of the fourth quarter, market data suggested that growth slowed in the third
quarter. Consequently, the market was priced to a more neutral Fed policy.
However, year-end financing pressures resulted in investment opportunities
maturing in the first quarter of 1997, and the Portfolios closed the year with
neutral weighted average maturities.
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1
<PAGE>
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ILA Unitholder Letter/Annual Report (continued)
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Tax-Exempt Sector. With tax reform basically a nonissue in 1996, investor
interest in the sector revived, causing total assets in the tax-exempt money
market fund category to increase by 13%. In contrast, supply was little changed
from 1995 levels, making tax-exempts slightly more expensive in 1996. These
supply/demand technicals coupled with our fundamental view that short-term rates
were likely to rise explains our neutral to short-to-neutral weighted average
maturities during the latter part of the year.
Summary for ILA Portfolios Institutional Units* as of December 31, 1996
<TABLE>
<CAPTION>
---------------------------------------------------------
Weighted
Institutional SEC 7-Day SEC 7-Day 30-Day Average
Liquid Assets Current Effective Average Maturity
Portfolios Yield Yield Yield (days)
=========================================================
<S> <C> <C> <C> <C>
Prime
Obligations 5.12% 5.25% 5.10% 40
---------------------------------------------------------
Money Market 5.20% 5.33% 5.18% 43
---------------------------------------------------------
Government 5.19% 5.32% 5.07% 31
---------------------------------------------------------
Treasury
Obligations 5.19% 5.32% 5.06% 34
---------------------------------------------------------
Treasury
Instruments 4.84% 4.95% 4.98% 54
---------------------------------------------------------
Federal 5.15% 5.28% 5.12% 41
---------------------------------------------------------
Tax-Exempt
Diversified 3.58% 3.64% 3.30% 39
---------------------------------------------------------
Tax-Exempt
California 3.47% 3.53% 3.11% 34
---------------------------------------------------------
Tax-Exempt
New York 3.52% 3.58% 3.19% 34
---------------------------------------------------------
</TABLE>
* ILA offers three separate classes of units (Institutional, Administration and
Service), each of which is subject to different fees and expenses that affect
performance and entitle unitholders to different services. The Administration
units and the Service units offer financial institutions the opportunity to
receive a fee for providing administrative support services. The Administration
units pay 0.15% plus 0.10% from the adviser for a total of 0.25%. The Service
units pay 0.40% plus 0.10% from the adviser for a total of 0.50%. More complete
information, including management fees and expenses, is included in the ILA
Portfolios' prospectus or may be obtained by calling the Goldman Sachs Funds at
1-800-621-2550.
Domestic Credit Trends Were Positive, Reflecting a Healthy
Economy and a Strong Market
Credit trends in 1996 were positive on the whole in the U.S., with steady
growth, low inflation, a booming stock market, and technological advances and
globalization transforming many industries. The major story of 1996 was the Dow
Jones Industrial Average climb of 26%, which, following the 33.5% increase in
1995, added up to a 68% growth rate since 1994.
The rising stock market supported record levels of mergers and
acquisitions. Over $650 billion in mergers, acquisitions and spin-offs were
announced in the U.S. in 1996 (up 27% from 1995), with $1.4 trillion announced
globally. This trend was spurred on not only by the stock market, but also by
deregulation in telecommunications, utilities and broadcasting. Unlike the
1980s, mergers this past year were generally equity-financed and aimed at
expanding core businesses, rather than diversifying. Merger and acquisition
activity was also utilized to boost earnings growth, since cost-cutting
opportunities had been largely exhausted during 1995.
Banks, which dominated merger activity in 1995, were busy consolidating
those mergers in 1996. It is likely that large regional domestic banks will
continue making acquisitions in 1997, although this is not expected to affect
their credit quality. At the end of the third quarter 1996, 80% of the banking
sector had a stable rating outlook.
Although consumer confidence was buoyed by low unemployment and mild
inflation, growing household debt levels led to an all-time high in credit card
loan delinquencies and personal bankruptcies. Consequently, financial results in
the consumer products, retail, restaurant and entertainment businesses were
mediocre at best. Almost all other industries, however, had improved credit
quality, with upgrades surpassing downgrades in utilities, energy, healthcare
and financial institutions. Many companies used the strength of the stock market
to substitute debt capital with equity capital, thereby improving their credit
quality.
Credit quality in the tax-exempt market was steady-to-improving during
1996. Market concerns arising from
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2
<PAGE>
the Orange County bankruptcy abated somewhat, although various forms of credit
enhancement remained popular, even among high-quality issuers. Reflecting the
strong national economy, many states and localities experienced positive
financial results, reducing their regular cash flow borrowings.
The Credit Picture Abroad: Europe Improved,
While Asia Was Generally Stable
In Europe, developments were driven by the push towards European Monetary
Union (EMU), while the key factors in Asia were the fragile Japanese recovery
and a sharp downturn in Asian exports. In general, sovereign creditworthiness
improved during 1996. This was particularly the case in Europe, where the
political will to qualify for EMU produced significant improvements in fiscal
policy and debt dynamics, as it sparked more rapid corporate restructuring.
French and Italian banks did require close monitoring this year as their problem
loans continued, but French bank credit quality stabilized after having suffered
broad rating downgrades in 1995. The credit quality of most other European banks
was stable, with a few minor downgrades of German and Swiss banks. In Asia,
creditworthiness was fairly stable. The notable negative exception was the
Japanese financial sector, which remained under pressure from the ongoing
weakness of the real estate markets, sluggish economic growth and ongoing
deregulation. However, Japan's largest banks have strong fundamentals and will
continue to be important and dominant players in the global financial market.
Australian credit quality strengthened through improved macroeconomic balances,
which provided evidence that Australia's recent boom-and-bust cycles may be
over. The weakness of Asian exports did not affect creditworthiness directly;
exports should recover this year, and the scare could prompt salutary policy
adjustments going forward.
In 1996, we continued to apply conservative credit standards to our money
market portfolios. The Goldman Sachs Credit Department, which has analysts based
in London, Tokyo, Frankfurt and New York, as well as extensive technological
assets and credit expertise, will continue to vigilantly monitor global
developments in 1997.
Outlook and Strategies for 1997
Fourth-quarter 1996 GDP was reported at 4.7%, reflecting a stronger
economic picture from several sources: a sharp narrowing of the U.S. trade
deficit, as well as increases in consumer spending and industrial production.
Goldman Sachs' economists expect economic growth to continue at just under 2.0%
for the first quarter of 1997 and at approximately 3.0% for the full year. As a
result, Goldman Sachs currently believes the Fed is likely to raise short-term
interest rates by midyear.
Consequently, ILA Portfolios will continue to be managed with
short-to-neutral average life targets and short, ddered structures to prepare
for higher rates ahead.
Extended Trading Hours Improve Service Further
On November 4, 1996, we extended the trading hours for the Institutional
Liquid Assets Federal and Treasury Instruments Portfolios to 3:00 p.m. EST. Many
clients have already taken advantage of this additional flexibility.
In closing, we thank you for your support and for making 1996 a successful
year for the ILA Portfolios. We are pleased that many of you have joined our
conference calls following each Federal Open Market Committee meeting throughout
the year. Our goal is to continue to provide you with competitive performance,
as well as a range of value-added services that reflect the breadth and depth of
Goldman Sachs' outstanding resources.
Sincerely,
/s/ Kaysie P. Uniacke
Kaysie P. Uniacke
Portfolio Manager
February 7, 1997
3
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Prime Obligations Portfolio
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
Commercial Paper and Corporate Obligations--60.5%
Bank Holding Companies
BankAmerica Corp.
$50,000,000 5.27% 03/21/97 $ 49,421,764
Business Credit Institutions
General Electric Capital Corp.
20,000,000 5.30 03/26/97 19,752,667
30,000,000 5.44 04/03/97 29,582,933
JC Penney Funding Corp.
44,300,000 5.31 01/31/97 44,103,973
Chemicals
Bayer Corp.
25,000,000 5.33 03/13/97 24,737,201
Commercial Banks
CP Trust Certificates Series 1996
35,000,000 5.94/(a)/ 03/28/97 35,000,000
Life Insurance
Commonwealth Life Insurance Co.
55,000,000 6.11/(b)/ 05/08/97 55,000,000
Pacific Mutual Life Insurance Co.
25,000,000 5.52/(b)/ 02/28/97 25,000,000
Prudential Funding Corp.
40,000,000 5.42 01/29/97 39,831,378
Motor Vehicles and Equipment
Ford Motor Credit Corp.
20,000,000 5.50 01/28/97 19,917,500
Hertz Corporation
25,000,000 5.32 02/04/97 24,874,389
Personal Credit Institutions
Associates Corp.
50,000,000 5.32 01/29/97 49,793,111
Household Finance Corp.
50,000,000 5.32 03/12/97 49,482,778
Transamerica Finance Corp.
20,000,000 5.43 01/29/97 19,915,533
Receivable/Asset Financings
Beta Finance Inc.
7,000,000 6.11 06/17/97 7,000,000
Delaware Funding Corp.
30,000,000 5.29 02/20/97 29,779,583
Enterprise Funding Corp.
10,062,000 5.33 01/21/97 10,032,205
9,103,000 5.33 01/23/97 9,073,350
International Lease Finance Corp.
9,000,000 5.29% 03/24/97 $ 8,891,555
30,000,000 5.32 04/04/97 29,587,700
New Center Asset Trust
10,000,000 5.52 01/28/97 9,958,600
10,000,000 5.37 04/04/97 9,861,275
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
40,000,000 5.30 02/13/97 39,746,778
10,000,000 5.34 03/12/97 9,896,167
C.S. First Boston, Inc.
15,000,000 5.33 01/22/97 14,953,363
Merrill Lynch & Co., Inc.
10,000,000 5.45 02/19/97 9,925,819
40,000,000 5.33 02/26/97 39,668,356
Morgan Stanley Group, Inc.
10,000,000 5.59 01/28/97 9,958,075
15,000,000 5.32 02/06/97 14,920,200
25,000,000 5.79/(a)/ 06/27/97 25,000,000
- -----------------------------------------------------------
Total Commercial Paper and Corporate
Obligations $764,666,253
- -----------------------------------------------------------
Bank Notes--10.7%
Colorado National Bank
$25,000,000 5.59%/(b)/ 01/15/97 $ 24,999,810
FCC National Bank
15,000,000 5.70 05/22/97 14,982,722
20,000,000 6.00 06/02/97 20,000,808
Huntington National Bank
25,000,000 6.05 06/13/97 25,014,637
PNC Bank, N.A.
40,000,000 5.58/(b)/ 04/01/97 39,992,313
SMM Trust 1996
10,000,000 5.69/(b)/ 06/20/97 10,000,000
- -----------------------------------------------------------
Total Bank Notes $134,990,290
- -----------------------------------------------------------
U.S. Government Agency Obligations--1.6%
Federal National Mortgage Association
$20,400,000 5.36% 03/12/97 $ 20,187,386
- -----------------------------------------------------------
Total U.S. Government Agency Obligations $ 20,187,386
- -----------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
4
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Prime Obligations Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
Certificates of Deposit--9.5%
Chase Manhattan Corp.
$ 10,000,000 5.75% 02/03/97 $ 10,000,000
40,000,000 5.42 03/12/97 40,000,000
First Alabama Bank
20,000,000 5.55 02/28/97 19,999,973
Mellon Bank, N.A.
40,000,000 5.35 02/19/97 40,000,000
Union Bank of California
10,000,000 5.58 02/28/97 10,000,000
- -----------------------------------------------------------
Total Certificates of Deposit $ 119,999,973
- -----------------------------------------------------------
Repurchase Agreements--17.9%
C.S. First Boston Corp., dated 12/31/96, repurchase
price $50,465,000 (FNMA: $51,588,373, 6.12%-6.23%,
02/01/32-10/01/32)
$ 50,000,000 5.40% 03/03/97 $ 50,000,000
JP Morgan Securities, Inc., dated 12/31/96, repurchase
price $100,036,111 (U.S. Treasury Bond: $53,861,960,
11.25%, 02/15/15; FHLB Stripped Security:
$48,746,508, 06/23/97)
100,000,000 6.50 01/02/97 100,000,000
JP Morgan Securities, Inc., dated 12/31/96, repurchase
price $25,213,750 (FNMA: $9,152,917, 7.50%,
04/01/26; FHLMC: $17,073,692, 7.50%, 11/01/26)
25,000,000 5.40 02/26/97 25,000,000
Smith Barney, Inc., dated 12/31/96, repurchase price
$30,257,450 (FHLMC: $31,328,053, 7.00%,
06/01/26-11/01/26)
30,000,000 5.42 02/26/97 30,000,000
Joint Repurchase Agreement Account
21,400,000 6.58 01/02/97 21,400,000
- -----------------------------------------------------------
Total Repurchase Agreements $ 226,400,000
- -----------------------------------------------------------
Total Investments $1,266,243,902/(c)/
===========================================================
/(a)/Variable rate security-base index is one of the following:
U.S. Treasury Bill
One or three month LIBOR
One month commercial paper
Federal Funds
Prime lending rate
/(b)/Variable rate master note-base index is LIBOR.
/(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.
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.
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Money Market Portfolio
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--48.5%
Business Credit Institutions
General Electric Capital Corp.
$15,000,000 5.44% 04/03/97 $ 14,791,467
Commercial Banks
CP Trust Certificates Series 1996
20,000,000 5.68/(a)/ 03/28/97 20,000,000
Computer Software and Services
Siemens Capital Corp.
25,000,000 5.32 02/13/97 24,841,139
Foreign Banks
Banca Crt Financial Corp.
10,000,000 5.35 01/22/97 9,968,792
5,000,000 5.35 01/31/97 4,977,708
17,430,000 5.45 03/03/97 17,269,039
5,400,000 5.42 04/03/97 5,325,204
Generale Bank
15,000,000 5.35 04/10/97 14,779,313
San Paolo U.S. Finance Co.
25,000,000 5.36 01/31/97 24,888,333
15,000,000 5.33 02/13/97 14,904,504
Unifunding, Inc.
40,000,000 5.45 01/29/97 39,830,444
Home Builders
International Lease Finance Corp.
40,000,000 5.43 03/07/97 39,607,833
Life Insurance
Commonwealth Life Insurance Co.
25,000,000 5.64/(b)/ 05/08/97 25,000,000
Prudential Funding Corp.
10,000,000 5.42 01/29/97 9,957,844
Motor Vehicles and Equipment
Daimler Benz Corp., N.A.
25,000,000 5.35 03/25/97 24,691,631
Ford Motor Credit Co.
40,000,000 5.32 02/04/97 39,799,022
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
35,000,000 5.30 02/13/97 34,778,431
Merrill Lynch & Co., Inc.
40,000,000 5.35 02/11/97 39,756,278
Morgan Stanley Group, Inc.
20,000,000 5.32 02/06/97 19,893,600
20,000,000 5.53/(a)/ 06/27/97 20,000,000
Nomura Holdings
35,000,000 5.39 01/29/97 34,853,272
- -----------------------------------------------------------
Total Commercial Paper and Corporate
Obligations $479,913,854
- -----------------------------------------------------------
Bank Notes--15.1%
Colorado National Bank
$15,000,000 5.59%/(b)/ 01/15/97 $ 14,999,886
Dakota Certificates of Standard Credit Card Master Trust
20,000,000 5.33/(b)/ 02/07/97 19,890,439
FCC National Bank, Wilmington
10,000,000 5.70 05/22/97 9,988,481
First Bank FSB
5,000,000 5.61/(b)/ 04/11/97 4,999,734
First National Bank of Maryland
5,000,000 5.60/(b)/ 09/30/97 4,998,547
Huntington National Bank
5,000,000 6.05 06/13/97 4,998,229
PNC Bank, N.A.
10,000,000 5.58/(b)/ 04/01/97 9,998,078
20,000,000 5.40/(b)/ 10/01/97 19,988,244
Society National Bank of Cleveland
25,000,000 5.58/(b)/ 05/14/97 24,990,309
SMM Trust 1996
10,000,000 5.69/(b)/ 06/20/97 10,000,000
Southtrust Bank of Alabama, N.A.
25,000,000 5.54/(b)/ 05/15/97 24,995,313
- -----------------------------------------------------------
Total Bank Notes $149,847,260
- -----------------------------------------------------------
Certificates of Deposit--0.5%
Chase Manhattan Corp.
$ 5,000,000 5.75% 02/03/97 $ 5,000,000
- -----------------------------------------------------------
Total Certificates of Deposit $ 5,000,000
- -----------------------------------------------------------
Certificates of Deposit - Foreign Eurodollar--7.6%
Norinchukin Bank, London
$40,000,000 5.49% 03/18/97 $ 40,000,830
Sanwa Bank Ltd., London
35,000,000 5.46 03/21/97 35,000,377
- -----------------------------------------------------------
Total Certificates of Deposit - Foreign
Eurodollar $ 75,001,207
- -----------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
Statement of Investments
- ----------------------------------------------------------
ILA Money Market Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
Certificates of Deposit - Yankeedollar--9.1%
Industrial Bank of Japan, New York
$35,000,000 5.46% 03/19/97 $ 35,000,368
Landesbank Hessen Thuer Gir, New York
30,000,000 6.03 06/13/97 30,036,531
Sumitomo Bank, Los Angeles
25,000,000 5.52 02/28/97 24,998,171
- -----------------------------------------------------------
Total Certificates of Deposit - Yankeedollar $ 90,035,070
- -----------------------------------------------------------
Taxable Municipal Notes--2.9%
Florida Housing Finance Authority
$28,800,000 5.92%/(b)/ 01/01/34 $ 28,800,000
- -----------------------------------------------------------
Total Taxable Municipal Notes $ 28,800,000
- -----------------------------------------------------------
Time Deposit--3.6%
Bank of Tokyo, Mitsubishi Bank Ltd.
$35,000,000 5.50% 05/16/97 $ 35,000,000
- -----------------------------------------------------------
Total Time Deposit $ 35,000,000
- -----------------------------------------------------------
Repurchase Agreements--12.9%
JP Morgan Securities, Inc., dated 12/31/96, repurchase
price $50,018,056 (FHLMC: $52,044,149, 7.26%,
09/17/01)
$50,000,000 6.50% 01/02/97 $ 50,000,000
Joint Repurchase Agreement Account
77,200,000 6.58 01/02/97 77,200,000
- -----------------------------------------------------------
Total Repurchase Agreements $127,200,000
- -----------------------------------------------------------
Total Investments $990,797,391/(c)/
===========================================================
/(a)/Variable rate security-base index is one of the following:
U.S. Treasury Bill
One or three month LIBOR
One month commercial paper
Federal Funds
Prime lending rate
/(b)/Variable rate master note-base index is LIBOR.
/(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.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- -----------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Government Portfolio
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
U.S. Government Agency Obligations--31.2%
Federal Home Loan Bank
$ 25,000,000 5.35% 01/30/97 $ 24,892,257
50,000,000 5.40/(a)/ 04/04/97 49,988,154
25,000,000 5.45 11/12/97 24,977,221
10,000,000 5.42 12/02/97 9,986,619
25,000,000 5.50/(a)/ 12/26/97 24,979,592
Federal National Mortgage Association
30,000,000 6.50 01/02/97 29,994,583
15,000,000 4.72/(a)/ 01/27/97 14,999,007
20,000,000 5.41/(a)/ 09/29/97 19,992,616
7,500,000 5.53 10/29/97 7,497,075
50,000,000 5.40/(a)/ 12/03/97 49,968,600
- -----------------------------------------------------------
Total U.S. Government Agency Obligations $257,275,724
- -----------------------------------------------------------
U.S. Treasury Obligations--3.0%
United States Treasury Notes
$ 20,000,000 5.63% 06/30/97 $ 19,965,941
5,000,000 6.00 09/02/97 4,999,214
- -----------------------------------------------------------
Total U.S. Treasury Obligations $ 24,965,155
- -----------------------------------------------------------
Repurchase Agreements--66.1%
Bear Stearns Companies, Inc. dated 12/31/96, repurchase
price $30,011,333 (FNMA: $30,894,721, 8.50%, 09/01/25)
$ 30,000,000 6.80% 01/02/97 $30,000,000
C.S. First Boston Corp., dated 12/11/96, repurchase
price $30,403,125 (FHLM: $31,559,521, 7.00%, 11/01/26)
30,000,000 5.38 03/11/97 30,000,000
Daiwa Securities, dated 12/31/96, repurchase price
$30,011,500 (U.S. Treasury Bill: $30,600,013, 11/13/97)
30,000,000 6.90 01/02/97 30,000,000
Goldman, Sachs & Co., dated 12/11/96, repurchase price
$30,403,125 (FNMA: $30,964,228, 6.12%, 10/01/32)
30,000,000 5.38 03/11/97 30,000,000
JP Morgan Securities, Inc., dated 12/12/96, repurchase
price $30,403,125 (FNMA: $31,531,603, 8.00%, 06/01/26)
30,000,000 5.38 03/12/97 30,000,000
Lehman Government Securities, Inc., dated 12/31/96,
repurchase price $30,011,833 (U.S. Treasury Stripped
Security: $22,193,561, 11/15/99; U.S. Treasury
Notes: $8,408,442, 7.75%-8.88%, 2/15/00-2/15/01)
30,000,000 7.10 01/02/97 30,000,000
Merrill Lynch Government Securities, Inc., dated 12/31/96,
repurchase price $30,011,833 (FNMA: $30,385,501, 5.28%,
06/01/24)
30,000,000 7.10 01/02/97 30,000,000
Repurchase Agreements (continued)
Nomura Securities International, Inc., dated 12/31/96,
repurchase price $30,012,500 (FHLM: $30,924,339,
6.50%-8.00%, 01/01/00-09/01/11)
$ 30,000,000 7.50% 01/02/97 $ 30,000,000
Joint Repurchase Agreement Account
305,000,000 6.58 01/02/97 305,000,000
- -----------------------------------------------------------
Total Repurchase Agreements $545,000,000
- -----------------------------------------------------------
Total Investments $827,240,870/(b)/
===========================================================
/(a)/Variable rate security-base index is one of the following:
Federal Funds
Prime lending rate
One month LIBOR
/(b)/The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of 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 Treasury Obligations Portfolio
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
<S> <C> <C> <C>
U.S. Treasury Obligations--9.6%
United States Treasury Notes
$40,000,000 5.63% 06/30/97 $39,932,792
27,500,000 5.38 12/01/97 27,459,792
10,000,000 5.25 12/31/97 9,975,384
- -----------------------------------------------------------
Total U.S. Treasury Obligations $77,367,968
- -----------------------------------------------------------
Repurchase Agreements--90.8%
Bear Stearns Companies Inc., dated 12/31/96, repurchase
price $35,013,125 (U.S. Treasury Note: $35,659,606,
8.75%, 8/15/00)
$35,000,000 6.75% 01/02/97 $35,000,000
C.S. First Boston Corp., dated 12/13/96, repurchase price
$30,399,750 (U.S. Treasury Note: $30,748,620, 7.50%,
11/15/01)
30,000,000 5.33 03/13/97 30,000,000
CIBC Wood Gundy Securities, dated 12/31/96, repurchase
price $35,013,028 (U.S. Treasury Bond: $35,702,267,
8.50%, 02/15/20)
35,000,000 6.70 01/02/97 35,000,000
Daiwa Securities, dated 12/31/96, repurchase price
$35,013,417 (U.S. Treasury Bill: $35,700,492, 11/13/97)
35,000,000 6.90 01/02/97 35,000,000
Goldman, Sachs & Co., dated 12/31/96, repurchase price
$35,012,833 (U.S. Treasury Note: $35,700,497, 7.25%,
02/15/98)
35,000,000 6.60 01/02/97 35,000,000
JP Morgan Securities, Inc., dated 12/31/96, repurchase
price $35,012,833 (U.S. Treasury Note: $35,838,260,
7.38%, 11/15/97)
35,000,000 6.60 01/02/97 35,000,000
Lehman Government Securities, Inc., dated 12/31/96,
repurchase price $35,013,806 (U.S. Treasury Stripped
Securities: $35,703,063, 02/15/00-11/15/00)
35,000,000 7.10 01/02/97 35,000,000
Merrill Lynch Government Securities, Inc., dated
12/31/96, repurchase price $35,012,542 (U.S. Treasury
Stripped Securities: $35,702,128, 02/15/02-02/15/26)
35,000,000 6.45 01/02/97 35,000,000
Nomura Securities International, Inc., dated 12/12/96,
repurchase price $30,400,500 (U.S. Treasury Notes:
$30,600,339, 5.13%-8.50%, 04/15/97-08/15/01)
30,000,000 5.34 03/12/97 30,000,000
Sanwa Securities, dated 12/31/96, repurchase price
$35,013,125 (U.S. Treasury Note: $36,039,356, 8.50%,
2/15/00)
35,000,000 6.75 01/02/97 35,000,000
Smith Barney Inc., dated 12/11/96, repurchase price
$30,400,500 (U.S. Treasury Notes: $28,942,094,
5.38%-6.88%, 05/15/97-07/31/99; U.S. Treasury Stripped
Security: $1,658,209, 02/15/00)
30,000,000 5.34 03/11/97 30,000,000
UBS Securities Inc., dated 12/31/96, repurchase price
$35,013,368 (U.S. Treasury Note: $35,676,249, 6.00%,
09/30/98)
35,000,000 6.88 01/02/97 35,000,000
Joint Repurchase Agreement Account
327,900,000 6.58 01/02/97 327,900,000
- -----------------------------------------------------------
Total Repurchase Agreements $732,900,000
- -----------------------------------------------------------
Total Investments $810,267,968/(a)/
===========================================================
</TABLE>
/(a)/The amount stated also represents aggregate cost for
federal income tax purposes.
Interest rates represent either the stated coupon rate,
annualized yield on date of purchase for discounted notes,
or, for floating rate securities, the current reset rate,
which is based upon current interest rate indices.
The percentages shown for each investment category reflect
the value of investments in that category as a percentage
of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
Statement of Investments
- ------------------------------------------------------------
ILA Treasury Instruments Portfolio
December 31, 1996
- ------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
============================================================
U.S. Treasury Obligations--99.3%
United States Treasury Bills
$25,000,000 4.72% 01/30/97 $ 24,904,944
5,500,000 4.95 01/30/97 5,478,069
75,000,000 4.80 02/06/97 74,640,000
48,600,000 4.83 02/06/97 48,365,262
14,500,000 4.86 02/06/97 14,429,530
32,100,000 5.41 02/06/97 31,942,389
90,000,000 4.95 02/06/97 89,554,500
75,000,000 4.82 02/13/97 74,568,208
150,000,000 5.03 02/13/97 149,098,792
10,500,000 4.86 02/27/97 10,419,203
21,500,000 4.90 02/27/97 21,333,196
28,400,000 4.94 02/27/97 28,177,865
United States Treasury Notes
30,000,000 6.25 01/31/97 30,025,345
50,000,000 7.50 01/31/97 50,097,656
50,000,000 4.75 02/18/97 49,961,310
312,000,000 6.88 02/28/97 312,866,648
205,000,000 6.63 03/31/97 205,703,323
- ------------------------------------------------------------
Total U.S. Treasury Obligations $1,221,566,240
- ------------------------------------------------------------
Total Investments $1,221,566,240/(a)/
============================================================
/(a)/The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of the
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Federal Portfolio
December 31, 1996
- ------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
============================================================
U.S. Government Agency Obligations--100.3%
Federal Farm Credit Bank
$ 20,515,000 5.36% 01/02/97 $ 20,511,946
37,635,000 5.58 01/06/97 37,605,833
2,400,000 5.58 01/07/97 2,397,767
27,300,000 5.26-5.27 01/13/97 27,252,072
36,345,000 5.35 01/15/97 36,269,382
56,000,000 5.37 01/21/97 55,832,933
42,000,000 5.37 01/23/97 41,862,170
9,750,000 5.50 01/27/97 9,711,271
11,490,000 5.48 01/31/97 11,437,529
212,210,000 5.23-5.41/(a)/ 02/03/97 212,075,061
44,895,000 5.21 02/04/97 44,674,092
24,000,000 5.33 02/06/97 23,872,080
20,545,000 5.21-5.33 02/10/97 20,424,201
10,000,000 5.20 02/14/97 9,936,444
79,055,000 5.21-5.39 02/18/97 78,494,540
14,830,000 5.22 02/21/97 14,720,332
50,635,000 5.21-5.33 02/26/97 50,216,604
17,000,000 5.21 02/27/97 16,859,764
16,000,000 5.21 02/28/97 15,865,698
51,610,000 5.22-5.32 03/03/97 51,423,313
8,000,000 5.32 03/10/97 7,919,609
7,180,000 5.21 03/11/97 7,108,302
50,000,000 5.48/(b)/ 03/11/97 49,992,224
6,200,000 5.21 03/12/97 6,137,191
20,000,000 5.36 03/25/97 19,752,844
19,000,000 5.32-5.36 03/26/97 18,762,747
9,000,000 5.32 03/27/97 8,886,950
11,000,000 5.32 03/31/97 10,855,325
17,000,000 5.30 04/01/97 16,774,750
50,000,000 5.52/(b)/ 05/21/97 49,981,445
50,000,000 5.84 06/18/97 49,958,175
10,000,000 5.37/(b)/ 06/26/97 9,996,868
50,000,000 5.49/(b)/ 08/26/97 49,972,764
50,000,000 5.36/(b)/ 10/02/97 49,959,775
Federal Home Loan Bank
5,100,000 5.22 01/02/97 5,099,261
50,000,000 5.38/(b)/ 01/03/97 49,999,747
17,895,000 5.24 01/16/97 17,855,929
34,900,000 5.23 01/23/97 34,788,562
25,000,000 5.28 01/28/97 24,901,000
133,300,000 5.22-5.35 01/30/97 132,733,719
25,130,000 5.28 01/31/97 25,019,533
181,845,000 5.21-5.32 02/13/97 180,701,332
28,750,000 5.21-5.26 02/14/97 28,566,649
145,815,000 5.20% 02/20/97 144,761,891
34,300,000 5.31 02/21/97 34,041,978
125,320,000 5.20-5.21 02/27/97 124,287,275
27,680,000 5.21 03/06/97 27,423,622
101,750,000 5.23 03/13/97 100,700,477
35,000,000 5.35 03/27/97 34,557,882
50,000,000 5.51/(b)/ 03/27/97 49,989,790
80,000,000 5.35 03/31/97 78,941,889
100,000,000 5.22/(b)/ 04/01/97 99,981,167
25,000,000 5.84 06/27/97 24,976,809
50,000,000 5.51/(b)/ 08/28/97 49,977,691
65,000,000 5.50/(b)/ 09/26/97 64,962,440
50,000,000 5.50/(b)/ 12/26/97 49,959,182
Student Loan Marketing Association
75,000,000 5.41 10/02/97 74,972,733
74,000,000 5.46 11/10/97 73,963,185
Tennessee Valley Authority
40,000,000 5.21 01/24/97 39,866,856
47,975,000 5.21 02/05/97 47,731,993
47,300,000 5.21 02/06/97 47,053,567
87,385,000 5.20-5.22 02/19/97 86,765,491
75,000,000 5.17 02/20/97 74,461,458
75,000,000 5.17 02/21/97 74,450,688
60,840,000 5.26-5.31 02/25/97 60,347,412
20,000,000 5.23 03/21/97 19,770,461
106,885,000 5.28 03/26/97 105,568,177
75,000,000 5.25 04/09/97 73,928,125
- ------------------------------------------------------------
Total Investments $3,300,609,972/(c)/
============================================================
/(a)/Variable rate security-base index is one of the following:
U.S. Treasury Bill
One or three month LIBOR
Federal Funds
Prime lending rate
/(b)/Variable rate master note-base index is LIBOR.
/(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.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
Statement of Investments
- -------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio
December 31, 1996
- --------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
==============================================================
Alabama--6.4%
Columbia IDB PCRB Series 1996 A for Alabama Power Co.
(VMIG1)
$21,000,000 5.00% 01/01/97 $21,000,000
Columbia IDB PCRB VRDN for Alabama Power Co. Series
1995 B
(A-1/VMIG1)/(c)/
23,500,000 5.00 01/01/97 23,500,000
Columbia IDB PCRB VRDN for Alabama Power Co. Series
1995 C
(A-1/VMIG1)
4,600,000 4.65 01/01/97 4,600,000
Columbia IDB PCRB VRDN for Alabama Power Co. Series
1995 E
(A-1/VMIG1)
4,900,000 5.10 01/01/97 4,900,000
Homewood RB for Samford University (Bank of Nova Scotia
LOC) (A-1+/VMIG1)
16,000,000 5.00 01/01/97 16,000,000
Jefferson County Sewer Revenue Warrants Series 1995 A
(Bayerische Landesbank Girozentrale LOC)(A-1+/P-1)
19,300,000 4.25 01/07/97 19,300,000
Mobile County IDA PCRB for M&T Chemicals (Bankers Trust
LOC) (A1)
3,000,000 4.13 01/01/97 3,000,000
Mobile IDA PCRB for Alabama Power Co. Series
1993A(A-1/VMIG1)
8,600,000 4.15 01/01/97 8,600,000
Mobile IDA PCRB for Alabama Power Co. Series
1994(A-1/VMIG1)
2,100,000 5.00 01/01/97 2,100,000
- -----------------------------------------------------------
$103,000,000
- -----------------------------------------------------------
Alaska--0.2%
Valdez Marine Terminal RB for Arco, Inc. Series 1994
C(A-1/P-1)
$ 2,600,000 3.60% 04/10/97 $ 2,600,000
- -----------------------------------------------------------
Arkansas--1.2%
Crossett PCRB for Georgia Pacific Corp. Series 1991
VRDN
(Suntrust Bank LOC)(A-1+/AA3)
$ 9,500,000 4.15% 01/07/97 $ 9,500,000
Union County PCRB Series 1988 for Great :Lakes Chemical
(A-1)
9,000,000 4.21/(b)/ 01/07/97 9,000,000
- -----------------------------------------------------------
$18,500,000
- -----------------------------------------------------------
California--5.8%
California RANS VRDN Series 1996-97 B(SP-1+/VMIG1)
$ 6,000,000 3.47% 01/31/97 $ 6,000,000
California RANS VRDN Series 1996-97 C1(SP-1+/VMIG1)
12,000,000 4.00 01/07/97 12,000,000
California Statewide Communities Development Authority
Refunding RB Series 1995(A-1+)/(c)/
$ 9,300,000 3.90% 01/07/97 $ 9,300,000
California Statewide Communities Development Authority
Refunding RB Series 1995A-2(A-1+)
2,500,000 3.90 01/07/97 2,500,000
Los Angeles County MF Hsg. RB(A-1+)
3,500,000 2.80 01/07/97 3,500,000
Los Angeles County TRANS (Credit Suisse/Morgan Guaranty
Trust Co./Westdeutsche Landesbank Girozentrale/Bank
of America/Union Bank of Switzerland
LOC)(SP-1/VMIG1)
12,450,000 4.50 06/30/97 12,492,536
Newport Beach VRDN RB Series 1996 A(A-1+)
600,000 5.15 01/01/97 600,000
State of California RANS Series 1996-97(SP-1+/VMIG1)
45,800,000 4.05 01/07/97 45,800,000
- -----------------------------------------------------------
$92,192,536
- -----------------------------------------------------------
Colorado--0.6%
State of Colorado General Fund TRANS Series 1996
A(SP-1+)
$10,000,000 4.50% 06/27/97 $10,033,630
- -----------------------------------------------------------
Connecticut--1.4%
State of Connecticut Development Authority
PCRB(Deutsche Bank LOC)(A-1+/VMIG1)
$17,400,000 4.15%/(b)/ 01/07/97 $17,400,000
State of Connecticut State 2nd Lien VRDN (Commerzbank
Bank LOC)(A-1+/VMIG1)
4,800,000 4.00 01/07/97 4,800,000
- -----------------------------------------------------------
$22,200,000
- -----------------------------------------------------------
District of Columbia--1.1%
District of Columbia VRDN ACES for Georgetown
University Series 1988 B, C and E (Bayerishe
Landesbank Girozentrale LOC)
(A-1+/VMIG1)
$10,900,000 4.10% 01/07/97 $10,900,000
HFA MF Hsg. for Mclean Gardens South Apartments VRDN
(Sumitomo Bank LOC)(VMIG1)
7,000,000 4.30 01/07/97 7,000,000
- -----------------------------------------------------------
$17,900,000
- -----------------------------------------------------------
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
Florida--2.8%
Dade County Water & Sewer VRDN Series 1994(A-1+/VMIG1)
$7,475,000 4.00%/(b)/ 01/07/97 $ 7,475,000
Florida Local Government Pooled CP Notes (First Union
National Bank of Florida LOC)(A-1+/P-1)
29,162,000 3.70 01/24/97 29,162,000
7,225,800 3.60 02/18/97 7,225,800
1,800,000 3.50 03/14/97 1,800,000
- -----------------------------------------------------------
$45,662,800
- -----------------------------------------------------------
Georgia--12.0%
Albany Dougherty PCRB for Philip Morris Co. (A-1/P-1)
$17,000,000 4.15% 01/07/97 $17,000,000
Albany Dougherty PCRB Series 1991 for Georgia Power
Co.(A-1+)
2,120,000 4.15 01/07/97 2,120,000
Burke County Development Authority RB(A-1+/VMIG1)
6,000,000 4.65 01/01/97 6,000,000
29,055,000 5.00 01/01/97 29,055,000
3,000,000 4.15 01/07/97 3,000,000
Burke County PCRB for Georgia Power Co.(A-1+/VMIG1)/(c)/
2,900,000 5.00 01/07/97 2,900,000
29,850,000 4.00/(b)/ 01/07/97 29,850,000
3,425,000 4.15 01/07/97 3,425,000
6,000,000 4.15 01/07/97 6,000,000
Burke County PCRB for Georgia Power Co. Series
1994(VMIG1)
3,400,000 5.00 01/07/97 3,400,000
Cobb County Institute of Nuclear Operations Inc. VRDN
for Georgia Power Co. (Suntrust Bank LOC)(Aa3)
4,295,000 4.15 01/07/97 4,295,000
Cobb County Power Operations Inc. VRDN (Trust Company
Bank LOC)(AA-)
2,330,000 4.15 01/07/97 2,330,000
Columbus Hospital Authority RB for St. Francis
Hospital(VMIG1)
7,750,000 4.15/(b)/ 01/01/97 7,750,000
DeKalb County IDA VRDN for Siemens Energy and
Automation, Inc.(P-1)
3,750,000 4.05 01/07/97 3,750,000
Dekalb Private Hospital Authority VRDN for Egleston
Children's Hospital Series 1994 A (Suntrust Bank
LOC)(VMIG1)
1,800,000 4.05 01/07/97 1,800,000
Floyd County PCRB for Georgia Power Co. Series
1996(A-1/VMIG1)
5,080,000 5.00 01/07/97 5,080,000
Fulco Hospital Authority Revenue Anticipation
Certificates Series 1992 (Suntrust Bank LOC)(A-1+)
4,815,000 4.15% 01/07/97 4,815,000
Georgia Municipal Gas Authority RB(A-1/VMIG1)
22,200,000 4.00/(b)/ 01/07/97 22,200,000
Heard County PCRB for Georgia Power Co. Series
1996(A-1/VMIG1)
1,800,000 5.00 01/01/97 1,800,000
Henry County IDA PCRB for Georgia Pacific Corp.
(Suntrust Bank LOC)(Aa3)
4,000,000 4.15 01/07/97 4,000,000
Municipal Electric Authority of Georgia Subordinate
General Resolution Series 1985 B and C (Credit
Suisse/Morgan Guaranty/Bayerische Landesbank
Girozentrale LOC)(A-1+/P-1)
12,650,000 3.55 03/06/97 12,650,000
8,145,000 3.55 03/11/97 8,145,000
Municipal Electric Authority of Georgia Subordinate
General Resolution Series 1994 C (Credit
Suisse/Morgan Guaranty/
Bayerische Landesbank Girozentrale LOC)(A-1+/VMIG1)
7,000,000 3.50 03/13/97 7,000,000
Savannah Economic Development Authority PCRB VRDN for
Savannah Electric & Power Co. (A-1/VMIG1)
4,085,000 4.15 01/07/97 4,085,000
- -----------------------------------------------------------
$192,450,000
- -----------------------------------------------------------
Hawaii--0.1%
Hawaii Housing Finance and Development Authority VRDN
(FHLB LOC)(A-1+)
$ 2,200,000 2.80% 01/07/97 $ 2,200,000
- -----------------------------------------------------------
Idaho--0.6%
Idaho Health Facilities for Holy Cross Health
Systems(A-1/VMIG1)
$10,000,000 4.10% 01/07/97 $10,000,000
- -----------------------------------------------------------
Illinois--3.2%
Belleville IDA for Weyerhaeuser Company Series
1993(A-1)
$ 1,800,000 4.21% 01/07/97 $ 1,800,000
Illinois Health Facilities Authority VRDN for Central
Dupage Hospital (Rabobank Nederland LOC)(VMIG1)
5,000,000 5.25 01/01/97 5,000,000
Illinois Health Facilities Authority VRDN for
Resurrection Healthcare(VMIG1)
15,000,000 5.00 01/01/97 15,000,000
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
Statement of Investments
- ------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
============================================================
Illinois (continued)
Illinois Health Facilities Authority VRDN Series 1985 D Revolving
Fund Pooled Finance Program (First National Bank of Chicago
LOC)(A-1/VMIG1)
$16,600,000 4.15% 01/07/97 $ 16,600,000
Illinois Health Facility Authority VRDN for Elmhurst Memorial
Hospital(VMIG1)
100,000 5.30 01/01/97 100,000
Sauget PCRB VRDN Series 1992(P-1)
3,300,000 4.20 01/07/97 3,300,000
Sauget PCRB VRDN Series 1993(P-1)
9,335,000 4.20 01/07/97 9,335,000
- -----------------------------------------------------------
$ 51,135,000
- -----------------------------------------------------------
Indiana--5.1%
Fort Wayne Hospital Authority VRDN Series 1985 C and D (Bank of
America LOC)(VMIG1)
$ 1,180,000 4.15% 01/07/97 $ 1,180,000
Fort Wayne Parkview Memorial Hospital VRDN Series 1985
B, C & D (Fuji Bank LOC)(VMIG1)/(c)/
16,855,000 4.15 01/07/97 16,855,000
Gary CP Notes for U.S. Steel Corp. (Bank of New York LOC)
(A-1+/P-1)
20,000,000 3.55 03/11/97 20,000,000
Indiana Hospital Equipment Financing Authority VRDN
Series 1985 A (MBIA)(A-1/VMIG1)
29,490,000 4.20 01/07/97 29,490,000
Jasper County PCRB for Nipsco Series 1994 A(A-1+/VMIG1)
5,200,000 5.10 01/01/97 5,200,000
Schererville Economic Development VRDN Series 1983 for Avery
International Corp. Project (Bankers Trust LOC)(Aa2)
4,000,000 4.13 01/07/97 4,000,000
Warrick County PCRB for Aluminum Company of America Series
1992(A-1)
5,000,000 4.15 01/07/97 5,000,000
- -----------------------------------------------------------
$ 81,725,000
- -----------------------------------------------------------
Iowa--1.4%
Muscatine County VRDN for Monsanto Corp.(P-1)
$ 1,000,000 4.20% 01/07/97 $ 1,000,000
Salix PCRB VRDN for Midwest Power Systems Inc.(A-1/VMIG1)/(c)/
21,795,000 4.15 01/07/97 21,795,000
- -----------------------------------------------------------
$ 22,795,000
- -----------------------------------------------------------
Kentucky--1.7%
Calvert VRDN for Air Products and Chemicals Inc. Project(A-1)
$ 1,000,000 4.20% 01/07/97 $ 1,000,000
Mason County Variable/Fixed Rate PCRB Pooled for East Kentucky
Power (CFC)(A-1+/Aa3)
13,450,000 4.15 01/07/97 13,450,000
Trimble County PCRB for Louisville Gas & Electric Series 1996 A(A-
1+/VMIG1)
12,500,000 3.50 03/14/97 12,500,000
- -----------------------------------------------------------
$ 26,950,000
- -----------------------------------------------------------
Louisiana--2.5%
Ascension Parish PCRB for BASF Wyandotte Corp. Series
1985 (Bank of Tokyo LOC)(P-1)
$ 2,600,000 5.10% 01/01/97 $ 2,600,000
Ascension Parish PCRB for Vulcan Materials Co. Series 1996(A-
1+/VMIG1)
8,200,000 4.20 01/07/97 8,200,000
Louisiana Public Facilities Authority School Health Care System
UPDATE Series 1993(A-1+/VMIG1)
7,700,000 3.60 01/08/97 7,700,000
Parish of Desoto PCRB Series 1991 A (Swiss Bank LOC)(A-1+/VMIG1)
4,600,000 4.05 01/07/97 4,600,000
Parish of Iberville VRDN for Air Products and Chemicals, Inc.
Project(A-1)
6,200,000 4.20 01/07/97 6,200,000
Plaquemines Port RB for Teco Energy, Inc. Series 1985 B(A-1+/P-1)
2,000,000 3.60 02/13/97 2,000,000
South Louisiana Port Commission RB for Occidental Petroleum Corp.
Series 1996 (Wachovia Bank LOC)(P-1)
4,400,000 4.15 01/07/97 4,400,000
West Baton Rouge Parish VRDN for Dow Chemical Co. Series 1991
(P-1)
4,000,000 3.55 02/10/97 4,000,000
- -----------------------------------------------------------
$ 39,700,000
- -----------------------------------------------------------
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
Statement of Investments
- --------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1996
- --------------------------------------------------------------------
- --------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
====================================================================
Maryland--0.9%
Baltimore County Consolidated Public Improvement BANS Series
1995(A-1+/P-1)
$10,000,000 3.55% 02/06/97 $ 10,000,000
Frederick GO VRDN (Fuji Bank LOC)(A-1/VMIG1)
4,800,000 4.25 01/07/97 4,800,000
- --------------------------------------------------------------------
$ 14,800,000
- --------------------------------------------------------------------
Massachusetts--1.6%
Massachusetts Bay Transportation Authority Series 1996 A Notes
(SP-1/MIG2)
$11,000,000 3.75% 02/28/97 $ 11,008,115
Massachusetts Health & Education Authority RB for Harvard
University Series I(A-1+/VMIG1)/(c)/
13,866,000 3.90 01/07/97 13,866,000
- --------------------------------------------------------------------
$ 24,874,115
- --------------------------------------------------------------------
Michigan--0.7%
Michigan Job Development Authority for Mazda Motor Manufacturing
VRDN (Sumitomo Bank LOC)(VMIG1)
$11,100,000 4.25% 01/07/97 $ 11,100,000
- --------------------------------------------------------------------
Minnesota--1.5%
Becker PCRB for Northern States Power Co. Series 1992 A(A-1+)
$ 8,000,000 3.65% 01/16/97 $ 8,000,000
6,000,000 3.55 03/12/97 6,000,000
Becker PCRB for Northern States Power Co. Series 1993 A(A-1/VMIG1)
4,000,000 3.55 03/12/97 4,000,000
White Bear Lake IDA for Weyerhauser Co. Series 1993(A-1)
6,800,000 4.21 01/07/97 6,800,000
- --------------------------------------------------------------------
$ 24,800,000
- --------------------------------------------------------------------
Mississippi--0.6%
Canton IDR for Levi Strauss Co. (Bank of America LOC)(P-1)
$10,000,000 4.15%/(b)/ 01/07/97 $ 10,000,000
- --------------------------------------------------------------------
Missouri--1.8%
Belton RB (Texas Commerce Bank LOC)(P-1)
$ 4,025,000 4.25% 01/07/97 $ 4,025,000
Kansas City Cloversett IDA MF Hsg. RB Series 1988 VRDN (Boatmen's
Bank of Kansas City LOC)(A-1+)
8,720,000 4.30 01/07/97 8,720,000
Missouri Health & Education Facility Authority VRDN (MBIA)(AAA)
10,500,000 4.10 01/07/97 10,500,000
State Environmental Improvement and Energy Resources
Authority RB for Monsanto Corporation (P-1)
$ 5,520,000 4.20% 01/07/97 $ 5,520,000
- --------------------------------------------------------------------
$ 28,765,000
- --------------------------------------------------------------------
Montana--0.3%
Forsyth PCRB for Pacificorp. Series 1988 (Industrial Bank of Japan
LOC)(A-1/P-1)
$ 3,400,000 4.70% 01/01/97 $ 3,400,000
Montana State Board of Investments VRDN Payroll Tax Bonds(VMIG1)
1,000,000 4.00 01/07/97 1,000,000
- --------------------------------------------------------------------
$ 4,400,000
- --------------------------------------------------------------------
Nevada--0.2%
Clark County VRDN for Nevada Airport System (MBIA)
(A-1+/VMIG1)
$ 3,200,000 4.00% 01/07/97 $ 3,200,000
- --------------------------------------------------------------------
New Jersey--3.3%
New Jersey TRANS Series 1997 A(A-1+/P-1)
$48,000,000 3.50% 03/12/97 $ 48,000,000
New Jersey Turnpike Authority RB Series 1991 D (FGIC)(P-1)
5,600,000 3.75 01/07/97 5,600,000
- --------------------------------------------------------------------
$ 53,600,000
- --------------------------------------------------------------------
New Mexico--0.2%
Farmington PCRB for Arizona Public Service Series 1994 A (Union
Bank of Switzerland LOC)(A-1+/P-1)
$ 2,600,000 5.00% 01/01/97 $ 2,600,000
- --------------------------------------------------------------------
New York--12.1%
New York City GO VRDN Series 1993 B (FGIC)(A-1+/VMIG1)
$ 5,500,000 4.50% 01/01/97 $ 5,500,000
New York City GO (MBIA)(VMIG1)
19,800,000 4.15 01/07/97 19,800,000
New York City GO RANS Series 1997 A(SP-1+/VMIG1)
60,000,000 4.50 04/15/97 60,137,770
New York City GO Series 1992 D (FGIC)
20,000,000 3.95 01/07/97 20,000,000
New York City GO Series 1994 (Union Bank of Switzerland
LOC)(A-1+/VMIG1)
2,200,000 4.50 01/01/97 2,200,000
New York City GO VRDN (Dai-Ichi Kangyo Bank LOC)(A-1/VMIG1)
2,600,000 4.50 01/01/97 2,600,000
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1996
- --------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
====================================================================
New York (continued)
New York City GO VRDN (Norinchukin Bank LOC) (A-1+/VMIG1)
$ 7,000,000 4.50% 01/01/97 $ 7,000,000
New York City Municipal Water Finance Authority CP Notes Series 3
(Toronto Dominion Bank/Bank of Nova Scotia LOC)(A-1+/P-1)
8,900,000 3.50 03/12/97 8,900,000
New York City Municipal Water Finance Authority Series 3 (Toronto
Dominion Bank/Bank of Nova Scotia
LOC)(A-1+/P-1)
3,000,000 3.50 03/11/97 3,000,000
New York State Energy Research & Development Authority PCRB for
New York State Electric & Gas Series 1994 D (Union Bank of
Switzerland LOC)(A-1+/VMIG1)
8,700,000 4.40 01/01/97 8,700,000
New York State Housing Finance Agency for Normandie Court
Housing RB Series 1987 A (Fleet Bank LOC)(VMIG1)
900,000 4.00 01/07/97 900,000
New York State Local Government Assistance Series 1995 B VRDN
(Bank of Nova Scotia LOC)(A-1+/VMIG1)/(c)/
19,600,000 4.00 01/07/97 19,600,000
New York State Local Government Series G VRDN (National
Westminster Bank LOC)(A-1+/VMIG1)
1,150,000 3.85 01/07/97 1,150,000
New York State Local Government VRDN Series 1995 F (Toronto
Dominion Bank LOC)(A-1+/VMIG1)/(c)/
15,000,000 4.00 01/07/97 15,000,000
New York State Triborough Bridge & Tunnel Authority VRDN
(FGIC)(A-1+/VMIG1)
19,300,000 4.00 01/07/97 19,300,000
- --------------------------------------------------------------------
$193,787,770
- --------------------------------------------------------------------
North Carolina--6.0%
North Carolina Eastern Municipal Power Agency RB Series 1988 B
(Morgan Guaranty/Union Bank of Switzerland LOC)(A-1+)
$ 2,700,000 3.70% 01/16/97 $ 2,700,000
10,000,000 3.70 01/27/97 10,000,000
Person County PCRB for Carolina Power & Light Series 1992 A
(A-1/P-1)
7,000,000 4.25 01/07/97 7,000,000
Rockingham County IDA PCRB for Philip Morris Co.(A-1/P-1)
3,960,000 4.15 01/07/97 3,960,000
North Carolina (continued)
Wake County PCRB for Carolina Power & Light Series 1990 A & B (Fuji
Bank LOC)(A-2/P-1)
$ 7,000,000 3.75% 02/06/97 $ 7,000,000
11,000,000 3.55 02/07/97 11,000,000
12,100,000 3.55 02/10/97 12,100,000
12,900,000 3.75 02/14/97 12,900,000
29,000,000 3.75 02/18/97 29,000,000
- -------------------------------------------------------------
$95,660,000
- -------------------------------------------------------------
Ohio--2.4%
Cleveland-Cuyahoga County Port Authority VRDN for Rock & Roll
Hall of Fame (Credit Local de France LOC)(A-1+)
$ 9,000,000 4.05% 01/07/97 $ 9,000,000
Columbus Electric System Series 1994 RB (Union Bank of Switzerland
LOC)(VMIG1)
10,620,000 3.35 01/31/97 10,620,000
Franklin County Hospital RB for Holy Cross Health System Series
1995(A-1/VMIG1)/(c)/
18,900,000 4.10 01/07/97 18,900,000
- -------------------------------------------------------------
$38,520,000
- -------------------------------------------------------------
Oregon--1.7%
Lane County PCRB VRDN for Weyerhaeuser Company Series 1994
(A-1)
$ 6,500,000 4.21% 01/07/97 $ 6,500,000
Portland VRDN for Columbia Grain Inc. Project (Fuji Bank/Bank of
Tokyo LOC)(VMIG1)
17,650,000 4.25 01/07/97 17,650,000
State of Oregon Veteran's Welfare Series 73 H VRDN (Morgan
Guaranty LOC)(A-1+/VMIG1)
3,400,000 4.00 01/07/97 3,400,000
- -------------------------------------------------------------
$27,550,000
- -------------------------------------------------------------
Pennsylvania--2.7%
Allegheny County PCRB for U.S. Steel Series 1985 (Commerzbank
LOC)(A-1+/P-1)
$28,400,000 3.50% 03/13/97 $28,400,000
Allegheny County PCRB for U.S. Steel Series 1986 (Commerzbank
LOC)(A-1+/P-1)
700,000 3.50 02/06/97 700,000
Philadelphia TRANS Series 1996-97 A(SP-1/VMIG1)
14,000,000 4.50 06/30/97 14,036,476
- --------------------------------------------------------------
$43,136,476
- --------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Puerto Rico--2.0%
Commonwealth of Puerto Rico RANS Series 1997 A(SP-1+/VMIG1)
$32,000,000 4.00% 07/30/97 $ 32,103,040
- -------------------------------------------------------------------
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 4.15% 01/07/97 $ 11,275,000
- -------------------------------------------------------------------
Texas--11.5%
Brazos Harbor IDA VRDN for Monsanto Co.(P-1)
$ 3,500,000 4.20% 01/07/97 $ 3,500,000
Brazos River Authority PCRB Series 1994 for Monsanto Co.(P-1)
5,100,000 4.20 01/07/97 5,100,000
Brazos River Authority VRDN for Monsanto Co.(P-1)
5,300,000 4.20 01/07/97 5,300,000
Brazos River Harbor Authority VRDN for Dow Chemical Corp. Series
1991(A-1/P-1)
13,500,000 3.60 01/24/97 13,500,000
Harris County Health Facilities Development Corp. UPDATE Series
1993(A-1+/VMIG1)
5,200,000 3.55 01/07/97 5,200,000
5,200,000 3.50 01/29/97 5,200,000
Harris County Hospital RB for Childrens Hospital Series 1989 B-2
(VMIG1)
7,900,000 4.10 01/07/97 7,900,000
Harris County Toll Road VRDN Series 1994 C(A-1+/VMIG1)
23,700,000 4.05 01/07/97 23,700,000
Nueces River IDA PCRB UPDATE for San Miguel Electric Series 1984
(CFC)(A-1+/VMIG1)
25,000,000 3.50 02/26/97 25,000,000
25,700,000 3.50 03/10/97 25,700,000
San Antonio Electric & Gas Systems CP Notes Series A(A-1+/P-1)
18,800,000 3.50 03/12/97 18,800,000
State of Texas TRANS Series 1996(SP-1+/VMIG1)/(c)/
25,000,000 4.75/(b)/ 08/29/97 25,193,274
20,000,000 4.75 08/29/97 20,154,620
- -------------------------------------------------------------------
$ 184,247,894
- -------------------------------------------------------------------
Utah--0.2%
Salt Lake County PCRB for Service Station/British Petroleum Series
1994 B(P-1)
$ 2,815,000 5.00% 01/01/97 $ 2,815,000
- -------------------------------------------------------------------
Virginia--6.7%
Chesapeake PCRB for Virginia Electric & Power Series
1985(A-1/P-1)
$22,000,000 3.60% 02/06/97 $22,000,000
Chesterfield County PCRB for Philip Morris Series 1987 A(A-1/P-1)
5,000,000 3.55 02/06/97 5,000,000
Chesterfield County PCRB for Philip Morris Series 1992(A-1/P-1)
14,700,000 4.15 01/07/97 14,700,000
Chesterfield County PCRB for Virginia Electric & Power Series 1985
(A-1/P-1)
8,000,000 3.60 02/07/97 8,000,000
5,200,000 3.60 02/12/97 5,200,000
Chesterfield County PCRB for Virginia Electric & Power
Series 1987 C(A-1/P-1)
1,000,000 3.60 02/12/97 1,000,000
Louisa PCRB For Virginia Electric & Power Series 1984(A-1/P-1)
4,000,000 3.60 02/07/97 4,000,000
4,000,000 3.60 02/13/97 4,000,000
3,000,000 3.60 02/14/97 3,000,000
Louisa PCRB for Virginia Electric & Power Series 1987(A-1/P-1)
1,300,000 3.55 02/06/97 1,300,000
Roanoke VRDN for Carilion Health Systems Hospital Series A(A-1)
20,400,000 4.10 01/07/97 20,400,000
Spotsylvania IDA for Carlisle Corporation (Suntrust Bank LOC)(AA3)
6,500,000 4.15/(b)/ 01/07/97 6,500,000
York County PCRB for Virginia Electric & Power Series 1985(A-1/P-1)
9,400,000 3.70 01/14/97 9,400,000
2,700,000 3.65 03/10/97 2,700,000
- -------------------------------------------------------------------
$ 107,200,000
- -------------------------------------------------------------------
Washington--4.6%
King County Sewer Revenue BANS Series A(A-1/P-1)
$10,000,000 3.55% 03/10/97 $10,000,000
Port of Grays Harbor IDA VRDN for Weyerhaeuser Project Series
1992(A-1+)
1,000,000 4.21 01/07/97 1,000,000
Port of Grays Harbor IDA VRDN for Weyerhaeuser Project Series
1993(A-1+)
5,850,000 4.21 01/07/97 5,850,000
Port of Kalama Floating/Fixed Rate for Conagra, Inc. Series 1983
(Morgan Guaranty Trust LOC)(AAA)
2,230,000 4.00 01/07/97 2,230,000
Union Gap City IDA VRDN for Weyerhaeuser Project Series 1992(A-1)
1,600,000 4.21 01/07/97 1,600,000
- ------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
Washington (continued)
Washington Health Care Facilities Authority VRDN Series 1996
(Morgan Guaranty Trust LOC)(VMIG1)
$4,300,000 5.25% 01/01/97 $ 4,300,000
Washington Public Power Supply Project Electric RB Series 1993-1A
(Bank of America LOC)(A-1+/VMIG1)
10,860,000 4.10 01/07/97 10,860,000
Washington Public Power Supply Project Electric RB Series 1993-2A
(Bank of America LOC)(A-1/VMIG1)
11,100,000 4.10 01/07/97 11,100,000
Washington Public Power Supply System RB Series 1993-3A
(Bank of America LOC)(A-1+/VMIG1)
15,000,000 4.10/(b)/ 01/07/97 15,000,000
3,115,000 3.95 01/07/97 3,115,000
8,200,000 4.10 01/07/97 8,200,000
- -----------------------------------------------------------
$73,255,000
- -----------------------------------------------------------
Wyoming--1.4%
Pacificorp PCRB VRDN for Sweetwater County Series 1990 A
(Credit Suisse LOC)(VMIG1)
$16,200,000 4.15% 01/07/97 $16,200,000
Sweetwater County PCRB for Idaho Power Co. Series 1996 C
(A-1+/VMIG1)
6,100,000 5.10 01/01/97 6,100,000
- -----------------------------------------------------------
$22,300,000
- -----------------------------------------------------------
Total Investments $1,749,033,261/(a)/
==========================================================
/(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.
Security ratings are unaudited.
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.
18
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio
December 31, 1996
- ------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
============================================================
California--96.4%
California Health Facilities Authority VRDN for Kaiser Permanente
Series 1993 A, B & C RB(A-1+/VMIG1)
$ 2,000,000 4.00% 01/07/97 $ 2,000,000
California Health Facility Finance Authority RB Series
1990 A VRDN (Rabobank Nederland LOC)(A-1+/VMIG1)
8,100,000 4.00 01/07/97 8,100,000
California PCRB for Pacific Gas & Electric (Banque Nationale de Paris
LOC)(A-1+)
4,100,000 4.80 01/01/97 4,100,000
California Pollution Control Financing Authority for Southern
California Edison Adjustable TRB Series 1986 D(A-1/VMIG1)
1,800,000 4.70 01/01/97 1,800,000
California RANS VRDN Series 1996-97 B(SP-1+/VMIG1)
10,000,000 3.47 01/31/97 10,000,000
California RANS VRDN Series 1996-97 C1(SP-1+/VMIG1)
25,500,000 4.01 01/07/97 25,500,000
California School Cash Reserves Program Authority Series 1996 A
(MBIA)(SP-1/VMIG1)
9,000,000 4.75 07/02/97 9,040,248
California School Cash Reserves Program Authority Series 1996 B
(MBIA)(VMIG1)
10,000,000 4.50 12/19/97 10,083,758
California Statewide Communities Development Authority
for Kaiser Foundation Hospital 1995 COPS(A-1+/VMIG1)
16,500,000 4.00 01/07/97 16,500,000
California Statewide Communities Development Authority RB Series
1995 A (A-1+)
13,900,000 3.90 01/07/97 13,900,000
California Statewide Communities Development Authority Series
1995A-1(A-1+)
14,200,000 3.90 01/07/97 14,200,000
California Statewide Communities Development Authority, Refunding
RB Series 1995A-2(A-1+)
5,500,000 3.90 01/07/97 5,500,000
Chula Vista RB Series 1996 A for San Diego Gas & Electric(A-
1/VMIG1)
11,200,000 5.10 01/01/97 11,200,000
City of Anaheim Electric RANS Tax Exempt CP
Notes(A-1+/P-1)
8,950,000 3.45 01/29/97 8,950,000
City of Fresno MF Hsg. Revenue Refunding Bonds Series 1996 A
(First Interstate Bank of California LOC)(VMIG1)
3,315,000 4.15 01/07/97 3,315,000
City of Irwindale IDRB Series 1984 for Toys-R-Us VRDN (Bankers
Trust LOC)(AA2)
2,000,000 4.13% 01/07/97 2,000,000
City of Los Angeles VRDN MF Hsg. Museum Terrace-84H (Bank of
America LOC)(VMIG1)
3,500,000 4.00 01/07/97 3,500,000
City of Newport Beach Floating/Fixed Rate Health Facilities Memorial
Hospital Facility VRDN(A-1/VMIG1)
10,750,000 5.15 01/01/97 10,750,000
City of Newport Beach VRDN RB Series 1996 A(A-1+)
3,800,000 5.15 01/01/97 3,800,000
City of Newport Beach VRDN RB Series 1996 B(A-1+)
23,000,000 5.15 01/01/97 23,000,000
City of San Diego VRDN MF Hsg. RB Series 1985 (Bank of
America LOC)(VMIG1)
15,700,000 4.05 01/07/97 15,700,000
City of San Diego MF Hsg. for Lacima Apartments VRDN (Citibank
LOC)(VMIG1)
13,125,000 4.05 01/07/97 13,125,000
City of San Diego MF Hsg. for Nobel Court Apartments VRDN
(Citibank LOC)(VMIG1)
11,555,000 4.05 01/07/97 11,555,000
Contra Costa MF Hsg. for Lakeshore Apartments VRDN(A-1+)
4,600,000 4.05 01/07/97 4,600,000
East Bay Municipal Utility District California Water & Waste
(A-1+/P-1)
4,300,000 3.45 02/27/97 4,300,000
Huntington Beach City Monthly MF Hsg. VRDN Series 1985 A (Bank
of America LOC)(VMIG1)
7,500,000 4.00 01/31/97 7,500,000
Kings County Housing Authority MF Hsg. Refunding RB Series 1996 A
(First Interstate Bank of California LOC)(VMIG1)
2,500,000 4.15 01/07/97 2,500,000
Los Angeles County Metro Transportation Authority VRDN
(MBIA)(SP-1+/VMIG1)
4,595,000 4.00 01/07/97 4,595,000
Los Angeles County Metro Transportation Authority RANS Series 1996
A(VMIG1)
10,000,000 4.00 02/27/97 10,013,586
Los Angeles County Metro Transportation CP Notes (National
Westminster/Union Bank of California/ABN Amro/Canadian
Imperial Bank of Commerce/Banque Nationale de Paris LOC)
(A-1+/P-1)
10,000,000 3.65 01/10/97 10,000,000
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
California (continued)
Los Angeles County TRANS (Credit Suisse/Morgan Guaranty Trust
Co./Westdeutsche Landesbank Girozentrale/Bank of
America/Union Bank of Switzerland LOC)(SP-1+/VMIG1)
$16,400,000 4.50% 06/30/97 $16,456,497
Los Angeles County, VRDN MF Hsg. for Valencia Village Series 1984 C
(Industrial Bank of Japan Ltd. LOC)(A-1+)
16,400,000 2.80 01/07/97 16,400,000
Los Angeles Housing Authority MF Hsg. VRDN for Canyon Country
Villas Series 1985 H (Industrial Bank of Japan Ltd. LOC)(VMIG1)
19,000,000 2.80 01/07/97 19,000,000
Northern California Power Agency Geothermal Project Number 3
Adjustable Rate RB Series 1996 A (AMBAC)(A-1+/VMIG1)
8,500,000 3.85 01/07/97 8,500,000
Orange County Apartment Development RB Issue 1984 C Seaside
Meadow (Fuji Bank Ltd.)(A-1/VMIG1)
24,000,000 3.95 01/07/97 24,000,000
Pomona Public Financing Authority VRDN (Sumitomo Bank LOC)
(SP-1+)
2,075,000 4.25 01/07/97 2,075,000
Sacramento County 1990 COP Admin-Center Courthouse Project
VRDN (Union Bank of Switzerland LOC)(A-1+/VMIG1)
500,000 3.75 01/07/97 500,000
San Bernardino County VRDN-Woodview Apartments Series
1985 (Bank of America LOC)(VMIG1)
6,500,000 4.05 01/07/97 6,500,000
San Diego County MF Hsg. for Country Hills VRDN (FNMA)
(A-1+)
10,300,000 4.05 01/07/97 10,300,000
San Diego IDB Series 1995 B for San Diego Gas & Electric(A-1/VMIG1)
1,000,000 3.50 01/23/97 1,000,000
San Leandro MF Hsg. VRDN Series 1985 B- Haas Avenue
Apartments (Bank of America LOC)(VMIG1)
3,900,000 4.00 01/07/97 3,900,000
Southern California Metro Water District Series A CP Notes(A-1+/P-1)
5,400,000 3.50 02/20/97 5,400,000
Southern California Metropolitan Water District Revenue
Refunding Bonds Series 1996 A (AMBAC)(A-1+/VMIG1)
4,500,000 4.00 01/07/97 4,500,000
Southern California Public Power Authority 1991 Subordinated
Revenue Refunding Bonds (AMBAC)(A-1+/VMIG1)
9,100,000 3.90 01/07/97 9,100,000
Southern California Public Power Authority Power
Project RB Series 1996 B (AMBAC)(A-1+/VMIG1)
7,500,000 3.90 01/07/97 7,500,000
Southern California Public Power Authority Power
Project RB Series 1996 C (AMBAC)(A-1+/VMIG1)
10,000,000 3.90 01/07/97 10,000,000
Triunfo Sanitation District VRDN Refunding RB Series 1994 (Banque
Nationale de Paris LOC)(A-1+)
3,700,000 4.20 01/07/97 3,700,000
Tulare-Porterville Schools Finance Authority COPS (Union Bank of
California LOC)(VMIG1)
4,935,000 4.30 01/07/97 4,935,000
- -----------------------------------------------------------
$424,894,089
- -----------------------------------------------------------
Puerto Rico--3.2%
Commonwealth of Puerto Rico RANS Series 1997 A(SP-1+/VMIG1)
$14,000,000 4.00% 07/30/97 $14,045,081
- -----------------------------------------------------------
Total Investments $438,939,170/(a)/
===========================================================
/(a)/The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
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.
20
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Tax-Exempt New York Portfolio
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
New York--94.2%
City of Yonkers IDA RB for Consumers (Industrial Bank
of Japan LOC)(VMIG1)
$2,700,000 3.90% 01/07/97 $2,700,000
City of Yonkers IDA Series 1991 Civic Facility RB
(Industrial Bank of Japan LOC)(VMIG1)
2,900,000 3.90 01/07/97 2,900,000
Great Neck North Water Authority Water System RB Series
1993 A VRDN (FGIC)(A-1+/VMIG1)
3,800,000 4.00 01/07/97 3,800,000
IDA Civic Facility RB Cold Spring Harbor Labs Series
1989 VRDN (Morgan Guaranty Trust LOC)(A-1+)
2,200,000 4.90 01/01/97 2,200,000
Metropolitan Museum of Art Variable Rate Interest
Bonds(AA/AA)
1,500,000 4.00 01/07/97 1,500,000
Metropolitan Transportation Authority Commuter Facility
VRDN Series 1991 (National Westminster/Morgan
Guaranty/Industrial Bank of Japan/Sumitomo Bank/J.P.
Morgan/Bank of Tokyo LOC)(A-1+/VMIG1)
3,400,000 4.05 01/07/97 3,400,000
Nassau County TANS Series 1996 B(SP-1+)
3,500,000 4.25 08/29/97 3,515,754
New York City GO Bonds (Sumitomo Bank LOC)(A-1/VMIG1)
800,000 5.00 01/01/97 800,000
New York City GO Fiscal 1995 Series B-6
(MBIA)(A-1+/VMIG1)
3,900,000 5.10 01/01/97 3,900,000
1,250,000 5.10 01/01/97 1,250,000
New York City GO RANS Series 1997 A(SP-1+/VMIG1)
4,000,000 4.50 04/15/97 4,009,256
New York City IDA - Civic Facility RB 1989 National
Audubon Society, Inc. (Swiss Bank Corp. LOC)(A-1+)
4,000,000 4.80 01/01/97 4,000,000
New York City IDA for Columbia Grammar Prep School VRDN
(Chemical Bank LOC)(A-1+)
2,500,000 4.15 01/07/97 2,500,000
New York City Municipal Water Finance Authority CP
Series 1 (Canadian Imperial Bank of Commerce
LOC)(P-1)
6,900,000 3.55 01/16/97 6,900,000
New York City Municipal Water Finance Authority Series
3 (Toronto Dominion Bank/Bank of Nova Scotia
LOC)(P-1)
2,500,000 3.50 03/11/97 2,500,000
New York City Trust for Cultural Resources American
Museum of Natural History Adjustable Rate TRB VRDN
(MBIA)(VMIG1)
$3,200,000 3.80% 01/07/97 $3,200,000
New York State Dormitory Authority RB Series 1990 B for
Cornell University VRDN(VMIG1)
4,700,000 4.80 01/01/97 4,700,000
New York State Energy Research & Development Authority
For Long Island Lighting Co. VRDN (Toronto Dominion
Bank LOC) (A-1+/P-1)
3,000,000 4.05 01/07/97 3,000,000
New York State Energy Research & Development Authority
PCRB for New York State Electric & Gas Series 1994 B
(Union Bank of Switzerland LOC)(A-1+/VMIG1)
7,800,000 5.00 01/01/97 7,800,000
New York State Energy Research & Development Authority
PCRB for New York State Electric & Gas Series 1994 D
(Union Bank of Switzerland LOC)(A-1+/VMIG1)
3,600,000 4.40 01/01/97 3,600,000
New York State Energy Research & Development Authority
PCRB for Rochester Gas & Electric Series 1984
(Credit Suisse LOC)(P-1)
2,100,000 3.40 01/31/97 2,100,000
New York State Energy Research & Development Authority
PCRB Series A & B - Central Hudson Gas & Electric
VRDN (Deutsche Bank LOC)(AA2)
1,300,000 3.90 01/07/97 1,300,000
New York State Energy Research & Development Authority
for Orange and Rockland Utilities Series 1995 A VRDN
(AMBAC)(A-1+/VMIG1)
5,000,000 3.80 01/07/97 5,000,000
New York State GO BANS Series R(A-1/P-1)
4,500,000 3.55 02/25/97 4,500,000
New York State GO BANS Series T(A-1/P-1)
3,500,000 3.55 02/24/97 3,500,000
New York State Housing Finance Agency for Normandie
Court Housing RB Series 1987 A (Fleet Bank
LOC)(VMIG1)
5,100,000 4.00 01/07/97 5,100,000
New York State Local Government Assistance Series 1995
B VRDN (Bank of Nova Scotia LOC)(A-1+/VMIG1)
1,700,000 4.00 01/07/97 1,700,000
New York State Local Government Series C VRDN
(Landesbank Hessen-Thueringen Girozentrale
LOC)(A-1+/VMIG1)
7,000,000 4.00 01/07/97 7,000,000
- ----------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
Statement of Investments
- -----------------------------------------------------------
ILA Tax-Exempt New York Portfolio (continued)
December 31, 1996
- -----------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===========================================================
New York (continued)
New York State Local Government Series G VRDN (National
Westminster Bank LOC)(A-1+/VMIG1)
$700,000 3.85% 01/07/97 $ 700,000
New York State Medical Care Facility Financing Agency
for Children's Hospital of Buffalo RB Series 1991 A
(Barclays Bank LOC)(VMIG1)
1,900,000 4.20 01/07/97 1,900,000
New York State Triborough Bridge & Tunnel Authority
VRDN (FGIC)(A-1+/VMIG1)
4,700,000 4.00 01/07/97 4,700,000
Oswego County IDA PCRB Series 1992 for Philip
Morris(A-1/P-1)
1,000,000 4.15 01/07/97 1,000,000
Syracuse University IDA VRDN (Morgan Guaranty
LOC)(AA+/A-1 /VMIG1)
1,200,000 4.80 01/01/97 1,200,000
- -----------------------------------------------------------
$107,875,010
- -----------------------------------------------------------
Puerto Rico--5.7%
Commonwealth of Puerto Rico RANS Series 1997
A(SP-1+/VMIG1)
$3,500,000 4.00% 07/30/97 $ 3,511,271
Puerto Rico Government Development Bank VRDN (Credit
Suisse LOC)(A-1/VMIG1)
1,000,000 3.75 01/07/97 1,000,000
Puerto Rico Medical and Environmental PCRB Series 1983
A for Key Pharmaceuticals Inc. (Morgan Guaranty LOC)
2,000,000 3.75 12/01/97 2,000,000
- -----------------------------------------------------------
$ 6,511,271
- -----------------------------------------------------------
Total Investments $114,386,281/(a)/
===========================================================
/(a)/ The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
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
CFC --Unconditionally Guaranteed by
Cooperative Finance Corp.
COPS --Certificates of Particication
CP --Commercial Paper
FGIC --Insured by Financial Guaranty
Insurance Co.
FNMA --Federal National Mortgage
Association
GO --General Obligation
HFA --Health Facility Authority
IDA --Industrial Development Authority
IDB --Industrial Development Bond
IDR --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.
22
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------- --------------------------------------
[This page intentionally left blank]
- -------------------------------------- -------------------------------------
23
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1996
- --------------------------------------------------------------------------------
<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 $1,266,243,902 $ 990,797,391 $ 827,240,879
Interest receivable 3,701,956 3,538,130 1,378,983
Cash 143,480 128,908 152,717
Other assets 18,680 33,706 48,509
- ------------------------------------------------------------------------------------------------------------------------
Total assets 1,270,108,018 994,498,135 828,821,088
- ------------------------------------------------------------------------------------------------------------------------
Liabilities:
Payable for investment securities purchased -- -- --
Dividends payable 5,999,306 4,784,617 3,427,645
Accrued expenses and other liabilities 530,616 513,611 459,492
- ------------------------------------------------------------------------------------------------------------------------
Total liabilities 6,529,922 5,298,228 3,887,137
- ------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid in capital 1,263,578,517 989,199,498 824,862,428
Accumulated undistributed net investment income -- -- --
Accumulated undistributed net realized gain (loss) on investment
transactions (421) 409 71,523
- ------------------------------------------------------------------------------------------------------------------------
Net assets $1,263,578,096 $ 989,199,907 824,933,951
========================================================================================================================
Net asset value, offering and redemption price per unit
(net assets/units outstanding) $ 1.00 $ 1.00 $ 1.00
========================================================================================================================
Units Outstanding:
ILA units 1,154,745,689 703,096,586 694,604,345
ILA Administration units 23,775,858 257,258,398 36,044,854
ILA Service units 84,710,642 28,844,514 94,213,229
ILA B units 346,328 -- --
- ------------------------------------------------------------------------------------------------------------------------
Total units of beneficial interest outstanding, $.001 par value
(unlimited number of units authorized) 1,263,578,517 989,199,498 824,862,428
========================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
================================================================================================
<S> <C> <C> <C> <C> <C>
$ 810,267,968 $1,221,566,240 $3,300,609,972 $1,749,033,261 $438,939,170 $114,386,281
532,015 14,004,604 4,477,173 7,404,080 2,433,885 404,538
99,319 148,266 365,400 1,862,438 599,385 41,299
775 10,026 125,725 8,601 8,650 --
- ------------------------------------------------------------------------------------------------
810,900,077 1,235,729,136 3,305,578,270 1,758,308,380 441,981,090 114,832,118
- ------------------------------------------------------------------------------------------------
-- -- -- 150,828,428 -- --
3,404,801 4,597,910 13,642,248 4,524,992 1,168,073 274,842
428,726 525,543 1,305,746 494,147 194,663 62,795
- ------------------------------------------------------------------------------------------------
3,833,527 5,123,453 14,947,994 155,847,567 1,362,736 337,637
- ------------------------------------------------------------------------------------------------
$ 807,035,766 1,230,590,333 3,290,699,109 1,602,342,561 440,637,879 114,499,366
-- -- -- 362,642 10,495 1,634
30,784 15,350 (68,833) (244,390) (30,020) (6,519)
- ------------------------------------------------------------------------------------------------
$ 807,066,550 $1,230,605,683 $3,290,630,276 $1,602,460,813 $440,618,354 $114,494,481
================================================================================================
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
================================================================================================
574,608,995 708,990,271 2,303,703,731 1,514,523,522 440,495,857 70,178,026
108,916,431 137,701,171 794,578,398 59,097,259 142,022 44,321,340
123,510,340 383,898,891 192,416,980 28,918,372 -- --
-- -- -- -- -- --
- ------------------------------------------------------------------------------------------------
807,035,766 1,230,590,333 3,290,699,109 1,602,539,153 440,637,879 114,499,366
================================================================================================
- ------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- ------------------------------------------------------------------------------
Statements of Operations
For the Year Ended December 31, 1996
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
=========================================
<S> <C> <C> <C>
Investment income:
Interest income $81,770,923 $54,320,799 $39,035,321
- ----------------------------------------------------------------------------------------------------------------------
Expenses:
Investment adviser fees 5,185,990 3,447,586 2,509,206
Transfer agent fees 592,685 394,010 286,766
Custodian fees 289,863 203,454 157,058
Professional fees 43,453 28,965 22,465
Trustees' fees 19,256 10,622 9,356
Other 178,787 197,862 186,415
- ----------------------------------------------------------------------------------------------------------------------
Total expenses 6,310,034 4,282,499 3,171,266
Less--Expenses reimbursable and fees waived by Goldman Sachs (234,432) (736,102) (231,536)
- ----------------------------------------------------------------------------------------------------------------------
Net expenses 6,075,602 3,546,397 2,939,730
Administration unit fees 65,534 316,155 63,048
Service unit fees 494,274 128,313 352,931
- ----------------------------------------------------------------------------------------------------------------------
Net expenses and unit fees 6,635,410 3,990,865 3,355,709
- ----------------------------------------------------------------------------------------------------------------------
Net investment income 75,135,513 50,329,934 35,679,612
- ----------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions 72,405 72,865 62,662
- ----------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $75,207,918 $50,402,799 $35,742,274
======================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
=========================================================================================
<S> <C> <C> <C> <C> <C>
$48,666,691 $53,608,537 $146,327,912 $54,107,112 $13,695,668 $3,421,539
----------------------------------------------------------------------------------------
3,157,511 3,629,131 9,496,253 5,391,039 1,410,751 359,201
360,858 414,758 1,085,286 616,119 161,229 41,051
197,650 167,744 459,900 135,944 45,236 21,336
27,555 34,247 77,027 42,553 13,995 6,322
11,552 12,842 34,394 17,650 4,574 1,215
157,226 213,340 423,802 136,197 38,866 7,681
- -----------------------------------------------------------------------------------------
3,912,352 4,472,062 11,576,662 6,339,502 1,674,651 436,806
(212,886) (2,294,583) (4,522,286) (1,564,664) (22,092) (108,395)
----------------------------------------------------------------------------------------
3,699,466 2,177,479 7,054,376 4,774,838 1,652,559 328,411
145,201 145,441 906,321 73,660 262 39,843
579,790 1,266,586 562,023 130,158 -- --
- -----------------------------------------------------------------------------------------
4,424,457 3,589,506 8,522,720 4,978,656 1,652,821 368,254
- -----------------------------------------------------------------------------------------
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
=========================================================================================
</TABLE>
- --------------------------------------------------------------------------------
27
<PAGE>
Goldman Sachs Money Market 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 transactions 72,405 72,865 62,662
- ----------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 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 investment 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 transactions (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) (5,063,361,34) (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.
28
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
=========================================================================================================
<S> <C> <C> <C> <C> <C>
$ 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>
- --------------------------------------------------------------------------------
29
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
Prime Money ILA
Obligations Market Government
Portfolio Portfolio Portfolio
----------------------------------------------
<S> <C> <C> <C>
From Operations:
Net investment income $ 107,583,870 $ 49,478,386 $ 51,830,087
Net realized gain (loss) on investment transactions 14,828 23,170 168,758
- ----------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 107,598,698 49,501,556 51,998,845
- ----------------------------------------------------------------------------------------------------------------------
Distributions to Unitholders from:
Net investment income
ILA units (90,145,210) (39,853,826) (42,814,965)
ILA Administration units (5,198,674) (8,266,526) (3,434,653)
ILA Service units (12,239,986) (1,358,034) (5,580,469)
Net realized gain on investment transactions
ILA units (12,607) (18,166) (138,212)
ILA Administration units (741) (4,378) (12,197)
ILA Service units (1,480) (626) (17,502)
- ----------------------------------------------------------------------------------------------------------------------
Total distributions to unitholders (107,598,698) (49,501,556 ) (51,997,998)
- ----------------------------------------------------------------------------------------------------------------------
From unit transactions (at $1.00 per unit):
Proceeds from sales of units 12,338,624,975 6,865,371,082 6,147,457,376
Reinvestment of dividends and distributions 46,658,797 34,033,174 18,869,484
Cost of units repurchased (13,117,315,317) 6,864,945,994) (6,596,822,965)
- ----------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from unit
transactions (732,031,545) 34,458,262 (430,496,105)
- ----------------------------------------------------------------------------------------------------------------------
Total increase (decrease) (732,031,545) 34,458,262 (430,495,258)
Net Assets:
Beginning of year 2,283,533,300 727,199,084 1,133,933,350
- ----------------------------------------------------------------------------------------------------------------------
End of year $1,551,501,755 $ 761,657,346 $ 703,438,092
- ----------------------------------------------------------------------------------------------------------------------
Accumulated undistributed net investment income -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Summary of unit transactions (at $1.00 per unit):
ILA Units:
Units sold 10,673,706,881 5,167,984,860 5,286,093,615
Reinvestment of dividends and distributions 43,663,215 30,173,260 14,307,877
Units repurchased (11,419,966,319) (5,183,472,607) (5,611,448,715)
- ----------------------------------------------------------------------------------------------------------------------
(702,596,223) 14,685,513 (311,047,223)
- ----------------------------------------------------------------------------------------------------------------------
ILA Administration Units:
Units sold 801,545,537 1,503,847,493 385,128,154
Reinvestment of dividends and distributions 1,574,573 3,545,805 410,476
Units repurchased (889,335,631) (1,488,837,741) (433,455,523)
- ----------------------------------------------------------------------------------------------------------------------
(86,215,521) 18,555,557 (47,916,893)
- ----------------------------------------------------------------------------------------------------------------------
ILA Service Units:
Units sold 863,372,557 193,538,729 476,235,607
Reinvestment of dividends and distributions 1,421,009 314,109 4,151,131
Units repurchased (808,013,367) (192,635,646) (551,918,727)
- ----------------------------------------------------------------------------------------------------------------------
56,780,199 1,217,192 (71,531,989)
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in units (732,031,545) 34,458,262 (430,496,105)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
ILA ILA ILA ILA ILA
Treasury Treasury ILA Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
======================================================================================================
<S> <C> <C> <C> <C> <C>
$ 49,882,996 $ 39,027,924 $ 127,991,600 $ 55,137,781 $ 10,292,899 $ 3,354,557
634,764 426,028 (11,971) (38,116) (4,501) --
- ------------------------------------------------------------------------------------------------------
50,517,760 39,453,952 127,979,629 55,099,665 10,288,398 3,354,557
- ------------------------------------------------------------------------------------------------------
(37,834,730) (31,147,754) (98,487,540) (50,915,901) (10,279,510) (2,746,431)
(5,921,841) (3,930,340) (26,181,728) (2,430,414) (13,389) (608,126)
(6,116,634) (3,949,830) (3,322,332) (1,791,466) -- --
(474,791) (338,176) -- -- -- --
(76,052) (43,832) -- -- -- --
(81,059) (43,878) -- -- -- --
- ------------------------------------------------------------------------------------------------------
(50,505,107) (39,453,810) (127,991,600) (55,137,781) (10,292,899) (3,354,557)
- ------------------------------------------------------------------------------------------------------
5,295,765,985 4,545,981,787 12,879,366,733 9,669,281,502 2,111,844,558 637,393,901
14,985,214 18,329,605 59,359,416 35,116,542 9,384,940 3,009,869
(5,307,633,793) (4,472,240,590) (12,558,288,438) (9,832,589,904) (2,002,625,120) (646,630,502)
- ------------------------------------------------------------------------------------------------------
3,117,406 92,070,802 380,437,711 (128,191,860) 118,604,378 (6,226,732)
- ------------------------------------------------------------------------------------------------------
3,130,059 92,070,944 380,425,740 (128,229,976) 118,599,877 (6,226,732)
920,413,574 686,190,156 1,971,002,416 1,569,234,551 228,188,874 123,487,337
- ------------------------------------------------------------------------------------------------------
$ 923,543,633 $ 778,261,100 $2,351,428,156 $1,441,004,575 $ 346,788,751 $117,260,605
======================================================================================================
-- -- -- $ 362,642 $ 10,495 $ 1,634
======================================================================================================
4,098,618,029 3,716,958,431 9,845,256,084 9,311,743,687 2,111,311,145 412,445,304
12,443,257 17,215,281 53,443,869 34,419,501 9,375,255 2,397,973
(4,113,675,854) (3,695,227,116) (9,792,323,613) (9,438,508,967) (2,001,353,653) (408,825,174)
- ------------------------------------------------------------------------------------------------------
(2,614,568) 38,946,596 106,376,340 (92,345,779) 119,332,747 6,018,103
- ------------------------------------------------------------------------------------------------------
852,080,094 450,755,034 2,431,546,258 230,975,117 533,413 224,948,597
2,541,957 1,065,347 5,373,341 522,467 9,685 611,896
(859,607,724) (447,499,474) (2,249,895,904) (280,499,429) (1,271,467) (237,805,328)
- ------------------------------------------------------------------------------------------------------
(4,985,673) 4,320,907 187,023,695 (49,001,845) (728,369) (12,244,835)
- ------------------------------------------------------------------------------------------------------
345,067,862 378,268,322 602,564,391 126,562,698 -- --
-- 48,977 542,206 174,574 -- --
(334,350,215) (329,514,000) (516,068,921) (113,581,508) -- --
- ------------------------------------------------------------------------------------------------------
10,717,647 48,803,299 87,037,676 13,155,764 -- --
- ------------------------------------------------------------------------------------------------------
3,117,406 92,070,802 380,437,711 (128,191,860) 118,604,378 (6,226,732)
======================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
31
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1996
- --------------------------------------------------------------------------------
1. Organization
Goldman Sachs Money Market Trust (the "Trust"), a business trust organized under
the laws of the Commonwealth of Massachusetts on December 6, 1978, includes the
Goldman Sachs--Institutional Liquid Assets Portfolios ("ILA"). The Trust is
registered under the Investment Company Act of 1940 (as amended) as an open-end
management investment company. ILA consists of nine portfolios: Prime
Obligations, Money Market, Government, Treasury Obligations, Treasury
Instruments, Federal, Tax-Exempt Diversified, Tax-Exempt California and Tax-
Exempt New York. All of the portfolios are diversified except for the Tax-Exempt
California and Tax-Exempt New York Portfolios. ILA offers three classes of units
for each of its portfolios: ILA units, ILA Administration units and ILA Service
units. In addition, Prime Obligations offers ILA 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 require 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 Portfolios' distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or net
realized gain on investment transactions, or from paid-in capital, depending on
the type of book/tax differences that may exist.
At December 31, 1996, ILA's tax year end, the following portfolios had capital
loss carryforwards for U.S. Federal tax purposes of approximately:
<TABLE>
<CAPTION>
Years of
Portfolio Amount Expiration
--------- ------ ----------
<S> <C> <C>
Federal $ 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 to such units as well as other expenses (subject to
expense limitations) which are directly attributable to such units.
- --------------------------------------------------------------------------------
32
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31,1996
- --------------------------------------------------------------------------------
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser pursuant to
an Advisory Agreement. Under the Advisory Agreement, GSAM, subject to general
supervision of the Trust's Board of Trustees, manages the portfolios and
provides for the administration of ILA's other affairs. As compensation for the
services rendered under the Advisory Agreement and the assumption of the
expenses related thereto, GSAM is entitled to a fee, computed daily and payable
monthly, at an annual rate equal to .35% of each portfolio's average daily net
assets. For the year ended December 31, 1996 and until further notice, GSAM has
agreed to waive advisory fees of .05%, .20%, .15%, .10% and .09% 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 .41% of such portfolio's net assets,
the portfolio will be reimbursed in the amount of such excess monthly.
In addition, GSAM has voluntarily agreed to reimburse the Money Market,
Treasury Instruments, Federal, Tax-Exempt Diversified and Tax-Exempt New York
Portfolios to the extent that each portfolio's expenses, as defined above,
exceed .36%, .21%, .26%, .31% and .32%, respectively, of the average net assets
per annum. Amounts due from Goldman Sachs at December 31, 1996 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 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.
The chart below outlines the fee waivers and expense reimbursements for the
year ended December 31, 1996 and amounts owed to and due from Goldman Sachs at
December 31, 1996 (in thousands):
- -------------------------------------------------------------------------------
Due to
Goldman
Sachs Amounts
Adviser Expense for Adviser/ due from
Fee Reimburse- Transfer Goldman
Fund Waived ments Total Agent Fees Sachs
================================================================================
Prime
Obligations
Portfolio $-- $234 $234 $462 $18
- --------------------------------------------------------------------------------
Money
Market
Portfolio 493 243 736 318 34
- --------------------------------------------------------------------------------
Government
Portfolio -- 232 232 265 45
- --------------------------------------------------------------------------------
Treasury
Obligations
Portfolio -- 213 213 267 --
- --------------------------------------------------------------------------------
Treasury
Instruments
Portfolio 2,074 221 2,295 180 10
- --------------------------------------------------------------------------------
Federal
Portfolio 4,070 452 4,522 648 126
- --------------------------------------------------------------------------------
Tax-Exempt
Diversified
Portfolio 1,540 25 1,565 399 --
- --------------------------------------------------------------------------------
Tax-Exempt
California
Portfolio -- 22 22 147 --
- -------------------------------------------------------------------------------
Tax-Exempt
New York
Portfolio 92 16 108 26 --
- -------------------------------------------------------------------------------
33
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1996
- --------------------------------------------------------------------------------
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 year ended
December 31, 1996, ILA did not have any borrowings under this facility.
6. Repurchase Agreements
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the value
of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping by the custodian.
7. Joint Repurchase Agreement Accounts
The ILA Portfolios, together with other registered investment companies having
advisory 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 December 31, 1996, the Prime Obligations, Money Market, Government and
Treasury Obligations Portfolios had investments in the following joint account
of $21,400,000, $77,200,000, $305,000,000 and $327,900,000 in principal amount,
respectively. As of December 31, 1996, the repurchase agreements in this joint
account, along with the corresponding underlying securities (including the type
of security, market value, interest rate and maturity date), were as follows:
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
Repurchase Agreements
BT Securities Corp., dated 12/31/96, repurchase price $200,061,111 (U.S.
Treasury Notes: $154,133,720, 5.75%-6.38%, 08/31/97-04/30/01; U.S.
Treasury Bills: $48,126,398, 06/12/97)
$200,000,000 5.50% 01/02/97 $ 200,000,000
Chase Securities, Inc., dated 12/31/96, repurchase price $1,000,369,444
(U.S. Treasury Notes: $1,020,003,399, 5.00%-9.13%, 11/15/97-5/31/99)
1,000,000,000 6.65 01/02/97 1,000,000,000
Citicorp. Securities, Inc., dated 12/31/96, repurchase price $100,034,722
(U.S. Treasury Notes: $101,974,154, 5.88%-7.50%, 03/31/98-11/15/01)
100,000,000 6.25 01/02/97 100,000,000
Morgan Stanley & Co., dated 12/31/96, repurchase price $1,200,450,000
(U.S. Treasury Notes: $954,150,236, 6.00%-6.25%, 07/31/98-09/30/98;
U.S. Treasury Bills: $270,396,330, 01/23/97-10/16/97)
1,200,000,000 6.75 01/02/97 1,200,000,000
Swiss Bank Corp., dated 12/31/96, repurchase price $140,846,933
(U.S. Treasury Notes: $129,531,177, 4.75%-8.88%,01/15/97-08/15/03; U.S.
Treasury Bills: $14,639,156, 01/30/97-06/26/97)
140,800,000 6.00 01/02/97 140,800,000
Swiss Bank Corp., dated 12/31/96, repurchase price $400,150,000 (U.S.
Treasury Notes: $367,986,300, 4.75%-8.88%, 01/15/97-08/15/03; U.S.
Treasury Bills: $41,588,512, 01/30/97-06/26/97)
400,000,000 6.75 01/02/97 400,000,000
- -------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $3,040,800,000
================================================================================
8. Other Matters
Pursuant to an SEC exemptive order, each taxable Portfolio may enter into
certain principal transactions, including repurchase agreements, with Goldman,
Sachs & Co. subject to certain limitations which include the following: 25% of
eligible security transactions, as defined, and 10% of repurchase agreement
transactions.
- --------------------------------------------------------------------------------
34
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights
Selected Data for a Unit Outstanding Throughout Each Period
Prime Obligations Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
===================================
Net
Net asset realized Total Net asset
value at Net gain on income from value at
beginning investment investment investment Distributions end Total
of period income transactions operations to unitholders of period return/(a)/
==========================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
================================
1996-ILA units ...................... $1.00 $0.0511 -- $0.0511 $(0.0511) $1.00 5.22%
1996-ILA Administration units ....... 1.00 0.0497 -- 0.0497 (0.0497) 1.00 5.06
1996-ILA Service units .............. 1.00 0.0474 -- 0.0474 (0.0474) 1.00 4.80
1996-ILA B units/(b)/................ 1.00 0.0262 -- 0.0262 (0.0262) 1.00 3.97/(d)/
1995-ILA units ...................... 1.00 0.0566 -- 0.0566 (0.0566) 1.00 5.79
1995-ILA Administration units ....... 1.00 0.0551 -- 0.0551 (0.0551) 1.00 5.63
1995-ILA Service units .............. 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.37
1994-ILA units ...................... 1.00 0.0394 -- 0.0394 (0.0394) 1.00 4.07
1994-ILA Administration units ....... 1.00 0.0379 -- 0.0379 (0.0379) 1.00 3.91
1994-ILA Service units .............. 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.66
1993-ILA units ...................... 1.00 0.0291 0.0002 0.0293 (0.0293) 1.00 2.97
1993-ILA Administration units ....... 1.00 0.0275 0.0003 0.0278 (0.0278) 1.00 2.82
1993-ILA Service units .............. 1.00 0.0250 0.0001 0.0251 (0.0252) 1.00 2.56
1992-ILA units ...................... 1.00 0.0364 0.0010 0.0374 (0.0374) 1.00 3.75
1992-ILA Administration units ....... 1.00 0.0339 0.0010 0.0349 (0.0349) 1.00 3.60
1992-ILA Service units .............. 1.00 0.0311 0.0010 0.0321 (0.0320) 1.00 3.34
1991-ILA units ...................... 1.00 0.0591 0.0003 0.0594 (0.0594) 1.00 6.10
1991-ILA Administration units ....... 1.00 0.0568 0.0003 0.0571 (0.0571) 1.00 5.94
1991-ILA Service units .............. 1.00 0.0558 0.0003 0.0561 (0.0561) 1.00 5.68
1990-ILA units ...................... 1.00 0.0793 -- 0.0793 (0.0793) 1.00 8.21
1990-ILA Administration units /(c)/.. 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.81/(d)/
1990-ILA Service units/(c)/.......... 1.00 0.0425 -- 0.0425 (0.0425) 1.00 7.56/(d)/
1989-ILA units ...................... 1.00 0.0890 -- 0.0890 (0.0890) 1.00 9.27
1988-ILA units ...................... 1.00 0.0714 -- 0.0714 (0.0714) 1.00 7.48
1987-ILA units ...................... 1.00 0.0634 -- 0.0634 (0.0634) 1.00 6.50
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
===========================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
===============================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended December 31,
================================
1996-ILA units ...................... 0.41% 5.11% $1,154,787 0.43% 5.09%
1996-ILA Administration units ....... 0.56 4.97 23,738 0.58 4.95
1996-ILA Service units .............. 0.81 4.74 84,707 0.83 4.72
1996-ILA B units/(b)/................ 1.41/(d)/ 4.09/(d)/ 346 1.43/(d)/ 4.07/(d)/
1995-ILA units ...................... 0.41 5.66 1,261,251 0.43 5.64
1995-ILA Administration units ....... 0.56 5.51 63,018 0.58 5.49
1995-ILA Service units .............. 0.81 5.22 227,233 0.83 5.20
1994-ILA units ...................... 0.40 3.94 1,963,846 0.42 3.92
1994-ILA Administration units ....... 0.55 3.79 149,234 0.57 3.77
1994-ILA Service units .............. 0.80 3.65 170,453 0.82 3.63
1993-ILA units ...................... 0.40 2.91 2,332,771 0.42 2.89
1993-ILA Administration units ....... 0.55 2.75 189,431 0.57 2.73
1993-ILA Service units .............. 0.80 2.50 137,804 0.82 2.48
1992-ILA units ...................... 0.40 3.64 3,444,591 0.42 3.62
1992-ILA Administration units ....... 0.55 3.39 257,321 0.57 3.37
1992-ILA Service units .............. 0.80 3.11 22,044 0.82 3.09
1991-ILA units ...................... 0.40 5.91 3,531,736 0.42 5.89
1991-ILA Administration units ....... 0.55 5.68 198,417 0.57 5.66
1991-ILA Service units .............. 0.80 5.58 18,789 0.82 5.56
1990-ILA units ...................... 0.38 7.93 2,833,541 0.38 7.93
1990-ILA Administration units /(c)/.. 0.55/(d)/ 7.62/(d)/ 209,272 0.55/(d)/ 7.62/(d)/
1990-ILA Service units/(c)/.......... 0.80/(d)/ 7.25/(d)/ 19,039 0.80/(d)/ 7.25/(d)/
1989-ILA units ...................... 0.40 8.90 3,761,964 0.40 8.90
1988-ILA units ...................... 0.40 7.14 3,799,628 0.40 7.14
1987-ILA units ...................... 0.40 6.34 5,814,280 0.40 6.34
</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.
35
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Money Market Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
=====================================
Net Net Total
asset realized income Net asset
value at Net gain on from Distributions value at
beginning investment investment investment to end of Total
of period income transactions operations unitholders period return /(a)/
==========================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
===============================
1996-ILA units ............. $1.00 $0.0515 $0.0001 $0.0516 $(0.0516) $1.00 5.27%
1996-ILA Administration
units ................... 1.00 0.0500 0.0001 0.0501 (0.0501) 1.00 5.12
1996-ILA Service units ..... 1.00 0.0475 0.0001 0.0476 (0.0476) 1.00 4.86
1995-ILA units ............. 1.00 0.0571 -- 0.0571 (0.0571) 1.00 5.85
1995-ILA Administration
units ................... 1.00 0.0555 -- 0.0555 (0.0555) 1.00 5.69
1995-ILA Service units ..... 1.00 0.0529 -- 0.0529 (0.0529) 1.00 5.43
1994-ILA units ............. 1.00 0.0401 -- 0.0401 (0.0401) 1.00 4.13
1994-ILA Administration
units ................... 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.98
1994-ILA Service units ..... 1.00 0.0364 -- 0.0364 (0.0364) 1.00 3.72
1993-ILA units ............. 1.00 0.0296 0.0003 0.0299 (0.0299) 1.00 3.03
1993-ILA Administration
units ................... 1.00 0.0281 0.0003 0.0284 (0.0284) 1.00 2.88
1993-ILA Service units ..... 1.00 0.0257 0.0002 0.0259 (0.0259) 1.00 2.62
1992-ILA units ............. 1.00 0.0368 0.0004 0.0372 (0.0372) 1.00 3.76
1992-ILA Administration
units ................... 1.00 0.0356 0.0004 0.0360 (0.0360) 1.00 3.61
1992-ILA Service units ..... 1.00 0.0358 0.0006 0.0364 (0.0364) 1.00 3.35
1991-ILA units ............. 1.00 0.0591 0.0004 0.0595 (0.0595) 1.00 6.12
1991-ILA Administration
units ................... 1.00 0.0574 0.0004 0.0578 (0.0578) 1.00 5.96
1991-ILA Service units ..... 1.00 0.0547 0.0004 0.0551 (0.0551) 1.00 5.70
1990-ILA units ............. 1.00 0.0793 0.0001 0.0794 (0.0794) 1.00 8.24
1990-ILA Administration
units/(c)/............... 1.00 0.0424 0.0001 0.0425 (0.0425) 1.00 7.86/(b)/
1990-ILA Service units/(c)/. 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.61/(b)/
1989-ILA units ............. 1.00 0.0885 0.0001 0.0886 (0.0886) 1.00 9.31
1988-ILA units ............. 1.00 0.0751 -- 0.0751 (0.0751) 1.00 7.66
For the Period December 2, 1987 (commencement of operations) through December 31,
================================================================================
1987-ILA units ............. 1.00 0.0063 -- 0.0063 (0.0063) 1.00 7.38/(b)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
============================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
============================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended December 31,
===============================
1996-ILA units ............. 0.36% 5.15% $703,097 0.43% 5.08%
1996-ILA Administration
units ................... 0.51 5.00 257,258 0.58 4.93
1996-ILA Service units ..... 0.76 4.75 28,845 0.83 4.68
1995-ILA units ............. 0.36 5.71 574,155 0.42 5.65
1995-ILA Administration
units ................... 0.51 5.55 164,422 0.57 5.49
1995-ILA Service units ..... 0.76 5.29 23,080 0.82 5.23
1994-ILA units ............. 0.35 4.01 559,470 0.43 3.93
1994-ILA Administration
units ................... 0.50 3.88 145,867 0.58 3.80
1994-ILA Service units ..... 0.75 3.61 21,862 0.83 3.53
1993-ILA units ............. 0.35 2.96 699,604 0.43 2.88
1993-ILA Administration
units ................... 0.50 2.81 150,452 0.58 2.73
1993-ILA Service units ..... 0.75 2.57 11,166 0.83 2.49
1992-ILA units ............. 0.35 3.68 884,571 0.43 3.60
1992-ILA Administration
units ................... 0.50 3.56 187,445 0.58 3.48
1992-ILA Service units ..... 0.75 3.58 15,114 0.83 3.50
1991-ILA units ............. 0.35 5.91 1,153,191 0.42 5.84
1991-ILA Administration
units ................... 0.50 5.74 210,330 0.57 5.67
1991-ILA Service units ..... 0.75 5.47 56,586 0.82 5.40
1990-ILA units ............. 0.35 7.93 924,141 0.40 7.88
1990-ILA Administration
units/(c)/............... 0.50/(b)/ 7.63/(b)/ 204,477 0.55/(b)/ 7.58/(b)/
1990-ILA Service units/(c)/. 0.75/(b)/ 7.46/(b)/ 38,128 0.80/(b)/ 7.41/(b)/
1989-ILA units ............. 0.35 8.85 1,295,389 0.40 8.80
1988-ILA units ............. 0.27 7.51 701,105 0.40 7.38
For the Period December 2, 1987 (commencement of operations) through December 31,
================================================================================
1987-ILA units ............. 0.15/(b)/ 7.62/(b)/ 183,633 0.40/(b)/ 7.37/(b)/
- -------------
</TABLE>
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/ILA Administration and Service unit activity commenced during June of 1990.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Government Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
=====================================
Net Net Total
asset realized income Net asset
value at Net (gain) on from Distributions value at
beginning investment investment investment to end of Total
of period income transactions operations unitholders period return /(a)/
==========================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
================================
1996-ILA units ............. $1.00 $0.0504 $ 0.0001 $0.0505 $(0.0504) $1.00 5.15%
1996-ILA Administration
units ................... 1.00 0.0489 0.0001 0.0490 (0.0489) 1.00 4.99
1996-ILA Service units ..... 1.00 0.0463 0.0001 0.0464 (0.0463) 1.00 4.73
1995-ILA units ............. 1.00 0.0562 0.0002 0.0564 (0.0564) 1.00 5.77
1995-ILA Administration
units ................... 1.00 0.0549 0.0002 0.0551 (0.0551) 1.00 5.62
1995-ILA Service units ..... 1.00 0.0519 0.0002 0.0521 (0.0521) 1.00 5.35
1994-ILA units ............. 1.00 0.0378 0.0002 0.0380 (0.0380) 1.00 3.94
1994-ILA Administration
units ................... 1.00 0.0362 0.0002 0.0364 (0.0364) 1.00 3.79
1994-ILA Service units ..... 1.00 0.0350 0.0002 0.0352 (0.0352) 1.00 3.53
1993-ILA units ............. 1.00 0.0282 0.0008 0.0290 (0.0291) 1.00 2.94
1993-ILA Administration 1.00 0.0267 0.0008 0.0275 (0.0276) 1.00 2.79
units ...................
1993-ILA Service units ..... 1.00 0.0242 0.0006 0.0248 (0.0250) 1.00 2.53
1992-ILA units ............. 1.00 0.0338 0.0027 0.0365 (0.0364) 1.00 3.70
1992-ILA Administration
units ................... 1.00 0.0325 0.0027 0.0352 (0.0351) 1.00 3.55
1992-ILA Service units ..... 1.00 0.0309 0.0030 0.0339 (0.0336) 1.00 3.29
1991-ILA units ............. 1.00 0.0567 0.0011 0.0578 (0.0578) 1.00 5.91
1991-ILA Administration
units ................... 1.00 0.0545 0.0011 0.0556 (0.0556) 1.00 5.75
1991-ILA Service units ..... 1.00 0.0522 0.0011 0.0533 (0.0533) 1.00 5.49
1990-ILA units ............. 1.00 0.0779 0.0003 0.0782 (0.0782) 1.00 8.11
1990-ILA Administration
units (c)................ 1.00 0.0439 0.0004 0.0443 (0.0443) 1.00 7.74/(b)/
1990-ILA Service units (c).. 1.00 0.0359 0.0002 0.0361 (0.0363) 1.00 7.42/(b)/
1989-ILA units ............. 1.00 0.0877 0.0001 0.0878 (0.0878) 1.00 9.15
1988-ILA units ............. 1.00 0.0716 0.0002 0.0718 (0.0718) 1.00 7.42
1987-ILA units ............. 1.00 0.0622 0.0001 0.0623 (0.0624) 1.00 6.43
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
============================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
===========================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended December 31,
================================
1996-ILA units ............. 0.41% 5.04% $694,651 0.44% 5.01%
1996-ILA Administration
units ................... 0.56 4.89 36,055 0.59 4.86
1996-ILA Service units ..... 0.81 4.63 94,228 0.84 4.60
1995-ILA units ............. 0.41 5.62 570,469 0.43 5.60
1995-ILA Administration
units ................... 0.56 5.49 47,558 0.58 5.47
1995-ILA Service units ..... 0.81 5.19 85,401 0.83 5.17
1994-ILA units ............. 0.40 3.78 881,520 0.44 3.74
1994-ILA Administration
units ................... 0.55 3.62 95,483 0.59 3.58
1994-ILA Service units ..... 0.80 3.50 156,930 0.84 3.46
1993-ILA units ............. 0.40 2.82 1,315,378 0.43 2.79
1993-ILA Administration
units ................... 0.55 2.67 161,845 0.58 2.64
1993-ILA Service units ..... 0.80 2.42 101,272 0.83 2.39
1992-ILA units ............. 0.40 3.38 1,785,472 0.42 3.36
1992-ILA Administration
units ................... 0.55 3.25 461,542 0.57 3.23
1992-ILA Service units ..... 0.80 3.09 56,389 0.82 3.07
1991-ILA units ............. 0.40 5.67 2,103,627 0.43 5.64
1991-ILA Administration
units ................... 0.55 5.45 464,060 0.58 5.42
1991-ILA Service units ..... 0.80 5.22 200,176 0.83 5.19
1990-ILA units ............. 0.39 7.79 2,203,756 0.39 7.79
1990-ILA Administration
units (c)................ 0.55/(b) 7.49/(b)/ 296,313 0.55/(b)/ 7.49/(b)/
1990-ILA Service units (c).. 0.80/(b)/ 7.15/(b)/ 132,888 0.80/(b)/ 7.15/(b)/
1989-ILA units ............. 0.40 8.77 2,268,330 0.40 8.77
1988-ILA units ............. 0.40 7.16 2,197,796 0.40 7.16
1987-ILA units ............. 0.40 6.22 2,243,870 0.40 6.22
- -------------
</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.
37
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
Financial Highlights (continued)
- -------------------------------------------------------------------------------
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
===================================
Net
Net asset realized Total Net asset
value at Net gain on income from value at
beginning investment investment investment Distributions end of Total
of period income transaction operation to unitholders period return/(a)/
====================================================================================
For the Years Ended December 31,
================================
<S> <C> <C> <C> <C> <C> <C> <C>
1996-ILA units ............................. $1.00 $0.0498 $0.0002 $0.0500 $(0.0500) $1.00 5.11%
1996-ILA Administration units .............. 1.00 0.0483 0.0003 0.0486 (0.0486) 1.00 4.95
1996-ILA Service units ..................... 1.00 0.0459 0.0001 0.0460 (0.0460) 1.00 4.69
1995-ILA units ............................. 1.00 0.0551 0.0007 0.0558 (0.0558) 1.00 5.73
1995-ILA Administration units .............. 1.00 0.0537 0.0007 0.0544 (0.0544) 1.00 5.57
1995-ILA Service units ..................... 1.00 0.0511 0.0007 0.0518 (0.0518) 1.00 5.31
1994-ILA units ............................. 1.00 0.0377 -- 0.0377 (0.0377) 1.00 3.91
1994-ILA Administration units .............. 1.00 0.0368 -- 0.0368 (0.0368) 1.00 3.75
1994-ILA Service units ..................... 1.00 0.0340 -- 0.0340 (0.0340) 1.00 3.49
1993-ILA units ............................. 1.00 0.0279 0.0006 0.0285 (0.0286) 1.00 2.89
1993-ILA Administration units .............. 1.00 0.0264 0.0006 0.0270 (0.0270) 1.00 2.74
1993-ILA Service units ..................... 1.00 0.0239 0.0006 0.0245 (0.0246) 1.00 2.48
1992-ILA units ............................. 1.00 0.0339 0.0025 0.0364 (0.0362) 1.00 3.65
1992-ILA Administration units .............. 1.00 0.0320 0.0023 0.0343 (0.0343) 1.00 3.49
1992-ILA Service units ..................... 1.00 0.0294 0.0024 0.0318 (0.0318) 1.00 3.23
1991-ILA units ............................. 1.00 0.0557 0.0018 0.0575 (0.0575) 1.00 5.90
1991-ILA Administration units .............. 1.00 0.0540 0.0018 0.0558 (0.0558) 1.00 5.74
1991-ILA Service units ..................... 1.00 0.0515 0.0018 0.0533 (0.0533) 1.00 5.48
1990-ILA units ............................. 1.00 0.0772 0.0002 0.0774 (0.0774) 1.00 8.05
1990-ILA Administration units /(c)/......... 1.00 0.0413 0.0002 0.0415 (0.0415) 1.00 7.67/(b)/
1990-ILA Service units /(c)/................ 1.00 0.0417 0.0003 0.0420 (0.0421) 1.00 7.42/(b)/
1989-ILA units ............................. 1.00 0.0864 0.0005 0.0869 (0.0869) 1.00 9.06
1988-ILA units ............................. 1.00 0.0704 0.0004 0.0708 (0.0708) 1.00 7.30
1987-ILA units ............................. 1.00 0.0617 0.0002 0.0619 (0.0619) 1.00 6.32
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
======================
Ratio Ratio of net Ratio of net
of net investment Net Ratio of net investment
expenses income to assets at expenses to income to
to average of average end of period average net average net
net assets net assets (in 000's) assets assets
=============================================================================
For the Years Ended December 31,
================================
1996-ILA units .................................. 0.41% 4.98% $574,734 0.43% 4.96%
1996-ILA Administration units ................... 0.56 4.83 108,850 0.58 4.81
1996-ILA Service units .......................... 0.81 4.59 123,483 0.83 4.57
1995-ILA units .................................. 0.41 5.51 711,209 0.43 5.49
1995-ILA Administration units ................... 0.56 5.37 92,643 0.58 5.35
1995-ILA Service units .......................... 0.81 5.11 119,692 0.83 5.09
1994-ILA units .................................. 0.40 3.77 713,816 0.44 3.73
1994-ILA Administration units ................... 0.55 3.68 97,626 0.59 3.64
1994-ILA Service units .......................... 0.80 3.40 108,972 0.84 3.35
1993-ILA units .................................. 0.40 2.79 969,565 0.43 2.76
1993-ILA Administration units ................... 0.55 2.64 121,327 0.58 2.61
1993-ILA Service units .......................... 0.80 2.39 185,506 0.83 2.36
1992-ILA units .................................. 0.40 3.39 1,328,036 0.43 3.36
1992-ILA Administration units ................... 0.55 3.20 152,804 0.58 3.17
1992-ILA Service units .......................... 0.80 2.94 183,208 0.83 2.91
1991-ILA units .................................. 0.40 5.57 1,709,321 0.43 5.54
1991-ILA Administration units ................... 0.55 5.40 146,795 0.58 5.37
1991-ILA Service units .......................... 0.80 5.15 154,419 0.83 5.12
1990-ILA units .................................. 0.39 7.72 1,816,991 0.39 7.72
1990-ILA Administration units /(c)/.............. 0.55/(b)/ 7.42/(b)/ 132,088 0.55/(b)/ 7.42/(b)/
1990-ILA Service units /(c)/..................... 0.80/(b)/ 7.11/(b)/ 148,323 0.80/(b)/ 7.11/(b)/
1989-ILA units .................................. 0.40 8.64 1,769,974 0.40 8.64
1988-ILA units .................................. 0.40 7.04 1,657,215 0.40 7.04
1987-ILA units .................................. 0.40 6.17 1,693,767 0.40 6.17
</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 Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Instruments Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
========================================
Net asset Net realized Total Net asset
value at Net gain income from Distributions value at
beginning investment on investment investment to end Total /(a)/
of period income transcations operations unitholders of period return
===================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
================================
1996-ILA units ............. $1.00 $0.0496 $0.0004 $0.0500 $(0.0500) $1.00 5.10%
1996-ILA Administration
units ................... 1.00 0.0482 0.0004 0.0486 (0.0486) 1.00 4.95
1996-ILA Service units ..... 1.00 0.0456 0.0004 0.0460 (0.0460) 1.00 4.68
1995-ILA units ............. 1.00 0.0550 0.0006 0.0556 (0.0556) 1.00 5.70
1995-ILA Administration
units ................... 1.00 0.0534 0.0007 0.0541 (0.0540) 1.00 5.54
1995-ILA Service units ..... 1.00 0.0500 0.0005 0.0505 (0.0505) 1.00 5.28
1994-ILA units ............. 1.00 0.0397 0.0001 0.0398 (0.0398) 1.00 4.01
1994-ILA Administration
units ................... 1.00 0.0397 0.0001 0.0398 (0.0398) 1.00 3.85
1994-ILA Service units ..... 1.00 0.0371 0.0001 0.0372 (0.0372) 1.00 3.59
1993-ILA units ............. 1.00 0.0288 0.0006 0.0294 (0.0294) 1.00 2.98
1993-ILA Administration
units ................... 1.00 0.0273 0.0006 0.0279 (0.0279) 1.00 2.83
1993-ILA Service units ..... 1.00 0.0248 0.0006 0.0254 (0.0254) 1.00 2.57
1992-ILA units ............. 1.00 0.0338 0.0012 0.0350 (0.0350) 1.00 3.54
1992-ILA Administration
units ................... 1.00 0.0326 0.0012 0.0338 (0.0338) 1.00 3.38
1992-ILA Service units ..... 1.00 0.0275 0.0011 0.0286 (0.0286) 1.00 3.13
For the Period January 30, 1991 (commencement of operations) through December 31,
=================================================================================
1991-ILA units ............. 1.00 0.0486 0.0013 0.0499 (0.0499) 1.00 5.75/(b)/
1991-ILA Administration
units /(c)/.............. 1.00 0.0210 0.0010 0.0220 (0.0220) 1.00 5.21/(b)/
1991-ILA Service units /(c)/ 1.00 0.0473 0.0009 0.0482 (0.0482) 1.00 5.33/(b)/
</TABLE>
<TABLE>
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
====================================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
=============================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended December 31,
================================
1996-ILA units ............. 0.21% 4.96% $708,999 0.43% 4.74%
1996-ILA Administration
units ................... 0.36 4.82 137,706 0.58 4.60
1996-ILA Service units ..... 0.61 4.56 383,901 0.83 4.34
1995-ILA units ............. 0.21 5.50 586,294 0.44 5.27
1995-ILA Administration
units ................... 0.36 5.34 68,713 0.59 5.11
1995-ILA Service units ..... 0.61 5.00 123,254 0.84 4.77
1994-ILA units ............. 0.20 3.96 547,351 0.43 3.73
1994-ILA Administration
units ................... 0.35 3.97 64,388 0.58 3.74
1994-ILA Service units ..... 0.60 3.72 74,451 0.83 3.49
1993-ILA units ............. 0.20 2.88 456,411 0.44 2.64
1993-ILA Administration
units ................... 0.35 2.73 26,553 0.59 2.49
1993-ILA Service units ..... 0.60 2.48 34,014 0.84 2.24
1992-ILA units ............. 0.18 3.38 422,506 0.45 3.11
1992-ILA Administration
units ................... 0.33 3.26 6,915 0.60 2.99
1992-ILA Service units ..... 0.58 2.75 29,522 0.85 2.48
For the Period January 30, 1991 through December 31,
====================================================
1991-ILA units ............. 0.10/(b)/ 5.28/(b)/ 424,436 0.45/(b)/ 4.93/(b)/
1991-ILA Administration
units /(c)/.............. 0.25/(b)/ 4.77/(b)/ 17,649 0.60/(b)/ 4.42/(b)/
1991-ILA Service units /(c)/ 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.
39
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Federal Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
--------------------------------------
Net
asset Net realized Total
value at gain income Net asset
beginning Net on from Distributions value at
of investment investment investment to end Total
period income transactions operations unitholders of period return(a)
======================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1996-ILA units ....................... $1.00 $0.0513 -- $0.0513 $(0.0513) $1.00 5.24%
1996-ILA Administration units......... 1.00 0.0498 -- 0.0498 (0.0498) 1.00 5.09
1996-ILA Service units ............... 1.00 0.0473 -- 0.0473 (0.0473) 1.00 4.83
1995-ILA units ....................... 1.00 0.0569 -- 0.0569 (0.0569) 1.00 5.83
1995-ILA Administration units ........ 1.00 0.0550 -- 0.0550 (0.0550) 1.00 5.67
1995-ILA Service units ............... 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.41
1994-ILA units ....................... 1.00 0.0407 -- 0.0407 (0.0407) 1.00 4.11
1994-ILA Administration units ........ 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.95
1994-ILA Service units ............... 1.00 0.0392 -- 0.0392 (0.0392) 1.00 3.69
1993-ILA units ....................... 1.00 0.0296 -- 0.0296 (0.0296) 1.00 3.00
1993-ILA Administration units ........ 1.00 0.0281 -- 0.0281 (0.0281) 1.00 2.84
1993-ILA Service units/(c)/........... 1.00 0.0157 -- 0.0157 (0.0157) 1.00 2.56/(b)/
1992-ILA units ....................... 1.00 0.0358 -- 0.0358 (0.0358) 1.00 3.61
1992-ILA Administration units ........ 1.00 0.0340 -- 0.0340 (0.0340) 1.00 3.46
1991-ILA units ....................... 1.00 0.0576 -- 0.0576 (0.0576) 1.00 5.94
1991-ILA Administration units ........ 1.00 0.0542 -- 0.0542 (0.0542) 1.00 5.78
1991-ILA Service units/(c)/........... 1.00 0.0196 -- 0.0196 (0.0196) 1.00 5.55/(b)/
1990-ILA units ....................... 1.00 0.0772 -- 0.0772 (0.0772) 1.00 8.06
1990-ILA Administration units/(d)/.... 1.00 0.0205 -- 0.0205 (0.0205) 1.00 7.39/(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)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
---------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
====================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1996-ILA units ....................... 0.26% 5.13% $2,303,677 0.43% 4.96%
1996-ILA Administration units......... 0.41 4.98 794,537 0.58 4.81
1996-ILA Service units ............... 0.66 4.73 192,416 0.83 4.56
1995-ILA units ....................... 0.26 5.69 1,731,935 0.42 5.53
1995-ILA Administration units ........ 0.41 5.50 516,917 0.57 5.34
1995-ILA Service units ............... 0.66 5.22 102,576 0.82 5.06
1994-ILA units ....................... 0.25 4.07 1,625,567 0.42 3.90
1994-ILA Administration units ........ 0.40 3.88 329,896 0.57 3.71
1994-ILA Service units ............... 0.65 3.92 15,539 0.82 3.75
1993-ILA units ....................... 0.25 2.96 1,430,292 0.42 2.79
1993-ILA Administration units ........ 0.40 2.81 362,401 0.57 2.64
1993-ILA Service units/(c)/........... 0.65/(b)/ 2.54/(b)/ 1,425 0.82/(b)/ 2.37/(b)/
1992-ILA units ....................... 0.25 3.58 1,600,989 0.42 3.41
1992-ILA Administration units ........ 0.40 3.40 312,792 0.57 3.23
1991-ILA units ....................... 0.25 5.76 1,656,232 0.42 5.59
1991-ILA Administration units ........ 0.40 5.42 291,810 0.57 5.25
1991-ILA Service units/(c)/........... 0.65/(b)/ 5.56/(b)/ -- 0.82/(b)/ 5.39/(b)/
1990-ILA units ....................... 0.25 7.72 1,368,765 0.40 7.57
1990-ILA Administration units/(d)/.... 0.40/(b)/ 7.25/(b)/ 90,748 0.55/(b)/ 7.10/(b)/
For the Period May 22, 1989 (commencement of operations) through December 31,
- -----------------------------------------------------------------------------
1989-ILA units ....................... 0.19/(b)/ 8.41/(b)/ 455,230 0.40/(b)/ 8.20/(b)/
</TABLE>
- ----------------
/(a)/ Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/ Annualized.
/(c)/ ILA Service unit activity commenced during April of 1991; no shares were
outstanding during the period from August 7, 1991 through May 15, 1993.
(d)ILA Administration unit activity commenced during September of 1990.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
Goldman Sachs--Institutional Liquid Assets
- ------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt Diversified Portfolio
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
======================================
Net
Net asset realized Total Net asset
value at Net gain(loss) income from value at
beginning investment on investment investment Distributions end of Total
of period income transactions operations to unitholders period return/(a)/
===============================================================================================
For the Years Ended December 31,
================================
<S> <C> <C> <C> <C> <C> <C> <C>
1996-ILA units ..................... $1.00 $0.0320 $ $0.0320 $(0.0320) $1.00 3.25%
1996-ILA Administration units....... 1.00 0.0306 -- 0.0306 (0.0306) 1.00 3.09
1996-ILA Service units ............. 1.00 0.0279 -- 0.0279 (0.0279) 1.00 2.84
1995-ILA units ..................... 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.72
1995-ILA Administration units....... 1.00 0.0351 -- 0.0351 (0.0352) 1.00 3.57
1995-ILA Service units ............. 1.00 0.0324 -- 0.0324 (0.0325) 1.00 3.31
1994-ILA units ..................... 1.00 0.0264 -- 0.0264 (0.0264) 1.00 2.71
1994-ILA Administration units....... 1.00 0.0250 -- 0.0250 (0.0250) 1.00 2.55
1994-ILA Service units ............. 1.00 0.0220 -- 0.0220 (0.0220) 1.00 2.30
1993-ILA units ..................... 1.00 0.0222 -- 0.0222 (0.0222) 1.00 2.25
1993-ILA Administration units....... 1.00 0.0207 -- 0.0207 (0.0207) 1.00 2.09
1993-ILA Service units ............. 1.00 0.0183 -- 0.0183 (0.0183) 1.00 1.84
1992-ILA units ..................... 1.00 0.0277 -- 0.0277 (0.0277) 1.00 2.82
1992-ILA Administration units....... 1.00 0.0266 -- 0.0266 (0.0266) 1.00 2.67
1992-ILA Service units ............. 1.00 0.0243 -- 0.0243 (0.0243) 1.00 2.41
1991-ILA units ..................... 1.00 0.0424 -- 0.0424 (0.0424) 1.00 4.33
1991-ILA Administration units....... 1.00 0.0406 -- 0.0406 (0.0406) 1.00 4.17
1991-ILA Service units ............. 1.00 0.0386 -- 0.0386 (0.0386) 1.00 3.91
1990-ILA units ..................... 1.00 0.0550 (0.0001) 0.0549 (0.0549) 1.00 5.64
1990-ILA Administration units /(c)/. 1.00 0.0301 -- 0.0301 (0.0300) 1.00 5.43/(b)/
1990-ILA Service units /(c)/........ 1.00 0.0259 -- 0.0259 (0.0259) 1.00 5.17/(b)/
1989-ILA units ..................... 1.00 0.0591 (0.0001) 0.0590 (0.0590) 1.00 6.07
1988-ILA units ..................... 1.00 0.0487 0.0003 0.0490 (0.0490) 1.00 5.03
1987-ILA units ..................... 1.00 0.0413 (0.0003) 0.0410 (0.0410) 1.00 4.23
<CAPTION>
Ratio assuming no
waiver of fees and no
expense limitation
==============================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
===================================================================================
For the Years Ended December 31,
================================
<S> <C> <C> <C> <C> <C>
1996-ILA units ..................... 0.31% 3.20% $1,514,443 0.41% 3.10%
1996-ILA Administration units....... 0.46 3.06 59,097 0.56 2.96
1996-ILA Service units ............. 0.71 2.79 28,921 0.81 2.69
1995-ILA units ..................... 0.31 3.65 $1,342,585 0.42 3.54
1995-ILA Administration units....... 0.46 3.51 48,773 0.57 3.40
1995-ILA Service units ............. 0.71 3.24 49,647 0.82 3.13
1994-ILA units ..................... 0.30 2.64 1,434,965 0.41 2.53
1994-ILA Administration units....... 0.45 2.50 97,778 0.56 2.39
1994-ILA Service units ............. 0.70 2.20 36,492 0.81 2.09
1993-ILA units ..................... 0.30 2.22 1,769,477 0.41 2.11
1993-ILA Administration units....... 0.45 2.08 99,896 0.56 1.97
1993-ILA Service units ............. 0.70 1.83 45,172 0.81 1.72
1992-ILA units ..................... 0.30 2.77 1,333,925 0.42 2.65
1992-ILA Administration units....... 0.45 2.66 50,225 0.57 2.54
1992-ILA Service units ............. 0.70 2.43 29,534 0.82 2.31
1991-ILA units ..................... 0.32 4.24 1,044,986 0.42 4.14
1991-ILA Administration units....... 0.47 4.06 37,567 0.57 3.96
1991-ILA Service units ............. 0.72 3.86 52,399 0.82 3.76
1990-ILA units ..................... 0.40 5.50 603,895 0.40 5.50
1990-ILA Administration units /(c)/. 0.55/(b)/ 5.40/(b)/ 42,498 0.55/(b)/ 5.40/(b)/
1990-ILA Service units /(c)/........ 0.80/(b)/ 5.16/(b)/ 56,810 0.80/(b)/ 5.16/(b)/
1989-ILA units ..................... 0.40 5.91 688,556 0.40 5.91
1988-ILA units ..................... 0.40 4.87 907,782 0.40 4.87
1987-ILA units ..................... 0.40 4.13 965,714 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.
41
<PAGE>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt California Portfolio
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
=====================================
Net Net Total
asset realized income Net asset
value at Net (loss) on from Distributions value at
beginning investment investment investment to end of Total
of period income transactions operations unitholders period return /(a)/
==========================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended
December 31,
==========================
1996-ILA units ............. $1.00 $0.0299 -- $0.0299 $(0.0299) $1.00 3.03%
1996-ILA Administration
units ................... 1.00 0.0284 -- 0.0284 (0.0284) 1.00 2.88
1995-ILA units ............. 1.00 0.0349 -- 0.0349 (0.0350) 1.00 3.55
1995-ILA Administration
units ................... 1.00 0.0332 -- 0.0332 (0.0332) 1.00 3.40
1994-ILA units ............. 1.00 0.0250 -- 0.0250 (0.0250) 1.00 2.53
1994-ILA Administration
units ................... 1.00 0.0233 -- 0.0233 (0.0233) 1.00 2.37
1993-ILA units ............. 1.00 0.0206 -- 0.0206 (0.0206) 1.00 2.09
1993-ILA Administration
units ................... 1.00 0.0191 -- 0.0191 (0.0191) 1.00 1.93
1993-ILA Service units ..... 1.00 0.0166 -- 0.0166 (0.0166) 1.00 1.68
1992-ILA units ............. 1.00 0.0256 (0.0001) 0.0255 (0.0256) 1.00 2.62
1992-ILA Administration
units ................... 1.00 0.0235 (0.0002) 0.0233 (0.0235) 1.00 2.47
1992-ILA Service units (c).. 1.00 0.0081 -- 0.0081 (0.0081) 1.00 1.99/(b)/
1991-ILA units ............. 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.92
1991-ILA Administration
units ................... 1.00 0.0376 -- 0.0376 (0.0376) 1.00 3.80
1990-ILA units ............. 1.00 0.0511 (0.0001) 0.0510 (0.0511) 1.00 5.24
1990-ILA Administration
units (c)................ 1.00 0.0042 -- 0.0042 (0.0042) 1.00 5.14/(b)/
1989-ILA units ............. 1.00 0.0573 (0.0001) 0.0572 (0.0572) 1.00 5.93
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)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
============================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net period of average net average net
assets assets (in 000's) assets assets
===========================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended
December 31,
==========================
1996-ILA units ............. 0.41% 2.99% $440,476 0.42% 2.98%
1996-ILA Administration
units ................... 0.56 2.84 142 0.57 2.83
1995-ILA units ............. 0.41 3.49 346,728 0.41 3.49
1995-ILA Administration
units ................... 0.56 3.32 61 0.56 3.32
1994-ILA units ............. 0.40 2.50 227,399 0.41 2.49
1994-ILA Administration
units ................... 0.55 2.33 790 0.56 2.32
1993-ILA units ............. 0.40 2.06 229,839 0.44 2.02
1993-ILA Administration
units ................... 0.55 1.91 1,425 0.59 1.87
1993-ILA Service units ..... 0.76 1.66 -- 0.84 1.54
1992-ILA units ............. 0.40 2.56 161,868 0.47 2.49
1992-ILA Administration
units ................... 0.55 2.35 31 0.62 2.28
1992-ILA Service units (c).. 0.80/(b)/ 3 0.87/(b)/ 1.96/(b)/
2.03(b)
1991-ILA units ............. 0.40 3.88 102,494 0.47 3.81
1991-ILA Administration
units ................... 0.55 3.76 13 0.62 3.69
1990-ILA units ............. 0.40 5.11 106,972 0.40 5.11
1990-ILA Administration
units (c)................ 0.55/(b)/ 5.33(b) 68 0.55/(b)/ 5.33/(b)/
1989-ILA units ............. 0.40 5.73 112,463 0.40 5.73
For the Period October 3, 1988 (commencement of
operations) through December 31,
=========================================================
1988-ILA units ............. 0.24/(b)/ 5.74/(b)/ 41,028 0.38/(b)/ 5.60/(b)/
- -------------
</TABLE>
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/ILA Administration and Service unit activity commenced during December of
1990 and August of 1992, respectively. No service shares were outstanding
for the years ended December 31, 1996, 1995, 1994.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
42
<PAGE>
<TABLE>
<CAPTION>
Goldman Sachs Money Market Trust--Institutional Liquid Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt New York Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
----------------------------------------
Net asset Net realized Total Net asset
value at Net loss income from value at
beginning investment on investment investment Distribution end Total
of period income transactions operations to unitholders of period return(a)
=============================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- ---------------------------------
1996-ILA units ..................... $1.00 $0.0301 -- $0.0301 $(0.0301) $1.00 3.05%
1996-ILA Administration units ...... 1.00 0.0288 -- 0.0288 (0.0288) 1.00 2.90
1995-ILA units ..................... 1.00 0.0344 -- 0.0344 (0.0344) 1.00 3.51
1995-ILA Administration units ...... 1.00 0.0328 -- 0.0328 (0.0328) 1.00 3.35
1994-ILA units ..................... 1.00 0.0262 -- 0.0262 (0.0262) 1.00 2.56
1994-ILA Administration units ...... 1.00 0.0247 -- 0.0247 (0.0247) 1.00 2.41
1993-ILA units ..................... 1.00 0.0221 -- 0.0221 (0.0221) 1.00 2.21
1993-ILA Administration units ...... 1.00 0.0205 -- 0.0205 (0.0205) 1.00 2.05
1992-ILA units ..................... 1.00 0.0265 -- 0.0265 (0.0265) 1.00 2.71
1992-ILA Administration units ...... 1.00 0.0253 -- 0.0253 (0.0253) 1.00 2.55
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)/
1991-ILA Administration units /(c)/. 1.00 0.0330 -- 0.0330 (0.0330) 1.00 3.87/(b)/
- --------------------
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
============================================================================
<S> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- ---------------------------------
1996-ILA units ..................... 0.32% 3.01% $70,175 0.43% 2.90%
1996-ILA Administration units ...... 0.47 2.88 44,319 0.58 2.77
1995-ILA units ..................... 0.30 3.44 90,537 0.44 3.30
1995-ILA Administration units ...... 0.45 3.28 26,724 0.59 3.14
1994-ILA units ..................... 0.24 2.62 84,517 0.47 2.39
1994-ILA Administration units ...... 0.39 2.47 38,970 0.62 2.24
1993-ILA units ..................... 0.10 2.21 48,367 0.51 1.80
1993-ILA Administration units ...... 0.25 2.05 20,306 0.66 1.64
1992-ILA units ..................... 0.10 2.65 16,844 0.57 2.18
1992-ILA Administration units ...... 0.25 2.53 14,641 0.72 2.06
For the Period February 15, 1991 (commencement of operations) through December 31,
- -----------------------------------------------------------------------------------
1991-ILA units ..................... 0.10/(b)/ 3.96/(b)/ 11,070 0.76/(b)/ 3.30/(b)/
1991-ILA Administration units/(c)/.. 0.25/(b)/ 3.90/(b)/ 19,198 0.91/(b)/ 3.24/(b)/
</TABLE>
- -------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
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.
43
<PAGE>
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------------------------------------------------
To the Unitholders and Board of Trustees of Goldman Sachs Money Market
Trust--Institutional Liquid Assets:
We have audited the accompanying statements of assets and liabilities of
Goldman Sachs Money Market Trust--Institutional Liquid Assets (a Massachusetts
business trust comprising the Prime Obligations, Money Market, Government,
Treasury Obligations, Treasury Instruments, Federal, Tax-Exempt Diversified,
Tax-Exempt California and Tax-Exempt New York Portfolios), including the
statements of investments as of December 31, 1996, and the related statements of
operations for the year then ended, and the statements of changes in net assets
and the financial highlights for the periods presented. These financial
statements and the financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and the financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and the financial highlights
referred to above present fairly, in all material respects, the financial
position of each of the respective portfolios constituting Goldman Sachs Money
Market Trust--Institutional Liquid Assets as of December 31, 1996, the results
of their operations for the year then ended, the changes in their net assets and
the financial highlights for the periods presented, in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Boston, Massachusetts
February 10, 1997
- -------------------------------------- ----------------------------------------
44
<PAGE>
- --------------------------------------------------------------------------------
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- -------------------------------------- -----------------------------------------
45
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------ -----------------------------------------
[This page intentionally left blank]
- ------------------------------------ -----------------------------------------
46
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
This Annual Report is authorized for distribution to prospective investors only
when preceded or accompanied by a Goldman Sachs Money Market
Trust--Institutional Liquid Assets Portfolios' Prospectus which contains facts
concerning each Fund's objectives and policies, management, expenses and other
information.
- --------------------------------------------------------------------------------
47
<PAGE>
================================================================================
Goldman Sachs
1 New York Plaza
New York, NY 10004
Trustees
Ashok N. Bakhru, Chairman
David B. Ford
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
Officers
Douglas C. Grip, President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Goldman Sachs
Investment Adviser,
Distributor and Transfer Agent
Goldman Sachs
Money Market Trust
Institutional
Liquid Assets
- --------------------------------------------------------------------------------
Annual Report
December 31, 1996
Prime Obligations Portfolio
Money Market Portfolio
Government Portfolio
Treasury Obligations Portfolio
Treasury Instruments Portfolio
Federal Portfolio
Tax-Exempt Diversified Portfolio
Tax-Exempt California Portfolio
Tax-Exempt New York Portfolio
[LOGO OF GOLDMAN SACHS APPEARS HERE]
================================================================================
