<PAGE> 1
- -------------------------------------------------------------------------------
PROVIDENT
- -------------------------------------------------------------------------------
400 Bellevue Parkway, Wilmington, DE 19809 Phone:
302-792-2555 Fax: 302-792-5876
INSTITUTIONAL
FUNDS
G. Willing Pepper
Chairman TRUST FOR FEDERAL SECURITIES
December 9, 1996
Dear Shareholder:
Enclosed is the Annual Report to Shareholders of Trust for Federal
Securities for the year ended October 31, 1996.
The report of our Investment Adviser contains interesting commentary on the
economy and on their investment strategy.
Provident Institutional Funds remains committed to providing its
shareholders with quality service, liquidity, competitive returns and stability
of principal.
Please contact your Provident Distributors, Inc. account representative or
our Client Service Center at (800) 821-7432 for information on a variety of
taxable and tax-exempt Money Market Funds offered by Provident Institutional
Funds.
We welcome the opportunity to service your investment needs.
Sincerely,
/s/ G. Willing Pepper
G. Willing Pepper
Chairman
------------------------------------------------------------------
<PAGE> 2
TRUST FOR FEDERAL SECURITIES
ANNUAL INVESTMENT ADVISER'S REPORT
In the past year, the twin issues of economic growth and inflation
dominated market movements and investor expectations. In a smaller way, budget
impasses, government shutdowns and a presidential election year also took their
turns as market forces, but the preoccupation with accelerating business
activity and the belief that this would lead to higher inflation, were the key
issues on the minds of Federal Reserve policymakers and watchers alike.
As the year progressed, economic activity continued to rebound from last
year's very weak fourth quarter. The Federal Reserve's last easing of monetary
policy occurred in late January. First quarter economic reports showed a strong
rebound that peaked at mid-year at a growth rate of 4.5% in the nation's gross
domestic product. Strong employment reports, which showed solid new job creation
numbers, also contributed to a growing belief that the next Fed move would be to
tighten monetary policy. The July, August and September FOMC meetings were
thought to be particularly likely dates for such a move. However, a funny thing
happened each time a Fed move seemed imminent. A series of weaker than expected
economic reports and good news on inflation would suddenly dash the market's
expectations of higher short-term interest rates. One significant change that
did occur was a shift in the yield curve to a positive slope; that is, yields
were higher as maturities lengthened. For much of the previous year, the yield
curve was inverted based on expectations of continued Fed easing. In 1996, the
situation was reversed.
The change in the yield curve profoundly affected the investment strategy
of the Trust's four portfolios; FedFund, FedTrust, T-Fund and Treasury Trust.
During the summer, the Trust's other two portfolios, T-Cash and FedCash, were
merged into T-Fund and FedFund, respectively. As noted in our semi-annual
report, the average weighted maturities were generally lengthened toward the
50-day range to take advantage of the rise in longer-dated securities. Our focus
on portfolio quality remains strong. Both FedTrust and Treasury Trust maintain
their AAA Standard & Poor's ratings, and T-Fund remains AAA rated by Standard &
Poor's and Moody's.
As always, we look forward to providing you with high quality investment
products that will meet your demands for stability of principal and competitive
market rates of return.
PNC INSTITUTIONAL MANAGEMENT CORPORATION
2
<PAGE> 3
FEDFUND PORTFOLIO
Trust for Federal Securities
Statement of Net Assets
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
U.S. AGENCY & INSTRUMENTALITY
OBLIGATIONS--59.1%
Federal Farm Credit Bank Bonds
5.40%............. 04/01/97 $ 20,000 $ 19,992,295
--------------
Federal Farm Credit Bank Variable Rate Notes+
5.16.............. 11/06/96 40,000 39,999,191
5.22.............. 11/06/96 85,000 84,990,459
--------------
124,989,650
--------------
Federal Home Loan Bank Discount Notes
5.26.............. 02/14/97 25,000 24,616,458
5.22.............. 02/20/97 20,000 19,678,100
5.27.............. 02/21/97 21,430 21,078,643
5.26.............. 03/26/97 15,000 14,682,208
5.28.............. 03/26/97 15,000 14,681,000
--------------
94,736,409
--------------
Federal Home Loan Mortgage Corporation Bonds
4.72.............. 02/20/97 4,500 4,495,497
--------------
Federal Home Loan Mortgage Corporation
Discount Notes
5.34.............. 11/29/96 14,050 13,991,646
--------------
Federal National Mortgage Association Bonds
5.60.............. 11/01/96 20,000 20,000,000
5.47.............. 11/14/96 25,000 24,998,863
--------------
44,998,863
--------------
Federal National Mortgage Association
Discount Notes
5.40.............. 12/16/96 20,000 19,865,000
5.53.............. 01/10/97 25,000 24,731,181
5.22.............. 02/06/97 5,000 4,929,675
5.26.............. 02/20/97 25,000 24,594,542
5.23.............. 03/27/97 15,930 15,592,116
5.22.............. 04/24/97 20,000 19,495,400
5.23.............. 05/01/97 25,000 24,342,618
5.23.............. 05/02/97 15,000 14,603,392
--------------
148,153,924
--------------
Federal National Mortgage Association
Medium Term Notes
5.37.............. 12/18/96 25,000 24,995,069
--------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
Federal National Mortgage Association
Variable Rate Notes+
5.22%............. 11/01/96 $ 50,000 $ 49,988,073
5.36.............. 11/05/96 58,000 58,000,000
--------------
107,988,073
--------------
Student Loan Marketing Association
Medium Term Notes
5.615............. 10/29/97 30,000 29,979,514
--------------
Student Loan Marketing Association
Variable Rate Notes+
5.27.............. 11/05/96 5,000 5,000,000
5.35.............. 11/05/96 76,850 76,849,411
5.37.............. 11/05/96 48,545 48,497,714
5.38.............. 11/05/96 10,000 10,000,000
5.39.............. 11/05/96 20,000 20,003,981
5.53.............. 11/05/96 26,075 26,094,971
5.555............. 11/05/96 79,520 79,527,095
5.58.............. 11/05/96 18,700 18,708,061
--------------
284,681,233
--------------
Total............................... 899,002,173
--------------
U.S. GOVERNMENT SECURITIES--7.9%
U.S. Treasury Bills
4.835............. 02/06/97 25,000 24,674,309
--------------
U.S. Treasury Notes
6.875............. 02/28/97 20,000 20,120,253
6.875............. 03/31/97 55,000 55,297,520
6.50.............. 04/30/97 20,000 20,071,965
--------------
95,489,738
--------------
Total............................... 120,164,047
--------------
REPURCHASE AGREEMENTS--33.0%
Donaldson, Lufkin & Jenrette Securities Corp.
5.60.............. 11/01/96 100,000 100,000,000
(Agreement dated 10/31/96
to be repurchased at
$100,015,556,
collateralized by
$203,112,260 Federal
National Mortgage
Association STRIPS 7.66%
to 9.50% due from
07/01/18 to 11/01/26. The
market value is
$103,001,337.)
</TABLE>
3
<PAGE> 4
FEDFUND PORTFOLIO
Statement of Net Assets (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
Lehman Government Securities, Inc.
5.80%............. 11/01/96 $100,000 $ 100,000,000
(Agreement dated 10/31/96
to be repurchased at
$100,016,111,
collateralized by
$541,605,492 U.S.
Treasury STRIPS 7.875% to
8.75% due from 08/15/20
to 08/15/21. The market
value is $102,000,058.)
Merrill Lynch & Co., Inc.
5.75.............. 11/01/96 50,000 50,000,000
(Agreement dated 10/31/96
to be repurchased at
$50,007,986,
collateralized by
$296,891,808 Federal Home
Loan Mortgage Corporation
Bonds, Federal Home Loan
Mortgage Corporation
STRIPS and Federal
National Mortgage
Association STRIPS 8.00%
to 9.00% due from
07/01/18 to 11/01/23. The
market value is
$51,000,371.)
5.85.............. 11/01/96 50,000 50,000,000
(Agreement dated 10/31/96
to be repurchased at
$50,008,125,
collateralized by
$75,156,000 Federal
National Mortgage
Association STRIPS,
Resolution Funding Bonds
and Resolution Funding
STRIPS 6.69% to 9.375%
due from 12/26/96 to
04/15/30. The market
value is $51,500,842.)
PAR
MATURITY (000) VALUE
-------- -------- --------------
Morgan Stanley & Co.
5.665%............ 11/01/96 $100,000 $ 100,000,000
(Agreement dated 10/31/96
to be repurchased at
$100,015,736,
collateralized by
$101,260,000 Federal Home
Loan Bank Bonds and
Federal National Mortgage
Association Bonds 6.41%
to 9.55% due from
11/20/02 to 09/26/11. The
market value is
$102,580,187.)
PaineWebber Incorporated
5.61.............. 11/01/96 101,800 101,800,000
(Agreement dated 10/31/96
to be repurchased at
$101,815,864,
collateralized by
$99,415,543 U.S. Treasury
Notes, Federal Farm
Credit Bank Bonds,
Federal Home Loan Bank
Bonds, Federal National
Mortgage Association
Adjustable Rate Notes,
Federal National Mortgage
Association Medium Term
Notes and Federal
National Mortgage
Association Mortgage
Securities 4.40% to 9.00%
due from 12/23/96 to
10/01/25. The market
value is $104,127,819.)
--------------
Total............................. 501,800,000
--------------
</TABLE>
4
<PAGE> 5
FEDFUND PORTFOLIO
Statement of Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
--------------
<S> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,520,966,220*)....... 100.0% $1,520,966,220
OTHER ASSETS IN EXCESS OF
LIABILITIES.................. 0.0 309,460
------ --------------
NET ASSETS (equivalent to $1.00
per share based on
1,407,779,343 FedFund and
113,778,179 FedFund Dollar
Shares of beneficial interest
outstanding)................. 100.0% $1,521,275,680
------ --------------
------ --------------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE
($1,521,275,680 / 1,521,557,522)........ $1.00
-----
-----
</TABLE>
- ---------------
* Cost for federal income tax purposes.
+ Variable rate obligations--the rate shown is the rate as of October 31, 1996,
and the maturity date shown is the longer of the next interest readjustment
date or the date the principal amount can be recovered upon demand.
FEDFUND
Maturity Schedule of Portfolio
October 31, 1996
(Unaudited)
<TABLE>
<CAPTION>
MATURITY
PERIOD PAR PERCENTAGE
------------- -------------- ----------
<S> <C> <C> <C> <C>
1- 30 Days $1,078,540,000 70.7%
31- 60 Days 45,000,000 3.0
61- 90 Days 25,000,000 1.6
91-120 Days 145,930,000 9.6
121-150 Days 45,930,000 3.0
Over 150 Days 185,000,000 12.1
Average Weighted Maturity--44 Days
- --------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
5
<PAGE> 6
T-FUND PORTFOLIO
Trust for Federal Securities
Statement of Net Assets
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
U.S. GOVERNMENT SECURITIES--32.4%
U.S. Treasury Notes
6.50%............. 11/30/96 $ 4,000 $ 4,002,964
7.25.............. 11/30/96 90,000 90,120,959
6.125............. 12/31/96 10,000 10,008,157
7.50.............. 12/31/96 72,424 72,658,207
8.00.............. 01/15/97 10,000 10,047,808
7.50.............. 01/31/97 19,000 19,094,924
6.75.............. 02/28/97 49,000 49,181,810
6.875............. 02/28/97 45,000 45,199,003
6.625............. 03/31/97 15,000 15,076,312
6.50.............. 04/30/97 121,000 121,533,782
6.875............. 04/30/97 15,000 15,108,731
6.50.............. 05/15/97 82,000 82,401,465
8.50.............. 05/15/97 9,000 9,142,649
6.75.............. 05/31/97 49,000 49,315,030
6.50.............. 08/15/97 9,500 9,533,340
--------------
Total............................... 602,425,141
--------------
REPURCHASE AGREEMENTS--67.4%
First (The) Boston Corp.
5.24.............. 12/11/96 50,000 50,000,000
(Agreement dated 10/11/96
to be repurchased at
$50,443,944,
collateralized by
$50,560,000 U.S. Treasury
Notes 5.75% due 10/31/00.
The market value is
$50,949,312.)
Goldman, Sachs & Co.
5.54.............. 11/01/96 150,000 150,000,000
(Agreement dated 10/31/96
to be repurchased at
$150,023,083,
collateralized by
$146,116,000 U.S.
Treasury Notes 5.125% to
8.875% due from 11/30/98
to 02/15/99. The market
value is $152,658,661.)
5.25.............. 12/16/96 50,000 50,000,000
(Agreement dated 10/15/96
to be repurchased at
$50,452,083,
collateralized by
$49,568,000 U.S. Treasury
Notes 6.50% due 05/15/97.
The market value is
$51,342,066.)
Greenwich Capital Markets, Inc.
5.55.............. 11/01/96 80,000 80,000,000
(Agreement dated 10/31/96
to be repurchased at
$80,012,333,
collateralized by
$79,938,000 U.S. Treasury
Notes 5.625% to 8.50% due
from 05/31/97 to
07/31/97. The market
value is $81,602,014.)
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
Hong Kong Shanghai Bank Securities, Inc.
5.50%............. 11/01/96 $ 80,000 $ 80,000,000
(Agreement dated 10/31/96
to be repurchased at
$80,012,222,
collateralized by
$76,715,000 U.S. Treasury
Bonds and Notes 5.875% to
7.25% due from 02/15/04
to 05/15/16. The market
value is $81,842,121.)
Lehman Government Securities, Inc.
5.625............. 11/01/96 100,000 100,000,000
(Agreement dated 10/31/96
to be repurchased at
$100,015,625,
collateralized by
$100,737,000 U.S.
Treasury Notes 5.50% to
6.00% due from 08/31/97
to 09/30/97. The market
value is $102,004,381.)
Merrill Lynch & Co., Inc.
5.53.............. 11/01/96 150,000 150,000,000
(Agreement dated 10/31/96
to be repurchased at
$150,023,042,
collateralized by
$623,036,000 U.S.
Treasury Bonds and STRIPS
6.50% to 9.125% due from
05/15/18 to 08/15/25. The
market value is
$151,843,095.)
5.25.............. 11/29/96 50,000 50,000,000
(Agreement dated 10/23/96
to be repurchased at
$50,269,792,
collateralized by
$57,546,000 U.S. Treasury
Bonds and STRIPS 7.50% to
8.75% due from 08/15/19
to 11/15/24. The market
value is $52,160,108.)
Morgan Stanley & Co.
5.585............. 11/01/96 303,300 303,300,000
(Agreement dated 10/31/96
to be repurchased at
$303,347,054,
collateralized by
$299,116,000 U.S.
Treasury Notes 5.875% to
8.75% due from 10/15/97
to 06/30/99. The market
value is $309,416,046.)
</TABLE>
6
<PAGE> 7
T-FUND PORTFOLIO
Statement of Net Assets (Concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
Nikko Securities Company International, Inc.
5.53%............. 11/01/96 $ 80,000 $ 80,000,000
(Agreement dated 10/31/96
to be repurchased at
$80,012,289,
collateralized by
$79,277,000 U.S. Treasury
Notes 6.25% due 06/30/98.
The market value is
$81,576,033.)
Smith Barney, Inc.
5.54.............. 11/01/96 80,000 80,000,000
(Agreement dated 10/31/96
to be repurchased at
$80,012,311,
collateralized by
$58,190,000 U.S. Treasury
Bonds 7.125% to 13.75%
due from 08/15/04 to
02/15/23. The market
value is $81,736,829.)
Swiss Bank Corp.
5.52.............. 11/01/96 80,000 80,000,000
(Agreement dated 10/31/96
to be repurchased at
$80,012,267,
collateralized by
$74,863,000 U.S. Treasury
Bonds 7.25% due 05/15/16.
The market value is
$81,435,971.)
--------------
Total............................. 1,253,300,000
--------------
<CAPTION>
VALUE
--------------
--------------
<S> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,855,725,141*)....... 99.8% $1,855,725,141
OTHER ASSETS IN EXCESS OF
LIABILITIES.................. 0.2 3,149,086
------ --------------
NET ASSETS (equivalent to $1.00
per share based on
1,507,666,098 T-Fund and
351,282,423 T-Fund Dollar
Shares of beneficial interest
outstanding)................. 100.0% $1,858,874,227
------ --------------
------ --------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE
($1,858,874,227 / 1,858,948,521)........ $1.00
-----
-----
- ---------------
* Cost for federal income tax purposes is $1,855,785,225.
- --------------------------------------------------------
</TABLE>
T-FUND PORTFOLIO
Maturity Schedule of Portfolio
October 31, 1996
(Unaudited)
<TABLE>
<CAPTION>
MATURITY
PERIOD PAR PERCENTAGE
------------- -------------- ----------
<S> <C> <C> <C> <C>
1- 30 Days $1,247,300,000 67.3%
31- 60 Days 100,000,000 5.4
61- 90 Days 92,424,000 5.0
91-120 Days 113,000,000 6.1
Over 150 Days 300,500,000 16.2
Average Weighted Maturity--47 Days
- --------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
7
<PAGE> 8
FEDERAL TRUST FUND PORTFOLIO
Trust for Federal Securities
Statement of Net Assets
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
U.S. AGENCY AND INSTRUMENTALITY
OBLIGATIONS--100.2%
Federal Farm Credit Bank Discount Notes
5.27%................ 11/05/96 $10,000 $ 9,994,144
5.29................. 11/08/96 5,000 4,994,857
5.17................. 11/25/96 15,000 14,948,300
5.16................. 11/26/96 5,730 5,709,468
5.34................. 12/04/96 8,000 7,960,840
5.24................. 12/16/96 16,695 16,585,648
5.19................. 01/02/97 7,000 6,937,432
------------
67,130,689
------------
Federal Farm Credit Bank Variable Rate Notes+
5.16................. 11/06/96 5,000 4,999,899
5.22................. 11/06/96 15,000 14,998,514
------------
19,998,413
------------
Federal Home Loan Bank Discount Notes
5.21................. 11/06/96 2,615 2,613,108
5.17................. 11/12/96 1,000 998,420
5.17................. 11/13/96 5,000 4,991,383
5.29................. 11/13/96 1,760 1,756,897
5.19................. 11/20/96 6,740 6,721,538
5.24................. 11/20/96 2,000 1,994,469
5.165................ 11/21/96 11,245 11,212,734
5.18................. 11/21/96 15,000 14,956,833
5.22................. 11/29/96 1,800 1,792,692
5.22................. 11/29/96 2,900 2,888,226
5.17................. 12/16/96 6,000 5,961,225
5.17................. 12/12/96 5,175 5,144,529
5.34................. 12/19/96 580 575,870
5.255................ 01/02/97 2,075 2,056,221
5.215................ 01/09/97 2,885 2,856,163
5.23................. 01/09/97 6,000 5,939,855
5.215................ 01/16/97 6,885 6,730,081
5.22................. 01/16/97 5,000 4,944,900
5.22................. 01/23/97 2,140 2,114,245
5.22................. 01/23/97 5,085 5,023,802
------------
91,273,191
------------
Student Loan Marketing Association
Discount Notes
5.15................. 11/04/96 15,000 14,993,563
5.17................. 12/18/96 6,105 6,063,793
5.20................. 12/18/96 5,000 4,966,056
5.25................. 12/18/96 10,000 9,931,458
------------
35,954,870
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
Student Loan Marketing Association
Variable Rate Notes+
5.27%................ 11/05/96 $10,000 $ 10,000,000
5.29................. 11/05/96 1,000 999,967
5.35................. 11/05/96 5,000 4,999,018
5.38................. 11/05/96 30,000 30,000,000
5.39................. 11/05/96 1,000 1,000,117
5.555................ 11/05/96 5,000 5,000,386
5.58................. 11/05/96 5,000 5,002,155
------------
57,001,643
------------
Tennessee Valley Authority Discount Notes
5.20................. 11/07/96 15,000 14,987,000
5.18................. 11/20/96 10,000 9,972,661
5.17................. 01/21/97 5,000 4,941,838
------------
29,901,499
------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $301,260,305*)............ 100.2% 301,260,305
LIABILITIES IN EXCESS OF
OTHER ASSETS.................... (0.2) (633,290)
------ ------------
NET ASSETS (equivalent to $1.00
per share based on 273,951,203
Federal Trust and 26,878,979
Federal Trust Dollar Shares of
beneficial interest
outstanding).................... 100.0% $300,627,015
------ ------------
------ ------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE
($300,627,015 / 300,830,182).............. $1.00
-----
-----
- ---------------
* Cost for federal income tax purposes is $301,260,673.
+ Variable Rate Obligations--the rate shown is the rate as
of October 31, 1996, and the maturity date shown is the
longer of the next interest readjustment date or the date
the principal amount can be recovered upon demand.
- ------------------------------------------------------
</TABLE>
FEDERAL TRUST FUND
Maturity Schedule of Portfolio
October 31, 1996
(Unaudited)
<TABLE>
<CAPTION>
MATURITY
PERIOD PAR PERCENTAGE
------------- ------------ ----------
<S> <C> <C> <C> <C>
1-30 Days $202,790,000 67.1%
31-60 Days 57,555,000 19.0
61-90 Days 41,990,000 13.9
Average Weighted Maturity--17 Days
- ------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
8
<PAGE> 9
TREASURY TRUST FUND PORTFOLIO
Trust for Federal Securities
Statement of Net Assets
October 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- --------------
<S> <C> <C> <C>
U.S. GOVERNMENT SECURITIES--98.8%
U.S. Treasury Bills
4.90%............. 11/29/96 $ 4,000 $ 3,984,756
5.07.............. 11/29/96 6,200 6,175,551
4.96.............. 12/05/96 3,000 2,985,947
4.92.............. 12/12/96 11,400 11,336,122
4.84.............. 01/02/97 100 99,166
4.915............. 01/02/97 7,900 7,833,129
5.01.............. 01/02/97 40,000 39,654,867
5.03.............. 01/30/97 50,000 49,371,250
5.04.............. 01/30/97 62,000 61,245,503
4.99.............. 02/20/97 4,800 4,726,148
--------------
187,412,439
--------------
U.S. Treasury Notes
4.375............. 11/15/96 236,348 236,267,688
7.25.............. 11/15/96 141,127 141,230,251
7.25.............. 11/30/96 200,000 200,263,845
6.25.............. 01/31/97 20,000 20,045,197
7.50.............. 01/31/97 16,000 16,082,402
4.75.............. 02/15/97 25,000 24,945,513
6.875............. 02/28/97 275,000 276,388,460
--------------
915,223,356
--------------
U.S. Treasury STRIPS
5.157............. 11/15/96 75,000 74,851,413
--------------
<CAPTION>
VALUE
--------------
<S> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,177,487,208*)....... 98.8% $1,177,487,208
OTHER ASSETS IN EXCESS OF
LIABILITIES.................. 1.2 14,399,550
------ --------------
NET ASSETS (equivalent to $1.00
per share based on
897,884,134 Treasury Trust
and 294,277,197 Treasury
Trust Dollar Shares of
beneficial interest
outstanding)................. 100.0% $1,191,886,758
------ --------------
------ --------------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE
($1,191,886,758 / 1,192,161,331)........ $1.00
- ---------------
* Cost for federal income tax purposes is $1,177,507,355.
- ------------------------------------------------------
</TABLE>
TREASURY TRUST FUND PORTFOLIO
Maturity Schedule of Portfolio
October 31, 1996
(Unaudited)
<TABLE>
<CAPTION>
MATURITY
PERIOD PAR PERCENTAGE
------------- ------------ ----------
<S> <C> <C> <C> <C>
1- 30 Days $662,675,000 56.3%
31- 60 Days 14,400,000 1.2
61- 90 Days 48,000,000 4.1
91-120 Days 452,800,000 38.4
Average Weighted Maturity--56 Days
- ------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
9
<PAGE> 10
TRUST FOR FEDERAL SECURITIES
Statements of Operations
Year Ended October 31, 1996
<TABLE>
<CAPTION>
FEDERAL TREASURY
TRUST TRUST
FEDFUND T-FUND FUND FUND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
Investment Income:
<S> <C> <C> <C> <C>
Interest income....................................................... $78,950,220 $84,397,627 $15,680,538 $63,673,154
----------- ----------- ----------- -----------
Expenses:
Investment advisory fee............................................... 1,856,917 1,997,839 373,549 1,560,869
Administration fee.................................................... 1,856,917 1,997,839 373,549 1,560,869
Trustees' fees and officer's salary................................... 27,472 29,407 5,502 23,071
Transfer agent fee.................................................... 129,101 119,290 36,833 94,595
Custodian fee......................................................... 227,936 238,530 70,745 206,592
Shareholder computer access program................................... 90,977 82,313 -- 83,920
Legal and audit....................................................... 48,152 52,629 9,665 40,402
Registration fees and expenses........................................ 25,481 16,137 15,940 14,937
Printing.............................................................. 12,385 17,524 4,211 14,872
Other................................................................. 48,261 69,611 14,599 56,001
----------- ----------- ----------- -----------
4,323,599 4,621,119 904,593 3,656,128
Service Organization fees--Dollar shares.............................. 274,229 492,530 61,691 647,320
----------- ----------- ----------- -----------
4,597,828 5,113,649 966,284 4,303,448
Less fees waived...................................................... (1,529,198 ) (1,597,480 ) (340,341 ) (1,306,818 )
----------- ----------- ----------- -----------
Total expenses...................................................... 3,068,630 3,516,169 625,943 2,996,630
----------- ----------- ----------- -----------
Net investment income................................................. 75,881,590 80,881,458 15,054,595 60,676,524
Realized gain (loss) on investments:
Net realized loss from security transactions.......................... (14,773 ) (63,912 ) (14,255 ) (213,661 )
----------- ----------- ----------- -----------
Net increase in net assets resulting from operations.................. $75,866,817 $80,817,546 $15,040,340 $60,462,863
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
10
<PAGE> 11
TRUST FOR FEDERAL SECURITIES
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
FEDFUND PORTFOLIO T-FUND PORTFOLIO
----------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, 1995 OCTOBER 31, 1996 OCTOBER 31, 1995
---------------- ---------------- ---------------- ----------------
Increase (decrease) in net assets:
<S> <C> <C> <C> <C>
Operations:
Net investment income............................ $ 75,881,590 $ 89,217,078 $ 80,881,458 $ 71,963,216
Net gain (loss) on investments................... (14,773) (45,794) (63,912) 82,827
---------------- ---------------- ---------------- ----------------
Net increase in net assets resulting from
operations..................................... 75,866,817 89,171,284 80,817,546 72,046,043
---------------- ---------------- ---------------- ----------------
Distributions to shareholders:
From net investment income:
FedFund Shares................................. (70,341,167) (83,746,687) -- --
FedFund Dollar Shares.......................... (5,540,423) (5,470,391) -- --
T-Fund Shares.................................. -- -- (71,094,135) (67,772,884)
T-Fund Dollar Shares........................... -- -- (9,787,323) (4,190,332)
From net realized gains:
T-Fund Shares.................................. -- -- (30,186) --
T-Fund Dollar Shares........................... -- -- (2,768) --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders.......... (75,881,590) (89,217,078) (80,914,412) (71,963,216)
---------------- ---------------- ---------------- ----------------
Capital share transactions:
Sale of shares................................... 12,893,699,892 16,892,053,417 13,625,291,726 11,150,517,492
Reinvestment of dividends........................ 19,010,856 18,244,413 19,893,692 21,879,407
Repurchase of shares............................. (13,179,759,396) (17,013,231,572) (13,523,973,979) (10,913,929,463)
Capital issued in merger......................... 197,987,140 -- 444,037,729 --
---------------- ---------------- ---------------- ----------------
Increase (decrease) in net assets derived from
capital share transactions..................... (69,061,508) (102,933,742) 565,249,168 258,467,436
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets...... (69,076,281) (102,979,536) 565,152,302 258,550,263
Net assets:
Beginning of period................................ 1,590,351,961 1,693,331,497 1,293,721,925 1,035,171,662
---------------- ---------------- ---------------- ----------------
End of period...................................... $ 1,521,275,680 $ 1,590,351,961 $ 1,858,874,227 $ 1,293,721,925
================ ================ ================ ================
</TABLE>
See accompanying notes to financial statements.
11
<PAGE> 12
TRUST FOR FEDERAL SECURITIES
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
FEDERAL TRUST TREASURY TRUST
FUND PORTFOLIO FUND PORTFOLIO
----------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, 1995 OCTOBER 31, 1996 OCTOBER 31, 1995
---------------- ---------------- ---------------- ----------------
Increase (decrease) in net assets:
<S> <C> <C> <C> <C>
Operations:
Net investment income............................ $ 15,054,595 $ 15,556,733 $ 60,676,524 $ 71,612,012
Net gain (loss) on investments................... (14,255 ) (28,332 ) (213,661 ) 207,807
--------------- --------------- --------------- ---------------
Net increase in net assets resulting from
operations..................................... 15,040,340 15,528,401 60,462,863 71,819,819
--------------- --------------- --------------- ---------------
Distributions to shareholders:
From net investment income:
Federal Trust Shares........................... (13,824,260 ) (14,527,800 ) -- --
Federal Trust Dollar Shares.................... (1,230,335 ) (1,028,933 ) -- --
Treasury Trust Shares.......................... -- -- (48,204,888 ) (61,302,514 )
Treasury Trust Dollar Shares................... -- -- (12,471,636 ) (10,309,498 )
--------------- --------------- --------------- ---------------
Total distributions to shareholders.......... (15,054,595 ) (15,556,733 ) (60,676,524 ) (71,612,012 )
--------------- --------------- --------------- ---------------
Capital share transactions:
Sale of shares................................... 1,759,666,416 2,175,257,820 7,377,831,706 6,693,714,678
Reinvestment of dividends........................ 3,353,428 3,867,949 19,149,426 20,785,978
Repurchase of shares............................. (1,728,498,456 ) (2,239,024,990 ) (7,529,986,362 ) (6,588,171,696 )
--------------- --------------- --------------- ---------------
Increase (decrease) in net assets derived from
capital share transactions..................... 34,521,388 (59,899,221 ) (133,005,230 ) 126,328,960
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets...... 34,507,133 (59,927,553 ) (133,218,891 ) 126,536,767
Net assets:
Beginning of period................................ 266,119,882 326,047,435 1,325,105,649 1,198,568,882
--------------- --------------- --------------- ---------------
End of period...................................... $ 300,627,015 $ 266,119,882 $ 1,191,886,758 $ 1,325,105,649
=============== =============== =============== ===============
</TABLE>
See accompanying notes to financial statements.
12
<PAGE> 13
TRUST FOR FEDERAL SECURITIES
Financial Highlights
(For a Share Outstanding Throughout Each Period)
<TABLE>
<CAPTION>
FEDFUND
DOLLAR
SHARES
--------
FEDFUND SHARES YEAR
------------------------------------------------------------------ ENDED
OCTOBER
YEAR ENDED OCTOBER 31, 31,
------------------------------------------------------------------ --------
<S> <C> <C> <C> <C> <C> <C>
1996 1995 1994 1993 1992 1996
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, Beginning of Period................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations:
Net Investment Income.............................. .0529 .0571 .0377 .0308 .0397 .0504
Net Capital Gains.................................. -- -- -- .0001 .0010 --
---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations................. .0529 .0571 .0377 .0309 .0407 .0504
---------- ---------- ---------- ---------- ---------- --------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income.............................. (.0529) (.0571) (.0377) (.0308) (.0397) (.0504)
Net Capital Gains.................................. -- -- -- (.0001) (.0010) --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.............................. (.0529) (.0571) (.0377) (.0309) (.0407) (.0504)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ========== ========
Total Return........................................ 5.41% 5.86% 3.84% 3.12% 4.15% 5.16%
Ratios/Supplemental Data:
Net Assets, End of Period $(000).................... $1,407,529 $1,377,175 $1,557,562 $1,290,971 $2,976,954 $113,747
Ratio of Expenses to Average Daily Net Assets....... .19%(1) .18%(1) .18%(1) .20%(1) .27% .44%(1)
Ratio of Net Investment Income to Average Daily Net
Assets............................................. 5.29% 5.71% 3.76% 3.08% 3.91% 5.04%
<CAPTION>
FEDFUND
DOLLAR
SHARES
--------
YEAR
ENDED
OCTOBER
31,
--------
1995 1994 1993 1992
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income From Investment Operations:
Net Investment Income.............................. .0546 .0352 .0283 .0372
Net Capital Gains.................................. -- -- .0001 .0010
-------- -------- -------- --------
Total From Investment Operations................. .0546 .0352 .0284 .0382
-------- -------- -------- --------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income.............................. (.0546) (.0352) (.0283) (.0372)
Net Capital Gains.................................. -- -- (.0001) (.0010)
-------- -------- -------- --------
Total Distributions.............................. (.0546) (.0352) (.0284) (.0382)
-------- -------- -------- --------
Net Asset Value, End of Period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total Return........................................ 5.61% 3.59% 2.87% 3.90%
Ratios/Supplemental Data:
Net Assets, End of Period $(000).................... $213,177 $135,769 $169,877 $148,363
Ratio of Expenses to Average Daily Net Assets....... .43%(1) .43%(1) .45%(1) .52%
Ratio of Net Investment Income to Average Daily Net
Assets............................................. 5.46% 3.51% 2.83% 3.66%
</TABLE>
- ---------------
(1) Without the waiver of advisory and administration fees, the ratio of
expenses to average daily net assets would have been .30%, .29%, .30% and
.27%, respectively, for the years ended October 31, 1996, 1995, 1994, and
1993 for FedFund Shares, and .55%, .54%, .55% and .52%, respectively, for
the years ended October 31, 1996, 1995, 1994 and 1993, for FedFund Dollar
Shares.
See accompanying notes to financial statements.
13
<PAGE> 14
TRUST FOR FEDERAL SECURITIES
Financial Highlights
(For a Share Outstanding Throughout Each Period)
<TABLE>
<CAPTION>
T-FUND SHARES
------------------------------------------------------------------
YEAR ENDED OCTOBER 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Income From Investment Operations:
Net Investment Income................................... .0528 .0565 .0368 .0303 .0392
---------- ---------- ---------- ---------- ----------
Total From Investment Operations...................... .0528 .0565 .0368 .0303 .0392
---------- ---------- ---------- ---------- ----------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income................................... (.0528) (.0565) (.0368) (.0303) (.0392)
---------- ---------- ---------- ---------- ----------
Total Distributions................................... (.0528) (.0565) (.0368) (.0303) (.0392)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Return............................................. 5.40% 5.80% 3.75% 3.07% 3.99%
Ratios/Supplemental Data:
Net Assets, End of Period $(000)......................... $1,507,603 $1,211,220 $1,012,977 $1,361,624 $1,327,743
Ratio of Expenses to Average Daily Net Assets............ .19%(1) .18%(1) .18%(1) .20%(1) .28%
Ratio of Net Investment Income to Average Daily Net
Assets.................................................. 5.26% 5.66% 3.65% 3.03% 3.93%
<CAPTION>
T-FUND DOLLAR SHARES
---------------------------------------------------
YEAR ENDED OCTOBER 31,
---------------------------------------------------
1996 1995 1994 1993 1992
-------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income From Investment Operations:
Net Investment Income................................... .0503 .0540 .0343 .0278 .0367
-------- -------- -------- -------- --------
Total From Investment Operations...................... .0503 .0540 .0343 .0278 .0367
-------- -------- -------- -------- --------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income................................... (.0503) (.0540) (.0343) (.0278) (.0367)
-------- -------- -------- -------- --------
Total Distributions................................... (.0503) (.0540) (.0343) (.0278) (.0367)
-------- -------- -------- -------- --------
Net Asset Value, End of Period........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Return............................................. 5.15% 5.55% 3.50% 2.82% 3.74%
Ratios/Supplemental Data:
Net Assets, End of Period $(000)......................... $351,271 $82,502 $22,195 $13,328 $4,915
Ratio of Expenses to Average Daily Net Assets............ .44%(1) .43%(1) .43%(1) .45%(1) .53%
Ratio of Net Investment Income to Average Daily Net
Assets.................................................. 5.01% 5.41% 3.40% 2.78% 3.68%
</TABLE>
- ---------------
(1) Without the waiver of advisory and administration fees, the ratio of
expenses to average daily net assets would have been .30%, .29%, .29% and
.28%, respectively, for the years ended October 31, 1996, 1995, 1994, and
1993 for T-Fund Shares, and .55%, .54%, .54% and .53%, respectively, for the
years ended October 31, 1996, 1995, 1994, and 1993 for T-Fund Dollar Shares.
See accompanying notes to financial statements.
14
<PAGE> 15
TRUST FOR FEDERAL SECURITIES
Financial Highlights
(For a Share Outstanding Throughout Each Period)
<TABLE>
<CAPTION>
FEDERAL TRUST SHARES
--------------------------------------------------------
YEAR ENDED OCTOBER 31,
--------------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Income From Investment Operations:
Net Investment Income.......................................... .0523 .0563 .0380 .0302 .0389
Net Capital Gains.............................................. -- -- -- .0001 .0018
---------- ---------- ---------- ---------- ----------
Total From Investment Operations............................. .0523 .0563 .0380 .0303 .0407
---------- ---------- ---------- ---------- ----------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income.......................................... (.0523) (.0563) (.0380) (.0302) (.0389)
Net Capital Gains.............................................. -- -- -- (.0001) (.0018)
---------- ---------- ---------- ---------- ----------
Total Distributions.......................................... (.0523) (.0563) (.0380) (.0303) (.0407)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Return.................................................... 5.35% 5.77% 3.87% 3.06% 4.15%
Ratios/Supplemental Data:
Net Assets, End of Period $(000)................................ $273,752 $237,718 $317,769 $257,125 $428,365
Ratio of Expenses to Average Daily Net Assets(1)................ .19% .18% .18% .18% .20%
Ratio of Net Investment Income to Average Daily Net Assets...... 5.22% 5.61% 3.85% 3.02% 3.75%
<CAPTION>
FEDERAL TRUST DOLLAR SHARES
---------------------------------------------------
YEAR ENDED OCTOBER 31,
---------------------------------------------------
1996 1995 1994 1993 1992
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income From Investment Operations:
Net Investment Income.......................................... .0498 .0538 .0355 .0277 .0364
Net Capital Gains.............................................. -- -- -- .0001 .0018
-------- -------- -------- -------- --------
Total From Investment Operations............................. .0498 .0538 .0355 .0278 .0382
-------- -------- -------- -------- --------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income.......................................... (.0498) (.0538) (.0355) (.0277) (.0364)
Net Capital Gains.............................................. -- -- -- (.0001) (.0018)
-------- -------- -------- -------- --------
Total Distributions.......................................... (.0498) (.0538) (.0355) (.0278) (.0382)
-------- -------- -------- -------- --------
Net Asset Value, End of Period.................................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Return.................................................... 5.10% 5.52% 3.62% 2.81% 3.90%
Ratios/Supplemental Data:
Net Assets, End of Period $(000)................................ $26,875 $28,402 $ 8,278 $ 1,025 $ 2,442
Ratio of Expenses to Average Daily Net Assets(1)................ .44% .43% .43% .43% .45%
Ratio of Net Investment Income to Average Daily Net Assets...... 4.97% 5.36% 3.60% 2.77% 3.50%
</TABLE>
- ---------------
(1) Without the waiver of advisory and administration fees, the ratio of
expenses to average daily net assets would have been .31%, .32%, .31%, .29%
and .30%, respectively, for the years ended October 31, 1996, 1995, 1994,
1993 and 1992 for Federal Trust Shares, and .56%, .57%, .56%, .54% and .55%,
respectively, for the years ended October 31, 1996, 1995, 1994, 1993 and
1992 for Federal Trust Dollar Shares.
See accompanying notes to financial statements.
15
<PAGE> 16
TRUST FOR FEDERAL SECURITIES
Financial Highlights
(For a Share Outstanding Throughout Each Period)
<TABLE>
<CAPTION>
TREASURY
TRUST
DOLLAR
SHARES
--------
TREASURY TRUST SHARES YEAR
---------------------------------------------------------------- ENDED
OCTOBER
YEAR ENDED OCTOBER 31, 31,
---------------------------------------------------------------- --------
1996 1995 1994 1993 1992 1996
-------- ---------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ---------- --------
Income From Investment Operations:
Net Investment Income............................... .0508 .0545 .0359 .0292 .0380 .0483
---------- ---------- ---------- ---------- ---------- --------
Total From Investment Operations.................. .0508 .0545 .0359 .0292 .0380 .0483
---------- ---------- ---------- ---------- ---------- --------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income............................... (.0508) (.0545) (.0359) (.0292) (.0380) (.0483)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions............................... (.0508) (.0545) (.0359) (.0292) (.0380) (.0483)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ========== ========
Total Return......................................... 5.20% 5.59% 3.65% 2.96% 3.85% 4.95%
Ratios/Supplemental Data:
Net Assets, End of Period $(000)..................... $897,659 $1,101,834 $1,016,635 $1,188,412 $1,552,207 $294,228
Ratio of Expenses to Average Daily Net Assets(1)..... .19% .18% .18% .18% .20% .44%
Ratio of Net Investment Income to Average Daily Net
Assets.............................................. 5.08% 5.45% 3.57% 2.92% 3.78% 4.83%
<CAPTION>
TREASURY
TRUST
DOLLAR
SHARES
--------
YEAR
ENDED
OCTOBER
31,
1995 1994 1993 1992
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income From Investment Operations:
Net Investment Income............................... .0520 .0334 .0267 .0355
-------- -------- -------- --------
Total From Investment Operations.................. .0520 .0334 .0267 .0355
-------- -------- -------- --------
Less Distributions:
Dividends to Shareholders from:
Net Investment Income............................... (.0520) (.0334) (.0267) (.0355)
-------- -------- -------- --------
Total Distributions............................... (.0520) (.0334) (.0267) (.0355)
-------- -------- -------- --------
Net Asset Value, End of Period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total Return......................................... 5.34% 3.40% 2.71% 3.60%
Ratios/Supplemental Data:
Net Assets, End of Period $(000)..................... $223,272 $181,934 $258,206 $218,320
Ratio of Expenses to Average Daily Net Assets(1)..... .43% .43% .43% .45%
Ratio of Net Investment Income to Average Daily Net
Assets.............................................. 5.20% 3.32% 2.67% 3.53%
</TABLE>
- ---------------
(1) Without the waiver of advisory and administration fees, the ratio of
expenses to average daily net assets would have been .30%, .29%, .29%, .28%,
and .27%, respectively, for the years ended October 31, 1996, 1995, 1994,
1993, and 1992 for Treasury Trust Shares, and .55%, .54%, .54%, .53%, and
.52%, respectively, for the years ended October 31, 1996, 1995, 1994, 1993
and 1992 for Treasury Trust Dollar Shares.
See accompanying notes to financial statements.
16
<PAGE> 17
Notes to Financial Statements
A. Trust for Federal Securities (the Company) was established as a Pennsylvania
business trust under a Declaration of Trust originally dated as of May 14, 1975,
and is registered under the Investment Company Act of 1940, as amended, as a
diversified open-end management investment company. The Company consists of four
separate portfolios, FedFund, T-Fund, Federal Trust Fund and Treasury Trust
Fund.
On July 31, 1996, the Shareholders of the FedCash and T-Cash portfolios of the
Company approved an asset purchase agreement providing for the acquisition of
all of the assets and liabilities of the Company's FedCash and T-Cash portfolios
by the Company's FedFund and T-Fund portfolios, respectively. This was a 1 for 1
tax free exchange in which FedFund acquired all of the net assets of FedCash
aggregating $197,987,140 and T-Fund acquired all of the net assets of T-Cash
aggregating $444,037,729 for shares at $1.00 per share. The per share net asset
values for FedFund and T-Fund before and after the reorganization were $1.00 and
$1.00, respectively.
The FedFund portfolio has two classes of shares, FedFund Shares and FedFund
Dollar Shares. The T-Fund portfolio has three classes of shares, T-Fund Shares,
T-Fund Dollar Shares and T-Fund Plus Shares. The Federal Trust Fund portfolio
has two classes of shares, Federal Trust Shares and Federal Trust Dollar Shares.
The Treasury Trust Fund portfolio also has two classes of shares, Treasury Trust
Shares and Treasury Trust Dollar Shares. Each portfolio's classes of shares are
identical in all respects, except that Dollar Shares and Plus Shares are sold to
institutions (Service Organizations) which provide support services to their
customers who beneficially own such shares, in consideration of the Company's
payment of 0.25% (on an annualized basis) of the average daily net asset value
of the Dollar Shares or Plus Shares held by the institutions for the benefit of
their customers. The Service Organization fee is applicable only to the earnings
of the respective Dollar Shares or Plus Shares. The Plus Shares also bear
distribution fees of 0.15% (on an annualized basis) of their average daily net
asset value payable to the Company's distributor, PDI, for distribution and
sales support services. T-Fund Plus Shares were approved as a separate class of
shares by the Board of Trustees of the Company on March 22, 1996. No T-Fund Plus
Shares have been sold as of October 31, 1996.
B. Significant accounting policies are as follows:
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statement and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from these estimates. The
following is a summary of significant accounting policies consistently followed
by the Company in the preparation of its financial statements
Security Valuation: Portfolio securities are valued under the amortized cost
method which approximates current market value. Under this method, securities
are valued at cost when purchased and thereafter a constant proportionate
amortization of any discount or premium is recorded until maturity of the
security. Regular review and monitoring of the valuation is performed in an
attempt to avoid dilution or other unfair results to shareholders. The Company
seeks to maintain the net asset value per share of each portfolio at $1.00.
Repurchase Agreements--The Company may purchase, for FedFund and T-Fund, money
market instruments from financial institutions, such as banks and non-bank
dealers, subject to the seller's agreement to repurchase them at an agreed upon
date and price. Collateral for repurchase agreements may have longer maturities
than the maximum permissible remaining maturity of portfolio investments,
provided the repurchase agreements themselves mature in one year or less. The
seller will be required on a daily basis to maintain the value of the securities
subject to the agreement at no less than the repurchase price. Repurchase
agreements with maturities in excess of seven days are subject to a seven day
put feature.
Dividends to Shareholders--Dividends are declared daily and paid monthly.
Dividends payable are recorded on the dividend record date. Net income for
dividend purposes includes interest accrued, discount earned and net realized
short term gains on portfolio securities, less the amortization of market
premium and applicable
17
<PAGE> 18
Notes to Financial Statements (Continued)
expenses. Capital gains, if any, are distributed at least once a year.
Federal Taxes--No provision is made for federal taxes as it is the Company's
intention to have each portfolio continue to qualify as a regulated investment
company and to make the requisite distributions to its shareholders which will
be sufficient to relieve it from federal income and excise taxes.
Other--Investment transactions are accounted for on the trade date and the
cost of investments sold is determined by use of the specific identification
method for both financial reporting and income tax purposes. Expenses not
directly attributable to a specific portfolio are allocated among the portfolios
based on their relative net assets.
C. Under agreements among the Company, PNC Bank, National Association (PNC Bank)
and PNC Institutional Management Corporation (PIMC), an indirect wholly owned
subsidiary of PNC Bank, PIMC manages the Company's portfolios and maintains
their financial accounts. PNC Bank is the Company's sub-advisor and custodian
and PFPC Inc. (PFPC) is the Company's transfer agent.
Provident Distributors, Inc. (PDI) serves as the Company's distributor. No
compensation is payable by the Company to PDI for its distribution services,
except that the T-Fund Plus Shares pay PDI a distribution fee of .15% of their
average net assets per annum for distribution and sales support services.
The Company has entered into an Administration Agreement with PFPC and PDI for
certain administrative services.
In return for their advisory and administrative services, the Company pays
PIMC and the administrators each a fee, computed daily and payable monthly,
based upon an annualized percentage of the combined average net assets of each
portfolio as follows:
.175% of the first $1 billion, .15% of the next $1 billion, .125% of the next
$1 billion, .10% of the next $1 billion, .095% of the next $1 billion, .09% of
the next $1 billion, .085% of the next $1 billion and .08% of net assets in
excess of $7 billion.
If expenses borne by any portfolio in any fiscal year exceed the applicable
expense limitation imposed by state securities regulations, the administrators
and PIMC will each reimburse the portfolio for one-half of any excess expense up
to the amount of fees payable to it (except where such regulations require
reimbursement regardless of the fees payable to it).
The administrators and PIMC have also agreed to reduce their fees, on an equal
basis, to the extent necessary to ensure that the total operating expenses
(excluding Service Organization fees) of each portfolio do not exceed .20% of
their respective average net assets (.18% from November 1, 1995 to February 19,
1996). For the year ended October 31, 1996, the administrators and PIMC waived,
on an equal basis, a total of $1,529,198 of the administration and advisory fees
payable to them with respect to FedFund, $1,597,480 with respect to T-Fund,
$340,341 with respect to Federal Trust Fund and $1,306,818 with respect to
Treasury Trust Fund.
Service Organization fees of $731,687 were paid to affiliates of PNC Bank for
the year ended October 31, 1996.
D. The Company's Declaration of Trust permits the Trustees to authorize the
issuance of an unlimited number of full and fractional shares of beneficial
interest (shares) in the Company and to classify or reclassify any unissued
shares into one or more additional classes of shares.
18
<PAGE> 19
Notes to Financial Statements (Continued)
Transactions in shares of the Company are summarized as follows:
<TABLE>
<CAPTION>
FEDFUND PORTFOLIO
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, 1995
---------------- ----------------
<S> <C> <C>
Shares sold:
FedFund........................................................ 9,628,571,506 11,897,165,860
FedFund Dollar................................................. 3,265,128,386 4,994,887,557
Shares issued in reinvestment of dividends:
FedFund........................................................ 14,249,401 14,676,714
FedFund Dollar................................................. 4,761,455 3,567,699
Shares repurchased:
FedFund........................................................ (9,810,439,998) (12,092,201,363)
FedFund Dollar................................................. (3,369,319,398) (4,921,030,209)
Shares issued from merger:
FedFund........................................................ 198,044,619 --
---------------- ----------------
Net decrease in shares...................................... (69,004,029) (102,933,742)
================ ================
</TABLE>
<TABLE>
<CAPTION>
T-FUND PORTFOLIO
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, 1995
---------------- ----------------
<S> <C> <C>
Shares sold:
T-Fund......................................................... 12,513,467,305 10,751,797,471
T-Fund Dollar.................................................. 1,111,824,421 398,720,021
Shares issued in reinvestment of dividends:
T-Fund......................................................... 19,221,200 21,795,447
T-Fund Dollar.................................................. 672,492 83,960
Shares repurchased:
T-Fund......................................................... (12,629,448,435) (10,575,430,244)
T-Fund Dollar.................................................. (894,525,544) (338,499,219)
Shares issued from merger:
T-Fund......................................................... 393,229,363 --
T-Fund Dollar.................................................. 50,811,711 --
---------------- ----------------
Net increase in shares...................................... 565,252,513 258,467,436
================ ================
</TABLE>
19
<PAGE> 20
Notes to Financial Statements (Concluded)
<TABLE>
<CAPTION>
FEDERAL TRUST FUND PORTFOLIO
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, 1995
---------------- ----------------
<S> <C> <C>
Shares sold:
Federal Trust.................................................... 1,615,471,302 2,021,718,870
Federal Trust Dollar............................................. 144,195,114 153,538,950
Shares issued in reinvestment of dividends:
Federal Trust.................................................... 3,217,621 3,762,129
Federal Trust Dollar............................................. 135,807 105,820
Shares repurchased:
Federal Trust.................................................... (1,582,641,507) (2,105,505,257)
Federal Trust Dollar............................................. (145,856,949) (133,519,733)
-------------- --------------
Net increase (decrease) in shares............................. 34,521,388 (59,899,221)
============== ==============
</TABLE>
<TABLE>
<CAPTION>
TREASURY TRUST FUND PORTFOLIO
------------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 1996 OCTOBER 31, 1995
---------------- ----------------
<S> <C> <C>
Shares sold:
Treasury Trust................................................... 6,593,661,701 6,141,999,392
Treasury Trust Dollar............................................ 784,170,005 551,715,286
Shares issued in reinvestment of dividends:
Treasury Trust................................................... 9,135,502 12,182,325
Treasury Trust Dollar............................................ 10,013,924 8,603,653
Shares repurchased:
Treasury Trust................................................... (6,806,800,550) (6,069,160,791)
Treasury Trust Dollar............................................ (723,185,812) (519,010,905)
-------------- --------------
Net increase (decrease) in shares............................. (133,005,230) 126,328,960
============== ==============
</TABLE>
E. At October 31, 1996, net assets consisted of:
<TABLE>
<CAPTION>
FEDERAL TREASURY
FEDFUND T-FUND TRUST FUND TRUST FUND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ------------ --------------
<S> <C> <C> <C> <C>
Paid-in capital........................ $1,521,557,522 $1,858,948,521 $300,830,182 $1,192,161,331
Accumulated net realized loss on
security transactions................ (281,842) (74,294) (203,167) (274,573)
-------------- -------------- -------------- --------------
$1,521,275,680 $1,858,874,227 $300,627,015 $1,191,886,758
============== ============== ============== ==============
</TABLE>
F. At October 31, 1996, FedFund, T-Fund, Federal Trust, and Treasury Trust had
capital loss carryovers amounting to $281,842, $14,210, $202,799 and $254,426,
respectively, expiring at various times from 2001 to 2004. The capital loss
carryovers are available to offset possible future capital gains of the related
portfolios.
20
<PAGE> 21
Results of Special Meeting of Shareholders (Unaudited)
At a special meeting of Shareholders of the Company on July 31, 1996 the
following action approving a Plan of Reorganization of the Company's FedCash and
T-Cash investment portfolios into the Company's FedFund and T-Fund investment
portfolios, respectively, and a liquidating distribution of such shares to the
shareholders of the FedCash and T-Cash portfolios was taken:
<TABLE>
<CAPTION>
APPROVAL OF PLAN OF REORGANIZATION
- -------------------------------------------------------
VOTES
PORTFOLIO VOTES FOR AGAINST ABSTAINED
- -------------- -------------- ------- ---------
<S> <C> <C> <C>
FedCash....... 233,687,989.09 0.00 0.00
T-Cash........ 249,810,553.28 0.00 0.00
</TABLE>
21
<PAGE> 22
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of Trust for Federal Securities:
We have audited the accompanying statements of net assets of Trust for
Federal Securities (the "Company"), comprising, respectively, the FedFund,
T-Fund, Federal Trust Fund and Treasury Trust Fund portfolios, as of October 31,
1996, and the related statements of operations for the year then ended, the
statements of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the years presented. These
financial statements and financial highlights are the responsibility of the
Company's management. Our responsibility is to express an opinion on these
financial statements and 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 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 investments owned as of
October 31, 1996 by correspondence with custodians 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 financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective portfolios comprising Trust for Federal Securities as of
October 31, 1996, the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended,
and the financial highlights for each of the years presented, in conformity with
generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
December 6, 1996
22
<PAGE> 23
Board of Trustees
G. Willing Pepper
Chairman
G. Nicholas Beckwith III
Philip E. Coldwell
Robert R. Fortune
Jerrold B. Harris
Rodney D. Johnson
Officers
G. Willing Pepper
President
Edward J. Roach
Vice President and Treasurer
W. Bruce McConnel, III
Secretary
Investment Adviser
PNC Institutional Management
Corporation
400 Bellevue Parkway
Wilmington, DE 19809
Co-Administrators
PFPC Inc.
400 Bellevue Parkway
Wilmington, DE 19809
Provident Distributors, Inc.
259 Radnor-Chester Road
Suite 120
Radnor, PA 19087
Distributor
Provident Distributors, Inc.
259 Radnor-Chester Road
Suite 120
Radnor, PA 19087
Transfer Agent
PFPC Inc.
P.O. Box 8950
Wilmington, DE 19885-9628
This report is submitted for
the general information of the
shareholders of the Company.
It is not authorized for
distribution to prospective
investors unless accompanied
or preceded by effective
prospectuses for each
portfolio of the Company,
which contain information
concerning the investment
policies of the portfolios as
well as other pertinent
information.
PIF-A-003
FEDFUND
T-FUND
FEDERAL TRUST FUND
TREASURY TRUST FUND
Investment Portfolios
Offered by
Trust for Federal Securities
LOGO
LOGO
Annual Report to Shareholders
October 31, 1996
