<PAGE> 1
[ZURICH COMPANY LOGO]
Zurich Money Funds
2000
Semiannual Report to Shareholders for the Period Ended January 31, 2000
<PAGE> 2
TABLE OF CONTENTS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
SUBJECT PAGE
- ------------------------------------------------------------------------
<S> <C>
FUND OBJECTIVES 1
- ------------------------------------------------------------------------
PERFORMANCE SUMMARY 2
- ------------------------------------------------------------------------
VARIABLES AFFECTING PERFORMANCE 5
- ------------------------------------------------------------------------
PERFORMANCE REVIEW 6
- ------------------------------------------------------------------------
TERMS TO KNOW 8
- ------------------------------------------------------------------------
PORTFOLIO COMPOSITION 9
- ------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS 10
- ------------------------------------------------------------------------
FINANCIAL STATEMENTS 30
- ------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS 34
- ------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS 37
- ------------------------------------------------------------------------
</TABLE>
<PAGE> 3
1
FUND OBJECTIVES
Zurich Money Funds is an open-end, diversified, management investment company
offering a choice of three investment funds. Each fund invests in high quality
short-term money market instruments consistent with its specific objective as
outlined below.
Like all money market funds, an investment in these funds is not insured or
guaranteed by the FDIC or any other government agency. Although money funds seek
to preserve your investment at $1.00 per share, it is possible to lose money.
- --------------------------------------------------------------------------------
ZURICH MONEY MARKET FUND
- --------------------------------------------------------------------------------
This fund seeks maximum current income to the extent consistent with stability
of principal by investing primarily in high quality short-term securities from
many types of issuers, such as the U.S. Government and corporations.
- --------------------------------------------------------------------------------
ZURICH GOVERNMENT MONEY FUND
- --------------------------------------------------------------------------------
This fund seeks maximum current income to the extent consistent with stability
of principal by investing exclusively in short-term obligations issued or
guaranteed by the U.S. Government, its agencies or instrumentalities.
- --------------------------------------------------------------------------------
ZURICH TAX-FREE MONEY FUND
- --------------------------------------------------------------------------------
This fund seeks maximum current income that is exempt from federal income taxes
to the extent consistent with stability of principal from a portfolio of
short-term, high quality tax-exempt municipal securities.
<PAGE> 4
2
performance summary
ZURICH MONEY MARKET FUND
YIELD COMPARISON
Zurich Money Market Fund is compared to the First Tier Money Fund Average which
consists of all non-institutional taxable money market funds investing in only
first tier (highest rating) securities tracked by IBC Financial Data. Returns
are historical and do not guarantee future results. Fund yields fluctuate.
7-day yield is the annualized net investment income per share for the period
shown. Gains or losses are not included.
[PERFORMANCE GRAPHS]
<TABLE>
<CAPTION>
FUND YIELD VS. FIRST TIER MONEY FUND AVERAGE
FUND YIELD FIRST TIER MONEY MARKET FUNDS
---------- -----------------------------
<S> <C> <C>
8/6/99 4.73 4.41
4.76 4.41
4.88 4.46
4.93 4.48
4.92 4.54
4.99 4.58
4.98 4.60
4.99 4.63
5.08 4.65
5.11 4.67
5.15 4.70
5.18 4.73
5.22 4.76
5.26 4.80
5.39 4.80
5.43 4.86
5.47 4.91
5.49 4.97
5.50 5.00
5.62 5.06
5.63 5.12
5.67 5.16
5.67 5.05
5.64 5.16
5.62 5.14
1/28/00 5.60 5.11
</TABLE>
COMPETITIVE RANKING
The rankings are based upon changes in net asset value with all dividends
reinvested for the periods indicated as of 1/31/00. The Lipper category used for
comparison is the Lipper Money Market Instrument Fund category. Rankings are
historical and do not guarantee future performance.
<TABLE>
<CAPTION>
LIPPER RANKING
<S> <C> <C>
Top Fund #1 of 43 funds 20 years
- --------------------------------------
Top 10% #13 of 134 funds 10 years
- --------------------------------------
Top 9% #21 of 225 funds 5 years
- --------------------------------------
Top 6% #20 of 347 funds 1 year
</TABLE>
10-YEAR PERFORMANCE
This chart shows the value of a hypothetical $10,000 investment in Zurich Money
Market Fund over the past 10 fiscal years with all dividends reinvested. The
returns shown are historical and do not guarantee future performance.
<TABLE>
<CAPTION>
10-YEAR PERFORMANCE
-------------------
<S> <C>
1/31/90 10000
10750
11396
11769
12135
12618
13333
14028
14799
15556
16327
1/31/00 16404
</TABLE>
<PAGE> 5
3
ZURICH GOVERNMENT MONEY FUND
YIELD COMPARISON
Zurich Government Money Fund is compared to the Government Money Fund Average
which consists of all non-institutional government money market funds tracked by
IBC Financial Data. Returns are historical and do not guarantee future results.
Fund yields fluctuate.
7-day yield is the annualized net investment income per share for the period
shown. Gains or losses are not included.
[PERFORMANCE GRAPHS]
<TABLE>
<CAPTION>
FUND YIELD VS. GOVERNMENT MONEY FUND AVERAGE
FUND YIELD GOVERNMENT MONEY FUND AVERAGE
---------- -----------------------------
<S> <C> <C>
8/6/99 4.58 4.31
4.60 4.29
4.63 4.33
4.66 4.32
4.74 4.45
4.76 4.48
4.82 4.49
4.81 4.47
4.88 4.48
4.87 4.52
4.80 4.50
4.91 4.52
4.95 4.51
4.91 4.57
4.99 4.57
4.93 4.63
5.04 4.71
5.11 4.80
5.16 4.77
5.16 4.80
5.26 4.81
5.33 4.82
5.30 4.49
5.29 4.83
5.30 4.85
1/28/00 5.31 4.84
</TABLE>
COMPETITIVE RANKING
The rankings are based upon changes in net asset value with all dividends
reinvested for the periods indicated as of 1/31/00. The category used for
comparison is the Lipper Government Money Market Fund category. Rankings are
historical and do not guarantee future performance.
<TABLE>
<CAPTION>
LIPPER RANKING
<S> <C> <C>
Top 6% #2 of 32 funds 15 years
- ------------------------------------
Top 6% #3 of 51 funds 10 years
- ------------------------------------
Top 7% #6 of 92 funds 5 years
- ------------------------------------
Top 9% #11 of 126 funds 1 year
</TABLE>
10-YEAR PERFORMANCE
This chart shows the value of a hypothetical $10,000 investment in Zurich
Government Money Fund over the past 10 fiscal years, with all dividends
reinvested. The returns shown are historical and do not represent future
performance.
ZURICH MONEY FUNDS PERFORMANCE SUMMARY, CONTINUED
PERFORMANCE GRAPHS
<TABLE>
<CAPTION>
10-YEAR PERFORMANCE
-------------------
<S> <C>
1/31/90 10000
10737
11365
11769
12112
12592
13310
14002
14747
15509
16253
1/31/00 16326
</TABLE>
<PAGE> 6
ZURICH MONEY FUNDS PERFORMANCE SUMMARY, CONTINUED
4
ZURICH TAX-FREE MONEY FUND
YIELD COMPARISON
Zurich Tax-Free Money Fund is compared to the Tax-Free Money Fund Average which
consists of all non-institutional tax-free money market funds tracked by IBC
Financial Data. Returns are historical and do not guarantee future results. Fund
yields fluctuate. Income from Zurich Tax-Free Money Fund may be subject to state
and local taxes and the alternative minimum tax.
7-day yield is the annualized net investment income per share for the period
shown. Gains or losses are not included.
[PERFORMANCE GRAPHS]
<TABLE>
<CAPTION>
FUND YIELD VS. TAX-FREE MONEY FUND AVERAGE
FUND YIELD TAX-FREE MONEY FUND AVERAGE
---------- ---------------------------
<S> <C> <C>
8/6/99 2.81 2.50
2.80 2.41
2.86 2.53
2.95 2.54
3.04 2.58
3.03 2.53
3.00 2.54
3.11 2.72
3.24 2.95
3.23 2.93
3.03 2.66
3.12 2.69
3.17 2.72
3.22 2.79
3.20 2.75
3.34 2.90
3.45 3.02
3.47 3.08
3.45 2.90
3.30 2.74
3.44 3.01
3.78 3.48
4.07 3.88
3.35 2.79
3.13 2.55
1/28/00 3.16 2.62
</TABLE>
COMPETITIVE RANKING
The rankings are based upon changes in net asset value with all dividends
reinvested for the periods indicated as of 1/31/00. The category used for
comparison is the Lipper Tax-Exempt Money Market Fund category. Rankings are
historical and do not guarantee future performance.
<TABLE>
<CAPTION>
LIPPER RANKING
<S> <C> <C>
Top 9% #7 of 74 funds 10 years
- --------------------------------------
Top 7% #8 of 111 funds 5 years
- --------------------------------------
Top 8% #11 of 136 funds 1 year
- --------------------------------------
</TABLE>
10-YEAR PERFORMANCE
This chart shows the value of a hypothetical $10,000 investment in Zurich
Tax-Free Money Fund over the past 10 fiscal years, with all dividends
reinvested. The returns shown are historical and do not represent future
performance.
performance graphs
<TABLE>
<CAPTION>
10-YEAR PERFORMANCE
-------------------
<S> <C>
1/31/90 10000
10527
10995
11306
11562
11874
12317
12727
13164
13600
14005
1/31/00 14044
</TABLE>
<PAGE> 7
5
- ------------------------------------------------------------------------------
VARIABLES AFFECTING PERFORMANCE
- ------------------------------------------------------------------------------
The investment manager invests in high-quality, short-term securities that are
consistent with each fund's specific objectives.
Our primary goal is to provide competitive yields while maintaining preservation
of principal and a high degree of liquidity. The specific securities portfolio
managers select have a major impact on reaching our goal. However, they must
continuously analyze other variables which affect share price stability and fund
performance. Traditionally, there are three important variables which are
factored into the decision-making process:
- ------------------------------------------------------------------------------
MONETARY POLICY
- ------------------------------------------------------------------------------
Monetary Policy is managed by the Federal Reserve Board (the "Fed") and has a
direct impact on short-term interest rates. If the Fed determines that inflation
is climbing, it will enact a policy to decrease or "tighten" the money supply.
With less money available, money lenders can command higher interest rates on
the money market securities they sell. On the other hand, if the Fed determines
the economy is heading toward a recession, it will increase or "ease" the money
supply. With more money for borrowers to access, the interest rates for money
market securities decline.
- ------------------------------------------------------------------------------
INTEREST RATES
- ------------------------------------------------------------------------------
Interest Rates will affect money fund yields because as investments mature, the
cash received will be reinvested at current money market rates which could be
either higher or lower. Reinvesting at higher interest rates generally means
higher yields for money funds and reinvesting at lower rates generally means
lower yields.
- ------------------------------------------------------------------------------
AVERAGE LENGTH OF MATURITY
- ------------------------------------------------------------------------------
Average Length of Maturity affects the timing of reinvesting cash from maturing
investments. If interest rates are expected to rise, decreasing the portfolio's
average length of maturity would enable the Fund to purchase higher-yielding
money market securities sooner. Conversely, if rates were expected to decrease,
the Fund would invest in money market securities with a longer length of
maturity in order to maintain higher yields longer.
(ALSO SEE "TERMS TO KNOW" SECTION)
<PAGE> 8
6
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
AN INTERVIEW WITH PORTFOLIO MANAGER FRANK RACHWALSKI
- --------------------------------------------------------------------------------
[RACHWALSKI PHOTO]
FRANK RACHWALSKI IS A MANAGING DIRECTOR OF SCUDDER KEMPER INVESTMENTS, INC. AND
LEAD PORTFOLIO MANAGER OF ZURICH MONEY FUNDS. MR. RACHWALSKI HOLDS A B.B.A. AND
AN M.B.A. DEGREE FROM LOYOLA UNIVERSITY. THE FOLLOWING IS MR. RACHWALSKI'S
REVIEW OF THE ECONOMIC CONDITIONS AND FUND RESULTS DURING THE REPORT PERIOD AND
WHAT MAY HAPPEN IN THE MONTHS AHEAD.
- --------------------------------------------------------------------------------
Over the past six months, we saw very strong U.S. economic conditions with
growth above 5%. In addition, the economies in both Europe and Asia appeared to
be on the recovery platform, which meant reasonable growth in exports, keeping
the U.S. economy strong. The unemployment rate in the U.S. continued to decline
and consumer confidence continued to rise. This prompted the Federal Reserve
Board ("the Fed") to raise interest rates .25% on three separate occasions last
year to help stabilize the financial markets and economic conditions.
As a result, we took a defensive position with the Funds by keeping average
maturity relatively short, to take advantage of additional rate increases as
they occurred. Because of the uncertainties associated with the calendar change
to a new millennium, including mass concern whether or not systems would
function normally, we felt that we should be less aggressive. Therefore, we
positioned the Funds in order to provide liquidity for investors when and if
they needed it.
- --------------------------------------------------------------------------------
The views expressed in this report reflect those of the portfolio manager only
through the end of the period of the report, as stated on the cover. The
The manager's views are subject to change at any time, based on market and other
conditions.
<PAGE> 9
7
As 1999 came to a close, it became clear the Fund would have sufficient
liquidity to meet demand. Also the market was reacting appropriately without a
lot of safety concerns, especially given that the Fed provided whatever
liquidity the market needed to function routinely in the final months of 1999.
Therefore, the Funds took advantage of income incentives being offered for
extending maturities into the new year, which were very attractive in both
taxable and tax-exempt issues.
Considering this information, we plan to continue with our slightly defensive
positioning and will manage each of the Funds so that we continue to offer you
attractive yield potential with a high degree of stability, making the funds an
excellent place for you to invest.
- --------------------------------------------------------------------------------
<PAGE> 10
8
TERMS TO KNOW
- --------------------------------------------------------------------------------
7-DAY AVERAGE
YIELD Every money market fund calculates its yield according
to a standardized method prescribed by the Securities
and Exchange Commission. Each day's yield is an average
taken over a 7-day period. This average helps to
minimize the effect of daily fluctuation in fund income,
and therefore yield.
MATURITY Maturity is the time remaining before an issuer is
scheduled to repay the principal amount on a debt
security. Money market instruments are debt securities.
FEDERAL FUNDS
("FED FUNDS") Commercial banks are required to keep these funds on
deposit at the Federal Reserve Bank in their district.
In order to meet these reserve requirements,
occasionally commercial banks need to borrow funds.
These funds are borrowed from banks that have an excess
of the required amount on hand in what is called the
"Fed Funds Market". The interest rate on these loans is
called the "Fed Funds Rate" and is the key money market
rate which influences all other short-term rates.
<PAGE> 11
9
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
- ------------------------------------------------
ZURICH MONEY MARKET FUND On 1/31/00*
- ------------------------------------------------
<S> <C>
- - Certificates of deposit 8%
- ------------------------------------------------
- - Commercial paper 63%
- ------------------------------------------------
- - Short-term and Medium-term 29%
notes
- ------------------------------------------------
Total 100%
<CAPTION>
WEIGHTED AVERAGE MATURITY+
Zurich Money Market Fund 25 days
- ------------------------------------------------
First Tier Money Fund Average 48 days
[PIE CHART]
On 1/31/00
<CAPTION>
- ------------------------------------------------
ZURICH GOVERNMENT MONEY FUND On 1/31/00*
- ------------------------------------------------
<S> <C>
- - Federal agencies 71%
- ------------------------------------------------
- - Repurchase Agreements 29%
- ------------------------------------------------
Total 100%
<CAPTION>
WEIGHTED AVERAGE MATURITY+
<S> <C>
Zurich Government Money Fund 24 days
- ------------------------------------------------
Government Money Fund Average 47 days
[PIE CHART]
On 1/31/00
<CAPTION>
- ------------------------------------------------
ZURICH TAX-FREE MONEY FUND On 1/31/00*
- ------------------------------------------------
<S> <C>
- - Tax-exempt commercial paper 53%
- ------------------------------------------------
- - Variable rate demand notes 47%
- ------------------------------------------------
Total 100%
<CAPTION>
WEIGHTED AVERAGE MATURITY+
<S> <C>
Zurich Tax-Free Money Fund 28 days
- ------------------------------------------------
Tax-Free Money Fund Average 42 days
[PIE CHART]
On 1/31/00
</TABLE>
* Portfolio composition and holdings are subject to change.
+ The Funds are compared to their respective IBC Financial Data category: The
First Tier Money Fund Average consists of all non-institutional taxable money
market funds investing in only first tier (highest rating) securities and;
Government Money Fund Average includes all non-institutional government money
market funds; Tax-Free Money Fund Average consists of all non-institutional
tax-free money market funds. Weighted average maturity is as of 1/25/00.
<PAGE> 12
10
ZURICH MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
COMMERCIAL PAPER -- 62.5% AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C> <C>
Ace Overseas Corp., 5.86%, 03/10/2000 $25,000,000 $ 24,846,944
--------------------------------------------------------------------------
Ace Overseas Corp., 6.00%, 03/10/2000 25,000,000 24,846,153
--------------------------------------------------------------------------
Alpine Securitization Corp., 5.71%, 30,000,000 29,971,500
02/07/2000
--------------------------------------------------------------------------
Alpine Securitization Corp., 5.71%, 20,000,000 19,974,667
02/09/2000
--------------------------------------------------------------------------
Alpine Securitization Corp., 6.00%, 40,000,000 39,941,500
02/10/2000
--------------------------------------------------------------------------
American General Finance, 6.11%, 45,000,000 44,880,200
02/17/2000
--------------------------------------------------------------------------
American General Corp., 6.01%, 40,000,000 39,750,467
03/10/2000
--------------------------------------------------------------------------
Amsterdam Funding Corp., 5.72%, 20,000,000 19,974,667
02/09/2000
--------------------------------------------------------------------------
Amsterdam Funding Corp., 5.71%, 20,000,000 19,974,667
02/09/2000
--------------------------------------------------------------------------
Amsterdam Funding Corp., 6.20%, 10,000,000 9,982,972
02/11/2000
--------------------------------------------------------------------------
Amsterdam Funding Corp., 5.75%, 10,000,000 9,977,717
02/15/2000
--------------------------------------------------------------------------
Amsterdam Funding Corp., 5.75%, 10,000,000 9,972,942
02/18/2000
--------------------------------------------------------------------------
Amsterdam Funding Corp., 6.10%, 25,000,000 24,800,000
03/20/2000
--------------------------------------------------------------------------
Associates Corp of North America, 6.02%,
03/02/2000 25,000,000 24,876,458
--------------------------------------------------------------------------
Atlantis One Funding Corp., 6.07%, 15,000,000 14,977,688
02/10/2000
--------------------------------------------------------------------------
Banco de Galicia y Buenos Aires, 6.33%,
02/24/2000 25,000,000 24,900,174
--------------------------------------------------------------------------
Banco del Istmo S.A., 6.17%, 02/18/2000 10,000,000 9,971,431
--------------------------------------------------------------------------
Banco del Istmo S.A., 6.13%, 04/12/2000 10,000,000 9,882,653
--------------------------------------------------------------------------
Banco del Istmo S.A., 6.13%, 04/19/2000 10,000,000 9,871,083
--------------------------------------------------------------------------
Banco del Istmo S.A., 6.12%, 06/15/2000 10,000,000 9,856,450
--------------------------------------------------------------------------
Banco Itau S.A., 6.14%, 06/15/2000 20,000,000 19,553,750
--------------------------------------------------------------------------
Banco Rio de la Plata S.A., 6.02%, 25,000,000 24,847,632
03/09/2000
--------------------------------------------------------------------------
Bank of Novia Scotia, 5.83%, 02/03/2000 40,000,000 40,000,000
--------------------------------------------------------------------------
Banque National de Paris, 5.82%, 10,000,000 9,945,506
03/06/2000
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 13
11
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Barton Capital Corp., 6.08%, 02/25/2000 $15,000,000 $ 14,940,000
--------------------------------------------------------------------------
Barton Capital Corp., 6.13%, 02/25/2000 40,000,000 39,838,667
--------------------------------------------------------------------------
Barton Capital Corp., 6.08%, 02/25/2000 25,000,000 24,900,000
--------------------------------------------------------------------------
Baxter International Inc., 6.01%, 10,000,000 9,988,625
02/08/2000
--------------------------------------------------------------------------
Beta Finance, Inc., 6.00%, 02/10/2000 10,000,000 9,985,375
--------------------------------------------------------------------------
Beta Finance, Inc., 5.98%, 03/20/2000 25,000,000 24,806,667
--------------------------------------------------------------------------
British Gas Capital, Inc., 5.96%, 40,000,000 39,691,733
03/20/2000
--------------------------------------------------------------------------
California Pollution Control Financing 40,000,000 40,000,000
Authority, 5.53%, 02/04/2000
--------------------------------------------------------------------------
Centric Capital Corp., 5.77%, 02/24/2000 50,000,000 49,816,319
--------------------------------------------------------------------------
Centric Capital Corp., 6.01%, 02/29/2000 20,000,000 19,907,911
--------------------------------------------------------------------------
China Merchants, 6.16%, 02/25/2000 25,000,000 24,899,500
--------------------------------------------------------------------------
Citicorp, 6.06%, 02/08/2000 40,000,000 39,953,333
--------------------------------------------------------------------------
COFCO Capital Corp., 6.14%, 03/14/2000 25,000,000 24,823,542
--------------------------------------------------------------------------
Corporate Asset Funding Co., 6.14%, 20,000,000 19,996,650
02/02/2000
--------------------------------------------------------------------------
Corporate Asset Funding Co., 5.64%, 30,000,000 29,953,083
02/11/2000
--------------------------------------------------------------------------
Corporate Receivables Corp., 6.02%, 30,000,000 29,965,292
02/08/2000
--------------------------------------------------------------------------
CSW Credit Corp., 6.05%, 02/11/2000 20,000,000 19,967,056
--------------------------------------------------------------------------
CXC Inc., 5.97%, 02/03/2000 25,000,000 24,991,805
--------------------------------------------------------------------------
Duke Capital Corp., 6.03%, 02/10/2000 25,000,000 24,963,313
--------------------------------------------------------------------------
Duke University, 5.93%, 03/06/2000 27,450,000 27,297,561
--------------------------------------------------------------------------
Enterprise Funding Corp., 6.12%, 25,000,000 24,933,333
02/17/2000
--------------------------------------------------------------------------
Enterprise Funding Corp., 6.11%, 15,000,000 14,897,158
03/13/2000
--------------------------------------------------------------------------
Falcon Asset Securitization Corp., 10,000,000 9,998,327
6.08%, 02/02/2000
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 14
12
ZURICH MONEY MARKET FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Falcon Asset Securitization Corp.,
5.72%, 02/16/2000 $10,000,000 $ 9,976,250
--------------------------------------------------------------------------
Forrestal Funding, 5.86%, 02/22/2000 15,000,000 14,948,900
--------------------------------------------------------------------------
Forrestal Funding, 6.08%, 03/06/2000 30,000,000 29,830,000
--------------------------------------------------------------------------
Fortis Finance Inc., 6.26%, 02/04/2000 35,000,000 34,982,063
--------------------------------------------------------------------------
Fountain Square, 6.11%, 02/01/2000 20,000,000 20,000,000
--------------------------------------------------------------------------
Fountain Square, 6.23%, 02/16/2000 15,000,000 14,962,375
--------------------------------------------------------------------------
Four Winds Funding Corp., 6.08%, 40,000,000 39,959,867
02/07/2000
--------------------------------------------------------------------------
Four Winds Funding Corp., 5.74%, 30,000,000 29,899,900
02/22/2000
--------------------------------------------------------------------------
Four Winds Funding Corp., 5.77%, 15,000,000 14,949,688
02/22/2000
--------------------------------------------------------------------------
Four Winds Funding Corp., 6.14%, 50,000,000 49,630,278
03/16/2000
--------------------------------------------------------------------------
Galaxy Funding Corp., 6.13%, 03/23/2000 35,000,000 34,701,508
--------------------------------------------------------------------------
GE Capital Corp., 6.09%, 02/08/2000 20,000,000 19,976,783
--------------------------------------------------------------------------
Giro Funding Corp., 6.08%, 02/07/2000 25,000,000 24,974,917
--------------------------------------------------------------------------
Giro Funding Corp., 5.75%, 02/07/2000 25,000,000 24,976,167
--------------------------------------------------------------------------
Giro Funding Corp., 6.16%, 02/24/2000 15,000,000 14,942,117
--------------------------------------------------------------------------
Girsa Funding Corp., 6.13%, 04/24/2000 27,500,000 27,122,753
--------------------------------------------------------------------------
GMAC Mortgage Corp. of Pennsylvania,
5.91%, 02/01/2000 50,000,000 50,000,000
--------------------------------------------------------------------------
Goldman Sachs Group, L.P., 6.21%, 45,000,000 45,000,000
02/03/2000
--------------------------------------------------------------------------
Goldman Sachs Group, L.P., 5.82%, 20,000,000 20,000,000
02/22/2000
--------------------------------------------------------------------------
Goldman Sachs Group, L.P., 6.24%, 25,000,000 24,795,000
03/20/2000
--------------------------------------------------------------------------
Hylsa, S.A. de C.V., 6.00%, 02/17/2000 30,000,000 29,922,000
--------------------------------------------------------------------------
International Securitization Corp.,
5.74%, 02/16/2000 15,000,000 14,964,250
--------------------------------------------------------------------------
International Securitization Corp.,
5.76%, 02/17/2000 25,000,000 24,936,333
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 15
13
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
International Securitization Corp.,
5.77%, 02/18/2000 $20,000,000 $ 19,945,694
--------------------------------------------------------------------------
International Securitization Corp.,
5.76%, 02/23/2000 35,000,000 34,877,442
--------------------------------------------------------------------------
Intrepid Funding Master Trust, 6.00%, 40,000,000 39,818,311
02/29/2000
--------------------------------------------------------------------------
Kitty Hawk Funding Corp., 6.07%, 20,000,000 19,979,967
02/07/2000
--------------------------------------------------------------------------
Kitty Hawk Funding Corp., 5.95%, 15,000,000 14,980,433
02/09/2000
--------------------------------------------------------------------------
Kitty Hawk Funding Corp., 6.00%, 9,000,000 8,986,838
02/10/2000
--------------------------------------------------------------------------
Kitty Hawk Funding Corp., 6.22%, 15,000,000 14,941,063
02/24/2000
--------------------------------------------------------------------------
Knight Ridder Inc., 6.04%, 02/09/2000 34,000,000 33,955,422
--------------------------------------------------------------------------
Moat Funding, LLC, 5.92%, 02/07/2000 25,000,000 24,976,042
--------------------------------------------------------------------------
Moat Funding, LLC, 6.07%, 02/14/2000 15,000,000 14,967,663
--------------------------------------------------------------------------
Mont Blanc Capital Corp., 6.09%, 25,000,000 24,970,979
02/08/2000
--------------------------------------------------------------------------
Monte Rosa Capital Corp., 6.08%, 20,000,000 19,953,722
02/15/2000
--------------------------------------------------------------------------
Monte Rosa Capital Corp., 5.74%, 17,989,000 17,948,984
02/15/2000
--------------------------------------------------------------------------
Monte Rosa Capital Corp., 6.13%, 10,000,000 9,975,000
02/16/2000
--------------------------------------------------------------------------
Monte Rosa Capital Corp., 6.14%, 10,000,000 9,973,244
02/17/2000
--------------------------------------------------------------------------
Monte Rosa Capital Corp., 6.12%, 20,000,000 19,862,650
03/13/2000
--------------------------------------------------------------------------
Morgan Stanley, 6.25%, 03/28/2000 25,000,000 24,760,833
--------------------------------------------------------------------------
Moriarty Ltd., 5.83%, 02/03/2000 15,000,000 14,995,166
--------------------------------------------------------------------------
Moriarty Ltd., 6.16%, 03/17/2000 40,000,000 39,696,500
--------------------------------------------------------------------------
New Center Asset Trust I, 6.05%, 40,000,000 39,933,556
02/11/2000
--------------------------------------------------------------------------
New Hampshire, Industrial Development 35,000,000 35,000,000
Authority, 5.55%, 02/04/2000
--------------------------------------------------------------------------
Nordbanken North America, Inc., 5.97%,
02/01/2000 25,000,000 25,000,000
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 16
14
ZURICH MONEY MARKET FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Nordbanken North America, Inc., 6.04%,
03/06/2000 $20,000,000 $ 19,888,744
--------------------------------------------------------------------------
Oakland-Alameda County Coliseum 25,000,000 25,000,000
Authority, 5.55%, 02/04/2000
--------------------------------------------------------------------------
Oakland-Alameda County Pollution Control
Financing Authority, 5.50%, 02/04/2000 30,000,000 30,000,000
--------------------------------------------------------------------------
Old Line Funding Corp., 5.71%, 10,026,000 10,011,713
02/10/2000
--------------------------------------------------------------------------
Old Line Funding Corp., 5.77%, 20,000,000 19,948,889
02/17/2000
--------------------------------------------------------------------------
Park Avenue Receivables, 5.72%, 10,000,000 9,976,250
02/16/2000
--------------------------------------------------------------------------
Park Avenue Receivables, 5.98%, 25,000,000 24,939,063
02/16/2000
--------------------------------------------------------------------------
Park Avenue Receivables, 5.93%, 10,000,000 9,972,375
02/18/2000
--------------------------------------------------------------------------
Petrobras Inc. Finance Co., 6.14%, 25,000,000 24,821,995
03/15/2000
--------------------------------------------------------------------------
Petrobras Inc. Finance Co., 5.92%, 20,000,000 19,857,596
03/15/2000
--------------------------------------------------------------------------
Preferred Receivables Funding Corp., 50,000,000 49,829,667
5.86%, 02/22/2000
--------------------------------------------------------------------------
Preferred Receivables Funding Corp., 10,000,000 9,956,875
5.78%, 02/28/2000
--------------------------------------------------------------------------
Receivables Capital Corp., 5.62%, 25,000,000 24,964,938
02/10/2000
--------------------------------------------------------------------------
Receivables Capital Corp., 6.03%, 20,000,000 19,954,189
02/15/2000
--------------------------------------------------------------------------
Rincon Securities Inc., 6.09%, 10,000,000 9,995,000
02/04/2000
--------------------------------------------------------------------------
Royal Bank of Scotland, 6.04%, 40,000,000 39,894,933
02/17/2000
--------------------------------------------------------------------------
Sheffield Receivables Corp., 6.02%, 20,000,000 19,990,100
02/04/2000
--------------------------------------------------------------------------
Sheffield Receivables Corp., 5.86%, 25,000,000 24,975,625
02/07/2000
--------------------------------------------------------------------------
Sinochem American CP Inc., 6.06%, 10,000,000 9,988,333
02/08/2000
--------------------------------------------------------------------------
Sinochem American CP Inc., 6.04%, 30,000,000 29,831,417
03/06/2000
--------------------------------------------------------------------------
Spintab AB, 6.06%, 03/14/2000 40,000,000 39,724,667
--------------------------------------------------------------------------
Superior Funding Corp., 6.13%, 40,000,000 39,939,500
02/10/2000
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 17
15
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Superior Funding Corp., 5.72%, $45,000,000 $ 44,907,375
02/14/2000
--------------------------------------------------------------------------
SwedBank Inc., 6.07%, 02/14/2000 50,000,000 49,892,569
--------------------------------------------------------------------------
SwedBank Inc., 5.74%, 02/18/2000 14,295,000 14,256,388
--------------------------------------------------------------------------
Sweetwater Capital Corp., 5.76%, 10,000,000 9,984,028
02/11/2000
--------------------------------------------------------------------------
Sweetwater Capital Corp., 5.74%, 35,000,000 34,905,461
02/18/2000
--------------------------------------------------------------------------
Thunder Bay Funding, Inc., 5.79%, 10,000,000 9,953,681
03/01/2000
--------------------------------------------------------------------------
Texas, Brazos River Authority, 6.09%, 40,000,000 40,000,000
02/08/2000
--------------------------------------------------------------------------
Toronto-Dominion Holdings, 5.96%, 45,000,000 44,977,875
02/04/2000
--------------------------------------------------------------------------
Unibanco-Grand Cayman, 6.14%, 04/18/2000 40,000,000 39,490,089
--------------------------------------------------------------------------
US Bank N.A., 6.05%, 04/25/2000 25,000,000 25,000,000
--------------------------------------------------------------------------
US West Communications, 5.66%, 14,100,000 14,086,723
02/07/2000
--------------------------------------------------------------------------
Xerox Capital PLC, 5.56%, 02/04/2000 10,000,000 9,995,375
--------------------------------------------------------------------------
Xerox Capital PLC, 5.63%, 02/10/2000 75,000,000 74,894,625
--------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(COST: $3,158,849,187) 3,158,849,187
<CAPTION>
--------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 8.2%
--------------------------------------------------------------------------
<S> <C> <C>
Allfirst Bank, 5.75%*, 02/16/2000 35,000,000 34,990,120
--------------------------------------------------------------------------
Allfirst Bank, 5.78%*, 02/29/2000 25,000,000 24,992,660
--------------------------------------------------------------------------
Allfirst Bank, 6.18%*, 03/07/2000 45,000,000 44,989,461
--------------------------------------------------------------------------
BankBoston N.A., 6.03%*, 04/18/2000 45,000,000 45,000,000
--------------------------------------------------------------------------
Bank of Montreal, 5.90%*, 02/01/2000 50,000,000 49,995,706
--------------------------------------------------------------------------
Canadian Imperial Bank, 5.91%*, 40,000,000 39,994,560
04/07/2000
--------------------------------------------------------------------------
National Bank of Canada, 6.09%*, 45,000,000 44,982,264
02/22/2000
--------------------------------------------------------------------------
National City Bank of Cleveland, 5.76%*,
02/22/2000 20,000,000 20,004,330
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 18
16
ZURICH MONEY MARKET FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Old Kent Bank, 5.94%*, 02/01/2000 $75,000,000 $ 74,989,016
--------------------------------------------------------------------------
Royal Bank of Canada, 5.89%*, 02/01/2000 35,000,000 34,996,505
--------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(COST: $414,934,622) 414,934,622
<CAPTION>
- ---------------------------------------------------------------------------
SHORT-TERM AND MEDIUM-TERM NOTES -- 29.3%
- ---------------------------------------------------------------------------
<S> <C> <C>
American Express Centurion Bank, 5.78%*,
02/15/2000 10,000,000 10,000,000
--------------------------------------------------------------------------
American Express Centurion Bank, 5.78%*,
02/18/2000 20,000,000 20,000,000
--------------------------------------------------------------------------
American Express Centurion Bank, 5.78%*,
02/22/2000 10,000,000 10,000,000
--------------------------------------------------------------------------
American Honda Finance Corp., 6.13%*,
03/22/2000 30,000,000 29,998,385
--------------------------------------------------------------------------
AmSouth Bank, 5.72%*, 02/03/2000 20,000,000 19,992,554
--------------------------------------------------------------------------
AmSouth Bank, 5.82%*, 02/11/2000 25,000,000 24,998,689
--------------------------------------------------------------------------
AmSouth Bank, 6.12%*, 03/11/2000 40,000,000 40,000,000
--------------------------------------------------------------------------
Anheuser-Busch Cos. Inc., 5.68%*, 40,000,000 39,986,737
02/16/2000
--------------------------------------------------------------------------
Baltimore Gas & Electric, 5.88%*, 20,000,000 20,000,000
02/14/2000
--------------------------------------------------------------------------
Bank of America, 5.75%*, 02/03/2000 50,000,000 50,000,000
--------------------------------------------------------------------------
BankOne Corp. 6.24%*, 02/04/2000 10,000,000 9,999,508
--------------------------------------------------------------------------
BankOne Corp. 6.03%*, 04/05/2000 40,000,000 39,986,800
--------------------------------------------------------------------------
Capital One Funding Corp., 5.94%*, 20,596,000 20,596,000
02/07/2000
--------------------------------------------------------------------------
Capital One Funding Corp., 5.94%*, 19,203,000 19,203,000
02/07/2000
--------------------------------------------------------------------------
Capital One Funding Corp., 5.94%*, 19,300,000 19,300,000
02/07/2000
--------------------------------------------------------------------------
Capital One Funding Corp., 5.94%*, 26,641,000 26,641,000
02/07/2000
--------------------------------------------------------------------------
Caterpillar Financial Services Corp.,
6.06%*, 02/11/2000 20,000,000 20,000,282
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 19
17
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Caterpillar Financial Services Corp.,
6.07%*, 02/16/2000 $25,000,000 $ 24,997,249
--------------------------------------------------------------------------
Chrysler Financial Co. LLC, 5.89%*, 10,000,000 10,000,000
02/16/2000
--------------------------------------------------------------------------
Chrysler Financial Co. LLC, 5.77%*, 15,000,000 14,999,891
02/16/2000
--------------------------------------------------------------------------
Comerica Bank, 5.65%*, 02/03/2000 45,000,000 44,997,486
--------------------------------------------------------------------------
Comerica Bank, 5.73%*, 02/14/2000 35,000,000 34,986,970
--------------------------------------------------------------------------
Daimler Chrysler NA Holding, 5.69%*,
02/01/2000 50,000,000 49,974,323
--------------------------------------------------------------------------
Federal Home Loan Bank, 5.55%*, 10,000,000 9,999,116
02/01/2000
--------------------------------------------------------------------------
Fleet National Bank, 6.34%*, 02/15/2000 50,000,000 50,017,996
--------------------------------------------------------------------------
Ford Motor Credit Co., 6.04%*, 30,000,000 29,986,784
02/18/2000
--------------------------------------------------------------------------
Ford Motor Credit Co., 6.17%*, 15,000,000 14,990,233
03/30/2000
--------------------------------------------------------------------------
General Electric Capital Corp., 5.98%*,
04/12/2000 25,000,000 25,000,000
--------------------------------------------------------------------------
Harris Trust & Savings Bank, 5.66%*, 40,000,000 39,997,207
02/01/2000
--------------------------------------------------------------------------
Household Finance Corp., 5.86%*, 15,000,000 15,001,090
02/10/2000
--------------------------------------------------------------------------
IBM Corp., 5.07%*, 03/22/2000 15,000,000 14,998,967
--------------------------------------------------------------------------
J.P. Morgan & Co., Inc., 6.47%*, 45,000,000 45,000,000
02/3/2000
--------------------------------------------------------------------------
Key Bank, N.A., 5.78%*, 02/08/2000 50,000,000 49,976,967
--------------------------------------------------------------------------
Mellon Bank, N.A., 6.10%*, 02/29/2000 55,000,000 54,990,488
--------------------------------------------------------------------------
National City Bank of Kentucky, 6.11%*,
04/07/2000 45,000,000 45,020,316
--------------------------------------------------------------------------
National Rural Utilities Cooperative 25,000,000 24,998,750
Finance Corp., 5.89%*, 02/02/2000
--------------------------------------------------------------------------
National Rural Utilities Cooperative 25,000,000 24,999,025
Finance Corp., 6.14%*, 03/25/2000
--------------------------------------------------------------------------
Norwest Financial Inc., 5.81%*, 60,000,000 59,978,811
02/07/2000
--------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 20
18
ZURICH MONEY MARKET FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------
<S> <C> <C>
PNC Bank Corp., 5.80%*, 02/28/2000 $20,000,000 $ 20,000,606
--------------------------------------------------------------------------
Sanwa Business Credit Co., 6.38%*, 20,000,000 20,001,187
02/09/2000
--------------------------------------------------------------------------
Sanwa Business Credit Co., 6.16%*, 30,000,000 30,003,000
03/13/2000
--------------------------------------------------------------------------
Sigma Finance Inc., 5.76%*, 02/15/2000 20,000,000 20,000,000
--------------------------------------------------------------------------
Sigma Finance Inc., 5.80%*, 02/28/2000 20,000,000 20,000,000
--------------------------------------------------------------------------
Southern California Edison, 5.91%*, 45,000,000 45,000,000
02/25/2000
--------------------------------------------------------------------------
Student Loan Marketing Association,
5.81%*, 02/01/2000 20,000,000 19,974,294
--------------------------------------------------------------------------
Texas, General Obligation, 5.80%*, 20,000,000 20,000,000
02/02/2000
--------------------------------------------------------------------------
Transamerica Finance Corp., 6.11%*, 25,000,000 25,000,000
02/11/2000
--------------------------------------------------------------------------
Transamerica Finance Corp., 6.13%*, 45,000,000 45,000,000
03/01/2000
--------------------------------------------------------------------------
US Bank N.A., 5.76%*, 02/21/2000 20,000,000 19,994,464
--------------------------------------------------------------------------
Wells Fargo & Co., 6.06%*, 03/29/2000 50,000,000 49,992,639
--------------------------------------------------------------------------
Xerox Credit Corp., 6.04%*, 02/08/2000 40,000,000 39,987,486
--------------------------------------------------------------------------
TOTAL SHORT-TERM AND MEDIUM-TERM NOTES
(COST: $1,480,568,300) 1,480,568,300
--------------------------------------------------------------------------
TOTAL INVESTMENT PORTFOLIO -- 100%
(COST: $5,054,352,109)(A) $5,054,352,109
</TABLE>
Interest rates represent annualized yield to date of maturity, except for
floating rate securities described below.
(a) Cost for federal income tax purposes is $5,054,352,109.
* Floating rate notes are securities whose yields vary with a designated
market index or market rate, such as the coupon-equivalent of the Treasury
bill rate. These securities are shown at their rate as of January 31, 2000.
The dates shown represent the demand date or next interest rate change date.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 21
19
ZURICH GOVERNMENT MONEY FUND
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PRINCIPAL
REPURCHASE AGREEMENTS -- 28.6% AMOUNT VALUE
--------------------------------------------------------------------------
<S> <C> <C>
Bear Stearns Cos., Inc. 5.70%,
02/16/2000, to be repurchased at
$101,425,000 $100,000,000 $100,000,000
--------------------------------------------------------------------------
Chase Securities, Inc. 5.65%, 02/03/2000
to be repurchased at $20,040,247 20,000,000 20,000,000
--------------------------------------------------------------------------
Chase Securities, Inc. 5.70%, 02/09/2000,
to be repurchased at $25,081,986 25,000,000 25,000,000
--------------------------------------------------------------------------
Chase Securities, Inc. 5.83%, 02/01/2000,
to be repurchased at $15,002,396 15,000,000 15,000,000
--------------------------------------------------------------------------
Merrill Lynch, Inc. 5.70%, 02/02/2000, to
be repurchased at $30,299,836 15,000,00 0 15,000,000
--------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(COST $190,000,000)(B) 190,000,000
<CAPTION>
- ----- ----------------------------------------------------------------------
SHORT-TERM AND MEDIUM-TERM NOTES -- 71.4%
- ----------------------------------------------------------------------------
<S> <C> <C>
Federal Farm Credit Bank, 5.60%*, 5,000,000 4,999,984
02/7/2000
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.45%, 02/24/2000 25,000,000 24,913,031
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.55%*, 10,000,000 9,999,398
03/17/2000
----------------------------------------------------------------------------
Federal Home Loan Bank, 6.01%*, 30,000,000 29,986,332
09/29/2000
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.05%*, 03/1/2000 6,000,000 6,000,000
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.05%, 03/3/2000 8,000,000 8,000,000
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.55%*, 04/5/2000 26,000,000 25,997,772
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.55%*, 04/7/2000 16,000,000 15,998,586
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.12%, 05/17/2000 10,000,000 10,000,000
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.66%, 07/28/2000 35,000,000 34,991,466
----------------------------------------------------------------------------
Federal Home Loan Bank, 5.67%, 09/21/2000 35,000,000 34,993,418
----------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 22
20
ZURICH GOVERNMENT MONEY FUND MONEY MARKET PORTFOLIO, CONTINUED
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corp., 5.80%,
02/01/2000 $ 4,233,000 $ 4,233,000
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.52%,
02/03/2000 10,000,000 9,996,932
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.46%,
02/14/2000 8,438,000 8,421,363
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.55%,
03/15/2000 25,500,000 25,330,956
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.44%,
03/23/2000 50,000,000 49,614,313
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.58%,
03/30/2000 25,000,000 24,775,452
----------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.60%*,
05/18/2000 30,000,000 29,992,984
----------------------------------------------------------------------------
Federal National Mortgage Association,
5.04%, 02/23/2000 4,000,000 3,999,906
----------------------------------------------------------------------------
Federal National Mortgage Association,
5.93%*, 09/6/2000 10,000,000 9,996,396
----------------------------------------------------------------------------
Overseas Private Investment Corp.,
6.20%*, 03/15/2000 3,556,000 3,556,000
----------------------------------------------------------------------------
Overseas Private Investment Corp.,
6.20%*, 03/15/2000 4,445,000 4,445,000
----------------------------------------------------------------------------
Overseas Private Investment Corp.,
6.20%*, 03/15/2000 1,111,250 1,111,250
----------------------------------------------------------------------------
Overseas Private Investment Corp.,
6.20%*, 03/15/2000 3,222,625 3,222,625
----------------------------------------------------------------------------
Student Loan Marketing Association,
6.20%*, 02/14/2000 12,000,000 11,999,749
----------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 23
21
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
Student Loan Marketing Association,
5.46%*, 04/05/2000 $ 14,000,000 $ 13,998,801
----------------------------------------------------------------------------
Student Loan Marketing Association,
6.20%* 08/01/2000 10,000,000 9,997,671
----------------------------------------------------------------------------
Student Loan Marketing Association,
5.81%*, 03/07/2001 54,550,000 54,465,449
----------------------------------------------------------------------------
TOTAL SHORT-TERM AND
MEDIUM-TERM NOTES
(COST $475,037,834) 475,037,834
----------------------------------------------------------------------------
TOTAL INVESTMENT PORTFOLIO -- 100%
(COST $665,037,834)(a) $665,037,834
</TABLE>
Interest rates represent annualized yield to date of maturity, except for
floating rate securities described below.
(a) Cost for federal income tax purposes was $665,037,834.
(b) Repurchase agreements are fully collateralized by U.S. Treasury or
Government Agency Securities.
* Floating rate notes are securities whose yields vary with a designated market
index or market rate, such as the coupon-equivalent of the Treasury bill rate.
These securities are shown at their current rate as of January 31, 2000. The
dates shown represent the demand date or next interest rate change date.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 24
22
ZURICH TAX-FREE MONEY FUND
PORTFOLIO OF INVESTMENTS
January 31, 2000 (unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
VARIABLE RATE DEMAND PRINCIPAL
SECURITIES*-- 46.7% AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
ARIZONA
----------------------------------------------------------------------------
Maricopa County,
Pollution Control Revenue, 3.25% - 3.60% $ 6,000,000 $ 6,000,000
----------------------------------------------------------------------------
CALIFORNIA
----------------------------------------------------------------------------
California Statewide Communities
Development Authority, Poinsettia
Apartments Project, 4.43% 5,000,000 5,000,000
----------------------------------------------------------------------------
Los Angeles, Harbor Improvement Corp.,
3.50% 11,200,000 11,200,000
----------------------------------------------------------------------------
COLORADO
----------------------------------------------------------------------------
Health Facilities Authority, Convenant
Retirement Project, 3.30% 5,000,000 5,000,000
----------------------------------------------------------------------------
Health Facilities Authority, Frasier
Meadows Manor Project, 3.33% 3,970,000 3,970,000
----------------------------------------------------------------------------
Health Facilities Authority Bethesda
Living Center Project, 3.33% 4,050,000 4,050,000
----------------------------------------------------------------------------
DISTRICT OF COLUMBIA
----------------------------------------------------------------------------
The Washington Home, Inc., 3.35% 7,525,000 7,525,000
----------------------------------------------------------------------------
FLORIDA
----------------------------------------------------------------------------
Broward County, Industrial Development
Authority, 3.55% 5,770,000 5,770,000
----------------------------------------------------------------------------
Hillsborough County, Industrial
Development Authority, 3.60% 4,500,000 4,500,000
----------------------------------------------------------------------------
Orange County, Health Facilities 7,200,000 7,200,000
Authority, 3.35%
----------------------------------------------------------------------------
Putnam County, Pollution Control 1,250,000 1,250,000
Revenue, 3.25%
----------------------------------------------------------------------------
Sarasota County, Health Facilities 4,400,000 4,400,000
Authority, 3.35%
----------------------------------------------------------------------------
University of Northern Florida, 3.25% 5,500,000 5,500,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 25
23
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
----------------------------------------------------------------------------
GEORGIA
----------------------------------------------------------------------------
Cartersville, Industrial Development
Revenue, 3.80% $ 3,600,000 $ 3,600,000
----------------------------------------------------------------------------
Fayette County, Educational Facilities
Authority, 3.30% 7,035,000 7,035,000
----------------------------------------------------------------------------
Gainsville-Riverside, Redevelopment
Authority Revenue, 3.30% 10,000,000 10,000,000
----------------------------------------------------------------------------
ILLINOIS
----------------------------------------------------------------------------
Development Financial Authority, 23,945,000 23,945,000
3.25%-3.50%
----------------------------------------------------------------------------
Health Facilities Authority, 3.33% 8,180,000 8,180,000
----------------------------------------------------------------------------
Student Assistance Commission, Student
Loan Revenue, 3.25% 6,500,000 6,500,000
----------------------------------------------------------------------------
Chicago, Industrial Development Revenue, 3,400,000 3,400,000
3.50%
----------------------------------------------------------------------------
Cicero, Industrial Development Revenue, 2,890,000 2,890,000
3.50%
----------------------------------------------------------------------------
Hillside, Economic Development 5,520,000 5,520,000
Authority, 3.50%
----------------------------------------------------------------------------
McHenry, Industrial Development Revenue, 5,500,000 5,500,000
3.50%
----------------------------------------------------------------------------
Mundelein-MacLean, Industrial
Development Revenue, 3.60% 6,500,000 6,500,000
----------------------------------------------------------------------------
Springfield, Industrial Development
Revenue, 3.50% 6,500,000 6,500,000
----------------------------------------------------------------------------
Woodridge, Industrial Development
Revenue, 3.50% 5,100,000 5,100,000
----------------------------------------------------------------------------
Woodstock, Industrial Development
Revenue, 3.50% 5,240,000 5,240,000
----------------------------------------------------------------------------
INDIANA
----------------------------------------------------------------------------
Ossian, Economic Development Authority, 4,700,000 4,700,000
3.35%
----------------------------------------------------------------------------
Rockport, Pollution Control Revenue,
3.25% 10,005,000 10,005,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 26
24
ZURICH TAX-FREE MONEY FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
KENTUCKY
Lexington-Fayette, Industrial Building
Revenue, 4.10% $ 3,900,000 $ 3,900,000
----------------------------------------------------------------------------
Mason County, East Kentucky Power Co-op,
3.25% 18,000,000 18,000,000
----------------------------------------------------------------------------
Mayfield Multi-City, Lease Revenue
Bonds, 3.30% 4,205,000 4,205,000
----------------------------------------------------------------------------
LOUISIANA
----------------------------------------------------------------------------
Offshore Term Authority, Deepwater Port
Revenue, 3.60% 4,900,000 4,900,000
----------------------------------------------------------------------------
Caddo Parish, Industrial Development
Board, 3.35% 8,500,000 8,500,000
----------------------------------------------------------------------------
MICHIGAN
----------------------------------------------------------------------------
Higher Education Authority, 3.25% 2,300,000 2,300,000
----------------------------------------------------------------------------
Strategic Fund, Pollution Control
Revenue, 3.25% 4,000,000 4,000,000
----------------------------------------------------------------------------
MISSOURI
----------------------------------------------------------------------------
Environment Improvement & Energy, 3.25% 4,555,000 4,555,000
----------------------------------------------------------------------------
NORTH CAROLINA
----------------------------------------------------------------------------
Wingate University, Educational
Facilities Authority, 3.30% 13,380,000 13,380,000
----------------------------------------------------------------------------
NORTH DAKOTA
----------------------------------------------------------------------------
Mercer County, Pollution Control
Revenue, 3.25% 6,400,000 6,400,000
----------------------------------------------------------------------------
NEW MEXICO
----------------------------------------------------------------------------
Belen, Industrial Development Revenue, 4,225,000 4,225,000
3.50%
----------------------------------------------------------------------------
Farmington, El Paso Electric Co.
Project, 3.25% 6,300,000 6,300,000
----------------------------------------------------------------------------
NEVADA
----------------------------------------------------------------------------
Department of Commerce, 3.40% 4,900,000 4,900,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 27
25
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
OHIO
Portage County, Industrial Development
Revenue, 3.45% $ 4,700,000 $ 4,700,000
----------------------------------------------------------------------------
Water Development Authority, 3.65% 3,800,000 3,800,000
----------------------------------------------------------------------------
Lorain, Port Authority, 3.50% 3,500,000 3,500,000
----------------------------------------------------------------------------
PENNSYLVANIA
----------------------------------------------------------------------------
Allentown, Area Hospital Authority, 6,930,000 6,930,000
3.35%
----------------------------------------------------------------------------
Lancaster County, Hospital Finance
Authority, 3.30% 5,000,000 5,000,000
----------------------------------------------------------------------------
Philadelphia, Industrial Development
Authority, 3.35%-4.00% 13,980,000 13,980,000
----------------------------------------------------------------------------
TENNESSEE
----------------------------------------------------------------------------
Maury County, Saturn Corporation
Project, 3.35% 2,500,000 2,500,000
----------------------------------------------------------------------------
TEXAS
----------------------------------------------------------------------------
Harris County, Health Facilities 9,000,000 9,000,000
Authority, 3.70%
----------------------------------------------------------------------------
Texas Small Business Industry
Development Corp., 3.25% 9,260,000 9,260,000
----------------------------------------------------------------------------
VERMONT
----------------------------------------------------------------------------
Student Association Corp, Student Loan
Revenue, 3.75% 7,000,000 7,000,000
----------------------------------------------------------------------------
VIRGINIA
----------------------------------------------------------------------------
Loudoun County, Industrial Development
Authority, 3.40% 5,915,000 5,915,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 28
26
ZURICH TAX-FREE MONEY FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
WISCONSIN
Eau Claire, Solid Waste Disposal $10,000,000 $ 10,000,000
Revenue, 3.50%
----------------------------------------------------------------------------
Manitowoc, Industrial Development
Revenue, 3.50% 4,000,000 4,000,000
----------------------------------------------------------------------------
TOTAL VARIABLE RATE DEMAND SECURITIES
(COST: $357,130,000) 357,130,000
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
OTHER SECURITIES -- 53.3%
----------------------------------------------------------------------------
ALABAMA
----------------------------------------------------------------------------
<S> <C> <C>
Special Care Facilities Financing
Authority of Birmingham, 3.80%,
02/16/2000 $ 5,000,000 $ 5,000,000
----------------------------------------------------------------------------
ALASKA
----------------------------------------------------------------------------
City of Valdez, ARCO, 3.50%-3.75%,
02/17/2000 - 04/11/2000 12,000,000 12,000,000
----------------------------------------------------------------------------
ARIZONA
----------------------------------------------------------------------------
Salt River Project, Agricultural
Improvement and Power District,
3.70%-3.85%, 02/09/2000 - 02/14/2000 28,570,000 28,570,000
----------------------------------------------------------------------------
COLORADO
----------------------------------------------------------------------------
Platte River, Power Authority, 3.80%,
02/17/2000 10,000,000 10,000,000
----------------------------------------------------------------------------
FLORIDA
----------------------------------------------------------------------------
Orange City, Health Facilities
Authority, 3.65%, 02/10/2000 6,500,000 6,500,000
----------------------------------------------------------------------------
Sunshine State Government Authority,
3.50%-3.90%, 02/17/2000 - 03/01/2000 21,500,000 21,500,000
----------------------------------------------------------------------------
Orlando, Capital Improvements Authority,
3.80%, 04/10/2000 7,600,000 7,600,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 29
27
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
GEORGIA
Monroe County, Georgia Power Company,
3.70%, 02/18/2000 $12,000,000 $ 12,000,000
----------------------------------------------------------------------------
ILLINOIS
----------------------------------------------------------------------------
Educational Facilities Authority,
3.75%-3.85%, 02/10/2000 - 03/13/2000 21,700,000 21,700,000
----------------------------------------------------------------------------
Health Facilities Authority, 3.75%,
04/11/2000 7,000,000 7,000,000
----------------------------------------------------------------------------
INDIANA
----------------------------------------------------------------------------
Health Facilities Authority, 3.80%, 17,000,000 17,000,000
02/09/2000
----------------------------------------------------------------------------
Jasper County, Pollution Control
Revenue, 4.00%, 02/07/2000 - 02/15/2000 15,660,000 15,660,000
----------------------------------------------------------------------------
KENTUCKY
----------------------------------------------------------------------------
Danville, Multi-County Lease Revenue,
3.85%, 02/10/2000 10,000,000 10,000,000
----------------------------------------------------------------------------
Pendleton City, Multi-County Lease
Revenue, 3.65%-3.80%, 02/08/2000 -
02/16/2000 23,580,000 23,580,000
----------------------------------------------------------------------------
LOUISIANA
----------------------------------------------------------------------------
Public Facilities Authority, 3.60%, 2,000,000 2,000,000
04/10/2000
----------------------------------------------------------------------------
Parish of West Baton Rouge, Pollution
Control Revenue, 3.65%-3.75%, 02/10/2000
-04/11/2000 9,050,000 9,050,000
----------------------------------------------------------------------------
MARYLAND
----------------------------------------------------------------------------
Anne Arundel County, Port Facilities
Revenue, 3.45%-3.80%, 03/08/2000 -
03/13/2000 18,900,000 18,900,000
----------------------------------------------------------------------------
MICHIGAN
----------------------------------------------------------------------------
Strategic Fund, Continental Aluminum
Project, 3.75%, 02/10/2000 4,000,000 4,000,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 30
28
ZURICH TAX-FREE MONEY FUND PORTFOLIO OF INVESTMENTS, CONTINUED
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
MISSISSIPPI
Claiborne County, Pollution Control
Revenue, 3.80%, 03/10/2000 $ 3,700,000 $ 3,700,000
----------------------------------------------------------------------------
NEVADA
----------------------------------------------------------------------------
Las Vegas Valley, Water District, 3.60%,
04/10/2000 8,000,000 8,000,000
----------------------------------------------------------------------------
NEW HAMPSHIRE
----------------------------------------------------------------------------
General Obligation, 3.85%, 03/08/2000 10,000,000 10,000,000
----------------------------------------------------------------------------
NEW YORK
----------------------------------------------------------------------------
Nassau County, Tax Anticipation Note,
4.75%-4.85%, 04/28/2000 - 08/31/2000 7,500,000 7,525,693
----------------------------------------------------------------------------
OHIO
----------------------------------------------------------------------------
Air Quality Development Authority,
3.80%, 04/10/2000 3,000,000 3,000,000
----------------------------------------------------------------------------
PENNSYLVANIA
----------------------------------------------------------------------------
Allegheny County, Housing,
3.65%-3.85%, 02/09/2000 12,600,000 12,600,000
----------------------------------------------------------------------------
Philadelphia, Tax and Revenue
Anticipation Notes, 4.25%, 06/30/2000 5,800,000 5,817,257
----------------------------------------------------------------------------
SOUTH CAROLINA
----------------------------------------------------------------------------
Public Service Authority,
3.50%-3.85%, 02/16/2000 - 03/13/2000 16,781,000 16,781,000
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 31
29
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
TEXAS
----------------------------------------------------------------------------
Municipal Power Agency, 3.60%-3.95%,
02/09/2000 - 03/23/2000 $13,500,000 $ 13,500,000
----------------------------------------------------------------------------
Houston, Water & Sewer Authority, 3.85%,
02/24/2000 - 03/06/2000 8,000,000 8,000,000
----------------------------------------------------------------------------
Tax and Revenue Anticipation Notes,
4.50%, 08/31/2000 24,600,000 24,708,186
----------------------------------------------------------------------------
Harris County, Health Facilities
Authority, 3.70%, 03/01/2000 6,300,000 6,300,000
----------------------------------------------------------------------------
San Antonio, Electric & GA, 3.65%,
04/11/2000 4,000,000 4,000,000
----------------------------------------------------------------------------
UTAH
----------------------------------------------------------------------------
Intermountain Power Agency, 3.60%-3.85%,
02/08/2000 - 04/11/2000 33,300,000 33,300,000
----------------------------------------------------------------------------
VIRGINIA
----------------------------------------------------------------------------
Chesterfield County, Industrial
Development Authority, 3.90%, 02/08/2000 5,300,000 5,300,000
----------------------------------------------------------------------------
Louisa, Industrial Development
Authority, 3.55%-4.00%, 02/22/2000 -
03/14/2000 7,500,000 7,500,000
----------------------------------------------------------------------------
Peninsula Port, Industrial Development
Authority, 3.60%, 03/27/2000 5,135,000 5,135,000
-------------------------------------------------------------------------------
TOTAL OTHER SECURITIES
(COST: $407,227,136) 407,227,136
-------------------------------------------------------------------------------
TOTAL INVESTMENTS PORTFOLIO -- 100%
(COST: $764,357,136)(a) $764,357,136
</TABLE>
Interest rates represent annualized yield to date of maturity, except for
variable rate securities described below.
(a) Cost for federal income tax purposes was $764,357,136.
* Variable rate demand securities are securities whose yield vary with a
designated market index or market rate such as the coupon equivalent of the
Treasury bill rate. These securities are shown at their current rate as of
January 31, 2000, and are payable within five business days.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 32
30
FINANCIAL STATEMENTS
STATEMENT OF ASSETS & LIABILITIES
January 31, 2000 (unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
ASSETS MONEY MARKET GOVERNMENT TAX-FREE
-----------------------------------------------------------------------
<S> <C> <C> <C>
Investments in securities,
at amortized cost $5,054,352,109 475,037,834 764,357,136
-----------------------------------------------------------------------
Repurchase agreements -- 190,000,000 --
-----------------------------------------------------------------------
Cash -- -- 65,821
-----------------------------------------------------------------------
Receivable for investments -- -- 530,000
sold
-----------------------------------------------------------------------
Interest receivable 15,399,032 3,933,956 4,803,660
-----------------------------------------------------------------------
Receivable for Fund shares 21,090,993 1,277,119 2,974,218
sold
-----------------------------------------------------------------------
TOTAL ASSETS 5,090,842,134 670,248,909 772,730,835
-----------------------------------------------------------------------
LIABILITIES
-----------------------------------------------------------------------
Due to custodian bank 3,382,250 923,488 --
-----------------------------------------------------------------------
Dividends payable 4,633,490 571,302 394,154
-----------------------------------------------------------------------
Payable for Fund shares 29,302,392 874,952 2,617,047
redeemed
-----------------------------------------------------------------------
Accrued management fee 1,300,454 244,660 222,100
-----------------------------------------------------------------------
Other accrued expenses and
payables 2,953,342 488,942 304,097
-----------------------------------------------------------------------
TOTAL LIABILITIES 41,571,928 3,103,344 3,537,398
-----------------------------------------------------------------------
NET ASSETS AT VALUE $5,049,270,206 667,145,565 769,193,437
-----------------------------------------------------------------------
NET ASSET VALUE
-----------------------------------------------------------------------
Shares outstanding 5,049,270,206 667,145,565 769,193,437
-----------------------------------------------------------------------
Net asset value, offering
and redemption price per
share (Net asset value /
outstanding shares of
beneficial interest, no par
value, unlimited number of
shares authorized) $1.00 1.00 1.00
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 33
31
STATEMENT OF OPERATIONS
Six months ended January 31, 2000 (unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME MONEY MARKET GOVERNMENT TAX-FREE
<S> <C> <C> <C> <C>
Interest income $146,913,880 19,203,754 14,056,130
----------------------------------------------------------------------------
Expenses:
Management fee 6,720,851 916,660 1,017,268
----------------------------------------------------------------------------
Services to shareholders 3,627,752 578,388 376,937
----------------------------------------------------------------------------
Custodian fees 86,357 29,278 30,098
----------------------------------------------------------------------------
Auditing 40,881 5,595 6,405
----------------------------------------------------------------------------
Legal 10,065 2,073 2,928
----------------------------------------------------------------------------
Trustees' fees and expenses 27,450 4,871 12,993
----------------------------------------------------------------------------
Reports to shareholders 125,000 22,914 23,000
----------------------------------------------------------------------------
Registration fees 116,388 53,953 32,025
----------------------------------------------------------------------------
Other 428,769 140,703 6,915
----------------------------------------------------------------------------
Total expenses, before
expense reductions 11,183,513 1,754,435 1,508,569
----------------------------------------------------------------------------
Expense reductions (55,717) (8,571) (8,771)
----------------------------------------------------------------------------
Total expenses, after expense
reductions 11,127,796 1,745,864 1,499,798
----------------------------------------------------------------------------
NET INVESTMENT INCOME 135,786,084 17,457,890 12,556,332
----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $135,786,084 17,457,890 12,556,332
----------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 34
32
ZURICH MONEY FUNDS FINANCIAL STATEMENTS, CONTINUED
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS MONEY MARKET
--------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR
JANUARY 31, ENDED
2000 JULY 31,
INCREASE (DECREASE) IN NET ASSETS (UNAUDITED) 1999
--------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 135,786,084 232,624,260
--------------------------------------------------------------------------
Distributions to shareholders from net
investment income (135,786,084) (232,624,260)
--------------------------------------------------------------------------
FUND SHARE TRANSACTIONS:
Proceeds from shares sold 3,982,432,366 8,713,747,186
--------------------------------------------------------------------------
Reinvestment of distributions 131,112,459 223,034,726
--------------------------------------------------------------------------
Cost of shares redeemed (4,173,805,558) (8,365,877,865)
--------------------------------------------------------------------------
NET INCREASE (DECREASE) FROM FUND
SHARE TRANSACTIONS AND TOTAL INCREASE
(DECREASE) IN NET ASSETS (60,260,733) 570,904,047
--------------------------------------------------------------------------
NET ASSETS
--------------------------------------------------------------------------
Beginning of period 5,109,530,939 4,538,626,892
--------------------------------------------------------------------------
END OF PERIOD $5,049,270,206 5,109,530,939
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 35
33
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
GOVERNMENT TAX-FREE
- ------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
JANUARY 31, ENDED JANUARY 31, ENDED
2000 JULY 31, 2000 JULY 31,
(UNAUDITED) 1999 (UNAUDITED) 1999
- ------------------------------------------------------------------
<S> <C> <C> <C>
17,457,890 33,081,712 12,556,332 23,615,669
- ------------------------------------------------------------------
(17,457,890) (33,081,712) (12,556,332) (23,615,669)
- ------------------------------------------------------------------
310,404,888 660,407,000 425,813,534 908,119,338
- ------------------------------------------------------------------
16,971,481 31,985,558 12,225,967 22,976,444
- ------------------------------------------------------------------
(372,014,615) (667,480,000) (464,905,512) (950,930,278)
- ------------------------------------------------------------------
(44,638,246) 24,912,558 (26,866,011) (19,834,496)
- ------------------------------------------------------------------
711,783,811 686,871,253 796,059,448 815,893,944
- ------------------------------------------------------------------
$ 667,145,565 711,783,811 769,193,437 796,059,448
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
<PAGE> 36
34
FINANCIAL HIGHLIGHTS
The following tables include selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
------------------------------------------------------------------------------
ZURICH MONEY MARKET FUND
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JANUARY YEAR ENDED JULY 31,
31, 2000 ---------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
<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
------------------------------------------------------------------------------------------
Net investment income 0.03 0.05 0.05 0.05 0.05 0.05
------------------------------------------------------------------------------------------
Less distributions
from net
investment income (0.03) (0.05) (0.05) (0.05) (0.05) (0.05)
------------------------------------------------------------------------------------------
Net asset value,
end of period $1.00 1.00 1.00 1.00 1.00 1.00
------------------------------------------------------------------------------------------
TOTAL RETURN (%) 2.71%** 4.89 5.38 5.27 5.34 5.34
------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
------------------------------------------------------------------------------------------
Net assets, end
of period
($ thousands) 5,049,270 5,109,531 4,538,627 4,361,935 4,225,775 4,025,098
------------------------------------------------------------------------------------------
Ratio of expenses
before expense
reductions (%) 0.44* 0.46 0.48 0.45 0.50 0.52
------------------------------------------------------------------------------------------
Ratio of expenses
after expense
reductions (%) 0.43* 0.46 0.48 0.45 0.50 0.52
------------------------------------------------------------------------------------------
Ratio of net
investment income (%) 5.29* 4.78 5.24 5.14 5.20 5.19
</TABLE>
* Annualized
** Not annualized
Note: Zurich Money Market Fund's total return for the year ended July 31, 1995
includes the effect of a capital contribution from the investment manager.
Without the capital contribution, the total return would have been 4.62%.
<PAGE> 37
35
- --------------------------------------------------------------------------------
ZURICH GOVERNMENT MONEY FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JANUARY 31, YEAR ENDED JULY 31,
2000 ------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------
<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
--------------------------------------------------------------------------------------------
Net investment income 0.03 0.05 0.05 0.05 0.05 0.05
--------------------------------------------------------------------------------------------
Less distributions
from net investment
income (0.03) (0.05) (0.05) (0.05) (0.05) (0.05)
--------------------------------------------------------------------------------------------
Net asset value, end
of period $1.00 1.00 1.00 1.00 1.00 1.00
--------------------------------------------------------------------------------------------
TOTAL RETURN (%) 2.55%** 4.78 5.33 5.26 5.34 5.36
--------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
--------------------------------------------------------------------------------------------
Net assets, end of
period ($ thousands) 667,146 711,784 686,871 671,139 672,041 603,601
--------------------------------------------------------------------------------------------
Ratio of expenses
before expense
reductions (%) 0.50* 0.43 0.43 0.44 0.46 0.46
--------------------------------------------------------------------------------------------
Ratio of expenses
after expense
reductions (%) 0.50* 0.43 0.43 0.44 0.46 0.46
--------------------------------------------------------------------------------------------
Ratio of net
investment income (%) 4.97* 4.67 5.20 5.13 5.20 5.21
</TABLE>
* Annualized
** Not annualized
<PAGE> 38
FINANCIAL HIGHLIGHTS, CONTINUED
36
- --------------------------------------------------------------------------------
ZURICH TAX-FREE MONEY FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JANUARY
31, YEAR ENDED JULY 31,
2000 -------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------
<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
--------------------------------------------------------------------------------
Net investment income 0.02 0.03 0.03 0.03 0.03 0.03
--------------------------------------------------------------------------------
Less distributions
from net investment
income (0.02) (0.03) (0.03) (0.03) (0.03) (0.03)
--------------------------------------------------------------------------------
Net asset value, end
of period $1.00 1.00 1.00 1.00 1.00 1.00
--------------------------------------------------------------------------------
TOTAL RETURN (%) 1.65** 2.97 3.46 3.39 3.44 3.53
--------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA
--------------------------------------------------------------------------------
Net assets, end of
period ($ thousands 769,193 796,059 815,894 771,315 729,018 760,143
--------------------------------------------------------------------------------
Ratio of expenses
before expense
reductions (%) 0.39* 0.36 0.36 0.37 0.39 0.40
--------------------------------------------------------------------------------
Ratio of expenses
after expense
reductions (%) 0.39* 0.36 0.36 0.37 0.39 0.40
--------------------------------------------------------------------------------
Ratio of net
investment income (%) 3.23* 2.93 3.39 3.33 3.38 3.46
</TABLE>
* Annualized
** Not annualized
<PAGE> 39
37
NOTES TO
FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
- -------------------------------------------------------------------------------
Zurich Money Funds (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as an open-end diversified management
investment company organized as a Massachusetts business trust. The Trust
currently offers three investment funds ("Funds"). Zurich Money Market Fund
invests primarily in short-term high quality obligations of major banks and
corporations. Zurich Government Money Fund invests exclusively in obligations
issued or guaranteed by the U.S. Government or its agencies and repurchase
agreements thereon. Zurich Tax-Free Money Fund invests in short-term high
quality municipal securities.
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management estimates.
The policies described below are followed consistently by the Fund in the
preparation of its financial statements.
SECURITY VALUATION. The Funds value all portfolio securities utilizing the
amortized cost method permitted in accordance with Rule 2a-7 under the 1940 Act
and pursuant to which the Funds must adhere to certain conditions. Under this
method, which does not take into account unrealized gains or losses on
securities, an instrument is initially valued at its cost and thereafter assumes
a constant accretion/amortization to maturity of any discount/premium.
REPURCHASE AGREEMENTS. The Funds may enter into repurchase agreements with
certain banks and broker/dealers whereby the Funds, through their custodian or
sub-custodian bank, receive delivery of the underlying securities, the amount of
which at the time of purchase and each subsequent business day is required to be
maintained at such a level that the market value is equal to at least the
principal amount of the repurchase price plus accrued interest.
FEDERAL INCOME TAXES. Each Fund's policy is to comply with the requirements of
the Internal Revenue Code, as amended, which are applicable to regulated
investment companies and to distribute all of its taxable and tax-exempt income
to its shareholders. Accordingly, the Funds paid no federal income taxes and no
federal income tax provision was required.
<PAGE> 40
38
DISTRIBUTION OF INCOME AND GAINS. All of the net investment income of the Funds
are declared as a daily dividend and are distributed to shareholders monthly.
Net investment income includes all realized gains (losses) on portfolio
securities.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Investment transactions are
accounted for on the trade date. Interest income is recorded on the accrual
basis. All discounts and premiums are accreted/amortized for both tax and
financial reporting purposes.
EXPENSES. Expenses arising in connection with a specific Fund are allocated to
that Fund. Other Trust expenses are allocated between the Funds in proportion to
their relative net assets.
- -------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
- -------------------------------------------------------------------------------
MANAGEMENT AGREEMENT. The Funds have a management agreement with Scudder Kemper
Investments, Inc. ("Scudder Kemper") and pay a monthly investment management fee
of 1/12 of the annual rate of .50% of the first $215 million of combined average
daily net assets declining to .25% of combined average daily net assets in
excess of $800 million. During the six months ended January 31, 2000, the Funds
incurred the following management fees:
<TABLE>
<CAPTION>
MANAGEMENT FEE EFFECTIVE
FUND IMPOSED($) RATE(%)
---- -------------- ---------
<S> <C> <C>
Zurich Money Market Fund 6,720,851 .26
Zurich Government Money Fund 916,660 .26
Zurich Tax-Free Money Fund 1,017,268 .26
</TABLE>
SHAREHOLDER SERVICES AGREEMENT. Pursuant to a services agreement with the Funds'
transfer agent, Kemper Service Company ("KSvC") is the shareholder service agent
of the Trust. For the six months ended January 31, 2000, KSvC received
shareholder services fees for the Zurich Money Market Fund, the Zurich
Government Money Fund and the Zurich Tax-Free Money Fund of $2,577,472,
$321,968, and $269,822, respectively, of which $1,512,214, $303,525, and
$164,316, respectively, is unpaid at January 31, 2000.
<PAGE> 41
39
OFFICERS AND TRUSTEES. Certain officers or trustees of the Trust are also
officers or directors of Scudder Kemper. During the six months ended January 31,
2000, the Trust made no payments to its officers and incurred trustees' fees of
$45,314 to independent trustees.
- -------------------------------------------------------------------------------
3. EXPENSE OFF-SET ARRANGEMENTS
- -------------------------------------------------------------------------------
Each Fund has entered into an arrangement with its custodian and transfer agent
whereby credits realized as a result of uninvested cash balances were used to
reduce a portion of the Fund's expenses. During the period, Zurich Money Market
Fund's, Zurich Government Money Fund's and Zurich Tax-Free Money Fund's
custodian and transfer agent fees were reduced by $4,889 and $50,828, $1,577 and
$6,994 and $1,020 and $7,751, respectively.
- -------------------------------------------------------------------------------
4. LINE OF CREDIT
- -------------------------------------------------------------------------------
The Funds and several Kemper funds (the "Participants") share in a $750 million
revolving credit facility for temporary or emergency purposes, including the
meeting of redemption requests that otherwise might require the untimely
disposition of securities. The Participants are charged an annual commitment fee
which is allocated pro rata among each of the Participants. Interest is
calculated based on the market rates at the time of the borrowing. Each Fund may
borrow up to a maximum of 33 percent of its net assets under the agreement.
<PAGE> 42
TRUSTEES AND OFFICERS
TRUSTEES OFFICERS
JOHN W. BALLANTINE MARK S. CASADY MAUREEN E. KANE
Trustee President Assistant Secretary
LEWIS A. BURNHAM PHILLIP J. COLLORA CAROLINE PEARSON
Trustee Vice President and Assistant Secretary
Secretary
LINDA C. COUGHLIN BRENDA LYONS
Trustee ANN M. MCCREARY Assistant Treasury
Vice President
DONALD L. DUNAWAY
Trustee ROBERT C. PECK, JR.
Vice President
ROBERT B. HOFFMAN
Trustee KATHRYN L. QUIRK
Vice President
DONALD R. JONES
Trustee FRANK J. RACHWALSKI, JR.
Vice President
THOMAS W. LITTAUER
Trustee and LINDA J. WONDRACK
Vice President Vice President
SHIRLEY D. PETERSON JOHN R. HEBBLE
Trustee Treasurer
WILLIAM P. SOMMERS
Trustee
LEGAL COUNSEL VEDDER, PRICE, KAUFMAN & KAMMHOLZ
222 North LaSalle Street
Chicago, IL 60601
SHAREHOLDER SERVICE KEMPER SERVICE COMPANY
AGENT P.O. Box 419066
Kansas City, MO 64141-6066
CUSTODIAN STATE STREET BANK AND TRUST COMPANY
225 Franklin Street
Boston, MA 02110
TRANSFER AGENT INVESTORS FIDUCIARY TRUST COMPANY
801 Pennsylvania
Kansas City, MO 64105
INDEPENDENT ERNST & YOUNG LLP
AUDITORS 233 South Wacker Drive
Chicago, IL 60606
This report must be preceded or
accompanied by a Zurich Money Funds prospectus.
[ZURICH LOGO]
Printed in the U.S.A. on recycled paper. Telephone: 1-888-ZURICH-1(987-4241)
