<PAGE> 1
PACIFIC HORIZON TAXABLE MONEY MARKET FUNDS
PACIFIC HORIZON TAXABLE MONEY MARKET FUNDS
ANNUAL REPORT
FEBRUARY 28, 1997
PRIME FUND
TREASURY FUND
GOVERNMENT FUND
TREASURY ONLY FUND
INVESTING FOR ALL
THE TIMES OF YOUR LIFE
NOT FDIC INSURED
<PAGE> 2
PACIFIC HORIZON FUNDS, INC.
3435 Stelzer Road, Columbus, OH 43219
1-800-332-3863
INVESTMENT ADVISER
Bank of America National Trust and Savings Association
555 California Street
San Francisco, CA 94104
ADMINISTRATOR
The BISYS Group, Inc.
3435 Stelzer Road
Columbus, OH 43219
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1177 Avenue of the Americas
New York, NY 10036
FUND COUNSEL
Drinker Biddle & Reath LLP
1345 Chestnut Street
Philadelphia, PA 19107
DISTRIBUTOR
Concord Financial Group, Inc.
3435 Stelzer Road
Columbus, OH 43219
FUND SHARES ARE NOT FEDERALLY INSURED BY, GUARANTEED BY, OBLIGATIONS OF, OR
OTHERWISE ENDORSED BY THE U.S. GOVERNMENT, THE FDIC, THE FEDERAL RESERVE BOARD,
OR ANY OTHER GOVERNMENTAL AGENCY.
The Pacific Horizon Funds, Inc. are sponsored and distributed by Concord
Financial Group, Inc., which is unaffiliated with the Bank of America. Bank of
America serves as investment adviser to the Funds and receives fees for such
services. From time to time, Bank of America may provide other services to the
Funds for additional fees, as disclosed in the Funds' prospectuses.
There can be no assurance that the Funds will be able to maintain a Net Asset
Value (NAV) of $1.00 per share and Fund shares are not insured or guaranteed by
the U.S. Government or its agencies.
For certain investors, a portion of the income earned on municipal bond Funds
may be subject to the federal Alternative Minimum Tax (AMT), and to state and
local taxes.
This material must be preceded or accompanied by a current prospectus.
<TABLE>
<S> <C>
=========================================================================
INVESTMENTS IN PACIFIC HORIZON FUNDS, INC. ARE NOT BANK
DEPOSITS AND ARE NOT OBLIGATIONS OF, OR GUARANTEED BY, NOT
BANK OF AMERICA OR ANY AFFILIATES. AN INVESTMENT IN FDIC
MUTUAL FUNDS INVOLVES INVESTMENT RISKS, INCLUDING THE INSURED
POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
- -------------------------------------------------------------------------
</TABLE>
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<PAGE> 3
Contents
<TABLE>
<S> <C>
FUND FACTS 2-3
UNDERSTANDING YOUR SHAREHOLDER
REPORT 4-6
ECONOMIC REVIEW FROM THE
INVESTMENT ADVISER 8-9
FUND OVERVIEW AND
INTERVIEW WITH YOUR
INVESTMENT MANAGER 10-12
PORTFOLIOS OF INVESTMENTS 13-26
STATEMENTS OF ASSETS
AND LIABILITIES 27
STATEMENTS OF OPERATIONS 28
STATEMENTS OF CHANGES
IN NET ASSETS 30-31
NOTES TO FINANCIAL STATEMENTS 32-39
FINANCIAL HIGHLIGHTS 40-53
REPORT OF INDEPENDENT
ACCOUNTANTS 54
</TABLE>
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PACIFIC HORIZON FUND FACTS
The Pacific Horizon Family of Funds offers a variety of mutual funds with
different investment objectives to help you diversify your portfolio and meet
your investment goals. Some Funds offer greater growth potential, while others
such as the money market funds, strive to maintain a stable net asset value, but
offer no growth potential.
<TABLE>
<CAPTION>
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FUND NAME INVESTMENT OBJECTIVE
- ------------------------------------------------------------------------------------
<S> <C>
International Equity Long-Term Capital Growth
.....................................................................................
Aggressive Growth Maximum Capital Appreciation
.....................................................................................
Blue Chip Long-Term Capital Appreciation
.....................................................................................
Capital Income Total Investment Return
.....................................................................................
Asset Allocation Long-Term Growth
.....................................................................................
Corporate Bond High Current Income
.....................................................................................
Intermediate Bond Income and Capital Appreciation
.....................................................................................
U.S. Government Securities High Level of Current Income
.....................................................................................
Short-Term Government High Current Income with Relative
Stability of Principal
.....................................................................................
National Municipal Bond* High Level of Federal Tax-Free
Current Income
.....................................................................................
California Tax-Exempt Bond* High Level of Federal and California
Tax-Free Current Income
.....................................................................................
Money Market Funds+ High Current Income Plus Principal
- Prime Stability
- Treasury
- Government
- Treasury Only
.....................................................................................
Tax-Exempt Money Market Funds*+
- Tax-Exempt Money High Level of Federal Tax-Free Current
Income Plus Principal Stability
- California Tax-Exempt Money Market High Level of Federal and California
Tax-Free Current Income Plus Principal
Stability
</TABLE>
- --------------------------------------------------------------------------------
* Certain investors may be subject to the federal Alternative Minimum Tax (AMT)
and to certain state and local taxes.
+ There can be no assurance that the Funds will be able to maintain a stable net
asset value of $1.00 per share. Fund shares are not insured or guaranteed by
the U.S. Government.
2
<PAGE> 5
With the help of an investment professional, you can develop a strategy tailored
to meet your goals. To receive any of the Funds' prospectuses, which include
more complete information such as charges and expenses, call your Investment
Specialist or the Pacific Horizon Funds. Read the prospectus carefully before
investing or sending money.
<TABLE>
<CAPTION>
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PORTFOLIO CONSISTS PRIMARILY OF ... APPROPRIATE FOR INVESTORS WHO SEEK
- -----------------------------------------------------------------------------------------------
<S> <C>
Foreign Equity Securities Diversification into foreign equity markets with
associated risk.
................................................................................................
Small Capitalization Stocks Higher-than-average long-term growth potential with
higher-than-average risk.
................................................................................................
Blue Chip Stocks Long-term growth potential from investments in the
stocks of well-established companies.
................................................................................................
Convertible Bonds and Convertible Combined potential for current income and capital
Preferred Stocks appreciation.
................................................................................................
Stocks, Bonds and Cash Equivalents Long-term growth potential and current income from
stocks and bonds.
................................................................................................
Investment-Grade Corporate Debt High monthly income potential with reasonable
investment risk.
................................................................................................
Investment-Grade Corporate and U.S. Regular monthly income from a diversified portfolio
Government Securities of investment-grade securities.
................................................................................................
GNMAs and Other U.S. Government High monthly income potential and low credit risk.
Securities
................................................................................................
U.S. Government and Government Agency Monthly income and relative stability of investment.
Securities
................................................................................................
Investment-Grade Municipal Debt Monthly tax-free income.
Securities
................................................................................................
Investment-Grade California High monthly double tax-free income.
Municipal Securities
................................................................................................
High-Quality Corporate and/or U.S. A flexible, convenient way to manage or accumulate
Government Short-Term Obligations cash while waiting for other investment
opportunities.
................................................................................................
Short-Term Municipal Obligations A tax-free way to manage or accumulate cash while
waiting for other investment opportunities.
................................................................................................
Short-Term California Municipal A tax-free way to manage or accumulate cash while
Obligations waiting for other investment opportunities.
</TABLE>
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3
<PAGE> 6
UNDERSTANDING YOUR SHAREHOLDER REPORT
As a mutual fund shareholder, you receive two financial reports a year that
contain important information about your investment. The Financial Statements
and Financial Highlights included in annual reports are audited by an
independent public accounting firm and cover the activity for the past fiscal
year. The independent public accountant provides an opinion letter in each
audited report. A semi-annual report is a six-month interim report that includes
financial statements that are generally not audited by an independent public
accounting firm.
This guide will help you extract the information from
the report.
The TABLE OF CONTENTS helps
you locate the information you
want.
The ECONOMIC REVIEW FROM THE
INVESTMENT ADVISER provides a
brief overview of the economy
and how it affects the
financial markets.
The FUND OVERVIEW AND
INTERVIEW WITH YOUR INVESTMENT
MANAGER enables you to gain
insight into the Fund's
investments and learn more
about the Fund manager's
strategies.
Because a picture or chart can help clarify the
text, the investment management team may have
illustrated the most important features of the Fund.
The illustrations may represent the portfolio
composition, the largest holdings or a
simplification of the investment adviser's
investment style.
LOGO LOGO
<PAGE> 7
The Financial Statements summarize and describe the Fund's financial
transactions. They are broken down into four different statements, which are
illustrated below:
The PORTFOLIO OF INVESTMENTS lists each investment holding in the Fund as of the
date of the report. Investments may be grouped by category (by industry or
security type, for example). The percentage of the Fund's net assets represented
by these groupings is also disclosed.
TYPE OF SECURITY
INDUSTRY SECTOR AND PERCENTAGE OF THE FUND'S
NET ASSETS REPRESENTED BY INVESTMENTS IN THAT
SECTOR (IF APPLICABLE)
ACTUAL PORTFOLIO HOLDINGS WITH SHARES AND
MARKET VALUE AS OF REPORT DATE
The STATEMENT OF ASSETS AND LIABILITIES lists all the assets and liabilities of
the Fund as of the date of the statement. This is an individual fund's "balance
sheet." Also disclosed in this statement are the Fund's net asset value per
share and its maximum offering price per share as of the date of the statement.
The statement also lists the accounts that comprise the Fund's
net assets (capital stock, undistributed
income, etc.).
SUMMARY OF THE FUND'S INVESTMENTS AND ALL
OTHER ASSETS OWNED BY THE FUND, INCLUDING
AMOUNTS OWED TO THE FUND BY OUTSIDE PARTIES
SUMMARY OF ALL AMOUNTS OWED TO OUTSIDE PARTIES
BY THE FUND
NET RESULTS OF ASSETS LESS LIABILITIES
THE MARKET VALUE OF THE FUND'S TOTAL NET
ASSETS DIVIDED BY THE NUMBER OF SHARES
OUTSTANDING
THE CURRENT NET ASSET VALUE PER SHARE PLUS SALES CHARGE, IF ANY
LOGO
LOGO
<PAGE> 8
The STATEMENT OF OPERATIONS shows the amount of dividend and interest income
earned from the Fund's investments, the expenses incurred by the Fund from its
operations and any
gains or losses realized and not yet realized
by the Fund from holding and/or selling any
investments.
ANY INCOME EARNED FROM THE FUND'S INVESTMENTS
OPERATING EXPENSES INCURRED BY THE FUND DURING
THE PERIOD
GAINS OR LOSSES REALIZED UPON THE SALE OF THE
FUND'S INVESTMENTS AND ANY CHANGE IN
UNREALIZED GAINS OR LOSSES ON FUND HOLDINGS
DURING THE PERIOD
NET CHANGE IN NET ASSETS DUE TO FUND
OPERATIONS
The STATEMENTS OF CHANGES IN NET ASSETS shows the changes in the net assets of
the Fund during each of the two most recent reporting periods. The changes in
net assets are generally
broken down into four distinct sections:
OPERATIONS: SEE STATEMENT OF OPERATIONS
DIVIDENDS TO SHAREHOLDERS: TOTAL INCOME
DIVIDENDS PAID TO SHAREHOLDERS DURING THE
PERIODS
DISTRIBUTIONS TO SHAREHOLDERS: TOTAL REALIZED
GAINS DISTRIBUTED TO SHAREHOLDERS DURING THE
PERIODS
FUND SHARE TRANSACTIONS: DOLLAR VALUE OF FUND
SHARES PURCHASED, REDEEMED OR REINVESTED
DURING THE PERIODS
The NOTES TO FINANCIAL STATEMENTS are footnotes to the statements listed above.
These notes include information on accounting methods used by the Fund,
contractual arrangements between the Fund and its service providers, certain
transactions effected by the Fund and other general information about the Fund.
The FINANCIAL HIGHLIGHTS shows, for a single share outstanding throughout each
period presented, the net investment income, the realized and unrealized gains
and losses and the dividends and distributions of the Fund. It also shows key
data and ratios, such as the total investment return for each period, the
portfolio turnover rate for Funds other than money market mutual funds, the
ratio of expenses to average net assets and the ratio of net investment income
to average net assets.
LOGO
LOGO
<PAGE> 9
[This page intentionally left blank.]
7
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ECONOMIC REVIEW
FROM THE INVESTMENT ADVISER
The Standard & Poor's Stock Index posted a total return of 26.18% during the 12
month period ended February 28, 1997, amply rewarding long-term investors who
rode out volatility early in the period.* The best performers were concentrated
among shares of large company stocks, which significantly outpaced shares of
smaller firms.
At the end of this period, however, the markets began to give serious
consideration to a possible tightening of monetary policy following Federal
Reserve Chairman Alan Greenspan's Humphrey-Hawkins testimony. Chairman
Greenspan's comments focused on current high levels of consumer confidence and
the potential for inflationary pressures to surface. His comments fueled renewed
volatility in the fixed-income markets, and the bellwether 30-year Treasury bond
ended the period with a 0.36% total return.**
THE CASE FOR
STOCKS AND BONDS
The stock market's gain raises some important issues. Late in the period, there
was considerable discussion concerning Federal Reserve Chairman Alan Greenspan's
comments of "irrational exuberance" in his reflections on the state of the U.S.
equity markets. Other observers felt that investors should be optimistic based
on the healthy business climate in the U.S., the moderate economic policies of
the current administration and the focus in Washington on balanced budgets.
Overall, the U.S. economy seems poised for continued moderate growth, which is
good news for stocks. The stock market's current price-to-earnings (P/E) ratio
of 17.8 times our 1997 earnings estimates is within the 16 to 19 times range of
the 1960s when we had similar inflation levels. We think it is reasonable to
expect P/E ratios to stay at current levels. That gives an estimated market
return over the next 12 months of 10% (8% from earnings growth and 2% from
dividend yield).
Congress and the Clinton Administration continue to entertain the prospect of a
Balanced Budget Amendment, mandating the end of federal deficits within five to
seven years. While an agreement has not passed to date, this shift in attitude
bodes well for both stocks and bonds, as a balanced budget facilitates lower
interest rates, encouraging earnings growth.
POTENTIAL RISKS
Given the length of the current economic expansion, history tells us that the
bulls will run out of steam. Slowing economic growth is a double-edged sword as
lower corporate earnings lead to both a decline in prices and a reallocation of
savings. Companies with disappointing earnings may quickly fall into disfavor.
Broad equity indices may then decline as investors reallocate their assets into
more stable stocks.
The U.S. bond market and, indirectly, the U.S. equity market have benefited from
strong purchases of U.S. Treasuries by foreign investors. Supported by an
appreciating dollar, foreign purchases of U.S. Treasuries in 1996 were $265
billion compared to $118 billion in net sales by domestic investors (for four
quarters ended December 31, 1996).*** If the dollar should decline, there would
be less incentive to buy dollar denominated assets.
LOOKING FORWARD
In our view, investors should approach the remainder of 1997 with rational
exuberance tempered by a knowledge of history. Under the best case scenario, the
U.S. economy will see a move toward sustainable growth, higher real interest
rates and an anticipated 8% to 9% increase in corporate profits. Given these
projections, most investment professionals expect equities to perform well in
1997, although below 1996 levels.
8
<PAGE> 11
Bonds at this juncture seem attractive, especially given the recommended
revisions to real rates of inflation and the trend toward a balanced federal
budget.
History, however, usually repeats itself, and we would not be surprised to see
some corrections ahead. Thus, investors may want to review their portfolios,
bearing in mind the importance of diversification in controlling risk. We see
the most value in equities characterized by growth at reasonable P/E multiples,
and find relative value in intermediate-term bonds, rather than long duration
plays. Investors seeking long-term growth after inflation and taxes should
remain biased toward stocks and positive on bonds.
Sincerely,
Kirk Hartman
Kirk Hartman
Chief Investment Officer,
Bank of America NT&SA,
Investment Adviser to the
Pacific Horizon Funds
- ---------------
* The S&P 500 is an index that is representative of the large capitalization
U.S. equity market as a whole, and cannot be invested in directly.
** Source: Bloomberg using Merrill Lynch Taxable Bond Indices which reflects
the 30-year Treasury bond return.
*** Source: ISI Group
9
<PAGE> 12
PACIFIC HORIZON
TAXABLE MONEY MARKET FUNDS
MARIKA ECONOMOS PHOTO
MARIKA ECONOMOS
Portfolio Manager
Taxable Money Market Funds
Bank of America NT&SA
GOAL:
The Pacific Horizon Money Market Funds seek to provide a high level of current
income, daily liquidity and stability of principal by investing in U.S.
dollar-denominated short-term money market instruments.
INVESTMENTS:
Each Fund seeks its objectives through a variety of money-market investments.
PRIME FUND -- A broad range of government, bank and commercial obligations
available in the money markets as well as repurchase agreements relating to such
obligations.
TREASURY FUND -- Direct obligations of the U.S. Treasury and repurchase
agreements relating to Treasury obligations.
GOVERNMENT FUND -- Short-term debt obligations issued or guaranteed as to
interest and principal by the U.S. Government, its agencies, authorities or
instrumentalities and repurchase agreements relating to such obligations.
TREASURY ONLY FUND -- Direct obligations of the U.S. Treasury, such as Treasury
bills, notes and bonds.
APPROPRIATE FOR:
Investors who require daily liquidity.
SIZE OF FUNDS AS OF
FEBRUARY 28, 1997:
Prime Fund: Over $7.1 billion
Treasury Fund: Over $2.5 billion
Government Fund: Over $516 million
Treasury Only Fund: Over $515 million
Q
WHAT FACTORS AFFECTED THE SHORT-TERM FIXED INCOME MARKETS DURING THE 12
MONTHS ENDED FEBRUARY 28, 1997?
A
For the first six months of the fiscal year, the domestic economy grew
faster than the rate generally considered sustainable and non-inflationary.
Expectations were that the Federal Reserve would be forced to cool down the
economy with a short-term interest rate increase.
A trading pattern emerged in the first two quarters whereby yields repeatedly
rose due to higher than expected employment reports, and subsequently dropped as
the additional jobs that were created failed to translate into higher prices.
Then in the third quarter, the market sustained its strongest rally of the year
as inflation fears dissipated on the heels of consecutive weak employment
reports.
The apparent slowdown of the domestic economy seemed to assure market
participants that the Federal Reserve would not raise interest rates in the
foreseeable future. However, this comfort was short-lived; Federal Reserve
Chairman Alan Greenspan caused market concern in December with his views that
recent gains in stock prices were unsustainable and could be detrimental to
financial markets in the long run. As a result, the 12-month period ended with
investors once again wary of tighter monetary policy.*
10
<PAGE> 13
PRIME FUND
TREASURY FUND
GOVERNMENT FUND
TREASURY ONLY FUND
CURRENT SEVEN-DAY YIELDS
AS OF FEBRUARY 28, 1997+
- ----------------------------------------------
<TABLE>
<CAPTION>
PACIFIC
HORIZON X++
SHARES SHARES
- ----------------------------------------------
<S> <C> <C>
Prime Fund 4.91% 4.68%
..............................................
Treasury Fund 4.77% 4.54%
..............................................
Government Fund 4.80% --
..............................................
Treasury Only Fund 4.61% --
..............................................
</TABLE>
- ----------------------------------------------
- ------------
Pacific Horizon and X Shares are classes of shares within the same portfolio.
+ Past performance is no guarantee of future results. Yields will fluctuate
with the market. Investments in money market funds are neither insured nor
guaranteed by the U.S. Government, and there can be no assurance that the
Funds will be able to maintain a stable Net Asset Value (NAV) of $1.00 per
share. The Pacific Horizon Government Fund is currently waiving a portion of
the advisory fee. This voluntary waiver may be modified or terminated at any
time, which would reduce the Fund's performance.
++ The X Shares were introduced on July 22, 1996 for the Prime and Treasury
Funds. The X Shares have ongoing .30% distribution and .25% shareholder
servicing fees which are higher than the Pacific Horizon Shares which have
.32% special management fees. These combined higher fees lower the X Shares
performance.
Q
HOW DID YOU MANAGE THE FUNDS IN THIS ENVIRONMENT?
A
As the period began in March, 1996, we structured the Funds using a laddered
approach, which provides protection against sudden increases in short-term
interest rates. We adhered to this strategy through the end of September, when
the yield curve flattened in response to the Federal Reserve holding interest
rates steady and a subsequent slowing of economic growth. At that point, we
began to restructure the Funds by employing a barbell strategy, which includes a
combination of overnight to three month securities and longer-term issues that
mature in 11 to 13 months.
The months of November through January provided inordinately high overnight
rates as a result of several different technical factors. The Funds benefited
greatly from this phenomenon, as they consistently maintain a considerable
amount of cash for liquidity.
Throughout the entire year, we strove to keep a significant percentage of our
assets in floating rate notes. These securities perform well in uncertain rate
environments, because their coupons reset to a positive spread to market levels
at short intervals.
Q
WHAT WERE THE FUNDS' AVERAGE MATURITIES DURING THE YEAR?
A
The Funds' weighted average maturities remained just long of neutral for the
majority of the year at approximately 48 to 55 days.** We extended the
maturities in the face of stronger than expected economic data given that the
corresponding yields made sense in the event of a Federal Reserve tightening. In
contrast, when market prices seemed unsustainably high, we reduced the average
maturity of each Fund closer to neutral at 40 to 45 days.**
Q
WHAT IS YOUR OUTLOOK FOR THE ECONOMY AND THE FUNDS GOING FORWARD?
A
We believe that the economy is beginning to show signs of inflationary
growth in the employment sector as well as in housing, retail sales and consumer
11
<PAGE> 14
confidence. These factors could force the Federal Reserve to implement at least
one short-term interest rate increase.* Given this scenario, we believe that the
zero to 12 month yield curve will remain steep for the first nine months of the
year. But quick action by the Central Bank will most likely keep inflation in
check, alleviating the need for a series of rate increases. A flatter yield
curve may materialize in the final quarter of the year in response to controlled
economic growth.
We will maintain a cautious strategy until we see evidence of a slower economy.
For the first part of the year, we plan to shorten the Funds' average maturities
to below neutral in anticipation of a potential Federal Reserve tightening. This
will be accomplished through maintaining a significant overnight position and
constraining our term purchases to one through three month investments. In
addition, we will look to increase our floating rate note positions.
- ------------
* Note: This move occurred in late March of 1997, subsequent to the close of
the Fund year.
** The composition of the Funds' holdings are subject to change.
12
<PAGE> 15
PACIFIC HORIZON PRIME FUND
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Portfolio of Investments
February 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ----- -------- ------------ --------------
<S> <C> <C> <C> <C> <C>
BANK NOTES -- 4.4%
DOMESTIC -- 3.7%
American Express Centurion Bank
Monthly Variable Rate (final
maturity 1/9/98)*.............. A1/P1 5.41% 3/10/97 $ 25,000,000 $ 24,998,352
Bank One, Dayton N.A. ........... A1+/P1 5.56% 3/25/97 25,000,000 24,998,145
FCC National Bank................ A1+/P1 5.64% 4/17/97 25,000,000 24,993,061
FCC National Bank................ A1+/P1 5.70% 5/22/97 25,000,000 24,987,764
FCC National Bank................ A1+/P1 5.76% 8/15/97 25,000,000 24,993,429
Huntington National Bank,
Columbus....................... A1/P1 6.20% 7/8/97 40,000,000 40,054,311
PNC Bank, N.A., Monthly Variable
Rate (final maturity
7/1/97)*....................... A1/P1 5.34% 3/3/97 25,000,000 24,991,761
PNC Bank, N.A., Monthly Variable
Rate (final maturity
10/1/97)*...................... A1/P1 5.34% 3/3/97 25,000,000 24,988,457
PNC Bank, N.A., Monthly Variable
Rate (final maturity
11/25/97)*..................... A1/P1 5.28% 3/25/97 50,000,000 49,963,450
--------------
Total Domestic Bank Notes
(Amortized cost $264,968,730) 264,968,730
--------------
FOREIGN -- 0.7%
Abbey National Treasury Services,
PLC, Monthly Variable Rate
(final maturity 7/17/97)*...... A1+/P1 5.31% 3/17/97 50,000,000 49,987,599
--------------
Total Bank Notes
(Amortized cost $314,956,329) 314,956,329
--------------
CERTIFICATES OF DEPOSIT -- 18.0%
DOMESTIC -- 4.2%
Bankers Trust, Daily Variable
Rate (final maturity 6/3/97)*.. A1/P1 5.45% 3/3/97 50,000,000 49,993,777
Bankers Trust, Daily Variable
Rate (final maturity 7/2/97)*.. A1/P1 5.43% 3/3/97 25,000,000 24,996,741
Bankers Trust, Daily Variable
Rate (final maturity
9/30/97)*...................... A1/P1 5.30% 3/3/97 50,000,000 49,983,068
Bankers Trust, Weekly Variable
Rate, (final maturity
10/16/97)*..................... A1/P1 5.38% 3/4/97 25,000,000 24,985,440
Bankers Trust, Weekly Variable
Rate, (final maturity
12/10/97)*..................... A1/P1 5.44% 3/4/97 25,000,000 24,990,274
Crestar Bank..................... A1/P1 5.33% 4/22/97 50,000,000 50,000,000
Crestar Bank..................... A1/P1 5.41% 4/23/97 50,000,000 49,999,274
Crestar Bank..................... A1/P1 5.49% 9/19/97 25,000,000 25,000,000
--------------
299,948,574
--------------
</TABLE>
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See Notes to Financial Statements.
13
<PAGE> 16
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ---- -------- --------- --------------
<S> <C> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT, CONTINUED:
EURO -- 1.0%
Abbey National Treasury Services,
PLC............................ A1+/P1 5.37% 5/19/97 $ 25,000,000 $ 25,000,824
Dai-Ichi Kangyo Bank, Ltd.,
London......................... A1/P1 5.55% 3/12/97 25,000,000 24,998,823
Sumitomo Bank, Ltd., London...... A1/P1 5.61% 4/7/97 25,000,000 25,001,202
--------------
75,000,849
--------------
YANKEE -- 12.8%
ABN-AMRO Bank, Chicago........... A1+/P1 5.75% 4/10/97 25,000,000 24,998,688
Bank of Tokyo Mitsubishi, New
York........................... A1/P1 5.73% 3/27/97 50,000,000 50,000,000
Bank of Tokyo Mitsubishi, New
York........................... A1/P1 5.68% 7/14/97 25,000,000 25,000,000
Bank of Tokyo Mitsubishi, New
York........................... A1/P1 5.85% 1/7/98 25,000,000 24,991,625
Bank of Tokyo Mitsubishi, New
York........................... A1/P1 5.88% 1/13/98 25,000,000 24,995,833
Banque National de Paris, New
York........................... A1/P1 5.50% 3/12/97 25,000,000 25,000,145
Banque National de Paris, New
York........................... A1/P1 5.75% 4/11/97 45,000,000 45,002,279
Banque National de Paris, New
York........................... A1/P1 5.75% 2/26/98 25,000,000 24,987,907
Dai-Ichi Kangyo Bank, Ltd., New
York........................... A1/P1 5.70% 4/4/97 25,000,000 25,000,229
Dai-Ichi Kangyo Bank, Ltd., New
York........................... A1/P1 5.56% 4/7/97 20,000,000 19,999,065
Dai-Ichi Kangyo Bank, Ltd., New
York........................... A1/P1 5.63% 5/5/97 25,000,000 25,001,335
Industrial Bank of Japan, New
York........................... A1/P1 5.56% 4/7/97 50,000,000 49,998,743
National Australia Bank, New
York........................... A1+/P1 5.80% 10/3/97 25,000,000 24,998,940
Royal Bank of Canada, New York... A1+/P1 5.73% 8/13/97 25,000,000 24,992,425
Royal Bank of Canada, New York... A1+/P1 5.58% 12/11/97 25,000,000 24,977,379
Royal Bank of Canada, New York... A1+/P1 5.65% 3/3/98 80,000,000 79,885,476
Sanwa Bank Ltd., New York........ A1/P1 5.51% 5/19/97 25,000,000 25,000,541
Societe Generale Bank, New York.. A1+/P1 5.72% 4/28/97 50,000,000 49,997,717
Societe Generale Bank, New York.. A1+/P1 5.78% 8/20/97 25,000,000 24,997,638
Societe Generale Bank, New York.. A1+/P1 5.73% 10/15/97 15,000,000 15,011,235
Societe Generale Bank, New York.. A1+/P1 5.59% 11/14/97 30,000,000 30,004,472
Societe Generale Bank, New York.. A1+/P1 5.77% 1/7/98 25,000,000 24,993,861
Societe Generale Bank, New York.. A1+/P1 5.77% 1/9/98 25,000,000 24,991,763
Societe Generale Bank, New York,
Quarterly Variable Rate (final
maturity 12/24/97)*............ A1+/P1 5.49% 3/24/97 25,000,000 24,985,712
Societe Generale Bank, New York,
Daily Variable Rate (final
maturity 1/15/98)*............. A1+/P1 5.38% 3/3/97 25,000,000 24,986,599
Sumitomo Bank Ltd., New York..... A1/P1 5.55% 4/10/97 25,000,000 24,998,044
Sumitomo Bank Ltd., New York..... A1/P1 5.65% 4/15/97 25,000,000 25,000,308
Sumitomo Bank Ltd., New York..... A1/P1 5.63% 4/15/97 25,000,000 25,000,308
Sumitomo Bank Ltd., New York..... A1/P1 5.54% 5/19/97 25,000,000 25,002,165
</TABLE>
- ---------------
See Notes to Financial Statements.
14
<PAGE> 17
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ------------ ---- -------- --------- --------------
<S> <C> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT, CONTINUED:
YANKEE -- (CONTINUED)
Sumitomo Bank Ltd., New York..... A1/P1 5.54% 5/19/97 $ 25,000,000 $ 25,002,165
Westpac Banking Corp., New
York........................... A1+/P1 5.83% 1/22/98 25,000,000 24,995,713
--------------
914,798,310
--------------
Total Certificates of Deposit
(Amortized cost $1,289,747,733) 1,289,747,733
--------------
COMMERCIAL PAPER -- 37.5%
DOMESTIC -- 29.6%
ASSET-BACKED -- 6.0%
Asset Securitization Cooperative
Corp.(b)....................... A1+/P1 5.35% 3/19/97 50,000,000 49,866,250
Asset Securitization Cooperative
Corp.(b)....................... A1+/P1 5.34% 3/21/97 75,000,000 74,776,944
Ciesco, L.P...................... A1/P1 5.35% 5/7/97 25,000,000 24,751,076
Enterprise Funding Corp.(b)...... A1+/P1 5.37% 3/12/97 25,000,000 24,958,979
Enterprise Funding Corp.(b)...... A1+/P1 5.35% 4/2/97 25,401,000 25,280,204
Enterprise Funding Corp.(b)...... A1+/P1 5.33% 4/17/97 57,225,000 56,826,793
Enterprise Funding Corp.(b)...... A1+/P1 5.36% 5/2/97 35,693,000 35,363,514
Golden Managers Acceptance
Corp........................... A1+/D1+ 5.33% 3/19/97 40,000,000 39,893,400
Gotham Funding Corp.(b).......... A1/P1 5.42% 3/10/97 24,167,000 24,134,254
Gotham Funding Corp.(b).......... A1/P1 5.58% 3/21/97 43,781,000 43,645,147
Gotham Funding Corp.(b).......... A1/P1 5.40% 4/14/97 31,429,000 31,221,569
--------------
430,718,130
--------------
AUTOMOBILES -- 4.3%
American Honda Finance Corp...... F1/P1 5.33% 4/25/97 25,000,000 24,796,424
American Honda Finance Corp...... F1/P1 5.39% 4/28/97 35,000,000 34,696,064
American Honda Finance Corp...... F1/P1 5.35% 5/20/97 40,000,000 39,524,444
American Honda Finance Corp...... F1/P1 5.32% 6/4/97 30,000,000 29,578,833
Daimler-Benz North America
Corp........................... A1/P1 5.36% 3/25/97 25,000,000 24,910,667
Daimler-Benz North America
Corp........................... A1/P1 5.37% 3/27/97 25,000,000 24,903,042
Daimler-Benz North America
Corp........................... A1/P1 5.29% 6/18/97 60,000,000 59,036,713
General Motors Acceptance Corp... P1/D1 5.44% 4/7/97 25,000,000 24,860,351
General Motors Acceptance Corp... P1/D1 5.40% 9/12/97 50,000,000 48,537,500
--------------
310,844,038
--------------
BANKING -- 2.5%
Bankers Trust, Daily Variable
Rate, (final maturity
11/7/97)*...................... A1/P1 5.47% 3/3/97 25,000,000 25,000,000
Corestates Capital Corp., Monthly
Variable Rate, (final maturity
3/17/97)*...................... A1/P1 5.38% 3/17/97 25,000,000 25,000,000
Cregem North America, Inc........ A1+/P1 5.29% 5/27/97 25,000,000 24,680,396
Cregem North America, Inc........ A1+/P1 5.29% 6/17/97 25,000,000 24,603,250
Svenska Handelsbanken, Inc....... A1/P1 5.35% 4/16/97 35,000,000 34,760,736
Unifunding, Inc.................. A1/P1 5.28% 5/21/97 21,000,000 20,750,520
Westpac Capital Corp............. A1+/P1 5.38% 3/10/97 25,000,000 24,966,375
--------------
179,761,277
--------------
BROKERAGE SERVICES -- 2.3%
Bear Stearns Companies, Inc.(b).. A1/P1 5.36% 3/19/97 25,000,000 24,933,000
C.S. First Boston, Inc........... A1+/P1 5.28% 5/14/97 25,000,000 24,728,667
</TABLE>
- ---------------
See Notes to Financial Statements.
15
<PAGE> 18
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ---- -------- --------- --------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER, CONTINUED:
BROKERAGE SERVICES -- (CONTINUED)
C.S. First Boston, Inc........... A1+/P1 5.27% 5/29/97 $ 40,000,000 $ 39,478,856
C.S. First Boston, Inc.(b)....... A1+/P1 5.35% 3/11/97 25,000,000 24,962,847
Merrill Lynch & Co. Inc.......... A1+/P1 5.33% 5/28/97 50,000,000 49,348,556
--------------
163,451,926
--------------
CHEMICALS -- DIVERSIFIED -- 1.0%
AKZO Nobel, Inc.................. A1/P1 5.34% 5/7/97 32,000,000 31,681,973
AKZO Nobel, Inc.................. A1/P1 5.37% 5/16/97 20,000,000 19,773,267
AKZO Nobel, Inc.................. A1/P1 5.36% 5/23/97 18,000,000 17,777,560
--------------
69,232,800
--------------
CONGLOMERATES -- 2.2%
B.A.T. Capital Corp.............. A1/P1 5.32% 3/27/97 25,000,000 24,903,944
B.A.T. Capital Corp.............. A1/P1 5.28% 4/21/97 23,000,000 22,827,960
BTR Dunlop Finance, Inc.(b)...... A1/P1 5.45% 3/26/97 50,000,000 49,810,764
BTR Dunlop Finance, Inc.(b)...... A1/P1 5.35% 4/7/97 37,321,000 37,115,786
BTR Dunlop Finance, Inc.(b)...... A1/P1 5.37% 5/27/97 25,000,000 24,675,563
--------------
159,334,017
--------------
FINANCE COMPANIES -- 5.2%
Associates Corp., North America.. A1+/P1 5.35% 7/28/97 20,000,000 19,557,139
Countrywide Home Loans, Inc...... A1/F1 5.37% 3/12/97 25,000,000 24,958,979
Countrywide Home Loans, Inc...... A1/F1 5.37% 4/8/97 30,000,000 29,829,950
Countrywide Home Loans, Inc...... A1/F1 5.38% 4/29/97 45,500,000 45,098,816
Dean Witter Discover & Co........ A1/F1+ 5.35% 5/1/97 25,000,000 24,773,368
Dean Witter Discover & Co........ A1/F1+ 5.27% 5/21/97 50,000,000 49,407,125
General Electric Capital Corp.... A1+/P1 5.44% 4/3/97 50,000,000 49,750,667
General Electric Capital Corp.,
Quarterly Variable Rate (final
maturity 7/18/97)*............. A1+/P1 5.50% 4/21/97 50,000,000 50,000,000
General Electric Capital
Services, Inc.................. A1+/P1 5.36% 4/9/97 25,000,000 24,854,833
General Electric Capital
Services, Inc.................. A1+/P1 5.40% 5/13/97 25,000,000 24,726,250
National Rural Utilities
Cooperative Finance Corp....... A1+/P1 5.43% 3/27/97 26,600,000 26,495,684
--------------
369,452,811
--------------
LEASING -- 1.5%
International Lease Finance
Corp........................... A1/P1 5.35% 4/18/97 40,000,000 39,714,667
International Lease Finance
Corp........................... A1/P1 5.37% 6/16/97 30,000,000 29,521,175
International Lease Finance
Corp........................... A1/P1 5.37% 7/2/97 40,000,000 39,266,100
--------------
108,501,942
--------------
MINING -- 0.3%
RTZ America, Inc.(b)............. A1+/P1 5.58% 3/17/97 20,800,000 20,749,988
--------------
RELOCATION SERVICES -- 1.4%
PHH Corporation.................. A1/P1 5.30% 3/14/97 25,000,000 24,952,153
PHH Corporation.................. A1/P1 5.30% 4/1/97 25,000,000 24,885,903
PHH Corporation.................. A1/P1 5.33% 4/8/97 50,000,000 49,718,694
--------------
99,556,750
--------------
RETAIL -- 1.4%
JC Penney Funding Corp........... A1/P1 5.40% 3/10/97 50,000,000 49,932,500
Sears Roebuck Acceptance Corp.... D1/P1 5.34% 3/14/97 50,000,000 49,903,583
--------------
99,836,083
--------------
</TABLE>
- ---------------
See Notes to Financial Statements.
16
<PAGE> 19
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ---- -------- --------- --------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER, CONTINUED:
SOVEREIGN ISSUES -- 1.5%
Government Development Bank of
Puerto Rico, Mato Rey.......... A1+/TBW1 5.35% 3/12/97 $ 25,000,000 $ 24,959,132
Government Development Bank of
Puerto Rico, Mato Rey.......... A1+/TBW1 5.41% 3/25/97 37,300,000 37,165,471
Government Development Bank of
Puerto Rico, Mato Rey.......... A1+/TBW1 5.35% 5/7/97 23,500,000 23,266,012
Government Development Bank of
Puerto Rico, Mato Rey.......... A1+/TBW1 5.32% 5/12/97 21,000,000 20,776,560
--------------
106,167,175
--------------
Total Domestic Commercial Paper
(Amortized cost $2,117,606,937) 2,117,606,937
--------------
FOREIGN -- 7.9%
AUTOMOBILES -- 1.0%
Ford Credit Europe............... A1/P1 5.41% 3/24/97 25,000,000 24,913,590
Ford Credit Europe............... A1/P1 5.51% 3/26/97 25,000,000 24,904,340
Ford Credit Europe............... A1/P1 5.35% 4/28/97 25,000,000 24,784,514
--------------
74,602,444
--------------
BUILDING SOCIETY -- 1.4%
Bradford & Bingley Building
Society........................ A1/P1 5.48% 4/3/97 50,000,000 49,748,833
Nationwide Building Society...... A1/P1 5.40% 7/21/97 25,000,000 24,467,500
Nationwide Building Society...... A1/P1 5.40% 7/23/97 25,000,000 24,460,000
--------------
98,676,333
--------------
OIL & GAS -- 0.7%
Repsol International Finance,
B.V............................ A1+/P1 5.37% 4/10/97 25,000,000 24,850,833
Repsol International Finance,
B.V............................ A1+/P1 5.39% 7/15/97 25,000,000 24,490,944
--------------
49,341,777
--------------
PHARMACEUTICALS -- 0.3%
Glaxo Wellcome, PLC (b).......... A1+/P1 5.35% 4/14/97 20,000,000 19,869,222
--------------
SOVEREIGN -- 3.8%
Cades............................ A1+/P1 5.30% 3/6/97 50,000,000 49,963,194
Cades............................ A1+/P1 5.40% 5/2/97 50,000,000 49,535,000
Cades............................ A1+/P1 5.39% 10/3/97 50,000,000 48,384,500
Cades............................ A1+/P1 5.41% 10/10/97 25,000,000 24,162,201
Cades............................ A1+/P1 5.44% 11/14/97 50,000,000 48,050,667
Kingdom of Sweden................ A1+/P1 5.43% 3/27/97 50,000,000 49,803,917
--------------
269,899,479
--------------
TELECOMMUNICATIONS -- 0.7%
Alcatel Alsthom, Inc............. A1+/P1 5.36% 4/21/97 50,000,000 49,620,333
--------------
Total Foreign Commercial Paper
(Amortized cost $562,009,588) 562,009,588
--------------
Total Commercial Paper
(Amortized cost $2,679,616,525) 2,679,616,525
--------------
</TABLE>
- ---------------
See Notes to Financial Statements.
17
<PAGE> 20
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ---- -------- --------- --------------
<S> <C> <C> <C> <C> <C>
CORPORATE OBLIGATIONS -- 12.2%
ASSET BACKED SECURITIES -- 2.1%
Ciesco, L.P., Monthly Variable
Rate, 144A (final maturity
8/14/97)*...................... A1+/P1 5.39% 3/14/97 $ 75,000,000 $ 74,996,589
Ciesco, L.P., Monthly Variable
Rate, 144A (final maturity
2/10/98)*...................... A1+/P1 5.41% 3/12/97 75,000,000 74,992,890
--------------
149,989,479
--------------
AUTOMOBILES -- 1.5%
Ford Motor Credit Corporation.... A1/P1 7.125% 12/1/97 25,000,000 25,270,945
General Motors Acceptance
Corporation, Daily Variable
Rate, (final maturity
4/21/97)*...................... P1/D1 5.45% 3/3/97 40,000,000 39,992,430
General Motors Acceptance
Corporation, Quarterly Variable
Rate, (final maturity
6/4/97)*....................... P1/D1 5.37% 3/4/97 25,000,000 24,990,145
General Motors Acceptance
Corporation, Quarterly Variable
Rate, (final maturity
1/20/98)*...................... P1/D1 5.64% 4/21/97 20,000,000 20,011,457
--------------
110,264,977
--------------
BROKERAGE SERVICES -- 3.8%
Bear Stearns Companies, Inc.,
Series B, Monthly Variable
Rate, (final maturity
4/1/98)*....................... A1/P1 5.59% 3/3/97 18,000,000 18,028,548
Bear Stearns Companies, Inc.,
Series B, Monthly Variable
Rate, (final maturity
5/16/97)*...................... A1/P1 5.48% 3/17/97 25,000,000 25,000,000
C.S. First Boston, Inc.,
Quarterly Variable Rate, 144A
(final maturity 3/3/97)*....... A1+/P1 5.54% 3/3/97 25,000,000 25,000,000
C.S. First Boston, Inc., Daily
Variable Rate, 144A (final
maturity 3/25/97)*............. A1+/P1 5.46% 3/3/97 25,000,000 25,000,000
Merrill Lynch & Co., Inc......... A1+/P1 5.78% 8/12/97 25,000,000 24,998,540
Merrill Lynch & Co., Inc., Weekly
Variable Rate, (final maturity
11/20/97)*..................... A1+/P1 5.44% 3/4/97 50,000,000 49,992,984
Merrill Lynch & Co., Inc., Weekly
Variable Rate, (final maturity
1/29/98)*...................... A1+/P1 5.47% 3/4/97 50,000,000 49,991,092
Merrill Lynch & Co., Inc.,
Quarterly Variable Rate, (final
maturity 11/13/97)*............ A1+/P1 5.43% 5/13/97 50,000,000 49,989,467
--------------
268,000,631
--------------
BUSINESS SERVICES -- 0.3%
Xerox Credit Corp, Series C,
Weekly Variable Rate, (final
maturity 5/13/97)*............. A1/P1 5.44% 3/4/97 25,000,000 24,999,687
--------------
FINANCE COMPANIES -- 2.7%
Associates Corp., North America.. A1+/P1 6.63% 11/15/97 20,000,000 20,130,566
CIT Group Holdings, Inc.......... A1/P1 7.00% 9/30/97 29,700,000 29,912,614
CIT Group Holdings, Inc., Daily
Variable Rate, (final maturity
5/1/97)*....................... A1/P1 5.35% 3/3/97 50,000,000 49,990,007
</TABLE>
- ---------------
See Notes to Financial Statements.
18
<PAGE> 21
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ---- -------- --------- --------------
<S> <C> <C> <C> <C> <C>
CORPORATE OBLIGATIONS, CONTINUED:
FINANCE COMPANIES -- (CONTINUED)
Dean Witter Discover & Co.,
Monthly Variable Rate, (final
maturity 8/1/97)*.............. A1/P1 5.37% 3/19/97 $ 25,000,000 $ 24,997,904
Dean Witter Discover & Co.,...... A1/P1 6.00% 3/1/98 15,000,000 15,019,350
Household Finance Corp., Daily
Variable Rate, (final maturity
5/28/97)*...................... A1/P1 5.46% 3/3/97 50,000,000 50,000,000
--------------
190,050,441
--------------
LEASING -- 0.6%
Sanwa Business Credit Corp.,
Daily Variable Rate, 144A
(final maturity 7/17/97)*...... P1/D1 5.59% 3/3/97 18,000,000 18,007,711
Sanwa Business Credit Corp.,
Quarterly Variable Rate, 144A
(final maturity 2/6/98)*....... P1/D1 5.56% 6/6/97 25,000,000 24,997,658
--------------
43,005,369
--------------
PUBLISHING -- 0.4%
Reed Elsevier, Inc., 144A........ A1+/P1 7.11% 6/26/97 25,000,000 25,109,334
--------------
RELOCATION SERVICES -- 0.8%
PHH Corporation, Monthly Variable
Rate, (final maturity
6/11/97)*...................... A1/P1 5.39% 3/11/97 25,000,000 24,999,462
PHH Corporation, Monthly Variable
Rate, (final maturity
8/12/97)*...................... A1/P1 5.35% 3/19/97 35,000,000 34,995,656
--------------
59,995,118
--------------
Total Corporate Obligations
(Amortized cost $871,415,036) 871,415,036
--------------
MASTER NOTES -- 7.7%
Goldman Sachs Group L.P. (final
maturity 4/22/97)*............. A1+/P1 5.59% 3/3/97 300,000,000 300,000,000
Morgan Stanley Group, Inc. (final
maturity 6/27/97)*............. A1/P1 5.73% 3/3/97 250,000,000 250,000,000
--------------
Total Master Notes
(Amortized cost $550,000,000) 550,000,000
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7%
Federal National Mortgage
Association, Discount Note..... A1+/P1 5.38% 3/14/97 25,000,000 24,951,431
Federal National Mortgage
Association, Discount Note..... A1+/P1 5.24% 5/23/97 25,000,000 24,697,972
--------------
Total U.S. Government Agency
Obligations
(Amortized cost $49,649,403) 49,649,403
--------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill............... A1+/P1 5.61%** 3/5/98 20,000,000 18,925,694
--------------
Total U.S. Treasury Obligation
(Amortized cost $18,925,694) 18,925,694
--------------
</TABLE>
- ---------------
See Notes to Financial Statements.
19
<PAGE> 22
<TABLE>
<CAPTION>
RATINGS
ASSIGNED BY AMORTIZED
N.R.S.R.O. MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
- ---------------------------------- ----------- ----- -------- ------------ --------------
<S> <C> <C> <C> <C> <C>
YANKEE BANKER'S ACCEPTANCES -- 1.3%
Sanwa Bank Ltd., New York........ A1/P1 5.53% 3/6/97 $ 25,700,000 $ 25,680,261
Sanwa Bank Ltd., New York........ A1/P1 5.53% 4/7/97 20,000,000 19,886,328
Dai-Ichi Kangyo Bank Ltd., New
York........................... A1/P1 5.37% 5/22/97 50,000,000 49,388,416
--------------
Total Yankee Banker's Acceptances
(Amortized cost $94,955,005) 94,955,005
--------------
REPURCHASE AGREEMENTS (C) -- 18.4%
First Chicago Capital Markets, Inc., dated
2/28/97, with a maturity value of
$225,101,813 (Collateralized by $231,585,000
various U.S. Government Agency securities,
0.00% -- 7.00%, 3/26/97 -- 3/3/98, market
value -- $229,504,577) 5.43% 3/3/97 225,000,000 225,000,000
Fuji Securities, Inc., dated 2/28/97, with a
maturity value of $300,135,750
(Collateralized by $312,790,000 various U.S.
Government securities, 0.00% -- 10.75%,
3/3/97 -- 8/15/26, market
value -- $306,000,340) 5.43% 3/3/97 300,000,000 300,000,000
J.P. Morgan Securities, Inc., dated 2/28/97,
with a maturity value of $290,315,066
(Collateralized by $308,105,389 Government
National Mortgage Association Notes,
6.50% -- 10.00%, 1/1/00 -- 2/15/27, market
value $295,995,054) 5.42% 3/3/97 290,184,000 290,184,000
NationsBanc, Inc., dated 2/28/97, with a
maturity value of $100,045,250
(Collateralized by $103,283,662 various U.S.
Government Agency securities,
0.00% -- 11.90%, 3/3/97 -- 10/30/03, market
value -- $102,001,976) 5.43% 3/3/97 100,000,000 100,000,000
Nomura Securities, Inc., dated 2/28/97, with a
maturity value of $100,045,250
(Collateralized by $102,271,108 Government
National Mortgage Association Notes,
5.50% -- 6.00%, 8/20/26 -- 10/20/26, market
value -- $102,009,536) 5.43% 3/3/97 100,000,000 100,000,000
Prudential Securities, Inc., dated 2/28/97,
with a maturity value of $300,135,750
(Collateralized by $359,569,000 various U.S.
Government securities, 0.00% -- 9.35%,
3/24/97 -- 1/30/12, market $306,003,545) 5.43% 3/3/97 300,000,000 300,000,000
--------------
Total Repurchase Agreements
(Cost $1,315,184,000)............ 1,315,184,000
--------------
TOTAL INVESTMENTS -- 100.5%
(AMORTIZED COST $7,184,449,725)
(A).............................. 7,184,449,725
Liabilities in excess of other
assets -- (0.5%)............... (33,740,503)
--------------
NET ASSETS -- 100.0%.............. $7,150,709,222
==============
</TABLE>
- ---------------
See Notes to Financial Statements.
20
<PAGE> 23
- ---------------
Percentages indicated are based on net assets of $7,150,709,222.
(a) Cost for federal income tax and financial reporting purposes are
substantially the same.
(b) Private placement security.
(c) The range of coupon rates and maturity dates are shown.
144A Security which is restricted as to resale only to qualified
institutional investors.
PLC Public Liability Company.
N.R.S.R.O. Nationally Recognized Statistical Rating Organization. Rating
agencies that are included within the N.R.S.R.O. category are: S&P,
Moody's, Fitch Investors Services, Duff & Phelps, IBCA, and Thomsons
Bank Watch.
A1 -- Highest rating assigned by S&P and IBCA.
P1 -- Highest rating assigned by Moody's.
F1 -- Highest rating assigned by Fitch Investors.
D1 -- Highest rating assigned by Duff.
TBW1 -- Highest rating assigned by Thomsons Bank Watch.
Note: S&P and Moody's ratings have been used, unless another service has
assigned the security a higher rating.
* Variable rate security. Maturity date reflects the next interest rate
change date.
** Rate represents effective yield at date of purchase.
- ---------------
See Notes to Financial Statements.
21
<PAGE> 24
PACIFIC HORIZON TREASURY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AMORTIZED
MATURITY PRINCIPAL COST
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
- ---------------------------------------------- ------- --------- ------------ --------------
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 40.6%
U.S. Treasury Note........................... 6.875% 3/31/97 $ 50,000,000 $ 50,058,006
U.S. Treasury Note........................... 6.625% 3/31/97 25,000,000 25,025,427
U.S. Treasury Note........................... 8.50% 4/15/97 125,000,000 125,444,908
U.S. Treasury Note........................... 6.50% 4/30/97 150,000,000 150,213,085
U.S. Treasury Note........................... 6.50% 5/15/97 25,000,000 25,058,048
U.S. Treasury Note........................... 8.50% 7/15/97 25,000,000 25,278,689
U.S. Treasury Note........................... 5.875% 7/31/97 50,000,000 50,090,199
U.S. Treasury Note........................... 6.50% 8/15/97 225,000,000 226,028,811
U.S. Treasury Note........................... 6.00% 8/31/97 125,000,000 125,311,358
U.S. Treasury Note........................... 5.75% 9/30/97 250,000,000 250,457,365
--------------
Total U.S. Treasury Obligations
(Amortized cost $1,052,965,896).............. 1,052,965,896
--------------
REPURCHASE AGREEMENTS (B) -- 59.0%
Barclays De Zoete Wedd Securities, Inc.,
dated 2/28/97, with a maturity value of
$200,089,167 (Collateralized by
$207,038,000 U.S. Treasury Securities,
0.00% -- 13.25%, 4/3/97 -- 5/15/11, market
value -- $204,000,878)..................... 5.35% 3/03/97 200,000,000 200,000,000
CIBC Wood Gundy Securities, Inc., dated
2/28/97, with a maturity value of
$200,089,167 (Collateralized by
$168,035,000 U.S. Treasury Bonds,
7.25% -- 11.25%, 2/15/15 -- 11/15/16,
market value -- $204,001,240).............. 5.35% 3/03/97 200,000,000 200,000,000
C.S. First Boston Corp., dated 2/28/97, with
a maturity value of $125,055,729
(Collateralized by $128,212,000 U.S.
Treasury Notes, 6.00% -- 6.50%, 8/15/99 --
8/31/01, market value -- $128,114,660)..... 5.35% 3/03/97 125,000,000 125,000,000
Dean Witter Reynolds, Inc., dated 2/28/97,
with a maturity value of $125,055,729
(Collateralized by $127,616,000 U.S.
Treasury Securities, 0.00% -- 7.50%,
4/24/97 -- 1/15/07, market value --
$127,505,079).............................. 5.35% 3/03/97 125,000,000 125,000,000
Goldman Sachs, & Co., dated 2/28/97, with a
maturity value of $453,626,285
(Collateralized by $469,099,000 U.S.
Treasury Securities, 5.88% -- 6.63%,
2/28/02 -- 2/15/27, market value --
$462,491,730).............................. 5.38% 3/03/97 453,423,000 453,423,000
HSBC Securities, Inc., dated 2/28/97, with a
maturity value of $200,089,167
(Collateralized by $274,038,000 various
U.S. Treasury Securities, 0.00% -- 11.63%,
5/15/97 -- 11/15/11, market value --
$204,002,710).............................. 5.35% 3/03/97 200,000,000 200,000,000
</TABLE>
- ---------------
See Notes to Financial Statements.
22
<PAGE> 25
<TABLE>
<CAPTION>
AMORTIZED
MATURITY PRINCIPAL COST
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
- ---------------------------------------------- ---- -------- --------- --------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS -- (CONTINUED)
Smith Barney, Inc., dated 2/28/97, with a
maturity value of $125,055,729
(Collateralized by $143,375,000 various
U.S. Treasury Securities, 0.00% -- 13.75%,
8/31/97 -- 8/15/26, market value --
$127,500,171).............................. 5.35% 3/03/97 $125,000,000 $ 125,000,000
Nomura Securities International, Inc., dated
2/5/97, with a maturity value of
$100,439,167 (Collateralized by $96,995,000
U.S. Treasury Notes, 5.88% -- 8.75%,
5/15/98 -- 5/15/17, market value --
$101,849,910).............................. 5.27% 3/07/97 100,000,000 100,000,000
--------------
Total Repurchase Agreements (Cost
$1,528,423,000).............................. 1,528,423,000
--------------
TOTAL INVESTMENTS -- 99.6%
(AMORTIZED COST $2,581,388,896) (A).......... 2,581,388,896
Other assets in excess of
liabilities -- 0.4%.......................... 10,105,591
--------------
NET ASSETS -- 100.0%.......................... $2,591,494,487
==============
</TABLE>
- ---------------
Percentages indicated are based on net assets of $2,591,494,487.
(a) Cost for federal income tax and financial reporting purpose are
substantially the same.
(b) The range of coupon rates and maturity dates for collateral are shown.
- ---------------
See Notes to Financial Statements.
23
<PAGE> 26
PACIFIC HORIZON GOVERNMENT FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AMORTIZED
MATURITY PRINCIPAL COST
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
- ------------------------------------------------- ------- --------- ----------- ------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 69.7%
U.S. GOVERNMENT AGENCY OBLIGATIONS -- DISCOUNT -- 33.8%
Federal Home Loan Bank.......................... 5.26% 7/10/97 $11,795,000 $ 11,569,237
Federal Home Loan Mortgage Corporation.......... 5.31% 3/21/97 10,000,000 9,970,500
Federal Home Loan Mortgage Corporation.......... 5.35% 3/24/97 18,000,000 17,938,475
Federal Home Loan Mortgage Corporation.......... 5.25% 4/11/97 10,000,000 9,940,208
Federal Home Loan Mortgage Corporation.......... 5.25% 4/16/97 15,000,000 14,899,375
Federal Home Loan Mortgage Corporation.......... 5.24% 5/30/97 11,146,000 10,999,987
Federal National Mortgage Association........... 5.23% 3/4/97 8,000,000 7,996,513
Federal National Mortgage Association........... 5.23% 3/7/97 27,000,000 26,976,472
Federal National Mortgage Association........... 5.25% 3/13/97 20,000,000 19,965,000
Federal National Mortgage Association........... 5.23% 4/10/97 10,000,000 9,941,889
Federal National Mortgage Association........... 5.26% 4/29/97 15,000,000 14,870,692
Federal National Mortgage Association........... 5.23% 5/23/97 10,000,000 9,879,419
Federal National Mortgage Association........... 5.27% 6/12/97 10,000,000 9,849,219
--------------
Total U.S. Government Agency Obligations --
Discount
(Amortized cost $174,796,986)................... 174,796,986
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- FIXED -- 14.6%
Federal Farm Credit Bank........................ 5.43% 3/3/97 5,000,000 5,000,019
Federal Farm Credit Bank........................ 5.25% 4/1/97 10,000,000 9,999,433
Federal Home Loan Mortgage Corporation.......... 5.52% 11/6/97 3,000,000 2,999,070
Federal National Mortgage Association........... 8.95% 7/10/97 10,000,000 10,127,381
Federal National Mortgage Association........... 8.80% 7/25/97 6,940,000 7,031,397
Federal National Mortgage Association........... 5.45% 11/6/97 15,000,000 14,985,110
Student Loan Marketing Association.............. 5.87% 6/30/97 10,000,000 10,005,624
Student Loan Marketing Association.............. 5.60% 10/24/97 5,000,000 4,996,526
Student Loan Marketing Association.............. 5.44% 12/19/97 10,000,000 9,987,457
--------------
Total U.S. Government Agency Obligations -- Fixed
(Amortized cost $75,132,017).................... 75,132,017
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- VARIABLE -- 21.3%
Federal Home Loan Bank, Daily
Variable Rate (Final maturity 11/18/97) *..... 5.75% 3/3/97 5,000,000 5,013,339
Federal Home Loan Bank, Weekly
Variable Rate (Final maturity 12/10/97) *..... 5.33% 3/4/97 10,000,000 9,996,250
Federal National Mortgage Association, Daily
Variable Rate (Final maturity 4/11/97) *...... 5.24% 3/3/97 20,000,000 19,999,027
Federal National Mortgage Association, Weekly
Variable Rate (Final maturity 8/1/97) *....... 5.34% 3/4/97 20,000,000 19,996,787
Federal National Mortgage Association, Weekly
Variable Rate (Final maturity 9/29/97) *...... 5.33% 3/4/97 15,000,000 14,995,668
Federal National Mortgage Association, Monthly
Variable Rate (Final maturity 12/3/97) *...... 5.28% 3/3/97 20,000,000 19,989,656
Federal National Mortgage Association, Daily
Variable Rate (Final maturity 1/15/98) *...... 5.22% 3/3/97 20,000,000 19,990,502
--------------
Total U.S. Government Agency Obligations --
Variable (Amortized cost $109,981,229).......... 109,981,229
--------------
Total U.S. Government Agency Obligations
(Amortized cost $359,910,232)................. 359,910,232
--------------
</TABLE>
- ---------------
See Notes to Financial Statements.
24
<PAGE> 27
<TABLE>
<CAPTION>
AMORTIZED
MATURITY PRINCIPAL COST
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
- ------------------------------------------------- ---- -------- --------- --------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS (B) -- 30.1%
Dean Witter Reynolds, Inc., dated 2/28/97, with
a maturity value of $50,022,583
(Collateralized by $97,550,427 various U.S.
Government securities, 0.00% -- 12.00%,
3/5/97 -- 2/1/27, market
value -- $51,000,339)......................... 5.42% 3/3/97 $50,000,000 $ 50,000,000
Fuji Securities, Inc., dated 2/28/97, with a
maturity value of $35,015,837 (Collateralized
by $33,419,000 various U.S. Government
securities, 0.00% -- 13.25%, 5/20/97 --
12/15/22, market value -- $35,700,377)........ 5.43% 3/3/97 35,000,000 35,000,000
J. P. Morgan Securities, Inc., dated 2/28/97,
with a maturity value of $45,493,539
(Collateralized by $46,392,660 Government
National Mortgage Association Notes,
7.00% -- 9.00%, 1/15/26 -- 2/15/27, market
value -- $46,406,724)......................... 5.42% 3/3/97 45,473,000 45,473,000
Prudential Securities, Inc., dated 2/28/97, with
a maturity value of $25,011,312
(Collateralized by $26,917,000 various U.S.
Government securities, 0.00% -- 7.07%,
5/29/97 -- 2/5/07, market
value -- $25,502,011)......................... 5.43% 3/3/97 25,000,000 25,000,000
--------------
Total Repurchase Agreements (Cost $155,473,000).. 155,473,000
--------------
TOTAL INVESTMENTS -- 99.8% (AMORTIZED COST
$515,383,232) (A)............................. 515,383,232
Other assets in excess of liabilities -- 0.2%... 1,204,045
--------------
NET ASSETS -- 100.0%............................. $516,587,277
==============
</TABLE>
- ---------------
Percentages indicated are based on net assets of $516,587,277.
(a) Cost for federal income tax and financial reporting purposes are
substantially the same.
(b) The range of coupon rates and maturity dates of collateral are shown.
* Variable rate security. Maturity date reflects the next interest rate change
date.
See Notes to Financial Statements.
25
<PAGE> 28
PACIFIC HORIZON TREASURY ONLY FUND
- --------------------------------------------------------------------------------
Portfolio of Investments
February 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AMORTIZED
MATURITY PRINCIPAL COST
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
- --------------------------------------------- ------- --------- ----------- ------------
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 98.4%
U.S. TREASURY BILLS -- 20.5%
U.S. Treasury Bill........................... 5.02%* 3/6/97 $36,188,000 $ 36,162,753
U.S. Treasury Bill........................... 4.94%* 4/3/97 69,894,000 69,577,624
---------------
105,740,377
---------------
U.S. TREASURY NOTES -- 77.9%
U.S. Treasury Note........................... 6.625% 3/31/97 78,315,000 78,399,385
U.S. Treasury Note........................... 8.50% 4/15/97 73,995,000 74,282,893
U.S. Treasury Note........................... 6.50% 4/30/97 37,860,000 37,934,558
U.S. Treasury Note........................... 6.875% 4/30/97 25,000,000 25,064,519
U.S. Treasury Note........................... 6.50% 5/15/97 5,835,000 5,849,345
U.S. Treasury Note........................... 8.50% 5/15/97 73,980,000 74,456,190
U.S. Treasury Note........................... 6.125% 5/31/97 34,455,000 34,508,455
U.S. Treasury Note........................... 5.625% 6/30/97 21,795,000 21,818,020
U.S. Treasury Note........................... 6.375% 6/30/97 36,520,000 36,659,640
U.S. Treasury Note........................... 8.50% 7/15/97 11,980,000 12,115,254
---------------
401,088,259
---------------
Total U.S. Treasury Obligations
(Amortized cost $506,828,636)............... 506,828,636
---------------
TOTAL INVESTMENTS -- 98.4%
(AMORTIZED COST $506,828,636) (a)........... 506,828,636
Other assets in excess of
liabilities -- 1.6%......................... 8,374,270
---------------
NET ASSETS -- 100.0%......................... $515,202,906
===============
</TABLE>
- ---------------
Percentages indicated are based on net assets of $515,202,906
* Rate represents effective yield at date of purchase.
(a) Cost for federal income tax and financial reporting purposes are
substantially the same.
See Notes to Financial Statements.
26
<PAGE> 29
PACIFIC HORIZON FUNDS, INC.
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
February 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRIME TREASURY GOVERNMENT TREASURY ONLY
FUND FUND FUND FUND
-------------- -------------- ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities, at value (amortized
cost $5,869,265,725, $1,052,965,896,
$359,910,232, and $506,828,636 respectively).... $5,869,265,725 $1,052,965,896 $359,910,232 $506,828,636
Repurchase agreements (cost $1,315,184,000,
$1,528,423,000, $155,473,000, and $0
respectively)................................... 1,315,184,000 1,528,423,000 155,473,000 --
Interest receivable............................... 33,341,214 17,487,786 1,731,553 9,126,508
Receivable for capital shares sold................ 9,044 -- -- --
Prepaid expenses.................................. 232,031 138,028 75,601 5,361
Deferred organization costs....................... -- -- 32,400 50,077
-------------- -------------- ------------ ------------
Total Assets....................................... 7,218,032,014 2,599,014,710 517,222,786 516,010,582
-------------- -------------- ------------ ------------
LIABILITIES:
Dividends payable................................. 12,496,680 6,393,127 348,569 517,543
Payable for investment securities purchased....... 51,973,592 -- -- --
Payable for capital shares redeemed............... 22,402 -- -- --
Investment advisory fees payable.................. 508,692 201,262 20,177 39,066
Administration fees payable....................... 556,936 201,262 40,354 39,066
Special management fees payable
(Pacific Horizon Shares)........................ 563,855 109,328 41,886 56,068
Shareholder service fees payable
(Horizon Service Shares)........................ 552,216 292,626 54,464 47,515
Shareholder service fees payable (X Shares)....... 52,932 1,679 -- --
12b-1 fees payable (X Shares)..................... 44,962 1,213 -- --
Custodian and fund accounting fees payable........ 176,086 116,923 44,410 36,699
Transfer agent fees payable....................... 55,739 21,543 12,924 8,434
Audit fees payable................................ 47,759 47,178 33,096 32,996
Legal fees payable................................ 83,489 28,029 7,697 6,536
Other accrued expenses............................ 187,452 106,053 31,932 23,753
-------------- -------------- ------------ ------------
Total Liabilities.................................. 67,322,792 7,520,223 635,509 807,676
-------------- -------------- ------------ ------------
NET ASSETS......................................... $7,150,709,222 $2,591,494,487 $516,587,277 $515,202,906
============== ============== ============ ============
Net Assets:
Pacific Horizon Shares............................ $2,292,347,988 $ 410,691,580 $192,230,003 $225,176,920
Horizon Shares.................................... 1,709,511,739 617,730,968 61,126,088 30,458,747
Horizon Service Shares............................ 2,945,057,701 1,557,200,903 263,231,186 259,567,239
X Shares.......................................... 203,791,794 5,871,036 -- --
-------------- -------------- ------------ ------------
Total.............................................. $7,150,709,222 $2,591,494,487 $516,587,277 $515,202,906
============== ============== ============ ============
Shares Outstanding ($0.001 par value, 58 billion,
44.4 billion, 37 billion, and 37 billion shares
authorized):
Pacific Horizon Shares............................ 2,292,756,828 410,835,647 192,432,295 225,201,227
Horizon Shares.................................... 1,709,948,074 617,829,335 61,169,782 30,458,591
Horizon Service Shares............................ 2,945,184,722 1,557,324,276 263,406,710 259,575,992
X Shares.......................................... 203,780,871 5,871,015 -- --
-------------- -------------- ------------ ------------
Total.............................................. 7,151,670,495 2,591,860,273 517,008,787 515,235,810
============== ============== ============ ============
NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION
PRICE PER SHARE................................... $1.00 $1.00 $1.00 $1.00
=== === === ====
COMPOSITION OF NET ASSETS:
Shares of common stock, at par.................... $ 7,151,670 $ 2,591,860 $ 517,009 $ 515,236
Additional paid-in capital........................ 7,144,119,252 2,588,292,727 516,491,778 514,720,575
Accumulated undistributed net investment income... 2,908,438 667,877 517,569 --
Accumulated net realized losses on investment
transactions.................................... (3,470,138) (57,977) (939,079) (32,905)
-------------- -------------- ------------ ------------
NET ASSETS, FEBRUARY 28, 1997...................... $7,150,709,222 $2,591,494,487 $516,587,277 $515,202,906
============== ============== ============ ============
</TABLE>
- ---------------
See Notes to Financial Statements.
27
<PAGE> 30
PACIFIC HORIZON FUNDS, INC.
- --------------------------------------------------------------------------------
Statements of Operations
For the year ended February 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TREASURY
PRIME TREASURY GOVERNMENT ONLY
FUND FUND FUND FUND
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest.......................... $341,737,525 $152,808,442 $ 28,925,654 $25,260,284
------------ ----------- ----------- -----------
EXPENSES:
Investment advisory fees.......... 5,792,971 2,861,734 539,047 487,156
Administration fees............... 6,236,990 2,863,262 539,047 487,156
Special management fees
(Pacific Horizon Shares)........ 7,225,077 2,600,002 720,909 854,818
Shareholder service fees
(Horizon Service Shares)........ 6,017,363 3,451,084 621,036 448,350
Shareholder service fees
(X Shares)...................... 123,320 3,425 -- --
12b-1 fees (X Shares)............. 147,984 4,111 -- --
Custodian and fund accounting
fees............................ 566,015 445,269 143,599 97,401
Transfer agent fees............... 276,958 95,347 53,365 51,504
Legal fees........................ 381,684 169,606 30,002 23,760
Other expenses.................... 1,352,595 766,294 248,603 201,068
------------ ----------- ----------- -----------
Total Expenses.................. 28,120,957 13,260,134 2,895,608 2,651,213
Less: Fee waivers.................. -- -- (335,332) --
Expenses paid by third
parties........................... (10,912) (42,315) (4,995) (6,945)
------------ ----------- ----------- -----------
Total Net Expenses................. 28,110,045 13,217,819 2,555,281 2,644,268
------------ ----------- ----------- -----------
Net Investment Income.............. 313,627,480 139,590,623 26,370,373 22,616,016
------------ ----------- ----------- -----------
NET REALIZED GAINS ON INVESTMENTS:
Net realized gains on investment
transactions.................... 172,885 86,112 12,552 31,462
------------ ----------- ----------- -----------
INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS................... $313,800,365 $139,676,735 $ 26,382,925 $22,647,478
============ =========== =========== ===========
</TABLE>
- ---------------
See Notes to Financial Statements.
28
<PAGE> 31
[This page left blank intentionally]
29
<PAGE> 32
PACIFIC HORIZON FUNDS, INC.
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRIME FUND
---------------------------------------
YEAR ENDED
---------------------------------------
FEBRUARY 28, FEBRUARY 29,
1997 1996
---------------- ----------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.................................. $ 313,627,480 $ 223,096,543
Net realized gains on investment transactions.......... 172,885 277,551
---------------- ----------------
Change in net assets resulting from operations.......... 313,800,365 223,374,094
---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Pacific Horizon Shares................................. (110,595,534) (87,771,565)
Horizon Shares......................................... (79,709,197) (66,852,421)
Horizon Service Shares................................. (119,808,778) (67,741,940)
X Shares............................................... (2,322,836)(a) --
---------------- ----------------
Change in net assets from shareholder distributions..... (312,436,345) (222,365,926)
---------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued............................ 42,442,585,809 31,908,025,354
Dividends reinvested................................... 177,262,119 113,292,127
Cost of shares redeemed................................ (40,881,572,699) (29,226,683,074)
---------------- ----------------
Change in net assets from capital share transactions.... 1,738,275,229 2,794,634,407
---------------- ----------------
Change in net assets.................................... 1,739,639,249 2,795,642,575
NET ASSETS
Beginning of Year...................................... 5,411,069,973 2,615,427,398
---------------- ----------------
End of Year............................................ $ 7,150,709,222 $ 5,411,069,973
================ ================
</TABLE>
- ---------------
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) Period from September 20, 1995 (inception date) to February 29, 1996.
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TREASURY FUND GOVERNMENT FUND TREASURY ONLY FUND
------------------------------------- ----------------------------------- -----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
------------------------------------- ----------------------------------- -----------------------------------
FEBRUARY 28, FEBRUARY 29, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28, FEBRUARY 29,
1997 1996 1997 1996 1997 1996
---------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
$ 139,590,623 $ 130,548,777 $ 26,370,373 $ 36,460,511 $ 22,616,016 $ 16,946,866
86,112 94,918 12,552 124,433 31,462 50,499
---------------- ---------------- --------------- --------------- --------------- ---------------
139,676,735 130,643,695 26,382,925 36,584,944 22,647,478 16,997,365
---------------- ---------------- --------------- --------------- --------------- ---------------
(38,697,555) (62,223,096) (10,822,314) (16,382,867) (12,248,712) (9,422,222)
(34,033,530) (32,461,902) (3,358,368) (6,779,265) (2,009,735) (79,822)(b)
(66,796,890) (35,863,779) (12,135,558) (12,983,394) (8,357,569) (7,444,822)
(62,648)(a) -- -- -- -- --
---------------- ---------------- --------------- --------------- --------------- ---------------
(139,590,623) (130,548,777) (26,316,240) (36,145,526) (22,616,016) (16,946,866)
---------------- ---------------- --------------- --------------- --------------- ---------------
17,362,879,524 14,883,054,623 3,514,048,456 4,732,791,237 2,581,288,044 1,837,702,943
46,043,231 28,028,766 20,515,585 25,413,970 17,977,687 12,996,227
(17,661,736,799) (14,032,011,738) (3,547,375,120) (5,108,234,664) (2,551,597,500) (1,667,947,202)
---------------- ---------------- --------------- --------------- --------------- ---------------
(252,814,044) 879,071,651 (12,811,079) (350,029,457) 47,668,231 182,751,968
---------------- ---------------- --------------- --------------- --------------- ---------------
(252,727,932) 879,166,569 (12,744,394) (349,590,039) 47,699,693 182,802,467
2,844,222,419 1,965,055,850 529,331,671 878,921,710 467,503,213 284,700,746
---------------- ---------------- --------------- --------------- --------------- ---------------
$ 2,591,494,487 $ 2,844,222,419 $ 516,587,277 $ 529,331,671 $ 515,202,906 $ 467,503,213
================ ================ =============== =============== =============== ===============
</TABLE>
31
<PAGE> 34
PACIFIC HORIZON FUNDS, INC.
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Pacific Horizon Funds, Inc. (the "Company"), a Maryland corporation, is
registered under the Investment Company Act of 1940, as amended (the "Act"), as
an open-end management investment company. At February 28, 1997, the Company
operated as a series company comprised of seventeen funds. The accompanying
financial statements and notes are those of the Pacific Horizon Prime Fund (the
"Prime Fund"), Pacific Horizon Treasury Fund (the "Treasury Fund"), Pacific
Horizon Government Fund (the "Government Fund") and Pacific Horizon Treasury
Only Fund (the "Treasury Only Fund"), collectively the "Funds".
The Funds each issue three classes of shares (Pacific Horizon Shares,
Horizon Shares and Horizon Services Shares). Effective July 22, 1996, the Prime
Fund and the Treasury Fund began offering an additional share class -- X Shares.
The Prime Fund and the Treasury Fund are also authorized to issue S Shares,
which are not available for purchase as of the date of this report. Pacific
Horizon Shares have a Special Management Services Agreement/Plan while the
Horizon Service Shares have a Shareholder Services Plan. X and S Shares have a
Distribution and Services Plan.
The investment objectives of the Funds are as follows:
<TABLE>
<S> <C>
Prime Fund -- The Fund's investment objective is to seek high current
income and stability of principal by investing in a broad
range of government, bank and commercial obligations
available in the money markets as well as repurchase
agreements relating to such obligations.
Treasury Fund -- The Fund's investment objective is to seek high current
income and stability of principal by investing in direct
obligations of the U.S. Treasury and repurchase agreements
relating to Treasury obligations.
Government Fund -- The Fund's investment objective is to provide liquidity and
as high a level of current income as is consistent with the
preservation of capital by investing in short-term debt
obligations issued or guaranteed as to interest and principal
by the U.S. Government, its agencies, authorities or
instrumentalities and repurchase agreements relating to such
obligations.
Treasury Only Fund -- The Fund's investment objective is to provide liquidity and
as high a level of current income as is consistent with the
preservation of capital by investing in direct obligations of
the U.S. Treasury, such as Treasury bills, notes and bonds.
</TABLE>
32
<PAGE> 35
Bank of America National Trust and Savings Association ("Bank of America"),
a subsidiary of BankAmerica Corporation, serves as the Funds' investment
adviser. The BISYS Group, Inc. ("BISYS"), through its wholly-owned subsidiary
BISYS Fund Services, Limited Partnership, serves as the Funds' administrator.
Concord Financial Group, Inc. (the "Distributor"), an indirect, wholly-owned
subsidiary of BISYS, serves as the distributor of the Funds' shares. BISYS Fund
Services, Inc. ("BISYS Ohio"), also a wholly-owned subsidiary of BISYS, serves
as transfer agent and dividend disbursing agent of the Funds.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Funds in preparation of their financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual results could differ from
those estimates.
PORTFOLIO VALUATIONS:
The securities of the Funds are valued at amortized cost, which approximates
market value. The amortized cost method involves valuing a security at its cost
on the date of purchase and thereafter assuming a constant amortization to
maturity of the difference between the principal amount due at maturity and
cost. In addition, the Funds may not (a) purchase any instrument with a
remaining maturity greater than thirteen months unless such instrument is
subject to a demand feature, or (b) maintain a dollar-weighted average portfolio
maturity which exceeds 90 days.
SECURITIES TRANSACTIONS AND RELATED INCOME:
The Funds record security transactions on a trade date basis. Interest
income, including accretion of discount and amortization of premium, is accrued
daily. Realized gains and losses from security transactions are recorded on an
identified cost basis.
EXPENSES:
The Company accounts separately for the assets, liabilities and operations
of each fund. Direct expenses of a fund are charged to that fund while general
Company expenses are allocated among the Company's respective portfolios.
The investment income and expenses of a fund (other than class specific
expenses) and realized and unrealized gains and losses on investments of a fund
are allocated to each class of shares based upon their relative net asset value
on the date income is earned or expenses and realized and unrealized gains and
losses are incurred.
33
<PAGE> 36
REPURCHASE AGREEMENTS (PRIME FUND, TREASURY FUND, AND GOVERNMENT FUND):
The Funds' custodian and other banks acting in a sub-custodian capacity take
possession of the collateral pledged for investments in repurchase agreements.
The underlying collateral is valued daily on a mark-to-market basis to determine
that the value, including accrued interest, exceeds the repurchase price. In the
event of the seller's default of the obligation to repurchase, the Funds have
the right to liquidate the collateral and apply the proceeds in satisfaction of
the obligation. Under certain circumstances, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
The Funds' net investment income is declared as a dividend daily, and paid
monthly, to shareholders of record at the close of business on record date. Net
realized gains on portfolio securities, if any, are distributed at least
annually. However, to the extent that net realized gains of the Funds can be
offset by capital loss carryovers of the Funds, such gains will not be
distributed. Dividends and distributions are recorded by the Funds on the
ex-dividend date.
The amount of dividends from net investment income and of distributions from
net realized gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the composition of net assets based on their federal
tax-basis treatment; temporary differences do not require reclassification.
Dividends and distributions to shareholders which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized gains. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
As of February 28, 1997, the following reclassifications have been made to
increase (decrease) such accounts with offsetting adjustments made to paid-in
capital:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED ACCUMULATED NET REALIZED
NET INVESTMENT INCOME GAIN/(LOSS) ON INVESTMENTS
------------------------------ ----------------------------
<S> <C> <C>
Prime Fund...................... $2,742 $182,342
Government Fund................. 413 (413)
</TABLE>
FEDERAL INCOME TAXES:
It is the Funds' policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
timely, all of its net
34
<PAGE> 37
investment company taxable income and net capital gains to shareholders.
Therefore, no federal income tax provision is required.
At February 28, 1997, the Prime Fund, Treasury Fund, Government Fund, and
Treasury Only Fund had the following capital loss carryovers:
<TABLE>
<CAPTION>
CAPITAL LOSS
FUND CARRYOVER EXPIRATION DATE
- ----------------------------------------------------------- ------------ ----------------
<S> <C> <C>
Prime Fund................................................. $ 744,962 2002
2,725,176 2003
---------
$3,470,138
=========
Treasury Fund.............................................. $ 47,456 2002
=========
Government Fund............................................ $ 939,079 2003
=========
Treasury Only Fund......................................... $ 23,969 2003
=========
</TABLE>
To the extent that these carryovers are used to offset future capital gains,
it is probable that the gains so offset will not be distributed to shareholders.
Capital losses incurred after October 31 for the Funds are deemed to arise
on the first business day of the following fiscal year for tax purposes. The
Treasury Only Fund has incurred and will elect to defer such capital losses of
$8,458 after October 31, 1996. During the year, the Prime Fund, Treasury Fund,
Government Fund, and Treasury Only Fund utilized $172,885, $10,901, $12,552, and
$40,236, respectively, of its available capital loss carryover to offset
realized capital gains for Federal income tax purposes.
OTHER:
The Funds maintain a cash balance with their custodian and receive
reductions of custody fees and expenses for the amount of interest earned on
such uninvested cash balances. For financial reporting purposes for the year
ended February 28, 1997, custodian fees and expenses paid by third parties were
increased by $10,912, $42,315, $4,995, and $6,945 for the Prime Fund, Treasury
Fund, Government Fund, and Treasury Only Fund, respectively. There was no effect
on net investment income. The Funds could have invested such cash balances in
income producing assets if they had not agreed to a reduction of fees or
expenses under the expense offset arrangement with their custodian.
NOTE 3 -- AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Funds have an Investment Advisory Agreement with Bank of America and an
Administration Agreement with BISYS. Bank of America is entitled to a fee from
each Fund, which is accrued daily and payable monthly, at an annual rate of
0.10% of each Fund's first $3 billion of net assets, plus 0.09% of each Fund's
next $2 billion of net assets, plus 0.08% of each Fund's net assets in excess of
$5 billion. BISYS is entitled to a fee for each fund which is
35
<PAGE> 38
accrued daily and payable monthly, at an annual rate of 0.10% of each Fund's
first $7 billion of net assets, plus 0.09% of each Fund's next $3 billion of net
assets, plus 0.08% of each Fund's net assets in excess of $10 billion. For the
year ended February 28, 1997, Bank of America voluntarily waived fees from the
Government Fund in the amount of $335,332.
The Funds have entered into a Special Management Services Agreement (the
"Services Agreement") pursuant to which they agree to pay Bank of America and
BISYS a fee for various services relating to Pacific Horizon Shares. The special
management services fee is accrued daily at an annual rate of 0.32% of the
average daily net assets of the outstanding Pacific Horizon Shares of each Fund.
Fees under the Services Agreement are borne solely by the Pacific Horizon
Shares.
Effective January 1997, the Services Agreement was terminated. The Funds
have adopted a Special Management Services Plan (the "Services Plan") pursuant
to which Service Organizations agree to provide certain services to their
clients who are beneficial owners of Pacific Horizon Shares in return for a
payment by the Funds of a fee at an annual rate 0.32% of the average daily net
assets of the outstanding Pacific Horizon Shares of each Fund. Fees under the
Services Plan are borne solely by the Pacific Horizon Shares. Service
organizations include BISYS, Bank of America and its affiliates. For the year
ended February 28, 1997, the Funds were advised that BISYS, Bank of America and
their affiliates earned the following amounts pursuant to the Services Agreement
and Services Plan:
<TABLE>
<CAPTION>
BANK OF
AMERICA
AND
FUND AFFILIATES BISYS --
- ------------------------------------------------------------------------- ----------- --------
<S> <C> <C>
Prime Fund............................................................... $6,398,554 $48,060
Treasury Fund............................................................ 1,907,590 17,372
Government Fund.......................................................... 504,350 4,925
Treasury Only Fund....................................................... 646,968 1,927
</TABLE>
The Funds have also adopted a Shareholder Services Plan (the "Horizon
Services Plan") pursuant to which Service Organizations agree to provide certain
services to their clients who are beneficial owners of Horizon Service Shares in
return for payment by the Funds of a fee at an annual rate of 0.25% of the
average daily net assets of the Horizon Service Shares, which are borne solely
by the Horizon Service Shares. Service Organizations may include the
Distributor, Bank of America and their affiliates. For the year ended February
28, 1997, the
36
<PAGE> 39
Funds were advised that BISYS, Bank of America and its affiliates earned the
following amounts pursuant to the Horizon Services Plan:
<TABLE>
<CAPTION>
BANK OF
AMERICA
AND
FUND AFFILIATES BISYS --
- ------------------------------------------------------------------------- ----------- --------
<S> <C> <C>
Prime Fund............................................................... $5,113,436 $15,122
Treasury Fund............................................................ 3,115,516 6,746
Government Fund.......................................................... 609,891 396
Treasury Only Fund....................................................... 416,253 637
</TABLE>
The Prime Fund and Treasury Fund have adopted the Distribution and Services
Plan under which the Funds pay the Distributor and Service Organizations for the
provision of support services with respect to the beneficial owners of X Shares.
Payments for distribution expenses and shareholder servicing expenses may not
exceed the annual rate of 0.30% and 0.25%, respectively, of the average daily
net assets of each Fund's X Shares. For the year ended February 28, 1997 the
Funds were advised that Bank of America and its affiliates earned the following
amounts pursuant to the Distribution and Services Plan.
<TABLE>
<CAPTION>
BANK OF
AMERICA AND
FUND AFFILIATES
- -------------------------------------------------------------------------------- -----------
<S> <C>
Prime Fund...................................................................... $270,960
Treasury Fund................................................................... 7,529
</TABLE>
BISYS Ohio serves the Funds as transfer agent and dividend disbursing agent.
In these capacities, BISYS Ohio earned $276,958, $95,347, $53,365 and $51,504
from the Prime Fund, Treasury Fund, Government Fund and Treasury Only Fund,
respectively, for the year ended February 28, 1997. For the period January 1,
1996 to December 31, 1996, BISYS Ohio agreed to voluntarily limit aggregate
transfer agency fees. Absent this voluntary limit the Funds would have incurred
additional costs of $55,259, $21,276, $8,452 and $15,919 for the Prime Fund,
Treasury Fund, Government Fund and Treasury Only Fund, respectively.
For the year ended February 28, 1997, the Prime Fund, Treasury Fund,
Government Fund and Treasury Only Fund incurred legal charges totaling $381,684,
$169,606, $30,002, and $23,760, respectively, which were earned by a law firm, a
partner of which serves as Secretary of the Company.
Certain officers of the Company are affiliated with BISYS. Such persons are
not paid directly by the Company for serving in these capacities.
NOTE 4 -- DIRECTORS' COMPENSATION
Each Director of the Company is entitled to an annual retainer of $25,000,
plus $1,000 for each day the Director participates in all or part of a Board or
Committee meeting and the Chairman of each Committee receives a retainer of
$1,000 for services as Chairman of the
37
<PAGE> 40
Committee. In addition, the Company's President is entitled to an annual salary
of $20,000 for services as President. The former President and Chairman of the
Company received an additional $40,000 per year through February 28, 1997 in
consideration for his years of service.
The Board has also established a retirement plan (the "Retirement Plan") for
the Directors. The Retirement Plan provides that each Director who dies or
resigns after five years of service as a Director will be entitled to receive
ten annual payments each equal to the greater of: (i) 50% of the annual
Director's retainer that was payable during the year of that Director's death or
resignation, or (ii) 50% of the annual Director's retainer then in effect for
Directors of the Fund during the year of such payment. A Director who dies or
resigns after nine years of service as a Director will be entitled to receive
ten annual payments equal to the greater of: (i) 100% of the annual Director's
retainer that was payable during the year of that Director's death or
resignation, or (ii) 100% of the annual Director's retainer then in effect for
Directors of the Fund during the year of such payment. In addition, the amount
payable each year to a Director who dies or resigns shall be increased by $1,000
for each year of service that the Director served as Chairman of the Board. Each
Director may receive any benefits payable under the Retirement Plan, at his or
her election, either in one lump sum payment or ten annual installments. A
Director's years of service for the purpose of calculating the payments
described above shall be based upon service as a Director or Chairman after
February 28, 1994. Aggregate costs pursuant to the Retirement Plan amounted to
$31,025, $22,630, $9,125, and $3,650, for the Prime Fund, Treasury Fund,
Government Fund and Treasury Only Fund, respectively, for the year ended
February 28, 1997.
38
<PAGE> 41
NOTE 5 -- CAPITAL SHARE TRANSACTIONS
Transactions in shares of each Fund (at $1.00 per share) for the periods
indicated are summarized below:
<TABLE>
<CAPTION>
PRIME FUND PRIME FUND TREASURY FUND TREASURY FUND
----------------- ----------------- ----------------- -----------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 28, 1997 FEBRUARY 29, 1996 FEBRUARY 28, 1997 FEBRUARY 29, 1996
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
Issued.......................... 4,320,031,345 6,558,828,164 2,180,160,265 3,542,478,098
Reinvested...................... 99,202,915 63,228,495 13,626,783 10,830,356
Redeemed........................ (4,326,928,364) (5,551,677,079) (2,875,003,912) (3,594,024,911)
-------------- -------------- -------------- --------------
Net increase/(decrease).......... 92,305,896 1,070,379,580 (681,216,864) (40,716,457)
============== ============== ============== ==============
HORIZON SHARES
Issued.......................... 15,114,015,999 10,005,418,206 6,363,082,166 4,729,298,610
Reinvested...................... 25,723,399 18,014,180 11,616,438 4,884,652
Issued in connection with
reorganization of 231 Funds... -- 971,168,989 -- 117,280,359
Redeemed........................ (15,081,065,299) (9,966,301,034) (6,478,650,334) (4,598,604,937)
-------------- -------------- -------------- --------------
Net increase/(decrease).......... 58,674,099 1,028,300,341 (103,951,730) 252,858,684
============== ============== ============== ==============
HORIZON SERVICE SHARES
Issued.......................... 22,771,276,975 14,233,621,259 8,799,447,002 6,355,993,448
Reinvested...................... 50,011,411 32,049,452 20,737,353 12,313,758
Issued in connection with
reorganization of 231 Funds... 140,144,817 138,004,108
Redeemed........................ (21,437,775,542) (13,708,704,961) (8,293,700,822) (5,839,381,890)
-------------- -------------- -------------- --------------
Net increase..................... 1,383,512,844 697,110,567 526,483,533 666,929,424
============== ============== ============== ==============
X SHARES
Issued.......................... 237,259,971 -- 20,188,155 --
Reinvested...................... 2,324,394 -- 62,656 --
Redeemed........................ (35,803,494) -- (14,379,796) --
-------------- -------------- -------------- --------------
Net increase..................... 203,780,871(a) -- 5,871,015(a) --
============== ============== ============== ==============
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT FUND GOVERNMENT FUND TREASURY ONLY FUND TREASURY ONLY FUND
----------------- ----------------- ------------------ ------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
FEBRUARY 28, 1997 FEBRUARY 29, 1996 FEBRUARY 28, 1997 FEBRUARY 29, 1996
----------------- ----------------- ------------------ ------------------
<S> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
Issued...................... 817,557,991 1,244,850,911 1,028,727,745 906,922,356
Reinvested.................. 8,010,482 10,499,760 10,180,140 6,162,584
Redeemed.................... (894,476,160) (1,349,212,756) (1,088,026,565) (729,138,893)
-------------- -------------- -------------- --------------
Net increase/(decrease)...... (68,907,687) (93,862,085) (49,118,680) 183,946,047
============== ============== ============== ==============
HORIZON SHARES
Issued...................... 205,437,403 910,607,847 195,585,962 15,104,735
Reinvested.................. 2,653,506 4,235,900 1,168,058 74,597
Redeemed.................... (201,774,473) (1,095,523,298) (173,560,437) (7,914,323)
-------------- -------------- -------------- --------------
Net increase/(decrease)...... 6,316,436 (180,679,551) 23,193,583 7,265,009(b)
============== ============== ============== ==============
HORIZON SERVICE SHARES
Issued...................... 2,491,053,062 2,577,332,479 1,356,974,337 915,675,852
Reinvested.................. 9,851,597 10,678,310 6,629,489 6,759,046
Redeemed.................... (2,451,124,487) (2,663,498,610) (1,290,010,498) (930,893,986)
-------------- -------------- -------------- --------------
Net increase/(decrease)...... 49,780,172 (75,487,821) 73,593,328 (8,459,088)
============== ============== ============== ==============
</TABLE>
- ---------------
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) Period from September 20, 1995 (inception date) to February 29, 1996.
39
<PAGE> 42
PACIFIC HORIZON PRIME FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28, 28,
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR....................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income...................... 0.0492 0.0539 0.0424 0.0287 0.0340
Net realized gains/(losses) on investment
transactions............................. -- 0.0004 (0.0227) (0.0016) --
-------- -------- -------- -------- --------
Total income from investment operations..... 0.0492 0.0543 0.0197 0.0271 0.0340
Less dividends to shareholders from net
investment income.......................... (0.0490) (0.0539) (0.0422) (0.0287) (0.0341)
Increase due to voluntary capital
contribution from Investment Adviser....... -- -- 0.0233 -- --
-------- -------- -------- -------- --------
Net change in net asset value per share..... 0.0002 0.0004 0.0008 (0.0016) (0.0001)
-------- -------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total return................................ 5.01% 5.53% 4.30%+ 2.91% 3.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)....... $ 2,292 $ 2,200 $ 1,129 $ 1,216 $ 992
Ratio of expenses to average net assets.... 0.55% 0.55% 0.51% 0.52% 0.55%
Ratio of net investment income to average
net assets............................... 4.92% 5.37% 4.19% 2.86% 3.42%
Ratio of expenses to average net assets*... (b) 0.56% 0.56% 0.53% (a)
Ratio of net investment income to average
net assets*.............................. (b) 5.36% 4.14% 2.85% (a)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
+ Total return includes the effect of the voluntary capital contribution from
the Investment Advisor. Without this capital contribution, the total return
would have been lower.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
40
<PAGE> 43
PACIFIC HORIZON PRIME FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28, 28,
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR...................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income..................... 0.0524 0.0571 0.0461 0.0319 0.0372
Net realized gains/(losses) on investment
transactions............................ -- 0.0004 (0.0232) (0.0016) --
-------- -------- -------- --------
Total income from investment operations.... 0.0524 0.0575 0.0229 0.0303 0.0372
Less dividends to shareholders from net
investment income......................... (0.0522) (0.0571) (0.0454) (0.0319) (0.0372)
Increase due to voluntary capital
contribution from Investment Adviser...... -- -- 0.0233 -- --
-------- -------- -------- --------
Net change in net asset value per share.... 0.0002 0.0004 0.0008 (0.0016) --
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return............................... 5.34% 5.86% 4.63%+ 3.24% 3.78%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)...... $ 1,710 $ 1,651 $ 662 $ 3,840 $ 10,301
Ratio of expenses to average net assets... 0.23% 0.23% 0.16% 0.20% 0.23%
Ratio of net investment income to average
net assets.............................. 5.24% 5.69% 4.11% 3.19% 3.59%
Ratio of expenses to average net
assets*................................. (b) 0.24% 0.23% 0.21% (a)
Ratio of net investment income to average
net assets*............................. (b) 5.68% 4.04% 3.18% (a)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
+ Total return includes the effect of the voluntary capital contribution from
the Investment Advisor. Without this capital contribution, the total return
would have been lower.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
41
<PAGE> 44
PACIFIC HORIZON PRIME FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28, 28,
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
HORIZON SERVICE SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR...................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income..................... 0.0499 0.0546 0.0431 0.0294 0.0345
Net realized gains/(losses) on investment
transactions............................ -- 0.0004 (0.0227) (0.0016) --
-------- -------- -------- --------
Total income from investment operations.... 0.0499 0.0550 0.0204 0.0278 0.0345
Less dividends to shareholders from net
investment income......................... (0.0497) (0.0546) (0.0429) (0.0294) (0.0347)
Increase due to voluntary capital
contribution from Investment Adviser...... -- -- 0.0233 -- --
-------- -------- -------- --------
Net change in net asset value per share.... 0.0002 0.0004 0.0008 (0.0016) (0.0002)
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return............................... 5.08% 5.60% 4.37%+ 2.98% 3.53%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)...... $ 2,945 $ 1,561 $ 864 $ 839 $ 793
Ratio of expenses to average net assets... 0.48% 0.48% 0.44% 0.45% 0.48%
Ratio of net investment income to average
net assets.............................. 5.00% 5.44% 4.31% 2.94% 3.49%
Ratio of expenses to average net
assets*................................. (b) 0.49% 0.48% 0.46% (a)
Ratio of net investment income to average
net assets*............................. (b) 5.43% 4.27% 2.93% (a)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
+ Total return includes the effect of the voluntary capital contribution from
the Investment Advisor. Without this capital contribution, the total return
would have been lower.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
42
<PAGE> 45
PACIFIC HORIZON PRIME FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD
ENDED
FEBRUARY
28,
1997(A)
---------
<S> <C>
X SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD...................... $ 1.00
--------
Income from Investment Operations:
Net investment income............................................. 0.0282
Net realized gains/(losses) on investment transactions............ --
--------
Total income from investment operations............................. 0.0282
Less dividends to shareholders from net investment income........... (0.0281)
--------
Net change in net asset value per share............................. 0.0001
--------
NET ASSET VALUE PER SHARE, END OF PERIOD............................ $ 1.00
========
Total return........................................................ 2.84%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions).............................. 204
Ratio of expenses to average net assets........................... 0.78%(c)
Ratio of net investment income to average net assets.............. 4.73%(c)
Ratio of expenses to average net assets*.......................... (b)
Ratio of net investment income to average net assets*............. (b)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) Fees paid by third parties had no effect on the ratios.
(c) Annualized.
(d) Not annualized.
See Notes to Financial Statements.
43
<PAGE> 46
PACIFIC HORIZON TREASURY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28, 28,
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR.................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income................... 0.0477 0.0527 0.0405 0.0262 0.0309
Net realized gains/(losses) on
investment transactions............... -- 0.0011 0.0001 (0.0002) --
-------- -------- -------- -------- --------
Total income from investment
operations.............................. 0.0477 0.0538 0.0406 0.0260 0.0309
Less dividends to shareholders from net
investment income....................... (0.0477) (0.0527) (0.0405) (0.0262) (0.0311)
-------- -------- -------- -------- --------
Net change in net asset value per
share................................... -- 0.0011 0.0001 (0.0002) (0.0002)
-------- -------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total return............................. 4.87% 5.40% 4.13% 2.65% 3.15%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions).... $ 411 $ 1,091 $ 1,132 $ 1,577 $ 1,746
Ratio of expenses to average net
assets................................ 0.57% 0.57% 0.55% 0.55% 0.56%
Ratio of net investment income to
average net assets.................... 4.76% 5.24% 3.99% 2.62% 3.11%
Ratio of expenses to average net
assets*............................... (b) 0.58% (a) (a) (a)
Ratio of net investment income to
average net assets*................... (b) 5.23% (a) (a) (a)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
44
<PAGE> 47
PACIFIC HORIZON TREASURY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28, 28,
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR.................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income................... 0.0509 0.0559 0.0437 0.0294 0.0341
Net realized gains/(losses) on
investment transactions............... -- 0.0011 0.0001 (0.0002) 0.0002
-------- -------- -------- -------- --------
Total income from investment
operations.............................. 0.0509 0.0570 0.0438 0.0292 0.0343
Less dividends to shareholders from net
investment income....................... (0.0509) (0.0559) (0.0437) (0.0294) (0.0343)
-------- -------- -------- -------- --------
Net change in net asset value per
share................................... -- 0.0011 0.0001 (0.0002) --
-------- -------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total return............................. 5.21% 5.73% 4.46% 2.98% 3.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions).... $ 618 $ 722 $ 469 $ 487 $ 598
Ratio of expenses to average net
assets................................ 0.25% 0.25% 0.23% 0.23% 0.24%
Ratio of net investment income to
average net assets.................... 5.09% 5.56% 4.36% 2.94% 3.38%
Ratio of expenses to average net
assets*............................... (b) 0.26% (a) (a) (a)
Ratio of net investment income to
average net assets*................... (b) 5.55% (a) (a) (a)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
45
<PAGE> 48
PACIFIC HORIZON TREASURY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
---------------------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28, 28,
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
HORIZON SERVICE SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR.................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income................... 0.0484 0.0534 0.0412 0.0269 0.0316
Net realized gains/(losses) on
investment transactions............... -- 0.0011 0.0001 (0.0002) 0.0002
-------- -------- -------- -------- --------
Total income from investment
operations.............................. 0.0484 0.0545 0.0413 0.0267 0.0318
Less dividends to shareholders from net
investment income....................... (0.0484) (0.0534) (0.0412) (0.0269) (0.0318)
-------- -------- -------- -------- --------
Net change in net asset value per
share................................... -- 0.0011 0.0001 (0.0002) --
-------- -------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total return............................. 4.97% 5.47% 4.20% 2.72% 3.23%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions).... $ 1,557 $ 1,031 $ 364 $ 541 $ 369
Ratio of expenses to average net
assets................................ 0.50% 0.50% 0.48% 0.48% 0.49%
Ratio of net investment income to
average net assets.................... 4.84% 5.31% 4.01% 2.69% 3.28%
Ratio of expenses to average net
assets*............................... (b) 0.51% (a) (a) (a)
Ratio of net investment income to
average net assets*................... (b) 5.30% (a) (a) (a)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
46
<PAGE> 49
PACIFIC HORIZON TREASURY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED
FEBRUARY 28,
1997(A)
------------
<S> <C>
X SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.................... $ 1.00
------------
Income from Investment Operations:
Net investment income........................................... 0.0271
------------
Total income from investment operations........................... 0.0271
Less dividends to shareholders from net investment income......... (0.0271)
------------
Net change in net asset value per share........................... --
------------
NET ASSET VALUE PER SHARE, END OF PERIOD.......................... $ 1.00
------------
Total return...................................................... 2.74%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)............................ $ 6
Ratio of expenses to average net assets......................... 0.81%(c)
Ratio of net investment income to average net assets............ 4.58%(c)
Ratio of expenses to average net assets*........................ (b)
Ratio of net investment income to average net assets*........... (b)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) Fees paid by third parties had no effect on the ratios.
(c) Annualized.
(d) Not annualized.
See Notes to Financial Statements.
47
<PAGE> 50
PACIFIC HORIZON GOVERNMENT FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28,
1997 1996 1995 1994
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR........................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income....................... 0.0481 0.0530 0.0421 0.0288
Net realized gains/(losses) on investment
transactions.............................. -- (0.0004) ** (0.0091) (0.0006)
-------- -------- -------- --------
Total income from investment operations...... 0.0481 0.0526 0.0330 0.0282
Less dividends to shareholders from net
investment income........................... (0.0480) (0.0524) (0.0420) (0.0288)
Increase due to voluntary capital
contribution from Investment Adviser........ -- -- 0.0085 --
-------- -------- -------- --------
Net change in net asset value per share...... 0.0001 0.0002 (0.0005) (0.0006)
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR....... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return................................. 4.91% 5.37% 4.28%+ 2.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)........ $ 192 $ 261 $ 355 $ 154
Ratio of expenses to average net assets..... 0.55% 0.56% 0.50% 0.60%
Ratio of net investment income to average
net assets................................ 4.82% 5.34% 4.27% 2.88%
Ratio of expenses to average net assets*.... 0.61%*** 0.63% 0.58% 0.60%
Ratio of net investment income to average
net assets*............................... 4.76%*** 5.27% 4.19% 2.88%
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Net realized loss for the period is a direct result of a decrease in
outstanding shares between February 28, 1995 and the date of the gain
realization.
*** Fees paid by third parties had no effect on the ratios.
+ Total return includes the effect of the voluntary capital contribution from
the Investment Advisor. Without this capital contribution, the total return
would have been lower.
See Notes to Financial Statements.
48
<PAGE> 51
PACIFIC HORIZON GOVERNMENT FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED PERIOD
--------------------------------------- ENDED
FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28,
1997 1996 1995 1994(a)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR....................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income...................... 0.0513 0.0600 0.0454 0.0227
Net realized gains/(losses) on investment
transactions............................. -- (0.0042) ** (0.0092) (0.0006)
-------- -------- -------- --------
Total income from investment operations..... 0.0513 0.0558 0.0362 0.0221
Less dividends to shareholders from net
investment income.......................... (0.0512) (0.0556) (0.0452) (0.0227)
Increase due to voluntary capital
contribution from Investment Adviser....... -- -- 0.0085 --
-------- -------- -------- --------
Net change in net asset value per share..... 0.0001 0.0002 (0.0005) (0.0006)
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR...... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return................................ 5.25% 5.71% 4.61%+ 2.29%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)....... $ 61 $ 55 $ 235 $ 370
Ratio of expenses to average net assets.... 0.22% 0.24% 0.17% 0.28%(c)
Ratio of net investment income to average
net assets............................... 5.15% 5.66% 4.67% 3.17%(c)
Ratio of expenses to average net assets*... 0.29%*** 0.30% 0.25% 0.28%(c)
Ratio of net investment income to average
net assets*.............................. 5.08%*** 5.60% 4.59% 3.17%(c)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Net realized loss for the period is a direct result of a decrease in
outstanding shares between February 28, 1995 and the date of the gain
realization.
*** Fees paid by third parties had no effect on the ratios.
+ Total return includes the effect of the voluntary capital contribution from
the Investment Advisor. Without this capital contribution, the total return
would have been lower.
(a) Period from June 14, 1993 (inception date) to February 28, 1994.
(b) Not annualized.
(c) Annualized
See Notes to Financial Statements.
49
<PAGE> 52
PACIFIC HORIZON GOVERNMENT FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28,
1997 1996 1995 1994
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
HORIZON SERVICE SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR....................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income...................... 0.0488 0.0537 0.0429 0.0300
Net realized gains/(losses) on investment
transactions............................. -- (0.0004) ** (0.0092) (0.0006)
-------- -------- -------- --------
Total income from investment operations..... 0.0488 0.0533 0.0337 0.0294
Less dividends to shareholders from net
investment income.......................... (0.0487) (0.0531) (0.0427) (0.0300)
Increase due to voluntary capital
contribution from Investment Adviser....... -- -- 0.0085 --
-------- -------- -------- --------
Net change in net asset value per share..... 0.0001 0.0002 (0.0005) (0.0006)
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR...... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return................................ 4.98% 5.44% 4.35%+ 3.04%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)....... $ 263 $ 213 $ 289 $ 326
Ratio of expenses to average net assets.... 0.48% 0.49% 0.43% 0.48%
Ratio of net investment income to average
net assets............................... 4.89% 5.41% 4.32% 2.99%
Ratio of expenses to average net assets*... 0.54%*** 0.56% 0.51% 0.53%
Ratio of net investment income to average
net assets*.............................. 4.83%*** 5.34% 4.24% 2.94%
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Net realized loss for the period is a direct result of a decrease in
outstanding shares between February 28, 1995 and the date of the gain
realization.
*** Fees paid by third parties had no effect on the ratios.
+ Total return includes the effect of the voluntary capital contribution from
the Investment Advisor. Without this capital contribution, the total return
would have been lower.
See Notes to Financial Statements.
50
<PAGE> 53
PACIFIC HORIZON TREASURY ONLY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28,
1997 1996 1995 1994
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
YEAR....................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income...................... 0.0458 0.0495 0.0384 0.0254
Net realized gains/(losses) on investment
transactions............................. 0.0001 0.0003 (0.0002) (0.0002)
-------- -------- -------- --------
Total income from investment operations..... 0.0459 0.0498 0.0382 0.0252
Less dividends to shareholders from net
investment income.......................... (0.0458) (0.0495) (0.0384) (0.0254)
-------- -------- -------- --------
Net change in net asset value per share..... 0.0001 0.0003 (0.0002) (0.0002)
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR...... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return................................ 4.68% 5.06% 3.90% 2.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions)....... $ 225 $ 274 $ 90 72
Ratio of expenses to average net assets.... 0.60% 0.63% 0.62% 0.56%
Ratio of net investment income to average
net assets............................... 4.59% 4.94% 3.90% 2.54%
Ratio of expenses to average net assets*... (b) (a) 0.63% 0.72%
Ratio of net investment income to average
net assets*.............................. (b) (a) 3.89% 2.38%
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
51
<PAGE> 54
PACIFIC HORIZON TREASURY ONLY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
--------- ---------
FEBRUARY FEBRUARY
28, 29,
1997 1996 (A)
--------- ---------
<S> <C> <C>
HORIZON SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF YEAR........ $ 1.00 $ 1.00
-------- --------
Income from Investment Operations:
Net investment income............................. 0.0490 0.0227
Net realized gains/(losses) on investment
transactions.................................... 0.0001 (0.0001)
-------- --------
Total income from investment operations............. 0.0491 0.0226
Less dividends to shareholders from net investment
income............................................ (0.0490) (0.0227)
-------- --------
Net change in net asset value per share............. 0.0001 (0.0001)
-------- --------
NET ASSET VALUE PER SHARE, END OF YEAR.............. $ 1.00 $ 1.00
======== ========
Total return........................................ 5.02% 2.30%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions).............. $ 30 $ 7
Ratio of expenses to average net assets........... 0.27% 0.70%(d)
Ratio of net investment income to average net
assets.......................................... 4.94% 11.88%(d)
Ratio of expenses to average net assets*.......... (c) (b)
Ratio of net investment income to average net
assets*......................................... (c) (b)
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) Period from September 20, 1995 (inception date) to February 29, 1996.
(b) There were no fee waivers or expense reimbursements during the period.
(c) Fees paid by third parties had no effect on the ratios.
(d) Annualized
(e) Not annualized.
See Notes to Financial Statements.
52
<PAGE> 55
PACIFIC HORIZON TREASURY ONLY FUND
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
------------------------------------------------------
FEBRUARY FEBRUARY FEBRUARY FEBRUARY
28, 29, 28, 28,
1997 1996 1995 1994
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
HORIZON SERVICE SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF YEAR........... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Income from Investment Operations:
Net investment income................................. 0.0465 0.0502 0.0391 0.0273
Net realized gains/(losses) on investment
transactions........................................ 0.0001 0.0003 (0.0002) (0.0002)
-------- -------- -------- --------
Total income from investment operations................ 0.0466 0.0505 0.0389 0.0271
Less dividends to shareholders from net investment
income................................................ (0.0465) (0.0502) (0.0391) (0.0273)
-------- -------- -------- --------
Net change in net asset value per share................ 0.0001 0.0003 (0.0002) (0.0002)
-------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF YEAR................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return........................................... 4.75% 5.14% 3.98% 2.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of year (millions).................. $ 260 $ 186 $ 194 $ 272
Ratio of expenses to average net assets............... 0.53% 0.56% 0.55% 0.39%
Ratio of net investment income to average net
assets.............................................. 4.66% 5.01% 3.86% 2.73%
Ratio of expenses to average net assets*.............. (b) (a) 0.56% 0.64%
Ratio of net investment income to average net
assets*............................................. (b) (a) 3.85% 2.48%
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) There were no fee waivers or expense reimbursements during the period.
(b) Fees paid by third parties had no effect on the ratios.
See Notes to Financial Statements.
53
<PAGE> 56
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Board of Directors
and Shareholders of
Pacific Horizon Funds, Inc.
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Pacific Horizon Prime Fund, Pacific
Horizon Treasury Fund, Pacific Horizon Government Fund and Pacific Horizon
Treasury Only Fund (four of the portfolios constituting the Pacific Horizon
Funds, Inc., hereafter referred to as the "Funds") at February 28, 1997, the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the
financial highlights for each of the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at February 28, 1997 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York
April 21, 1997
54
<PAGE> 57
For more information, complete the following form and mail it to:
Pacific Horizon Funds
1230 Columbia Street, Suite 500
San Diego, CA 92101
...............................................................................
First Name Last Name
...............................................................................
Street Address
...............................................................................
City State Zip Code
...............................................................................
Area Code and Telephone Number
PLEASE CHECK ONE OF THE TWO BOXES BELOW SO WE CAN BETTER MEET YOUR NEED FOR
SERVICE.
[ ] A broker assisted me with the purchase of my Pacific Horizon Fund.
...............................................................................
Name of Broker
...............................................................................
Name of Brokerage Firm
[ ] I purchased my Pacific Horizon Fund without the assistance of a broker.
Please send me a free investing kit on the Pacific Horizon Fund(s) checked
below. The kit includes a prospectus, which has more complete information on
the Fund(s) such as charges and expenses. Read the prospectus carefully
before investing or sending money.
PACIFIC HORIZON FUNDS
<TABLE>
<S> <C>
[ ] International Equity Fund [ ] Intermediate Bond Fund
[ ] Aggressive Growth Fund [ ] U.S. Government Securities Fund
[ ] Blue Chip Fund [ ] Short-Term Government Fund
[ ] Capital Income Fund [ ] National Municipal Bond Fund
[ ] Asset Allocation Fund [ ] California Tax-Exempt Bond Fund
[ ] Corporate Bond Fund
Money Market Funds
[ ] Prime Fund [ ] Treasury Only Fund
[ ] Treasury Fund [ ] Tax-Exempt Money Fund
[ ] Government Fund [ ] California Tax-Exempt Money Market Fund
</TABLE>
Additional Comments:
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NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
<PAGE> 58
BULK RATE
U.S. POSTAGE
PAID
Cleveland, OH
Permit No. 1
[LOGO]
PACIFIC HORIZON FUNDS
Concord Financial Group, Inc., Distributor
PRM-0025 4/97
