<PAGE> 1
LOGO
<PAGE> 2
We are pleased to present the Semi-Annual Report for the Advisory Foreign Fixed
Income, Advisory Mortgage and Emerging Markets Portfolios of MAS Funds as of
March 31, 1997.
TABLE OF CONTENTS
MAS Overview and Statement of Net Assets
<TABLE>
<S> <C>
Advisory Foreign Fixed Income
Portfolio............................. 1
Advisory Mortgage Portfolio.............. 3
Emerging Markets Portfolio............... 12
Statement of Operations..................... 15
Statement of Changes in Net Assets.......... 16
Financial Highlights........................ 17
Notes to Financial Statements............... 20
</TABLE>
THIS SEMI-ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES,
WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR ORIGINAL COST.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
ADVISORY FOREIGN
FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Advisory Foreign Fixed Income Portfolio is used as a vehicle for making
opportunistic foreign bond investments in core fixed-income portfolios managed
by Miller Anderson & Sherrerd. This strategy concentrates on enhancing total
returns through investments in foreign fixed-income securities and is managed as
one component of a diversified portfolio. All securities held in the Portfolio
have a credit quality of A or better. Derivatives may be used to represent
country investments or otherwise pursue portfolio strategy. Investment results
for this fund should not be analyzed on a stand-alone basis, but as part of the
total return for a diversified fixed-income investment. Returns are presented
here in compliance with reporting requirements for mutual funds. The Portfolio
is available only to private advisory clients of Miller Anderson & Sherrerd,
LLP.
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<S> <C> <C> <C>
MAS INDEX
--------------------------
SIX MONTHS 6.0% 2.5%
ONE YEAR 15.3 4.9
SINCE INCEPTION 14.0 8.7
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
The Advisor has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Advisory Foreign Fixed Income Portfolio from exceeding 0.15% of average
daily net assets.
* The Advisory Foreign Fixed Income Portfolio commenced operations on 10/7/94.
All returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (48.8%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)#
- ------------------------------------------------------
<S> <C> <C> <C>
BRITISH POUND (3.1%)
United Kingdom Treasury
Bond
8.00%, 6/10/03 AAA GBP 3,700 $ 6,239
- ------------------------------------------------------
CANADIAN DOLLAR (13.9%)
++ Government of Canada
9.75%, 6/1/21 AA+ CAD 30,765 28,314
- ------------------------------------------------------
EUROPEAN CURRENCY UNIT (2.7%)
Government of France
O.A.T.
7.50%, 4/25/05 AAA ECU 4,300 5,467
- ------------------------------------------------------
FINNISH MARKKA (2.7%)
Government of Finland
9.50%, 3/15/04 AA- FIM 23,000 5,583
- ------------------------------------------------------
GERMAN MARK (3.0%)
Gem DT Laender,
Series 1
6.25%, 8/21/06 AAA DEM 10,000 6,065
- ------------------------------------------------------
SWEDISH KRONA (23.4%)
Government of Sweden
6.00%, 2/9/05 AAA SEK 150,000 18,750
10.25%, 5/5/03 AA+ 183,800 28,872
- ------------------------------------------------------
GROUP TOTAL 47,622
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$105,322) 99,290
- ------------------------------------------------------
CASH EQUIVALENTS (48.3%)
- ------------------------------------------------------
COMMERCIAL PAPER (38.1%)
American Express Credit Corp.
5.55%, 4/2/97 $ 6,000 5,999
Barclays U.S. Funding Corp.
5.54%, 6/30/97 6,000 5,917
Beneficial Corp.
5.55%, 4/16/97 6,000 5,986
CIT Group Holdings Corp.
5.55%, 6/25/97 6,000 5,921
Ford Motor Credit Corp.
5.55%, 4/11/97 6,000 5,991
General Electric Capital Corp.
5.55%, 4/10/97 6,000 5,992
Household Finance Corp.
5.55%, 4/3/97 6,000 5,998
John Deere Credit, Inc.
5.55%, 6/24/97 6,000 5,922
Monsanto Co.
5.55%, 6/11/97 6,000 5,934
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
1
<PAGE> 4
STATEMENT OF NET ASSETS
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<TABLE>
<CAPTION>
ADVISORY FOREIGN
FIXED INCOME
PORTFOLIO (UNAUDITED)
FACE
AMOUNT VALUE
(CONT'D) (000) (000)#
- ------------------------------------------------------
<S> <C> <C>
National Rural Utilities
Cooperative Finance
Corp.
5.56%, 6/17/97 $ 6,000 $ 5,929
Norwest Financial, Inc.
5.55%, 6/27/97 6,000 5,919
Prudential Funding Corp.
5.57%, 4/15/97 6,000 5,987
USAA Capital Corp.
5.54%, 6/26/97 6,000 5,921
- ------------------------------------------------------
GROUP TOTAL 77,416
- ------------------------------------------------------
REPURCHASE AGREEMENTS (10.2%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97,
to be repurchased at
$6,926, collateralized by
various U.S. Government
Obligations due
4/10/97-1/29/99, valued at
$6,995 6,925 6,925
Goldman Sachs & Co. 6.20%,
dated 3/31/97, due 4/1/97,
to be repurchased at
$6,925, collateralized by
U.S. Treasury Bonds,
9.125%, due 5/15/09, valued
at $7,094 6,924 6,924
Merrill Lynch & Co., Inc.
6.25%, dated 3/31/97, due
4/1/97, to be repurchased
at $6,925, collateralized
by U.S. Treasury Bonds
7.125%, due 10/15/98,
valued at $7,070 6,924 6,924
- ------------------------------------------------------
GROUP TOTAL 20,773
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $98,189) 98,189
- ------------------------------------------------------
FOREIGN CURRENCY (0.0%)
- ------------------------------------------------------
@ Austrian Schilling (Cost $0) ATS 1 --
- ------------------------------------------------------
TOTAL INVESTMENTS (97.1%) (Cost $203,511) 197,479
- ------------------------------------------------------
<CAPTION>
VALUE
(000)#
- ------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (2.9%)
Cash $ 1
Interest Receivable 3,978
Receivable for Fund Shares Sold 750
Unrealized Gain on Forward Foreign Currency
Contracts 1,230
Unrealized Gain on Swap Contract 208
Other Assets 9
Payable for Investment Advisory Fees (1)
Payable for Administrative Fees (11)
Payable for Trustees' Deferred Compensation
Plan-Note E (8)
Payable for Daily Variation on Futures
Contracts (162)
Other Liabilities (86)
--------
5,908
- ------------------------------------------------------
NET ASSETS (100%) $203,387
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 20,783,484 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $203,387
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.79
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $196,481
Undistributed Net Investment Income (Loss) 586
Undistributed Realized Net Gain (Loss) 12,681
Unrealized Appreciation (Depreciation) on:
Investment Securities (6,033)
Foreign Currency Transactions 865
Futures and Swaps (1,193)
- ------------------------------------------------------
NET ASSETS $203,387
- ------------------------------------------------------
# See Note A1 to Financial Statements.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
@ Value is less than $500.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
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ADVISORY MORTGAGE PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Advisory Mortgage Portfolio is used as a vehicle for making mortgage
investments in core fixed-income portfolios managed by Miller Anderson &
Sherrerd. The Advisory Mortgage Portfolio invests in a broad range of mortgage
securities, collateralized mortgage obligations (CMOs), asset-backed securities,
U.S. Government and other fixed-income securities and is managed as one
component of a diversified portfolio. Miller Anderson & Sherrerd selects
mortgages that appear most attractively priced, while managing the Portfolio's
prepayment sensitivity. Derivatives may be used to pursue portfolio strategy.
Investment results for this fund should not be analyzed on a stand-alone basis,
but as part of the total return for a diversified fixed-income investment.
Returns are presented here in compliance with reporting requirements for mutual
funds. The Portfolio is available only to private advisory clients of Miller
Anderson & Sherrerd, LLP.
<TABLE>
<S> <C> <C>
- --------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS INDEX
-----------------------------
SIX MONTHS 3.4% 3.0%
ONE YEAR 6.7 6.0
SINCE INCEPTION 8.2 7.8
- --------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
The Advisor has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Advisory Mortgage Portfolio from exceeding 0.08% of average daily net
assets.
* The Advisory Mortgage Portfolio commenced operations on 4/12/95. All returns
are compared to the Lehman Mortgage Index, an unmanaged market index.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (82.6%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (8.4%)
## Government National
Mortgage Association II
Various Pools:
6.00%,
8/20/26-12/20/26 Agy $ 146,737 $ 146,694
6.50%, 8/20/26 Agy 46,611 47,123
- -------------------------------------------------------
GROUP TOTAL 193,817
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (29.1%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
6.00%, 1/1/01 Agy 12 11
6.50%, 3/1/02 Agy 15 15
6.75%, 12/1/05 Agy 191 187
7.00%, 11/1/24 Agy 7,605 7,333
8.00%, 3/1/07 Agy 386 391
8.25%, 11/1/07-7/1/08 Agy 224 229
10.00%, 2/1/09-9/1/17 Agy 2,960 3,199
10.25%, 1/1/09-9/1/16 Agy 110 119
10.50%, 7/1/09-12/1/20 Agy 8,966 11,118
11.00%,12/1/10-11/1/20 Agy 8,966 9,937
11.25%, 6/1/10-12/1/15 Agy 158 176
11.50%, 2/1/00-9/1/19 Agy 5,176 5,792
12.00%, 10/1/09-8/1/15 Agy 1,268 1,448
12.50%, 10/1/09-6/1/15 Agy 285 330
13.00%, 9/1/13 Agy 27 31
13.50%, 2/1/10 Agy 37 43
Gold Pools:
7.00%, 1/1/24-6/1/25 Agy 46,518 44,691
7.50%, 11/1/22-7/1/26 Agy 3,600 3,545
9.50%, 11/1/16-12/1/22 Agy 27,763 29,937
10.00%, 12/1/16-4/1/25 Agy 2,663 3,318
10.50%, 6/1/11-3/1/21 Agy 1,226 1,346
11.00%, 5/1/12 Agy 27 30
11.50%, 10/1/19 Agy 230 258
12.00%, 8/1/14-6/1/20 Agy 8,107 9,135
March TBA
7.50%, 6/15/27 Agy 5,000 4,917
April TBA
7.50%, 6/15/26-6/15/27 Agy 172,175 169,323
May TBA
6.50%, 6/15/26 Agy 16,000 14,900
7.50%, 6/15/26 Agy 60,000 58,875
Federal National Mortgage
Association
Conventional Pools:
7.00%, 2/1/97-3/1/27 Agy 107,578 102,895
7.50%, 6/1/24 Agy 217 214
9.00%, 11/1/09-11/1/16 Agy 10,185 10,783
9.50%, 7/1/16-7/1/17 Agy 4,219 4,553
10.00%, 9/1/16-5/1/22 Agy 30,157 32,737
10.50%, 5/1/11-4/1/22 Agy 11,898 13,135
10.75%, 6/1/13-10/1/11 Agy 225 250
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY MORTGAGE
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
11.00%, 5/1/11-11/1/20 Agy $ 6,143 $ 6,839
11.25%, 1/1/11-1/1/16 Agy 372 411
11.50%, 2/1/11-9/1/25 Agy 1,943 2,185
12.00%, 1/1/13-2/1/18 Agy 340 387
12.50%, 1/1/10-9/1/15 Agy 5,953 6,865
Government National
Mortgage Association
Various Pools:
7.50%, 7/15/23 Agy 864 851
10.00%,
11/15/09-12/25/26 Agy 43,453 47,421
10.50%,
10/15/00-8/15/26 Agy 30,996 34,406
11.00%,
12/15/09-12/15/99 Agy 24,376 27,413
11.50%,
1/15/13-8/15/18 Agy 2,407 2,720
12.00%,
11/15/12-7/15/14 Agy 577 660
12.50%,
11/15/10-7/15/15 Agy 587 671
13.00%,
2/15/11-9/15/14 Agy 375 432
13.50%,
5/15/10-9/15/14 Agy 271 312
- -------------------------------------------------------
GROUP TOTAL 676,774
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.1%)
Secnnurity Pacific Home
Equity Trust, Series
91-AB
10.50%, 3/10/06 A+ 1,991 1,994
- -------------------------------------------------------
ASSET BACKED MORTGAGES (1.5%)
AFC Home Equity Loan
Trust,
Series:
96-2 CL 1A6 SEQ
8.30%, 8/25/27 AAA 525 534
96-3 1A6
8.07%, 2/25/27 AAA 125 126
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA 3,461 3,498
Cityscape Home Equity
Loan Trust,
Series:
96-2 A5
8.10%, 8/25/26 AAA 7,500 7,566
96-3 A8
7.65%, 8/25/26 AAA 9,650 9,440
Contimortgage Home Equity
Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 125 126
96-3 10 IO
0.90%, 9/15/27 AAA 90,265 2,265
(*) 96-3 96 3A YMA
9/15/27 N/R 263,405 493
(acquired 10/10/96-
11/19/96, cost $487)
(*) 96-3 B YMA
9/15/27 N/R 99,205 142
(acquired 10/10/96-
11/19/96, cost $140)
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
96-3 A9 IO
1.30%, 9/15/27 AAA $ 243,363 $ 8,274
Delta Funding Home Equity
Loan Trust, Series 96-1
A7
7.95%, 6/25/27 AAA 1,245 1,248
IMC Home Equity Loan
Trust, Series 96-3 A7
8.05%, 8/25/26 AAA 1,000 1,010
- -------------------------------------------------------
GROUP TOTAL 34,722
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-AGENCY COLLATERAL
SERIES (6.0%)
Collateralized Mortgage
Obligation Trust,
Series 86-13 Q Inv Fl
15.546%, 1/20/03 AAA 248 266
Federal Home Loan
Mortgage Corporation,
Series:
88-17 I PAC-1 (11)
9.90%, 10/15/19 Agy 2,200 2,341
88-22 C PAC (11)
9.50%, 4/15/20 Agy 815 883
88-23 F PAC-1 (11)
9.60%, 4/15/20 Agy 1,025 1,104
89-39 F PAC-2 (11)
10.00%, 5/15/20 Agy 1,975 2,129
89-47 F PAC-1 (12)
10.00%, 6/15/20 Agy 1,740 1,880
89-110-F PAC
8.55%, 1/15/21 Agy 800 827
90-129 H PAC
8.85%, 3/15/21 Agy 135 142
90-164 B12
9.50%, 7/15/21 Agy 4,700 4,986
90-1007 F Inv Fl
22.61%, 1/15/20 Agy 5 6
93-149 O PO REMIC
8/25/23 Agy 3,078 1,503
1089 C Inv Fl
562.167%, 6/15/21 Agy 199 2,687
1364 B Inv Fl IO CMO
6.00%, 9/15/07 Agy 11,569 1,365
1364 E Inv Fl IO REMIC
9.287%, 9/15/07 Agy 13,897 2,667
1369 S Inv Fl IO REMIC
4.00%, 9/15/07 Agy 15,126 1,074
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy 133 54
1476-S Inv Fl IO REMIC
PAC
4.408%, 2/15/08 Agy 1,442 151
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 1,420 108
1600-SA Inv Fl IO REMIC
2.50%, 10/15/08 Agy 22,230 1,007
1632 SA Inv Fl REMIC
5.657%, 11/15/23 Agy 1,585 1,128
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
1632-SB Inv Fl REMIC
4.60%, 11/15/23 Agy $ 9,720 $ 4,506
1634 SC Inv Fl
7.419%, 12/15/23 Agy 4,000 2,380
1680 PB PAC-1 (11)
5.70%, 6/15/12 Agy 1,648 1,641
1699-SD Inv Fl IO CMO
2.50%, 3/15/24 Agy 89,542 5,749
1709 H PO REMIC 1/15/24 Agy 1,305 476
1750-C PD PO REMIC
3/15/24 Agy 2,026 1,186
1813 K PO REMIC 2/15/24 Agy 1,284 777
1844 PC PO REMIC
3/15/24 Agy 2,344 1,184
1887 I PO REMIC
10/15/22 Agy 1,378 766
Federal National Mortgage
Association,
Series:
89-22 G PAC (11)
10.00%, 5/25/19 Agy 5,445 5,960
89-92 G PAC (11)
8.60%, 12/25/04 Agy 750 777
90-106 J PAC
8.50%, 9/25/20 Agy 2,299 2,364
90-118 S Inv Fl
28.777%, 9/25/20 Agy 195 278
90-126 S Inv Fl CMO
19.232%, 10/25/20 Agy 6,750 7,969
91-34 S Inv Fl
19.997%, 4/25/21 Agy 4,460 5,367
91-107 S Inv Fl
14.994%, 8/25/21 Agy 2,936 3,367
92-33 S Inv Fl
11.46%, 3/25/22 Agy 7,320 7,254
92-89 SQ Inv Fl IO PAC
(11)
3353.20%, 6/25/22 Agy 2 191
92-186 Inv Fl IO
3.429%, 10/25/07 Agy 2,367 182
93-9 SB Inv Fl IO
6.869%, 1/25/23 Agy 6,177 2,015
93-22 S Inv Fl
9.823%, 9/25/22 Agy 713 560
93-46 SD Inv Fl
4.257%, 4/25/23 Agy 8,330 3,989
93-46 SG Inv Fl
5.95%, 7/25/22 Agy 2,810 1,700
93-115 SB Inv Fl
4.048%, 7/25/23 Agy 4,760 2,791
96-14 PC PO 12/25/23 Agy 2,230 1,000
96-46 PB PO 9/25/23 Agy 2,310 1,228
96-54 N PO 7/25/23 Agy 1,671 1,027
96-54 O PO 11/25/23 Agy 1,859 933
96-68 SC Inv Fl IO
2.694%, 1/25/24 Agy 5,950 604
97-3 E PO 12/25/23 Agy 400 214
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
97-7 EB PO 2/25/23 Agy $ 23,040 $ 14,264
97-7 ST Inv Fl
3743.75%, 2/25/23 Agy 2 305
97-22 SG Inv Fl IO
3.694%, 11/25/22 Agy 10,900 1,706
97 22 SD Inv Fl IO
3.913%, 11/25/22 Agy 20,669 1,162
G92-32 SQ Inv Fl IO
REMIC
2604.873%, 6/25/22 Agy 24 1,650
(*) G92-52 SQ Inv Fl
IO REMIC
7105.856%, 9/25/22 Agy 50 8,768
(acquired 7/11/96,
cost $8,985)
G92-53 S Inv Fl IO
REMIC
32.344%, 9/25/22 Agy 5,907 4,471
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO
3.063%, 6/16/26 Agy 48,489 2,977
96-13 S Inv Fl IO
3.65%, 7/16/11 Agy 25,063 1,867
Kidder Peabody Mortgage
Assets Trust,
Series:
+ 87 B PO 4/22/18 Aaa 164 120
+ 87 B IO
9.50%, 4/22/18 Aaa 159 50
Morgan Stanley Mortgage
Trust,
Series:
41 2 Inv Fl
114.306%, 2/20/22 AAA 2,404 5,757
88-28 8 PAC
9.40%, 10/1/18 AAA 125 130
- -------------------------------------------------------
GROUP TOTAL 137,970
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-NON-AGENCY
COLLATERAL SERIES (14.9%)
American Housing Trust,
Series:
IV 2 C
9.553%, 9/25/20 A 2,760 2,819
V 1G
9.125%, 4/25/21 AAA 7,665 7,710
Bear Stearns Mortgage
Securities Inc.,
Series:
96-4 AI10
8.125%, 9/25/97 AAA 9,026 9,058
96-5 L
8.125%, 9/25/97 AAA 8,400 8,430
96-9 AI11
8.00%, 6/15/26 AAA 1,200 1,197
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY MORTGAGE
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
Chase Mortgage Finance
Corp.,
Series:
(*) 93-1 B2
7.911%, 3/28/24 N/R $ 4,302 $ 4,273
(acquired 4/28/95-
7/30/96, cost $4,150)
+ 93-N A8
6.75%, 11/25/24 Aaa 3,350 2,939
+ 94-H A7
7.25%, 6/25/25 Aaa 2,075 1,917
Chemical Mortgage
Securities, Inc.,
Series:
(+) 93-1 M
7.45%, 2/25/23 AA 4,714 4,556
(*) 93-3 M
7.125%, 7/25/23 AA 5,946 5,651
(acquired 6/9/95, cost
$5,686)
Citicorp Mortgage
Securities, Inc.,
Series:
+ 90-7 A7
9.50%, 6/25/05 Baa3 388 387
93-9 A1
7.00%, 3/25/20 AAA 370 369
94-7 A5
6.25%, 4/25/24 AAA 5,175 4,297
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 9,485 8,501
Countrywide Funding
Corp.,
Series:
94-12 A10
7.00%, 5/25/24 AAA 855 766
(*) 95-4 M
7.50%, 9/25/25 AA 6,561 6,298
(acquired 9/13/95,
cost $6,481)
Countrywide Mortgage
Backed Securities,
Inc., Series 93-C A11
6.50%, 1/25/24 AAA 10,783 9,724
(+) DLJ Mortgage
Acceptance Corp.,
Series 95-CF2 A1B
6.85%, 12/17/27 AAA 850 842
First Boston Mortgage
Securities Corp.,
Series:
(*) 92-4 B1
8.125%, 10/25/22 A 76 73
(acquired 4/28/95,
cost $69)
(*) 93-2 B1
7.50%, 3/25/33 A 2,923 2,785
(acquired 4/28/95-
10/30/96, cost $2,677)
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
(*) 93-5 B1
7.30%, 7/25/23 N/R $ 1,008 $ 960
(acquired 1/25/96-
9/24/96, cost $980)
GE Capital Mortgage
Services, Inc.,
Series:
92-10A F
7.50%, 8/25/22 AAA 7,727 7,354
94-14 A7
7.50%, 4/25/24 AAA 4,000 3,702
94-24 A4
7.00%, 7/25/24 AAA 10,950 9,842
94-27 A6
6.50%, 7/25/24 AAA 10,025 8,566
(+) 95-6 B2
7.00%, 8/25/25 N/R 3067 2,854
Independent National
Mortgage Corp.,
Series:
(*)+ 94-O B1
7.875%, 9/25/24 A2 14,660 14,135
(acquired 11/9/95,
cost $14,626)
95-Q A11
7.40%, 11/25/25 AAA 495 481
(*) 95-U A3
7.13%, 9/25/24 AAA 11,660 11,138
(acquired 10/17/95-
8/14/96, cost $11,559)
(*) 95-V A3
7.12%, 2/25/26 AAA 16,703 15,939
(acquired 10/24/95-
9/5/96, cost $16,470)
Mid-State Trust, Series
88-2 A4
9.625%, 4/1/03 AAA 21,445 23,034
Old Stone Credit Corp.,
Series 92-3 B1
6.35%, 9/25/07 AAA 371 359
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA 5,725 5,371
(*) 96-1 B1
7.50%, 6/25/26 AA 4,488 4,340
(acquired 4/15/96,
cost $4,343)
Prudential Home Mortgage
Securities Co. Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 104 104
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
(+)+ 92-A 1B4
7.90%, 4/28/22 A1 $ 1,484 $ 1,331
(*)+ 92-33 B1
7.50%, 11/15/22 Aa3 1,180 1,091
(acquired 4/28/95-
10/30/96, cost $1,074)
(+)## 93-B B1
7.783%, 4/28/23 AA 4,618 4,568
(*)+ 93-17 B1
6.50%, 3/1/23 A2 1,026 989
(acquired 4/28/95,
cost $954)
(+)## 94-A 3B3
6.803%, 4/28/24 N/R 7,525 6,901
(+) 94-A B3
6.802%, 4/28/24 N/R 8,273 7,590
(*) 95-2 M
8.50%, 6/25/25 AA 336 342
(acquired 9/26/95,
cost $345)
(*) 95-6 M
7.50%, 9/25/25 AA 5,338 5,231
(acquired 8/25/95,
cost $5,196)
(*) 96-5 A6
7.25%, 4/25/26 AAA 12,871 12,393
(acquired 2/27/96,
cost $12,640)
Residential Accredit
Loans Inc.,
Series:
96-QS4 AI 10
7.90%, 8/25/26 AAA 1,200 1,204
96 QS7 AI 11
8.00%, 11/25/26 AAA 725 730
96-QS8 A13
7.75%, 12/25/26 AAA 750 739
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 3,750 3,683
97 Q52 A8
7.75%, 3/25/27 AAA 8,725 8,723
+ 97 Q54 A9
7.75%, 6/15/27 Aaa 9,950 9,853
Residential Asset
Securitization Trust,
Series 96-A5 A9
7.75%, 9/25/26 AAA 4,776 4,755
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 979 978
(*) 93-MZ1 A2
7.47%, 3/2/23 AA 1,200 1,160
(acquired 6/30/95-
7/30/96, cost $1,163)
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
(*) 93-MZ2 A2
7.47%, 5/30/23 AA $ 4,119 $ 3,975
(acquired 4/28/95-
11/20/96, cost $3,879)
(*) 93-MZ3 A2
6.97%, 8/28/23 N/R 14,700 13,578
(acquired 6/2/95-
10/30/96, cost
$13,613)
93-S2 M2
8.00%, 1/25/23 A 885 874
(*) 93-S27 M2
7.50%, 6/25/23 A 481 459
(acquired 1/25/96,
cost $484)
(*) 94-S1 A19
6.75%, 1/25/24 AAA 9,502 8,817
(acquired 4/28/95-
10/30/96, cost $8,703)
95-S17 A8
7.50%, 12/25/25 AAA 11,191 10,961
Resolution Trust Corp.,
Series 92-16 C2
7.75%, 8/25/25 A 2,686 2,686
Rural Housing Trust,
Series 87-1 M
3.33%, 10/1/28 A- 15,952 14,927
Ryland Mortgage
Securities Corp.,
Series:
## 92-A 1A
8.285%, 3/29/30 A- 4,878 4,796
+ 93-4 A9
7.50%, 8/25/24 Aaa 11,720 11,061
94-7B 4A2
7.50%, 8/25/25 AAA 1,900 1,791
(*)+ Salomon Brothers
Mortgage Securities,
Series 93-3 B1
7.20%, 8/25/23 Aa2 577 543
(acquired 1/25/96-
8/14/96, cost $569)
Saxon Mortgage Securities
Corp., Series 93-8A A6
7.375%, 9/25/23 AAA 390 364
Securitized Asset Sales,
Inc.,
Series:
(*) 95-3 B1
7.50%, 10/25/25 A 4,436 4,349
(acquired 12/28/95,
cost $4,485)
(*)+ 95-B M
7.41%, 9/25/24 Aa1 5,633 5,269
(acquired 6/30/95-
10/30/96, cost $5,729)
- -------------------------------------------------------
GROUP TOTAL 347,482
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY MORTGAGE
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (13.9%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R $ 7,726 $ 7,588
## 93-2 S1 IO
1.056%, 1/18/09 N/R 76,312 3,956
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 19,000 19,053
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 14,755 14,940
## 95-MD4 A1
7.10%, 8/13/29 AAA 18,990 18,764
95-MD4 ACS2 IO
1.867%, 8/13/29 N/R 27,972 4,934
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 16,575 16,506
96-MD6 A1C
7.04%, 11/13/26 AAA 15,375 14,946
Beverly Finance Corp.
8.36%, 7/15/04 AA- 9,965 10,341
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 11/15/07 AA 2,150 2,086
1 B
7.188%, 11/15/07 A 16,650 16,306
1 C
7.527%, 11/15/07 BBB+ 4,211 4,190
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 15,750 15,395
Chase Commercial Mortgage
Securities Corp.,
Series 96-2 A2
6.90%, 9/19/06 AAA 750 722
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 4,288 4,503
(+) Crystal Run
Properties, Series A
7.393%, 8/15/06 AA 15,775 15,580
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 437 433
(+) DLJ Mortgage
Acceptance Corp.,
Series:
## 96-CF1 IO
0.74%, 3/12/06 N/R 177,302 6,313
96-CF1 A1B
7.58%, 3/13/28 AAA 850 859
96-CF2 S IO
1.641%, 11/12/21 N/R 29,198 2,580
96-CF2 AIB
7.29%, 7/15/06 AAA 5,415 5,363
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
(+) FSA Finance, Inc.,
Series 95-1A
7.42%, 6/1/07 AA $ 5,242 $ 5,254
+ GMAC Commercial
Mortgage Securities,
Inc., Series 96-C1 X2
IO
1.926%, 3/15/21 Aaa 82,496 7,319
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 20,347 20,308
(+) Lakeside Finance
Corp.
6.47%, 12/15/00 AA 240 234
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 12,400 11,969
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 2,700 2,708
96-C2 IO
1.529%, 10/25/26 N/R 83,029 7,388
96-C2 A2
6.82%, 11/21/28 AAA 8,125 7,930
Midland Realty Acceptance
Corp.,
Series:
+ 96-C2 A1
7.02%, 1/25/27 Aaa 841 836
+ 96-C2 A2
7.233%, 1/25/27 Aaa 13,350 13,210
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 12,748 12,905
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 3,660 3,706
## 94-MD1 A2
7.669%, 3/15/18 N/R 4,085 4,156
94-MD1 A3
8.026%, 3/15/18 N/R 4,350 4,519
(+) Prime Property
Funding
6.633%, 7/23/03 AA 18,325 17,764
Sawgrass Financial,
Series 93-A1
6.45%, 1/20/06 AAA 255 249
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 6,030 5,756
Structured Asset
Securities Corporation,
Series:
96-CFL X1 IO
1.331%, 2/25/28 N/R 126,946 6,542
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
96-CFL X1A IO
1.61%, 2/25/28 N/R $ 127,892 $ 3,838
96-CFL X2 IO
1.267%, 2/25/28 N/R 30,025 882
- -------------------------------------------------------
GROUP TOTAL 322,831
- -------------------------------------------------------
FINANCE (3.2%)
(+)+ Home Ownership
Funding 13.331%,
(Preferred Stock) Aaa (1)77,000 73,882
- -------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
(*) Coast Federal,
Series 84-3
7.941%, 3/1/06 N/R 269 260
(acquired 4/28/95,
cost $276)
(*)## Dedham Savings
Participation
Certificate
8.144%, 5/1/01 N/R 388 385
(acquired 7/30/96,
cost $385)
(*)## Fortune Mortgage
Corp. Participation
Certificate
7.812%, 8/1/99 N/R 235 229
(acquired 7/30/96,
cost $229)
(*) Great American
Federal, Series 84-2
8.595%, 4/1/99 N/R 24 24
(acquired 4/28/95,
cost $23)
(*) Household Bank,
Series 85-1
7.94%, 5/1/02 N/R 297 294
(acquired 5/31/95,
cost $300)
(*) Virginia Beach
Federal Savings & Loan
Participation
Certificate
6.90%, 3/1/01 N/R 413 395
(acquired 3/27/97,
cost $395)
- -------------------------------------------------------
GROUP TOTAL 1,587
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.7%)
Bank of America, Series A
8.375%, 5/1/07 AAA 895 893
California Federal
Savings & Loan, Series
86-1A
8.80%, 1/1/14 AA 84 84
DLJ Mortgage Acceptance
Corp.,
Series:
(*) 93-MF7 A1
7.40%, 6/18/03 AAA 9,953 9,966
(acquired 4/28/95-
3/27/97, cost $10,049)
93-M10 A2
7.20%, 7/15/03 AAA 5,728 5,717
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- -------------------------------------------------------
First Federal Savings &
Loan Association,
Series 92-C
8.75%, 6/1/06 AA $ 361 $ 362
(*)## Gemsco Mortgage
Pass thru Certificate,
Series 83-TX A
8.701%, 11/25/10 AA 939 941
(acquired 4/28/95-
3/27/97, cost $950)
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
87-S7 A
9.00%, 8/25/17 AAA 44 45
90-2 A
10.50%, 3/25/20 AA 37 37
## Resolution Trust
Corp., Series 92-5 C
8.618%, 1/25/26 AA 6,537 6,631
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 3,651 3,434
(*) Sears Mortgage
Securities, Series 82-3
10.00%, 11/1/12 AA 527 535
(acquired 4/28/95,
cost $548)
(*) Shearson American
Express, Series A
9.625%, 12/1/12 AA 350 357
(acquired 4/28/95-
10/30/96, cost $358)
++/+ Town & Country
Funding Corp.
5.85%, 8/15/98 Aa2 9,425 9,343
Travelers Mortgage
Services, Inc., Series
86-3 A
10.00%, 8/25/16 AA 103 104
Washington Mutual Savings
Bank, Series A1
9.00%, 5/25/08 AA 73 73
- -------------------------------------------------------
GROUP TOTAL 38,522
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-AGENCY COLLATERAL
SERIES (3.7%)
Federal Home Loan
Mortgage Corporation
Series:
13 B IO REMIC
10.00%, 6/1/20 Agy 2,642 904
16 B IO REMIC
10.00%, 6/1/20 Agy 1,345 447
18 B IO REMIC
10.00%, 5/1/20 Agy 687 229
1603 QA PO REMIC
10/15/23 Agy 15,266 5,032
1911-C PO REMIC
11/15/23 Agy 3,616 1,413
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY MORTGAGE
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)#
- -------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association,
Series:
43-2 IO
9.50%, 9/1/18 Agy $ 51 $ 16
93-146 G PO REMIC
5/25/23 Agy 15,737 8,029
93-205 G PO REMIC
9/25/23 Agy 12,555 6,605
93-235 H PO REMIC
9/25/23 Agy 5,239 3,421
93-243 C PO REMIC
11/25/23 Agy 3,447 2,139
93-M2 B IO REMIC
2.575%, 7/25/03 Agy 62,441 4,113
95-21 C PO REMIC
5/25/24 Agy 10,117 3,699
96-34 C PO REMIC
3/25/23 Agy 3,486 1,440
249 1 PO 10/25/23 Agy 35,824 21,315
254 1 PO 1/1/24 Agy 7,445 4,705
260 1 PO 4/1/24 Agy 10,120 6,329
263 1 PO 5/25/24 Agy 27,577 16,257
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 125 39
- -------------------------------------------------------
GROUP TOTAL 86,132
- -------------------------------------------------------
TOTAL FIXED SECURITIES (Cost $1,940,951) 1,915,713
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.4%)-SEE NOTE A7
- -------------------------------------------------------
## Morgan Guaranty Trust
Co., 11/20/05; monthly
payments equal to 1%
per annum of the
outstanding notional
balance, indexed to
GNMA ARM pools (Cost
$11,663) N/R 315,567 9,861
- -------------------------------------------------------
CASH EQUIVALENTS (27.0%)
- -------------------------------------------------------
COMMERCIAL PAPER (20.6%)
Asset Securitization
Funding Corp.
5.40%, 4/30/97 30,000 29,870
American Express Credit
Corp.
5.32%, 4/28/97 30,000 29,880
Atlantic Asset
Securitization Corp.
5.40%, 4/16/97 30,000 29,932
Banc One Corp.
5.55%, 4/29/97 30,000 29,870
Beneficial Corp.
5.53%, 5/19/97 30,000 29,779
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)#
- -------------------------------------------------------
<S> <C> <C>
CIT Group Holdings, Inc.
5.34%, 4/21/97 $ 30,000 $ 29,911
Delaware Funding Corp.
5.54%, 5/15/97 30,000 29,797
Ford Motor Credit Corp.
5.55%, 5/21/97 30,000 29,769
General Electric Capital
Corp.
5.34%, 5/13/97 30,000 29,813
Greenwich Funding Corp.
5.34%, 4/7/97 30,000 29,973
IBM Credit Corp.
5.48%, 5/7/97 30,000 29,836
John Deere Capital Corp.
5.55%, 5/12/97 30,000 29,810
Metlife Funding Inc.
5.55%, 5/2/97 30,000 29,857
Prudential Funding Corp.
5.31%, 4/2/97 30,000 29,996
Warner-Lambert Co.
5.57%, 5/23/97 30,000 29,759
Xerox Corp.
5.55%, 5/7/97 30,000 29,833
- -------------------------------------------------------
GROUP TOTAL 477,685
- -------------------------------------------------------
REPURCHASE AGREEMENT (6.4%)
Chase Securities, Inc.
6.20%, dated 3/31/97,
due 4/1/97, to be
repurchased at
$149,273,
collateralized by
various U.S. Government
Obligations, due
4/10/97-1/29/99, valued
at $150,740 149,247 149,247
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $626,932) 626,932
- -------------------------------------------------------
TOTAL INVESTMENTS (110.0%) (Cost
$2,579,546) 2,552,506
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-10.0%)
Interest Receivable 13,225
Receivable for Investments Sold 30,394
Receivable for Fund Shares Sold 61,393
Receivable from Investment Adviser 160
Receivable for Daily Variation on Futures
Contracts 48
Other Assets 39
Payable for Investments Purchased (337,760)
Payable for Administrative Fees (152)
Payable for Trustees' Deferred Compensation
Plan-Note E (37)
Payable to Custodian (18)
Other Liabilities (98)
----------
(232,806)
- -------------------------------------------------------
NET ASSETS (100%) $2,319,700
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)#
- -------------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 227,413,347 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $2,319,700
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.20
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $2,324,619
Undistributed Net Investment Income (Loss) 15,618
Undistributed Realized Net Gain (Loss) 5,738
Unrealized Appreciation (Depreciation) on:
Investment Securities (27,040)
Futures 765
- -------------------------------------------------------
NET ASSETS $2,319,700
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
(*) Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$146,577 or 6.3% of net assets.
# See Note A1 to Financial Statements.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed
is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
CMO Collateralized Mortgage Obligations
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at March 31, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation, or Fitch.
PAC Planned Amortization Class.
PO Principal Only.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Emerging Markets Portfolio invests primarily in common stocks of emerging
markets issuers throughout the world, investing in more than 50 stocks from more
than 12 countries. Miller Anderson & Sherrerd evaluates both short-term and
long-term international economic trends and relative attractiveness of emerging
markets and individual emerging market securities to achieve the Portfolio's
objective of long-term capital growth. Valuation techniques and business
dynamics are emphasized in determining country allocation and stock selection.
Foreign currency exposure is actively managed, but is not often hedged due to
the high cost of hedging transactions. The Portfolio is available only to
private advisory clients of Miller Anderson & Sherrerd, LLP.
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
MAS INDEX
--------------------
<S> <C> <C>
SIX MONTHS 10.2% 7.1%
ONE YEAR 15.1 6.1
SINCE INCEPTION 15.9 9.2
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Emerging Markets Portfolio from exceeding 1.18% of average daily net
assets.
*The Emerging Markets Portfolio commenced operations on 2/28/95. All returns are
compared to the Morgan Stanley Capital International Emerging Markets Free
Index, an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (69.2%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)#
- -----------------------------------------------------
<S> <C> <C>
ARGENTINA (3.1%)
Banco Frances ADS 14,230 $ 427
YPF SA ADR 19,300 511
- -----------------------------------------------------
GROUP TOTAL 938
- -----------------------------------------------------
BRAZIL (7.7%)
* Light Participacoes SA 2,500,000 755
* Multicanal Participacoes SA
ADR 33,300 462
Telebras SA 11,292,000 1,139
- -----------------------------------------------------
GROUP TOTAL 2,356
- -----------------------------------------------------
HONG KONG (5.8%)
Bank of East Asia, Ltd. 72,000 244
Jardine Strategic Holdings Ltd. 160,000 554
New World Development Co., Ltd. 60,000 324
Semi-Tech (Global) Ltd. 596,700 631
- -----------------------------------------------------
GROUP TOTAL 1,753
- -----------------------------------------------------
INDIA (10.6%)
Bajaj Auto Ltd. 18,000 454
East India Hotels Ltd. 24,000 294
Hindustan Lever Ltd. 19,000 498
ITC Ltd. 5,633 56
Indian Petrochemicals Corp.
Ltd. 131,000 506
Mahanagar Telephone Nigam Ltd. 134,000 901
Reliance Industries Ltd. 74,820 536
- -----------------------------------------------------
GROUP TOTAL 3,245
- -----------------------------------------------------
INDONESIA (6.4%)
Astra Corp. 142,000 462
Enseval PuTera Mega 433,000 248
PT Hanjaya Mandala Sampoerna
(Foreign) 99,000 464
Sinar Mas Multiartha (Foreign) 166,600 187
Unilever Indonesia (Foreign) 29,000 580
- -----------------------------------------------------
GROUP TOTAL 1,941
- -----------------------------------------------------
ISRAEL (4.7%)
* Bank Hapoalim Ltd. 240,000 474
Elron Electronic Industries
Ltd. 10,000 123
First International Bank of
Israel Ltd., Class 1 3,300 414
Supersol Ltd. 150,000 432
- -----------------------------------------------------
GROUP TOTAL 1,443
- -----------------------------------------------------
KOREA (3.5%)
Cheil Foods & Chemicals Corp. 19 1
(+) Hana Bank GDR 42,700 602
LG International (Foreign) RFD 5,539 37
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)#
- -----------------------------------------------------
<S> <C> <C>
LG International Corp. 55,399 $ 372
Samsung Electronics 674 45
- -----------------------------------------------------
GROUP TOTAL 1,057
- -----------------------------------------------------
MALAYSIA (1.5%)
Genting Bhd. 68,000 461
- -----------------------------------------------------
MEXICO (10.2%)
ALFA, SA de C.V., Class A 107,000 601
Cemex SA de C.V., Series B 125,000 504
* Grupo Financiero Bancomer SA,
Class B 1,271,000 451
* Grupo Posadas SA, Series A 969,000 489
Telefonos de Mexico SA ADR,
Class L 14,300 550
* Tubos de Acero de Mexico SA 31,000 530
- -----------------------------------------------------
GROUP TOTAL 3,125
- -----------------------------------------------------
SOUTH AFRICA (5.4%)
DeBeers Consolidated Mines,
Ltd. ADR 32,200 1,139
Lonrho PLC 210,000 499
- -----------------------------------------------------
GROUP TOTAL 1,638
- -----------------------------------------------------
THAILAND (6.7%)
Bangkok Bank Public Co., Ltd. 42,000 297
Ruam Pattana Fund II (Foreign) 830,600 311
* Sinpinyo Fund 5 (Foreign) 1,587,000 627
* Sub-Thawee Fund 785,400 674
Thai Orchid Fund 593,200 142
- -----------------------------------------------------
GROUP TOTAL 2,051
- -----------------------------------------------------
TURKEY (3.6%)
Yapi ve Kredi Bankasi AS 24,360,000 1,088
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $19,731) 21,096
- -----------------------------------------------------
PREFERRED STOCKS (10.3%)
- -----------------------------------------------------
BRAZIL (8.5%)
Banco Itau SA 1,391,000 720
Brasmotor SA 2,245,000 642
* CESP 14,950,000 745
Ceval Alimentos SA 45,100,000 486
- -----------------------------------------------------
GROUP TOTAL 2,593
- -----------------------------------------------------
KOREA (1.8%)
Cheil Foods & Chemicals Corp. 33,433 561
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $2,920) 3,154
- -----------------------------------------------------
WARRANT (0.0%)
- -----------------------------------------------------
INDONESIA (0.0%)
* PT Sinar Mas Multiartha,
expiring 11/28/01 (Cost $0) 12,495 7
- -----------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)#
- ------------------------------------------------------
<S> <C> <C> <C>
STRUCTURED INVESTMENT (10.00%)-SEE NOTE A7
- ------------------------------------------------------
RUSSIA (10.0%)
##Credit Suisse Note,
11/2/97, 3.50% Floating
rate coupon indexed to
the Russian ruble
dividend amount of the
underlying Basket
shares consisting of
four Russian stocks.
Principal is composed
of 70% of the
appreciation/
depreciation of the
Basket shares plus the
accreted value of a
zero coupon bond
purchased at 26.68%
which matures at 30% on
the maturity date.(Cost
$1,654) N/R $ 1,500 $ 3,027
- ------------------------------------------------------
PURCHASED OPTIONS (3.7%)
- ------------------------------------------------------
<CAPTION>
NO. OF
CONTRACTS
----------
<S> <C> <C>
KOREA (3.7%)
Korea Mobile Telecom Call
Option, expiring 9/4/99,
strike price $0.01 1,019 561
Pohang Iron & Steel Call
Option, expiring 9/4/99,
strike price $0.01 6,720 322
Shinhan Bank Call Option,
expiring 9/4/99, strike
price $0.01 21,450 255
- ------------------------------------------------------
TOTAL PURCHASED OPTIONS (Cost $1,589) 1,138
- ------------------------------------------------------
FOREIGN CURRENCY (4.7%)
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
----------
<S> <C> <C> <C>
Brazilian Real BRC 1 1
@ Indian Rupee INR 1 --
Indonesian Rupiah IDR 2,234,361 931
South Korean Won KRW 33,588 38
Malaysian Ringgit MYR 1,174 474
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $1,444) 1,444
- ------------------------------------------------------
CASH EQUIVALENT (2.4%)
- ------------------------------------------------------
REPURCHASE AGREEMENT (2.4%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased at
$730, collateralized by
various U.S. Government
Obligations, due
4/10/97-12/29/99, valued at
$737 (Cost $730) $ 730 730
- ------------------------------------------------------
TOTAL INVESTMENTS (100.3%) (Cost $28,068) 30,596
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) (000)#
- ------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-0.3%)
Cash $ 484
Dividends Receivable 63
Interest Receivable 9
Receivable for Withholding Tax Reclaim 5
Receivable for Investments Sold 1,131
Receivable for Fund Shares Sold 2
Other Assets 1
Payable for Investments Purchased (1,621)
Payable for Investment Advisory Fees (57)
Payable for Administrative Fees (2)
Accrued Foreign Capital Gain Taxes (50)
Payable for Trustees' Deferred
Compensation Plan-Note E (1)
Other Liabilities (52)
--------
(88)
- ------------------------------------------------------
NET ASSETS (100%) $ 30,508
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 2,635,280
outstanding shares of
beneficial interest
(unlimited authorization, no
par value) $ 30,508
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.58
- ------------------------------------------------------
<CAPTION>
VALUE
(000)+
- ------------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid In Capital $ 27,431
Undistributed Net Investment Income (Loss) (95)
Undistributed Realized Net Gain (Loss) 698
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of Foreign
Capital Gain Tax of $50) 2,478
Foreign Currency Transactions (4)
- ------------------------------------------------------
NET ASSETS $ 30,508
- ------------------------------------------------------
# See Note A1 to Financial Statements.
* Non-income producing security.
## Variable or Floating rate security-rate disclosed
is as of March 31,1997.
(+) 144A security. Certain conditions for public sale
may exist.
@ Value is less than $500.
ADR American Depositary Receipt
ADS American Depositary Shares
GDR Global Depositary Receipt
N/R Not rated by either Moody's Investor Service, Inc.
or Standard & Poor's Corporation.
RFD Ranked for Dividend
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISORY
FOREIGN ADVISORY EMERGING
FIXED INCOME MORTGAGE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------
Six Months Ended March 31, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest + $ 6,210 $ 80,319 $ 110
Dividend ++ -- -- 287
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 6,210 80,319 397
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $ 409 $ 4,101 $124
Less: Waived Fees (409) -- (4,101) -- (25) 99
Administrative Fee--Note C 87 875 13
Custodian Fee--Note D 34 87 55
Audit Fee 19 18 21
Other Expenses 20 140 9
Reimbursement from Investment Adviser -- (158) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 160 962 197
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note G (2) (87) --
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 158 875 197
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 6,052 79,444 200
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (3,216) 25,200 586
Foreign Currency Transactions 18,057 -- (53)
Futures, Written Floors and Swaps 1,002 914 391
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 15,843 26,114 924
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--
Note F2
Investment Securities * (6,301) (32,282) 2,393
Foreign Currency Transactions (1,517) -- (4)
Futures and Swaps (1,483) (3,406) --
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (9,301) (35,688) 2,389
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 6,542 (9,574) 3,313
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $12,594 $ 69,870 $3,513
==============================================================================================================================
</TABLE>
+ Net of $8 withholding tax for Advisory Foreign Fixed Income Portfolio.
++ Net of $14 withholding tax for the Emerging Markets Portfolio.
* Net of foreign capital gain taxes of $50 on unrealized gains for Emerging
Markets Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
ADVISORY
FOREIGN
FIXED INCOME ADVISORY
PORTFOLIO MORTGAGE
PORTFOLIO
--------------------------------------------------------
Six Months Six Months
Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 31,333 $ 6,052 $ 116,189 $ 79,444
Realized Net Gain (Loss) 57,997 15,843 2,215 26,114
Change in Unrealized Appreciation (Depreciation)--Note F2 (18,730) (9,301) (9,809) (35,688)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 70,600 12,594 108,595 69,870
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A11:
Net Investment Income (35,248) (42,544) (112,093) (75,028)
Realized Net Gain (6,574) (24,390) (4,475) (16,800)
In Excess of Realized Net Gain -- -- (3,577) --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (41,822) (66,934) (120,145) (91,828)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 349,384 229,780 826,456 441,716
In Lieu of Cash Distributions 29,798 54,794 87,865 68,615
Redeemed (709,001) (262,939) (371,217) (143,265)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions (329,819) 21,635 543,104 367,066
- --------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (301,041) (32,705) 531,554 345,108
NET ASSETS:
Beginning of Period 537,133 236,092 1,443,038 1,974,592
- --------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $236,092 $203,387 $1,974,592 $2,319,700
==========================================================================================================================
Undistributed net investment income (loss) included in end of
period net assets $ 37,078 $ 586 $ 11,202 $ 15,618
- --------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 31,539 20,905 80,399 42,531
In Lieu of Cash Distributions 2,758 5,679 8,555 6,631
Shares Redeemed (63,889) (25,932) (35,654) (13,711)
- --------------------------------------------------------------------------------------------------------------------------
(29,592) 652 53,300 35,451
==========================================================================================================================
<CAPTION>
EMERGING
MARKETS
PORTFOLIO
----------------------------
Six Months
Year Ended Ended
September 30, March 31,
(In Thousands) 1996 1997
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 622 $ 200
Realized Net Gain (Loss) 2,070 924
Change in Unrealized Appreciation (Depreciation)--Note F2 (496) 2,389
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 2,196 3,513
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS--Note A11:
Net Investment Income (641) (572)
Realized Net Gain (2,186) (2,288)
In Excess of Realized Net Gain -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,827) (2,860)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 9,068 2,428
In Lieu of Cash Distributions 2,439 2,587
Redeemed (20,351) (8,144)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions (8,844) (3,129)
- --------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (9,475) (2,476)
NET ASSETS:
Beginning of Period 42,459 32,984
- --------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $32,984 $30,508
==========================================================================================================================
Undistributed net investment income (loss) included in end of
period net assets $ 277 $ (95)
- --------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 801 228
In Lieu of Cash Distributions 235 249
Shares Redeemed (1,823) (705)
- --------------------------------------------------------------------------------------------------------------------------
(787) (228)
==========================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------
October 7, Six Months
1994** to Year Ended Ended
September 30, September 30, March 31,
ADVISORY FOREIGN FIXED INCOME PORTFOLIO 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.80 $ 11.73
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.74 0.68 (0.14)
Net Realized and Unrealized Gain (Loss) on Investments 0.44 1.02 0.78
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.18 1.70 0.64
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.38) (0.66) (1.67)
Net Realized Gain -- (0.11) (0.91)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.38) (0.77) (2.58)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.80 $ 11.73 $ 9.79
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 12.12% 16.47% 5.97%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $537,133 $236,092 $203,387
Ratio of Expenses to Average Net Assets (1) 0.16%* 0.12% 0.15%*
Ratio of Net Investment Income to Average Net Assets 7.44%* 6.06% 5.55%*
Portfolio Turnover Rate 96% 170% 118%
- ------------------------------------------------------------------------------------------------------------------------------
(1) Supplemental Information on the Ratio of Expenses to Average
Net Assets:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.38%* 0.38% 0.38%*
Ratio Including Expense Offsets 0.15%* 0.12% 0.14%*
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized.
** Commencement of Operations.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------
April 12, Six Months
1995** to Year Ended Ended
September 30, September 30, March 31,
ADVISORY MORTGAGE PORTFOLIO 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.41 $ 10.29
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.25 0.72 0.37
Net Realized and Unrealized Gain (Loss) on Investments 0.35 (0.06) (0.02)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.60 0.66 0.35
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.72) (0.36)
Net Realized Gain -- (0.03) (0.08)
In Excess of Realized Net Gain -- (0.03) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (0.78) (0.44)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.41 $ 10.29 $ 10.20
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.03% 6.56% 3.40%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,443,038 $1,974,592 $2,319,700
Ratio of Expenses to Average Net Assets (1) 0.10%* 0.09% 0.09%*
Ratio of Net Investment Income to Average Net Assets 6.72%* 7.17% 7.26%*
Portfolio Turnover Rate 110% 139% 92%
- ------------------------------------------------------------------------------------------------------------------------------
(1) Supplemental Information on the Ratio of Expenses to Average
Net Assets:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.49%* 0.39% 0.39%*
Ratio Including Expense Offsets 0.08%* 0.08% 0.08%*
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized.
** Commencement of Operations.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------
February 28, Six Months
1995** to Year Ended Ended
September 30, September 30, March 31,
EMERGING MARKETS PORTFOLIO 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.63 $ 11.52
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.19 0.07
Net Realized and Unrealized Gain (Loss) on Investments 1.53 0.45 0.99
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.64 1.06
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.17) (0.20)
Realized Net Gain -- (0.58) (0.80)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.75) (1.00)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.63 $ 11.52 $ 11.58
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.30% 6.21% 10.19%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $42,459 $32,984 $30,508
Ratio of Expenses to Average Net Assets (1) 1.18%* 1.18% 1.18%*
Ratio of Net Investment Income to Average Net Assets 2.04%* 1.62% 1.21%*
Portfolio Turnover Rate 63% 108% 55%
Average Commission Rate ### N/A $0.0014 $0.0057
- ------------------------------------------------------------------------------------------------------------------------------
(1) Supplemental Information on the Ratio of Expenses to Average
Net Assets:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.29%* 0.11% 0.16%*
Ratio Including Expense Offsets 1.18%* 1.18% 1.18%*
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized.
** Commencement of Operations.
### For fiscal years beginning on or after September 1, 1995, a fund is required to disclose the average commission rate per
share it paid for security transactions on which commissions were charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. Advisory Foreign Fixed Income, Advisory
Mortgage and Emerging Markets Portfolio, each referred to as a "Portfolio",
commenced operations on October 7, 1994, April 12, 1995 and February 28, 1995,
respectively. At March 31, 1997, the Fund was comprised of twenty-four active
portfolios. The financial statements of the remaining portfolios are presented
separately.
A. SIGNIFICANT ACCOUNTING POLICIES. The following significant accounting
policies are in conformity with generally accepted accounting principles for
investment companies. Such policies are consistently followed by the Fund in
the preparation of its financial statements. Generally accepted accounting
principles may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual
results may differ from those estimates.
1. SECURITY VALUATION: Market values for equity securities listed on the New
York Stock Exchange ("NYSE") or other U.S. exchanges or NASDAQ are based
on the latest quoted sales prices as of the close of the NYSE (normally
4:00 p.m. Eastern Time) on the valuation date; securities not traded on
the valuation date are valued at the mean of the most recent quoted bid
and asked prices. Equity securities not listed are valued at the mean of
the most recent bid and asked prices. Securities listed on foreign
exchanges are valued at the latest quoted sales prices. Bonds, including
municipal bonds, and other fixed income securities are valued using
brokers' quotations or on the basis of prices, provided by a pricing
service, which are based primarily on institutional size trading in
similar groups of securities. Mortgage-backed securities issued by certain
government-related organizations are valued using brokers' quotations
which are based on a matrix system which considers such factors as other
security prices, yields and maturities. Short term securities are valued
using the amortized cost method of valuation, which in the opinion of the
Board of Trustees reflects fair value. Securities for which no quotations
are readily available (including restricted securities) are valued at fair
value as determined in good faith using methods approved by the Board of
Trustees.
2. FEDERAL INCOME TAXES: It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its
taxable income. Accordingly, no provision for Federal income taxes is
required in the financial statements.
3. REPURCHASE AGREEMENTS: Securities pledged as collateral for repurchase
agreements are held by the Portfolios' custodian bank until maturity of
the of the repurchase agreements. Provisions of the agreements ensure that
the market value of the collateral is at least equal to the repurchase
value in the event of default; however, 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.
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, the Portfolios may transfer their uninvested cash balances
into a joint trading account with other Portfolios of the Fund which
invests in one or more repurchase agreements. This joint repurchase
agreement is covered by the same collateral requirements as discussed
above.
4. FUTURES: Futures contracts (secured by securities deposited with brokers
as "initial margin") are valued based upon their quoted daily settlement
prices; changes in initial settlement value (represented by cash paid to
or received from brokers as "variation margin") are accounted for as
unrealized appreciation (depreciation). When futures contracts are closed,
the difference between the opening value at the date of
- --------------------------------------------------------------------------------
20
<PAGE> 23
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
purchase and the value at closing is recorded as realized gains or losses
in the Statement of Operations.
Futures contracts may be used by each Portfolio in order to hedge against
unfavorable changes in the value of securities or to attempt to realize
profits from the value of the underlying securities. Futures contracts
involve market risk in excess of the amount recognized in the Statement of
Net Assets. Risks arise from the possible movements in security values
underlying these instruments. The change in value of futures contracts
primarily corresponds with the value of their underlying instruments,
which may not correlate with the change in value of the hedged
investments. In addition, there is a risk that a Portfolio may not be able
to enter into a closing transaction because of an illiquid secondary
market.
5. SWAP AGREEMENTS: Each Portfolio can enter into swap agreements to exchange
the return generated by one instrument for the return generated by another
instrument. The following summarizes swaps entered into by the Portfolios:
Interest Rate Swaps: Interest rate swaps involve the exchange of
commitments to pay and receive interest based on a notional principal
amount. Net periodic interest payments to be received or paid are accrued
daily and are recorded in the Statement of Operations as an adjustment to
interest income. Interest rate swaps are marked-to-market daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized appreciation (depreciation) in the Statement of Operations.
Total Return Swaps: Total return swaps involve commitments to pay interest
in exchange for a market-linked return based on a notional amount. To the
extent the total return of the security or index underlying the
transaction exceeds or falls short of the offsetting interest obligation,
the Portfolio will receive a payment from or make a payment to the
counterparty, respectively. Total return swaps are marked-to-market daily
based upon quotations from market makers and the change, if any, is
recorded as unrealized gains or losses in the Statement of Operations.
Periodic payments received or made at the end of each measurement period,
but prior to the termination, are recorded as realized gains or losses in
the Statement of Operations.
Realized gains or losses on maturity or termination of interest rate and
total return swaps are presented in the Statement of Operations. Because
there is no organized market for these swap agreements, the value reported
in the Statement of Net Assets may differ from that which would be
realized in the event the Portfolio terminated its position in the
agreement. Risks may arise upon entering into these agreements from the
potential inability of the counterparties to meet the terms of the
agreements and are generally limited to the amount of net interest
payments to be received and/or any favorable movements in the value of the
underlying security, if any at the date of default.
6. WRITTEN INTEREST RATE FLOOR AGREEMENTS: A Portfolio will utilize written
interest rate floors to protect itself against fluctuations in interest
rates. When a Portfolio writes an interest rate floor, it agrees to make
periodic interest payments based on a notional principal amount to the
extent that a specified interest index falls below a specified interest
rate in exchange for the premium received. When a Portfolio writes an
interest rate floor the premium received by the Portfolio is recorded as a
liability and is amortized to interest income over the life of the
agreement. Interest rate floors are marked-to-market daily based on
quotations from market makers and the change, if any, is recorded as
unrealized appreciation or depreciation in the Statement of Operations.
Periodic payments of interest, if
- --------------------------------------------------------------------------------
21
<PAGE> 24
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
any, are reported as reductions to interest income in the Statement of
Operations. Realized gains or losses from these agreements are disclosed
in the Statement of Operations.
Because there is no organized market for these agreements, the value
reported in the Statement of Net Assets may differ from that which would
be realized in the event the Portfolio terminated its position in the
agreement. Entering into these agreements involves, to varying degrees,
elements of interest rate and market risk in excess of the amount
recognized in the Statement of Net Assets. Such risks involve the
possibility that there may be no liquid market for these agreements and
that there may be adverse changes in interest rates or the index
underlying these transactions.
7. STRUCTURED INVESTMENTS: Certain Portfolios may invest in structured
investments whose values are linked either directly or inversely to
changes in foreign currencies, interest rates, commodities, indices, or
other underlying instruments. A Portfolio uses these securities to
increase or decrease its exposure to different underlying instruments and
to gain exposure to markets that might be difficult to invest in through
conventional securities. Structured investments may be more volatile than
their underlying instruments, but any loss is limited to the amount of the
original investment.
8. DELAYED DELIVERY COMMITMENTS: Each Portfolio may purchase or sell
securities on a when-issued or forward commitment basis. Payment and
delivery may take place a month or more after the date of the transaction.
The price of the underlying securities and the date when the securities
will be delivered and paid for are fixed at the time the transaction is
negotiated. Collateral consisting of liquid securities or cash is
maintained in an amount at least equal to these commitments.
9. PURCHASED OPTIONS: Certain Portfolios may purchase call and put options on
its portfolio securities. A call option, upon payment of a premium, gives
the purchaser of the option the right to buy, and the seller the
obligation to sell, the underlying instrument at the exercise price. The
purchase of a call option might be intended to protect the Portfolio
against an increase in the price of the underlying instrument that it
intends to purchase in the future by fixing the price at which it may
purchase the instrument. A put option gives the purchaser of the option,
upon payment of a premium, the right to sell, and the writer the
obligation to buy, the instrument at the exercise price. A Portfolio may
purchase a put option to protect its holdings in the underlying
instrument, or a similar instrument, against a substantial decline in the
market value of such instrument by giving the Portfolio the right to sell
the instrument at the option exercise price. Possible losses from
purchased options cannot exceed the total amount invested.
10. FOREIGN EXCHANGE AND FORWARD CURRENCY CONTRACTS: The books and records of
the Fund are maintained in U.S. dollars. Foreign currency amounts are
translated into U.S. dollars at the bid prices of such currencies against
U.S. dollars quoted by a bank. Net realized gains (losses) on foreign
currency transactions represent net foreign exchange gains (losses) from
forward foreign currency contracts, disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates
on securities transactions, and the difference between the amount of
investment income and foreign withholding taxes recorded on a Portfolio's
books and the U.S. dollar equivalent amounts actually received or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. Each Portfolio may
enter into forward
- --------------------------------------------------------------------------------
22
<PAGE> 25
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
foreign currency contracts to protect securities and related receivables
and payables against future changes in foreign exchange rates.
Fluctuations in the value of such contracts are recorded as unrealized
appreciation or depreciation; realized gains or losses, which are
disclosed in the Statement of Operations, include net gains or losses on
contracts which have been terminated by settlements. Risks may arise upon
entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and are generally
limited to the amount of unrealized gain on the contract (if any) at the
date of default. Risks may also arise from unanticipated movements in the
value of the foreign currency relative to U.S. dollar.
11. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Advisory Foreign Fixed
Income and the Advisory Mortgage Portfolios will normally distribute
substantially all of their net investment income to shareholders in the
form of quarterly and monthly dividends, respectively. The Emerging Markets
Portfolio normally distributes substantially all of its net investment
income in the form of annual dividends. Net realized capital gains are
distributed at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences are primarily due to differing treatments for foreign currency
transactions.
Permanent book and tax differences relating to shareholder distributions
may result in reclassifications to undistributed net investment income
(loss), undistributed realized net gain (loss) and paid in capital.
12. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recognized on the accrual basis. Discounts
and premiums on securities purchased are amortized over their respective lives.
Most expenses of the Fund can be directly attributed to a Portfolio. Expenses
which can not be directly attributed are apportioned among the portfolios on
the basis of their relative net assets.
Permanent book-tax differences, if any, are not included in ending
undistributed net investment income (loss) for the purpose of calculating net
investment income (loss) per share in the Financial Highlights.
B. INVESTMENT ADVISORY FEE: Under the terms of an Investment Advisory
Agreement, each Portfolio pays Miller Anderson & Sherrerd, LLP ("MAS" or the
"Adviser"), wholly owned by indirect subsidiaries of Morgan Stanley Group,
Inc., for investment advisory services performed at a fee calculated by
applying a quarterly rate based on an annual percentage rate of 0.375% for
Advisory Foreign Fixed and Advisory Mortgage Portfolios and 0.750%, for the
Emerging Markets Portfolio, of each Portfolio's average daily net assets for
the quarter.
Until further notice, the Adviser has voluntarily agreed to waive its advisory
fees and, if necessary, reimburse the Portfolios if annual operating expenses
exceed 0.15%, 0.08% and 1.18% of average daily net assets of the Advisory
Foreign Fixed Income, Advisory Mortgage, and Emerging Markets Portfolios,
respectively.
C. ADMINISTRATION FEE: MAS serves as Administrator to the Fund pursuant to an
Administration Agreement. Under the Agreement, MAS receives an annual fee
accrued daily and payable monthly, of 0.08% of each Portfolio's average daily
net assets. Chase Global Funds Services Company serves as Transfer Agent to the
Fund and provides fund accounting and other services pursuant to a
sub-administration agreement with MAS and receives compensation from MAS for
these services.
D. CUSTODY: Morgan Stanley Trust Company (NY) ("MSTC"), an affiliate of the
Funds, serves
- --------------------------------------------------------------------------------
23
<PAGE> 26
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
as custodian for the Fund's assets held outside of the United States in
accordance with a custodian agreement. MSTC is a wholly owned subsidiary of
Morgan Stanley Group, Inc.
For the six months ended March 31, 1997, the Advisory Foreign Fixed Income and
the Emerging Markets Portfolios incurred fees of $24,000 and $35,000 with MSTC,
of which $13,000 and $26,000, respectively, were payable to MSTC at March 31,
1997.
E. TRUSTEES FEES: The Fund pays each Trustee, who is not also an officer or
affiliated person, an annual fee plus travel and other expenses incurred in
attending Board meetings. Trustees who are also officers or affiliated persons
receive no remuneration for their service as Trustees.
Each eligible Trustee of the Fund who is not an officer or affiliated person,
as defined under the Investment Company Act of 1940, as amended, participates
in the Trustees' Deferred Compensation Plan. Under the Trustees Deferred
Compensation Plan, such Trustees must defer at least 25% of their fees and may
elect to defer payment up to 100% of their total fees earned as a Trustee of
the Fund. These deferred amounts are credited to an account that will be
treated as if they have been invested in the Portfolios selected by the
Trustee. The deferred fees payable, and the corresponding value of shares owned
by the Portfolios to hedge the potential change in value of the deferred fees,
at March 31, 1997, totaled $46,000. The value of shares owned by the Portfolios
is included in Other Assets in each Portfolios Statement of Net Assets.
Expenses for the six months ended March 31, 1997 include legal fees paid to
Morgan, Lewis & Bockius, LLP. A partner of that firm is secretary to the Fund.
F. PORTFOLIO INVESTMENT ACTIVITY:
1. PURCHASES AND SALES OF SECURITIES. For the six months ended March 31, 1997,
purchases and sales of investment securities other than short term
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- --------- ----------- -----------
<S> <C> <C>
Advisory Foreign Fixed Income $ 171,361 $ 208,491
Advisory Mortgage 1,970,281 1,932,840
Emerging Markets 36,250 17,076
</TABLE>
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION). At March
31, 1997, cost and unrealized appreciation (depreciation) of securities for
Federal income tax purposes were:
<TABLE>
<CAPTION>
(000)
------------------------------------------------
Portfolio Cost Appreciation Depreciation Net
- --------- ---------- ------------ ------------ --------
<S> <C> <C> <C> <C>
Advisory Foreign
Fixed Income $ 203,511 $1,226 $ (7,258) $ (6,032)
Advisory Mortgage 2,579,546 7,813 (34,853) (27,040)
Emerging Markets 26,624 5,724 (3,196) 2,528
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS. Under the terms of the forward foreign
currency contracts open at March 31, 1997, the Advisory Foreign Fixed Income
and Emerging Markets Portfolios are obligated to deliver or receive currency
in exchange for U.S. dollars as indicated in the following table:
<TABLE>
<CAPTION>
(000)
- ---------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Deliver For Date Value (Depreciation)
- --------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ADVISORY FOREIGN FIXED INCOME
Purchases
US$ 3,533 SEK 27,000 4/2/97 US$ 3,587 US$ 54
13,815 ATS 157,350 4/21/97 13,359 (456)
6,416 DEM 10,875 5/12/97 6,540 124
------------
US$ (278)
------------
Sales
SEK 13,000 US$ 1,904 4/2/97 US$ 1,727 US$ 177
SEK 14,000 2,023 4/2/97 1,860 163
ATS 157,350 13,974 4/21/97 13,359 615
DEM 10,500 6,424 4/29/97 6,309 115
DEM 37,380 22,775 5/12/97 22,483 292
CAD 20,955 15,419 6/3/97 15,217 202
SEK 197,000 26,372 6/4/97 26,249 123
CAD 20,000 14,749 6/13/97 14,533 216
SEK 142,000 18,602 6/27/97 18,940 (338)
SEK 27,000 3,544 6/27/97 3,601 (57)
------------
US$1,508
------------
Net US$1,230
============
</TABLE>
- --------------------------------------------------------------------------------
24
<PAGE> 27
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
- ---------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Deliver For Date Value (Depreciation)
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
EMERGING MARKETS
Purchases
US$ 168 ZAR 745 4/1/97 US$ 168 US$ --
48 ZAR 212 4/1/97 48 --
----------
US$ --
==========
ATS -- Austrian
Schilling
CAD -- Canadian Dollar
DEM -- German Mark
SEK -- Swedish Krona
U.S.$ -- U.S. Dollar
ZAR -- South African
Rand
</TABLE>
4. FUTURES CONTRACTS. At March 31, 1997, the following Portfolios had futures
contracts open:
<TABLE>
<CAPTION>
Unrealized
Aggregate Appreciation
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- --------- --------- ---------- ---------- --------------
<S> <C> <C> <C> <C>
Purchases:
ADVISORY FOREIGN FIXED INCOME
Canada 10 yr.
Government Bond 510 CAD 42,710 Jun-97 US$ (1,250)
German 10 yr.
Government Bond 59 DEM 8,671 Jun-97 (151)
ADVISORY MORTGAGE
U.S. Treasury 2
yr. Note 810 US$ 165,746 Jun-97 (1,257)
Sales:
ADVISORY MORTGAGE
90 day Eurodollar 867 US$ 201,979
Jun-97-
Mar-01 2,022
CAD -- Canadian Dollar
DEM -- German Mark
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS. At March 31, 1997, the following Portfolio had open
Interest Rate Swap Agreements:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- --------------------------------------------------------------
<C> <S> <C>
ADVISORY FOREIGN FIXED INCOME
SEK 335,000 Agreement with Morgan Guaranty
Trust Company terminating March
24, 2002 to receive fixed
rate at 6.72% annually and to
pay SEK-STIBOR quarterly. $208
======
SEK -- Swedish Krona
STIBOR -- Swedish Interbank Offer Rate
</TABLE>
G. EXPENSE OFFSETS. Custodian fees appearing in the Statement of Operations
have been adjusted to include expense offsets for custodian balance credits of
$2,000 and $87,000 for the Advisory Foreign Fixed Income and the Advisory
Mortgage Portfolios, respectively.
H. OTHER. At March 31, 1997, the Advisory Foreign Fixed Income and Emerging
Markets Portfolios' net assets were substantially comprised of foreign
denominated securities and currency. The net assets of the Portfolio are
presented at the foreign exchange rates and market values at the close of the
period. The Portfolio does not isolate that portion of the results of
operations arising as a result of changes in the foreign exchange rates from
the fluctuations arising from changes in the market prices of the securities
held at period end. Similarly, the Portfolio does not isolate the effect of
changes in foreign exchange rates from the fluctuations arising from changes in
the market prices of securities sold during the period. Accordingly, realized
and unrealized foreign currency gains (losses) are included in the reported net
realized and unrealized gains (losses) on investment transactions and balances.
Changes in currency exchange rates will affect the value of and investment
income from such securities and currency.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, the possibly lower level of
governmental supervision and regulation of foreign securities markets and the
possibility of political or economic instability.
At March 31, 1997 the Advisory Foreign Fixed Income and the Emerging Markets
Portfolios had one and three shareholders, respectively, owning an aggregate
percentage of 10% or greater.
- --------------------------------------------------------------------------------
25
<PAGE> 28
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