THE TREASURER'S FUND
19 OLD KINGS HIGHWAY SOUTH
DARIEN, CT 06820
1 (800) TSR-FUND / 1 (800) 877-3863
SEMI-ANNUAL REPORT
APRIL 30,1996
INVESTMENT ADVISOR
- ------------------
GABELLI-O'CONNOR FIXED INCOME MUTUAL FUNDS MANAGEMENT CO.
19 Old Kings Highway South
Darien, CT 06820
ADMINISTRATOR
- -------------
FURMAN SELZ LLC
230 Park Avenue
New York, NY 10169
DISTRIBUTOR
- -----------
GOC FUND DISTRIBUTORS, INC.
19 Old Kings Highway South
Darien, CT 06820
CUSTODIAN
- ---------
CUSTODIAL TRUST COMPANY
101 Carnegie Center
Princeton, NJ 08540
LEGAL COUNSEL
- -------------
BATTLE FOWLER LLP
75 East 55th Street
New York, NY 10022
THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS OF THE TREASURER'S FUND.
ITS USE IN CONNECTION WITH ANY OFFERING OF THE FUND'S SHARES IS AUTHORIZED ONLY
IN CASE OF A CONCURRENT OR PRIOR DELIVERY OF THE FUND'S CURRENT PROSPECTUS.
<PAGE>
THE TREASURER'S FUND
June 24, 1996
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for The Treasurer's Fund
for the six months ended April 30, 1996. The total net assets of The Treasurer's
Fund portfolios on April 30, 1996 (in millions) were:
Domestic Prime Money Market Portfolio $216.3
Tax Exempt Money Market Portfolio 135.2
U.S. Treasury Money Market Portfolio 84.2
------
$435.7
The portfolios continue to hold investments in very high quality money
market securities of domestic, corporate and municipal issuers and U.S.
Government obligations. The weighted average maturities of the portfolios were
well within the permitted maximum of 90 days as stated below:
Domestic Prime Money Market Portfolio 56 days
Tax Exempt Money Market Portfolio 43 days
U.S. Treasury Money Market Portfolio 55 days
It has been hard to argue against the trend for higher rates given that the
first quarter of 1996 was stronger (2.8%) than the fourth quarter of 1995
(0.5%). Along with higher than trend growth comes the inevitable argument for a
marked increase in the rate of inflation. Although the inflation numbers have
been relatively well behaved to this point, the fear is that the increased
demand generated by an economy that is growing above the trend line with low
unemployment will likely result in a higher inflation rate.
The swiftness and severity of the back up in rates (over 100 basis points)
and the corresponding erosion of price levels, began when February's payroll
number was announced up 694,000 taking the consensus opinion by surprise. The
Labor Department surprised us again with their most recent report. Not only was
May's non-farm payroll number up 348,000 (over twice the consensus opinion) but
April's number originally reported up a meager 2,000 jobs was revised to a much
more respectable up 163,000. The argument for an increase in wage inflation
drove market participants to run for cover as the Federal Reserve Bank's Open
Market Committee went from its early easing directive to one of neutrality.
Adding fuel to the fire has been the recent increase in fuel and grain prices
and a Commodity Research Bureau (CRB) index which has seen an eight year high of
260.40. In addition, the collapse of any substantial budget deal out of
Washington effectively took away what was left of the bull's thunder and added
to the market's woes.
In retrospect, the market was overbought in January. Bad weather and
Government shutdowns led to a lack of economic information, driving yields to
levels not seen in two years. When the spigot was turned back on and the
situation began to brighten the consensus forecast of further Fed easing
evaporated and talk of tightening threw the market into a 180 degree tailspin.
While we believe the current mix of economic data will likely keep the Fed
on hold this summer, a tightening bias could find its way into the Fed's
directive again demonstrating their resolve to control inflation.
Sincerely,
/s/ Ronald S. Eaker
Ronald S. Eaker
President and Chief Investment Officer
The Domestic Prime Money Market Portfolio, Tax-Exempt Money Market Portfolio,
and U.S. Treasury Money Market Portfolio attempt to maintain a stable net asset
value per share of $1.00. There can be no assurance that the Portfolios will be
successful in this regard.
Past performance is not indicative of future results.
Investments in the Portfolios are not insured, nor guaranteed, by the U.S.
Government.
<PAGE>
THE TREASURER'S FUND
DOMESTIC PRIME MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
<TABLE>
<CAPTION>
YIELD TO
MATURITY
CREDIT AT TIME OF MATURITY PRINCIPAL VALUE
RATINGS* PURCHASE DATE AMOUNT (NOTE 1A)
-------- ---------- ------ ------- --------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER - 34.6%
American Trading & Production Corp., 5.31%..................... A1/P1 5.436% 05/07/96 $ 7,000,000 $ 6,993,805
Louis Dreyfus Corp. (LOC Credit Agricole), 5.33%............... A1+/P1 5.452 05/15/96 10,000,000 9,979,272
Avnet, Inc., 5.28%............................................. A1/P1 5.416 05/17/96 8,000,000 7,981,227
Transamerica Financial Corp., 5.15%(a) ........................ A1/P1/D1 5.290 05/17/96 10,000,000 9,977,111
Alamo Funding L.P. (LOC Credit Suisse), 5.32%.................. A1/P1 5.433 05/22/96 10,000,000 9,968,967
First Credit Corp., 5.38%...................................... A1+/P1 5.500 05/22/96 10,000,000 9,968,617
Ford Motor Credit Corp., 5.29%................................. A1/P1 5.404 05/28/96 10,000,000 9,960,325
General Electric Capital Corp., 5.20%.......................... A1+/P1 5.380 07/09/96 10,000,000 9,900,333
----------
TOTAL COMMERCIAL PAPER ............................................................................................... 74,729,657
----------
ADJUSTABLE RATE SECURITIES - 2.9%
Health Insurance Plan of Greater New York ACES,
Series 1990B-1, (07/01/16)**................................ A1+/NR 5.592 05/01/96 6,300,000 6,300,000
----------
TOTAL ADJUSTABLE RATE SECURITIES ..................................................................................... 6,300,000
----------
U.S TREASURY ISSUES - 18.3%
U.S. Treasury Bills........................................................... 4.857 08/22/96 6,000,000 5,912,143
U.S. Treasury Bills........................................................... 5.012 09/05/96 6,000,000 5,898,188
U.S. Treasury Bills........................................................... 4.877 02/06/97 6,000,000 5,785,503
U.S. Treasury Bills........................................................... 4.974 02/06/97 6,000,000 5,781,288
U.S. Treasury Bills........................................................... 5.027 02/06/97 6,000,000 5,778,947
U.S. Treasury Bills........................................................... 5.185 03/06/97 6,000,000 5,750,225
U.S. Treasury Bills........................................................... 5.575 04/03/97 5,000,000 4,756,377
----------
TOTAL U.S. TREASURY ISSUES ........................................................................................... 39,662,671
----------
LOAN PARTICIPATIONS - 4.6%
Pacific Financial Asset Management, 5.46% (Citibank)(2)........ NR/NR 5.460 05/01/96 5,000,000 5,000,000
Welch Foods, Inc., 5.33% (Citibank)(2) ........................ NR/NR 5.330 05/06/96 2,000,000 2,000,000
Welch Foods, Inc., 5.35% (Citibank)(2) ........................ NR/NR 5.350 05/07/96 3,000,000 3,000,000
----------
TOTAL LOAN PARTICIPATIONS ............................................................................................ 10,000,000
----------
</TABLE>
See accompanying notes to financial statements
2
<PAGE>
THE TREASURER'S FUND
DOMESTIC PRIME MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 1996
<TABLE>
<CAPTION>
YIELD TO
MATURITY
CREDIT AT TIME OF MATURITY PRINCIPAL VALUE
RATINGS* PURCHASE DATE AMOUNT (NOTE 1A)
-------- ---------- ------ ------- ---------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS - 38.2%
Bear Stearns & Co. dated 04/30/96............................................... 5.320% 05/01/96 $39,713,608 $ 39,713,608
(Proceeds at maturity $39,719,477) collateralized by:
$23,900,000 U.S. Treasury STRIPS 05/15/11 vs. $ 8,260,557
$35,300,000 U.S. Treasury STRIPS 05/15/10 vs. $13,182,432
$44,275,000 U.S. Treasury STRIPS 08/15/12 vs. $13,905,007
$15,610,000 U.S. Treasury STRIPS 11/15/05 vs. $ 8,209,923
Nomura Securities International, Inc., dated 04/30/96........................... 5.340 05/01/96 25,000,000 25,000,000
(Proceeds at maturity $25,003,708) collateralized by:
$24,945,000 FNMA Note, 6.800%, 01/10/03 vs. $25,506,263
Nomura Securities International, Inc., dated 04/30/96........................... 5.340 05/01/96 18,000,000 18,000,000
(Proceeds at maturity $18,002,670) collateralized by:
$18,500,000 FHLB Note, 6.820%, 06/29/05 vs. $18,361,250
-----------
TOTAL REPURCHASE AGREEMENTS .......................................................................................... 82,713,608
-----------
TOTAL INVESTMENTS--98.6% (COST $213,405,936)+.......................................................................... $213,405,936
===========
*, **, +, (a), (2) See Footnotes to Portfolios
</TABLE>
See accompanying notes to financial statements
3
<PAGE>
THE TREASURER'S FUND
TAX EXEMPT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
<TABLE>
<CAPTION>
CREDIT CURRENT MATURITY PRINCIPAL VALUE
RATINGS* COUPON DATE AMOUNT (NOTE 1A)
-------- ---------- ------ ------- --------
<S> <C> <C> <C> <C> <C>
SHORT-TERM MUNICIPAL SECURITIES - 98.9%
ALABAMA - 1.5%
Huntsville IDR TENR #66, Series 1982 (Avco Corporation
Project) (LOC Wachovia Bank) (11/01/99)**................... Aa2/NR 4.600% 05/07/96 $2,000,000 $ 2,000,000
-----------
ARIZONA - 3.0%
Arizona HFAR, Series 1985 (Pooled Loan Program) (FGIC)
(10/01/15)**................................................ VMIG1/A1 4.100 05/07/96 500,000 500,000
Chandler IDA (SMP II Limited Partnership Project) (LOC Credit
Lyonnais & Republic National Bank) (10/01/15)**............. NR/NR 4.250 05/07/96 1,600,000 1,600,000
Pima County IDA, Series 1982 A, (Tucson Electric Power Co.
Project) (LOC Bank of America) (07/01/22)**................. VMIG1/A1 4.050 05/07/96 2,000,000 2,000,000
-----------
TOTAL ARIZONA 4,100,000
-----------
COLORADO - 1.7%
Platte River Power Authority Electric Revenue,
Subordinated Lien Series S-1 (SPA Morgan Guaranty Trust)
(06/01/18)****(b) .......................................... VMIG1/A1+/F1+ 3.250 05/29/96 2,300,000 2,300,000
-----------
CONNECTICUT - 1.5%
Connecticut Special Assessment Unemployment Compensation
Revenue (FGIC) (11/15/01)***(b)............................. VMIG1/A1+/F1+ 3.900 07/01/96 2,000,000 2,000,000
-----------
FLORIDA - 5.4%
Altamonte Springs Water & Sewer System Revenue, Series B
(MBIA) (10/01/05)***........................................ Aaa/AAA 7.750 10/01/96 2,500,000 2,593,219
Dade County IDR, Solid Waste Disposal (Montenay Project)
(LOC Banque Paribas) (12/01/10)**........................... NR/A1 4.500 05/07/96 2,200,000 2,200,000
Dade County Water & Sewer System Revenue, Series 1994
(FGIC) (SPA Commerzbank Aktiengesel) (10/05/22)**........... VMIG1/A1 4.100 05/07/96 2,500,000 2,500,000
-----------
TOTAL FLORIDA 7,293,219
-----------
GEORGIA - 12.0%
Burke County Development Authority PCR (Oglethorpe
Power Corp. Project) (FGIC) (SPA Canadian Imperial Bank)
(01/01/16)**................................................ VMIG1/A1 4.050 05/01/96 800,000 800,000
Burke County Development Authority PCR (Oglethorpe Power
Corp. Project) (FGIC) (SPA Canadian Imperial Bank)
(01/01/16)**................................................ VMIG1/A1+ 4.100 05/07/96 1,700,000 1,700,000
Burke County Development Authority PCR, Series 1992A,
(Oglethorpe Power Corp. Project) (LOC Credit Suisse)
(01/01/25)****(b) .......................................... P1/A1+/F1+ 3.150 05/15/96 5,000,000 5,000,000
Cobb County GO TANS, Series 1996............................... MlG1/SP1+ 4.000 12/31/96 5,000,000 5,016,235
DeKalb County Private Hospital Authority (LOC Trust
Company Bank) (03/01/24)**.................................. VMIG1/A1+ 4.100 05/07/96 1,700,000 1,700,000
Georgia Municipal Gas Authority (Transco Portfolio I
Project) (LOC Wachovia Bank) (01/01/01)****................. VMIG1/NR 3.200 05/23/96 2,000,000 2,000,000
-----------
TOTAL GEORGIA 16,216,235
-----------
</TABLE>
See accompanying notes to financial statements
4
<PAGE>
THE TREASURER'S FUND
TAX EXEMPT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 1996
<TABLE>
<CAPTION>
CREDIT CURRENT MATURITY PRINCIPAL VALUE
RATINGS* COUPON DATE AMOUNT (NOTE 1A)
-------- ---------- ------ ------- --------
<S> <C> <C> <C> <C> <C>
SHORT-TERM MUNICIPAL SECURITIES (CONTINUED)
ILLINOIS - 4.2%
Illinois HFAR, Series E (Hospital Sisters Service)
(MBIA) (SPA Morgan Guaranty Trust) (12/01/15)**............. VMIG1/AAA 4.000% 05/07/96 $2,600,000 $ 2,600,000
Illinois State Toll Highway Authority, Series B (MBIA)
(LOC Societe Generale) (01/01/10)**(b) ..................... VMIG1/A1+/F1+ 4.100 05/07/96 3,100,000 3,100,000
-----------
TOTAL ILLINOIS 5,700,000
-----------
KANSAS - 4.6%
Burlington PCR (Kansas City Power & Light Co. Project)
(LOC Toronto Dominion Bank) (10/01/17)****.................. NR/A1+ 3.200 05/16/96 1,000,000 1,000,000
Burlington PCR (Kansas City Power & Light Co. Project)
(LOC Toronto Dominion Bank) (10/01/17)****.................. NR/A1+ 3.350 06/05/96 3,250,000 3,250,000
Burlington Customized Purchase PCR (Kansas City Power &
Light Co. Project) (LOC Deutsche Bank) (10/01/17)****....... NR/A1+ 3.150 06/13/96 2,000,000 2,000,000
-----------
TOTAL KANSAS 6,250,000
-----------
KENTUCKY - 2.2%
Ohio County PCR, (Big Rivers Electric Corporation Project)
(LOC Chemical Bank) (10/01/15)**............................ NR/NR 4.500 05/07/96 2,900,000 2,900,000
-----------
LOUISIANA - 4.1%
Louisiana State GO Bonds, Series A (LOC Credit
Local de France) (07/01/03)****............................. VMIG1/A1+ 3.150 06/03/96 5,550,000 5,550,000
-----------
MASSACHUSETTS - 3.7%
Commonwealth of Massachusetts GO Notes, Series A(b) ........... MIG1/SP1/F1 4.250 06/12/96 5,000,000 5,004,446
-----------
MAINE - 1.9%
Maine State TANS............................................... MIG1/SP1+ 4.500 06/28/96 2,500,000 2,504,276
-----------
MICHIGAN - 3.8%
Michigan State Building Authority (University of Michigan
Adult General Hospital) (12/01/04)***....................... NR/AAA 7.875 12/01/96 2,000,000 2,087,992
Michigan State GO Notes........................................ MIG1/SP1+ 4.000 09/30/96 3,000,000 3,012,514
-----------
TOTAL MICHIGAN 5,100,506
-----------
MINNESOTA - 0.7%
Rochester Health Care, Series F (Mayo Foundation/Mayo
Medical Center Project) (SPA Credit Suisse) (11/15/17)****.. NR/ A1+ 3.100 05/21/96 1,000,000 1,000,000
-----------
MONTANA - 3.3%
Montana State TRANS............................................ MIG1/SP1+ 4.500 06/30/96 4,500,000 4,508,540
-----------
NEW JERSEY - 0.7%
New Jersey State Economic Development Authority, Thermal
Energy Facilities Revenue (12/01/09)***..................... NR/NR 3.700 08/22/96 1,000,000 1,000,000
-----------
</TABLE>
See accompanying notes to financial statements
5
<PAGE>
THE TREASURER'S FUND
TAX EXEMPT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 1996
<TABLE>
<CAPTION>
CREDIT CURRENT MATURITY PRINCIPAL VALUE
RATINGS* COUPON DATE AMOUNT (NOTE 1A)
-------- ---------- ------ ------- --------
<S> <C> <C> <C> <C> <C>
SHORT-TERM MUNICIPAL SECURITIES (CONTINUED)
NEW YORK - 0.7%
New York State Dormitory Authority (Beverwyck, Inc. Project)
(LOC Banque Paribas) (07/01/25)**........................... VMIG1/NR 4.250% 05/07/96 $1,000,000 $ 1,000,000
-----------
NORTH CAROLINA - 4.1%
Charlotte Airport Refunding Revenue Bonds, Series 1993 A
(MBIA) (SPA Industrial Bank of Japan, Ltd.) (07/01/16)**.... VMIG1/A1+ 4.100 05/07/96 3,950,000 3,950,000
Lenoir County PCR TENR #60, Series 1983 (Texasgulf, Inc.
Project) (LOC Bankers Trust Co.) (12/01/03)**............... Aa2/NR 4.250 05/07/96 1,000,000 1,000,000
Wake County Industrial Facilities & Pollution Control
Financing Authority (Carolina Power & Light Co. Project)
(LOC Sumitomo Bank, Ltd.) (03/01/17)**...................... P1/NR 4.200 05/01/96 600,000 600,000
-----------
TOTAL NORTH CAROLINA 5,550,000
-----------
NORTH DAKOTA - 1.5%
North Dakota State HFA Home Mortgage Bonds, Series D........... VMIG1/NR 3.950 05/01/96 2,000,000 2,000,000
-----------
OHIO - 1.7%
Columbus GO Bonds, Series D.................................... Aaa/AAA 3.850 05/07/96 1,400,000 1,401,473
Ohio State Student Loan Funding Corp., Series A-2
(LOC National Westminster Bank plc) (01/01/07)**............ VMIG1/NR 4.250 05/07/96 900,000 900,000
-----------
TOTAL OHIO 2,301,473
-----------
PENNSYLVANIA - 7.1%
Berks County IDA (Sixth & Penn Street Project) (LOC
Meridian Bank) (11/23/03)**................................. VMIG1/NR 4.200 05/07/96 1,345,000 1,345,000
Delaware Valley Regional Financing (LOC Marine Midland
Bank, Hong Kong & Shanghai Bank) (08/01/16)**............... VMIG1/A1 4.250 05/07/96 2,700,000 2,700,000
Montgomery County Industrial Development Authority
(06/01/29)****.............................................. P1/A1+ 3.050 05/01/96 4,120,000 4,120,000
Pennsylvania Energy Development Authority, Series 1986,
Development Energy Revenue Bonds (Ebensburg Project)
(LOC Swiss Bank Corp.) (12/01/11)**......................... Aa1/NR 4.000 05/07/96 1,400,000 1,400,000
-----------
TOTAL PENNSYLVANIA 9,565,000
-----------
TENNESSEE - 1.0%
Clarksville Public Authority Pooled Financing, Series 1990
(MBIA) (SBPA Credit Suisse) (07/01/13)**.................... VMIG1/A1+ 4.100 05/07/96 800,000 800,000
Metropolitan Government Nashville & Davidson County Water &
Sewer System Revenue, Series C (AMBAC) (01/01/11)***........ NR/NR 7.200 05/07/96 500,000 518,009
-----------
TOTAL TENNESSEE 1,318,009
-----------
</TABLE>
See accompanying notes to financial statements
6
<PAGE>
THE TREASURER'S FUND
TAX EXEMPT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 1996
<TABLE>
<CAPTION>
CREDIT CURRENT MATURITY PRINCIPAL VALUE
RATINGS* COUPON DATE AMOUNT (NOTE 1A)
-------- ---------- ------ ------- --------
<S> <C> <C> <C> <C> <C>
SHORT-TERM MUNICIPAL SECURITIES (CONTINUED)
TEXAS - 21.2%
Harris County Health Facilities Development Corp.,
Series B (Memorial Hospital System) (LOC Societe Generale)
(06/01/24)****.............................................. VMIG1/NR 3.350% 05/06/96 $2,400,000 $ 2,400,000
Harris County HFC MFHR (Idlewood Park Project) (GTD New
England Mutual Life Insurance Co.) (06/01/05)**............. NR/A1 4.300 05/07/96 2,750,000 2,750,000
North Texas Higher Education Authority, Inc., Student
Loan Revenue (LOC Fuji Bank, Ltd.) (12/01/05)**............. VMIG1/NR 4.650 05/07/96 1,400,000 1,400,000
Panhandle Plains Higher Education Authority, Inc., Student
Loan Revenue, Series A (LOC SLMA) (06/01/21)**.............. VMIG1/NR 4.200 05/07/96 5,000,000 5,000,000
Panhandle Plains Higher Education Authority, Inc., Student
Loan Revenue, Series A (LOC SLMA) (06/01/25)**.............. VMIG1/NR 4.200 05/07/96 1,300,000 1,300,000
San Antonio Electric & Gas Revenue (FGIC) (02/01/12)****....... P1/A1+ 3.200 05/09/96 5,000,000 5,000,000
San Antonio HFC, Series 1990 (Eagles' Nest Apartments Project)
(LOC Landesbank Hessen) (05/01/20)**........................ P1/A1+ 4.250 05/07/96 4,800,000 4,800,000
State of Texas TRANS, Series A(b) ............................. MIG1/SP1+/F1+ 4.750 08/30/96 6,000,000 6,014,557
-----------
TOTAL TEXAS 28,664,557
-----------
VIRGINIA - 1.5%
City of Richmond GO RANS, Series 1996A......................... MIG1/SP1+ 4.000 06/28/96 2,000,000 2,002,190
-----------
WISCONSIN - 2.2%
Wisconsin State Operating Notes................................ MIG1/SP1+ 4.500 06/17/96 3,000,000 3,003,348
-----------
WYOMING - 3.6%
Lincoln County PCR, Series 1987B (Exxon Corporation Project)
(07/01/17)**................................................ P1/A1+ 4.100 05/01/96 1,100,000 1,100,000
Lincoln County PCR (Pacificorp Project) (LOC Union Bank
of Switzerland) (01/01/16)****.............................. VMIG1/A1+ 3.300 05/15/96 3,800,000 3,800,000
-----------
TOTAL WYOMING 4,900,000
-----------
TOTAL INVESTMENTS - 98.9% (COST 133,731,799)+ ........................................................................ $133,731,799
===========
*,**,***,****,+, (b) See Footnotes to Portfolio
</TABLE>
See accompanying notes to financial statements
7
<PAGE>
THE TREASURER'S FUND
U.S. TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
<TABLE>
<CAPTION>
YIELD TO
MATURITY
AT TIME OF MATURITY PRINCIPAL VALUE
PURCHASE DATE AMOUNT (NOTE 1A)
--------- ------- ---------- -----------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT ISSUES - 53.9%
U S. Treasury Bills++........................................................ 4.935% 05/16/96 $ 5,000,000 $ 4,990,010
U.S. Treasury Bills.......................................................... 5.055 06/06/96 4,000,000 3,980,360
U.S. Treasury Bills.......................................................... 5.269 06/20/96 5,000,000 4,964,931
U.S. Treasury Bills.......................................................... 5.060 07/11/96 15,000,000 14,854,450
U.S. Treasury Bills++........................................................ 5.033 09/05/96 4,000,000 3,931,843
U.S. Treasury Bills++........................................................ 5.023 09/05/96 4,000,000 3,931,984
U.S. Treasury Bills.......................................................... 5.306 10/03/96 5,000,000 4,890,424
U.S. Treasury Bills++........................................................ 5.196 03/06/97 4,000,000 3,833,140
----------
TOTAL U.S. GOVERNMENT ISSUES ....................................................................................... 45,377,142
----------
REPURCHASE AGREEMENTS - 46.1%
Bear Stearns & Co., Inc. dated 04/30/96...................................... 5.320 05/01/96 12,881,407 12,881,407
(Proceeds at maturity $12,883,310) collateralized by:
$969,000 U.S. Treasury Bonds 7.875%, 02/15/21 vs. $1,072,898
$4,680,000 U.S. Treasury Notes 6.250%, 02/15/03 vs. $4,660,622
$14,365,000 U.S. Treasury STRIPS 02/15/06 vs. $7,407,025
Barclays de Zoete Wedd Securities, Inc. dated 04/30/96....................... 5.280 05/01/96 10,000,000 10,000,000
(Proceeds at maturity $10,001,467) collateralized by:
$10,232,000 U.S. Treasury Notes 5.875%, 04/30/98 vs. $10,206,420
Nomura Securities International Inc. dated 04/30/96.......................... 5.340 05/01/96 16,000,000 16,000,000
(Proceeds at maturity $16,002,373) collateralized by:
$16,160,000 U.S. Treasury Notes 6.500%, 09/30/96 vs. $16,321,600
----------
TOTAL REPURCHASE AGREEMENTS ........................................................................................ 38,881,407
----------
TOTAL INVESTMENTS--100.0% (COST 84,258,549)+......................................................................... $84,258,549
==========
+ See Footnotes to Portfolios
++ Securities on loan to Bear Stearns & Co.; collateralized by U.S. Government
securities at a market value of $17,351,970 as of April 30, 1996.
</TABLE>
See accompanying notes to financial statements
8
<PAGE>
THE TREASURER'S FUND
FOOTNOTES TO PORTFOLIOS
*CREDIT RATINGS GIVEN BY STANDARD AND POOR'S CORPORATION & MOODY'S INVESTORS
SERVICE INC. (UNAUDITED)
<TABLE>
<CAPTION>
STANDARD & POOR'S MOODY'S
----------------- -----------
<C> <C> <C>
A1 P1 Instrument of the highest quality.
AAA Aaa Instrument judged to be of the best quality and carrying the smallest amount of
investment risk.
AA Aa Instrument judged to be of high quality by all standards.
SP1 MIG1/VMIG1 Instrument judged to be of the best quality with strong protection.
SP2 MIG2/VMIG2 Instrument judged to be of high quality with ample protection.
NR NR Not Rated. In the opinion of the Investment Advisor, instrument judged to be of comparable
investment quality to rated securities which may be purchased by the Portfolios.
</TABLE>
(A) Rated D1 by Duff & Phelps, Inc. (highest quality). (unaudited)
(B) Rated F1 by Fitch Investors Service, Inc. (highest quality). (unaudited)
Items which possess the strongest investment attributes of their category
are given that letter rating followed by a number. Duff & Phelps, Inc., Fitch
Investors Service, Inc. and Standard & Poor's ratings may be modified by the
addition of a plus or minus sign to show relative standing within the major
rating categories.
U.S. Government Issues have an assumed rating of AAA/Aaa.
ABBREVIATIONS USED IN THIS STATEMENT:
ACES...............Adjustable Convertible Extendable Securities
AMBAC..............Insured as to principal and interest by the American
Municipal Bond Assurance Corp.
FGIC ..............Insured as to principal and interest by the Financial
Guaranty Insurance Corp.
FHLB...............Federal Home Loan Bank
FNMA...............Federal National Mortgage Association
GO.................General Obligation
GTD ...............Guaranteed(1)
HFA ...............Housing Finance Agency
HFAR ..............Health Facilities Authority Revenue
HFC ...............Housing Finance Corporation
IDA ...............Industrial Development Authority
IDR ...............Industrial Development Revenue
LOC................Letter of Credit(1)
MBIA ..............Insured as to principal and interest by the Municipal
Bond Insurance Association
MFHR ..............Multi-Family Housing Revenue
PCR ...............Pollution Control Revenue
RANS...............Revenue Anticipation Notes
SBPA ..............Stand-by Purchase Agreement(1)
SLMA...............Student Loan Marketing Association
STRIPS ............Prestripped zero coupon bond that is a direct obligation
of the U.S. Treasury
SPA ...............Securities Purchase Agreement(1)
TANS...............Tax Anticipation Notes
TRANS..............Tax and Revenue Anticipation Notes
TENR ..............Tax Exempt Note Rate
See accompanying notes to financial statements
9
<PAGE>
THE TREASURER'S FUND
FOOTNOTES TO PORTFOLIOS (CONTINUED)
(1) Institutions shown in parenthesis have entered into credit support
agreements with the issuer.
(2) Institutions shown in parenthesis are the issuers of the participation
interests of those specific holdings.
** Variable/Floating Rate Demand Note. "Maturity Date" shown is next exercise
date of demand feature and "Yield to Maturity at Time of Purchase"/"Current
Coupon" is the rate in effect on April 30, 1996. Date in parenthesis is the
final maturity date of the issue.
*** Adjustable Rate Security. "Maturity Date" shown is next coupon reset date
and "Yield to Maturity at Time of Purchase" / "Current Coupon" is the rate
in effect on April 30, 1996. Date in parenthesis is the final maturity date
of the issue.
**** Tax-Free Commercial Paper. Date in parenthesis is the final maturity
of an issue which has been remarketed in short-term interest periods ending
on date shown in maturity date column.
+ Cost basis for book and tax purposes is substantially the same.
INVESTMENT PERCENTAGES SHOWN ARE CALCULATED AS A PERCENTAGE OF NET ASSETS.
See accompanying notes to financial statements
10
<PAGE>
THE TREASURER'S FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
<TABLE>
<CAPTION>
DOMESTIC PRIME TAX EXEMPT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments, in securities, at value (identified cost--$213,405,936*,
$133,731,799, and $84,258,549*, respectively)................................ $213,405,936 $133,731,799 $84,258,549
Cash........................................................................... 3,239,920 249,352 71,239
Interest receivable............................................................ 47,296 1,391,883 5,744
Other assets................................................................... 4,761 3,737 13,999
----------- ----------- ----------
Total assets............................................................. 216,697,913 135,376,771 84,349,531
----------- ----------- ----------
LIABILITIES:
Dividend payable............................................................... 260,612 90,788 67,686
Payable for fund shares redeemed............................................... 71,044 55,669 10,966
Advisory fee payable (note 2).................................................. 55,176 33,767 21,124
Administrative services fee payable (note 2)................................... 18,392 11,256 7,041
Fund accounting and shareholder servicing fees payable (note 2)................ 5,600 5,370 3,748
Accrued expenses payable and other liabilities................................. 33,647 26,111 7,620
----------- ----------- ----------
Total liabilities........................................................ 444,471 222,961 118,185
----------- ----------- ----------
NET ASSETS .................................................................... $216,253,442 $135,153,810 $84,231,346
=========== =========== ==========
NET ASSETS CONSIST OF:
Shares of beneficial interest outstanding (par value of $0.001 per share);
2,000,000,000 shares authorized per Portfolio (note 3)....................... $ 216,142 $ 135,216 $ 84,231
Additional paid-in capital..................................................... 215,925,461 135,081,027 84,147,115
Accumulated net realized gain (loss) on securities............................. 111,839 (62,433) --
----------- ----------- ----------
NET ASSETS APPLICABLE TO OUTSTANDING SHARES ................................... $216,253,442 $135,153,810 $84,231,346
=========== =========== ==========
SHARES OF BENEFICIAL INTEREST OUTSTANDING ..................................... 216,141,603 135,216,243 84,231,346
=========== =========== ==========
NET ASSET VALUE PER SHARE OUTSTANDING ......................................... $1.00 $1.00 $1.00
===== ===== =====
* Includes Repurchase Agreements of $82,713,608 and $38,881,407 for the Domestic Prime Money Market Portfolio and U.S. Treasury
Money Market Portfolio, respectively.
</TABLE>
See accompanying notes to financial statements
11
<PAGE>
THE TREASURER'S FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
<TABLE>
<CAPTION>
DOMESTIC PRIME TAX EXEMPT U.S. TREASURY
MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ------------
<S> <C> <C> <C>
INTEREST INCOME ............................................................... $5,746,027 $2,658,685 $2,359,914
----------- ----------- -----------
EXPENSES:
Advisory (note 2) ........................................................... 308,077 222,964 130,513
Administrative services (note 2)............................................. 102,692 74,321 43,504
Interest (note 8)............................................................ 22,865 -- --
Custody...................................................................... 33,816 21,250 18,732
Shareholder services (note 2) ............................................... 16,523 11,801 6,726
Fund accounting (note 2)..................................................... 15,742 18,144 15,492
Auditing..................................................................... 12,500 12,510 12,500
Registration................................................................. 7,370 7,420 5,236
Reports to shareholders...................................................... 7,990 5,398 2,397
Legal........................................................................ 16,143 11,379 6,493
Directors' fees and expenses................................................. 7,610 7,610 7,193
Miscellaneous................................................................ 17,422 9,693 25,610
----------- ----------- -----------
568,750 402,490 274,396
Less--Fund expenses waived by Administrator (note 2)............................ (8,539) (4,619) (2,448)
----------- ----------- -----------
Total expenses ................................................................ 560,211 397,871 271,948
----------- ----------- -----------
NET INVESTMENT INCOME ......................................................... 5,185,816 2,260,814 2,087,966
NET REALIZED GAIN ON SECURITIES ............................................... 390,694 -- 12,532
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......................... $5,576,510 $2,260,814 $2,100,498
=========== =========== ===========
</TABLE>
See accompanying notes to financial statements
12
<PAGE>
THE TREASURER'S FUND
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
DOMESTIC PRIME TAX EXEMPT U.S. TREASURY
MONEY MARKET PORTFOLIO MONEY MARKET PORTFOLIO MONEY MARKET PORTFOLIO
---------------------------- ---------------------------- -----------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
1996 1995 1996 1995 1996 1995
---------------- ----------- ---------------- ----------- ---------------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income..................... $ 5,185,816 $ 8,150,142 $ 2,260,814 $ 4,516,976 $ 2,087,966 $ 5,231,872
Net realized gain (loss) on
securities (note 9) 390,694 (474,237) -- (2,775) 12,532 30,797
----------- ----------- ----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations.............................. 5,576,510 7,675,905 2,260,814 4,514,201 2,100,498 5,262,669
----------- ----------- ----------- ----------- ----------- -----------
Distributions to shareholders:
Net investment income (note 1C) .......... (5,185,816) (8,150,142) (2,260,814) (4,516,796) (2,087,966) (5,231,872)
In excess of net investment income........ -- (11,680) -- -- -- --
Net realized gain on securities .......... (55,851) -- -- -- (12,532) (30,797)
----------- ----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS PAID TO SHAREHOLDERS .. (5,241,667) (8,161,822) (2,260,814) (4,516,976) (2,100,498) (5,262,669)
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in net assets from
capital share transactions (note 3)..... 46,621,106 25,776,580 (5,671,779) 6,877,356 (10,602,954) (43,370,462)
----------- ----------- ----------- ----------- ----------- -----------
CONTRIBUTIONS BY AFFILIATE (NOTE 9) ........ -- 262,913 -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS .... 46,955,949 25,553,576 (5,671,779) 6,874,581 (10,602,954) (43,370,462)
NET ASSETS
Beginning of period....................... 169,297,493 143,743,917 140,825,589 133,951,008 94,834,300 138,204,762
----------- ----------- ----------- ----------- ----------- -----------
End of period* ........................... $216,253,442 $169,297,493 $135,153,810 $140,825,589 $ 84,231,346 $ 94,834,300
=========== =========== =========== =========== =========== ===========
* Accumulated net investment income for the Tax Exempt Money Market Portfolio is
$3,430 for April 30, 1996 and October 31, 1995.
</TABLE>
See accompanying notes to financial statements
13
<PAGE>
THE TREASURER'S FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
1. The Treasurer's Fund, Inc. (the "Fund") is an open-end, diversified
management investment company registered under the Investment Company Act of
1940, as amended, (the "Act"). The Fund currently consists of six separately
managed portfolios: U.S. Treasury Money Market Portfolio, Domestic Prime
Money Market Portfolio, Global Money Market Portfolio, Tax Exempt Money
Market Portfolio, Limited Term Portfolio and Tax Exempt Limited Term
Portfolio (collectively, the "Portfolios"). Of these, the U.S. Treasury Money
Market Portfolio, the Domestic Prime Money Market Portfolio and the Tax
Exempt Money Market Portfolio have commenced operations. The following is a
summary of significant accounting policies consistently followed by the Fund
in preparation of its financial statements:
(A) The Domestic Prime Money Market Portfolio, the Tax Exempt Money
Market Portfolio and the U.S. Treasury Money Market Portfolio value
all portfolio securities by the amortized cost method which
approximates market value in accordance with Rule 2a-7 under the
Investment Company Act of 1940, as amended.
(B) It is the Fund's policy to comply with the requirements of the
Internal Revenue Code (the "Code") applicable to regulated
investment companies and to distribute all of its "investment
company taxable income," as defined in the Code, and net capital
gains, if any, to its shareholders. Therefore, no Federal income tax
provision is required. The Fund intends to treat each Portfolio as a
separate entity taxable as a corporation for Federal income tax
purposes and to have each Portfolio qualify and elect to be taxed as
a "regulated investment company" under Subchapter M of the Internal
Revenue Code.
(C) Net investment income, including short-term capital gains, is
declared as dividends daily and paid monthly; however, if an
investor's shares are redeemed during a month, accrued but unpaid
dividends are paid with the redemption proceeds. Dividends are
payable to shareholders of record at the time of declaration.
(D) Investment transactions are recorded on trade date. Identified cost
of investments sold is used for both financial statement and Federal
income tax purposes. Interest income, including the amortization of
discount or premium, is recorded as earned. When-issued securities
are recorded on the date on which the priced transaction
confirmation is issued.
(E) Certain administrative expenses are common to, and allocated among,
the Portfolios. Such allocations are made on the basis of each
Portfolio's average net assets or other criteria directly affecting
the expenses.
(F) USE OF ESTIMATES. Estimates and assumptions are required to be made
regarding assets, liabilities, and changes in net assets resulting
from operations when financial statements are prepared. Changes in
the economic environment, financial markets and any other parameters
used in determining these estimates could cause actual results to
differ from these amounts.
2. The Fund retains Gabelli-O'Connor Fixed Income Mutual Funds Management Co.
("Gabelli-O'Connor") to act as Investment Advisor and Furman Selz LLC (
"Furman Selz" ) to act as Administrator for the Fund. Gabelli-O'Connor
supervises all aspects of the Fund's operations and provides investment
advice and portfolio management services to the Fund. Subject to the
supervision of the Fund's Board of Directors, the Advisor makes the Fund's
day-to-day investment decisions, arranges for the execution of portfolio
transactions and generally manages the Fund's investments. The Advisor also
provides supervisory personnel who are responsible for supervising the
performance of administrative services, accounting and related services, net
asset value and yield calculations, reports to and filings with regulatory
authorities and services relating to such functions. However, the
Administrator provides personnel to perform the operational components of
such services.
Pursuant to the Administrative Services Agreement with each of the
Portfolios, Furman Selz provides all management and administrative services
necessary for the Fund, other than those provided by the Advisor, subject to
the supervision of the Fund's Board of Directors.
14
<PAGE>
THE TREASURER'S FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
As compensation for their respective services, Gabelli-O'Connor and Furman
Selz are entitled to monthly fees with respect to each Portfolio.
Gabelli-O'Connor earns fees at the following annualized rates:
--------------------------------------------------------
AVERAGE DAILY VALUE OF GABELLI-
NET ASSETS OF EACH PORTFOLIO O'CONNOR
--------------------------------------------------------
U.S. Treasury Money Market Portfolio 0.30%
Domestic Prime Money Market Portfolio 0.30%
Money Market Plus Portfolio 0.30%
Tax Exempt Money Market Portfolio 0.30%
Limited Term Portfolio 0.45%
Tax Exempt Limited Term Portfolio 0.45%
--------------------------------------------------------
For the services rendered to the Fund by the Administrator, the Fund pays the
Administrator a fee, computed daily and payable monthly, in accordance with
the following schedule: (i) 0.10% of the first $500 million of aggregate
average daily net assets of the Fund and, (ii) 0.065% of the next $250
million of aggregate average daily net assets of the Fund, (iii) 0.055% of
the next $250 million of aggregate average daily net assets of the Fund, and
(iv) 0.050% of all aggregate average daily net assets of the Fund over $1
billion.
The Administrator also provides the Fund with all accounting related
services. For the fund accounting services provided, the Administrator is
paid a fee of $2,500 plus out of pocket expenses per Portfolio per month.
For the six months ended April 30, 1996, Gabelli-O'Connor was entitled to
fees of $308,077, $222,964 and $130,513, respectively, from the Domestic
Prime Money Market Portfolio, the Tax Exempt Money Market Portfolio and the
U.S. Treasury Money Market Portfolio. For fund accounting and administrative
servicing fees during this period, Furman Selz received $15,742 and $102,692,
respectively, from the Domestic Prime Money Market Portfolio, $18,144 and
$74,321, respectively, from the Tax Exempt Money Market Portfolio and $15,492
and $43,504, respectively, from the US. Treasury Money Market Portfolio.
Furman Selz acts as the Fund's transfer and dividend disbursing agent. The
Fund compensates Furman Selz for providing personnel and facilities to
perform transfer agency related services for the Fund at a rate intended not
to exceed the cost of providing such services. During the six months ended
April 30, 1996, Furman Selz was entitled to and voluntarily waived fees of
$8,539 for the Domestic Prime Money Market Portfolio, $4,619 for the Tax
Exempt Money Market Portfolio and $2,448 for the U.S. Treasury Money Market
Portfolio.
The Fund has adopted a distribution and service plan (the "Plan" ) pursuant
to Rule 12b-1 under the Investment Company Act of 1940 for each Portfolio of
the Fund. There are no fees or expenses chargeable to the Fund under the Plan
and the Fund's Board of Directors has adopted the Plan in case certain
expenses of the Fund might be considered to constitute indirect payment by
the Fund of distribution expenses. GOC Fund Distributors, Inc. (the
"Distributor") serves as the exclusive Distributor of the shares of each
Portfolio pursuant to its Distribution Agreement with the Fund.
The Advisor has agreed to reimburse each Portfolio for its expenses
(exclusive of interest, taxes, brokerage, and extraordinary expenses) which
in any year exceed the lesser of (i) 1.50% of the Portfolio's average annual
net assets or (ii) the limits on investment company expenses prescribed by
any state in which the Portfolio's shares are qualified for sale. From time
to time, the Advisor may voluntarily assume certain expenses of any Portfolio
of the Fund as noted above. No such reimbursement was required during the six
months ended April 30, 1996, for any of the Portfolios.
3. At April 30, 1996, there were twenty billion shares of capital stock, having
a par value of one tenth of one cent ($0.001) per share, authorized. Each
Portfolio has been allocated two billion shares of the authorized capital
stock. The balance of eight billion shares of capital stock may be issued in
an existing or newly created class by resolution of the Board of Directors.
Transactions in capital stock shares at $1.00 per share were as follows:
15
<PAGE>
THE TREASURER'S FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1996
<TABLE>
<CAPTION>
DOMESTIC PRIME TAX EXEMPT U.S. TREASURY
MONEY MARKET PORTFOLIO MONEY MARKET PORTFOLIO MONEY MARKET PORTFOLIO
------------------------- -------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31, APRIL 30, OCTOBER 31,
1996 1995 1996 1995 1996 1995
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Sold ....................................... 428,988,916 615,364,259 231,775,037 459,789,646 259,879,514 603,115,075
Issued in reinvestment of dividends ........ 5,115,090 7,815,023 2,230,549 4,303,751 1,974,776 4,838,090
----------- ----------- ----------- ----------- ----------- -----------
434,104,006 623,179,282 234,005,586 464,093,397 261,854,290 607,953,165
Redeemed ................................... (387,482,900) (597,402,702) (239,677,365) (457,216,041) (272,457,244) (651,323,627)
----------- ----------- ----------- ----------- ----------- -----------
Increase (decrease) in shares ............ 46,621,106 25,776,580 (5,671,779) 6,877,356 (10,602,954) (43,370,462)
=========== =========== =========== =========== =========== ===========
</TABLE>
4. Each Portfolio, may engage in repurchase agreements, with respect to any
security in which that Portfolio is authorized to invest, with member banks
of the Federal Reserve System and with broker-dealers who are recognized as
primary dealers in U.S. government securities by the Federal Reserve Bank of
New York whose creditworthiness has been reviewed and found satisfactory by
the Fund's Board of Directors. The Portfolios will always receive securities
as collateral whose market value, including accrued interest, will be at
least equal to 100% of the dollar amount invested by the Portfolio in each
agreement, and the Portfolio will make payment for such securities only upon
physical delivery or upon evidence of book entry transfer to the account of
the custodian. If the value of the underlying securities falls below the
value of the repurchase price plus accrued interest, the Fund will require
the seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolios maintain the right to sell the
underlying securities at market value and may claim any resulting loss
against the seller.
5. In the pursuit of the Fund's minimum credit risk investment policy, each
Portfolio maintains a diversified portfolio of money market instruments, each
of which matures or resets to par in less than 397 days from date of purchase
and is determined to represent minimal credit risk in accordance with the
policies and procedures approved by the Fund's Directors. The ability of the
issuer of the instruments to meet their obligations may be affected by
economic developments in a specific industry, region or state.
6. The Fund may lend its securities to broker-dealers and other institutional
investors. The Fund's policy is to receive collateral on each loan equal at
all times to the market value of the securities loan plus accrued interest.
The Fund may bear the risk of delay in receiving additional collateral or in
recovering the securities loaned or even a loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities in the form of fees or through the
reinvestment of collateral of any cash received as collateral. The Fund also
continues to receive interest on the securities loaned, and any gain or loss
in the market price of the securities loaned that may occur during the term
of the loan will be for the account of the Fund.
7. The Portfolios are permitted to enter into reverse repurchase agreements for
liquidity purposes or when it is able to purchase other securities which will
produce more income than the cost of the agreement. The Portfolios may enter
into reverse repurchase agreements only with those member banks of the
Federal Reserve System and broker-dealers who are recognized as primary
dealers in U.S. government securities by the Federal Reserve Bank of New York
whose creditworthiness has been reviewed and found satisfactory by the Fund's
Board of Directors. When engaging in reverse repurchase transactions, the
Portfolios will maintain, in a segregated account with its Custodian,
securities equal in value to those subject to the agreement.
8. During the year ended October 31, 1995, the Domestic Prime Money Market
Portfolio realized losses on the sale of certain securities. Pursuant to an
undertaking, losses in the amount of $262,913 were reimbursed to the Fund by
Gabelli-O'Connor. In addition, Gabelli-O'Connor currently has undertaken,
under circumstances, to reimburse the Domestic Prime Money Market Portfolio
with respect to realized losses on certain securities previously held in the
portfolio in an amount which would maintain its net asset value at $1 per
share.
16
<PAGE>
THE TREASURER'S FUND
FINANCIAL HIGHLIGHTS (UNAUDITED)
Contained below is per share-operating performance data for a share of
beneficial interest outstanding, total investment return, ratios to average net
assets and other supplemental data for each year indicated. This information has
been derived from information provided in the Portfolio's financial statements.
<TABLE>
<CAPTION>
DOMESTIC PRIME
MONEY MARKET PORTFOLIO
--------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED -------------------------------------------------------------------
APRIL 30, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1994 1993 1992 1991
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA:
Net asset value, beginning of year .... $1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- --------
Investment Operations:
Investment income--net ................. 0.026 0.054 0.035 0.028 0.038 0.061
Net realized gain (loss)
on investments....................... 0.002 (0.002) 0.000 0.000 0.000 0.001
-------- -------- -------- -------- -------- --------
Total from Investment Operations..... 0.028 0.052 0.035 0.028 0.038 0.062
-------- -------- -------- -------- -------- --------
Distributions:
Dividends from investment
income--net .......................... (0.026) (0.054) (0.035) (0.028) (0.038) (0.061)
Dividends from net realized
gain on investments.................. -- -- -- -- -- (0.001)
-------- -------- -------- -------- -------- --------
Total Distributions ................. (0.026) (0.054) (0.035) (0.028) (0.038) (0.062)
-------- -------- -------- -------- -------- --------
Contributions from affiliate (note 9).. -- 0.002 -- -- -- --
-------- -------- -------- -------- -------- --------
Net asset value, end of period......... $1.002 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======== ========
Total Investment Return.................. 2.59%* 5.50% 3.56% 2.90% 3.82% 6.42%
Ratios/Supplemental Data:
Ratio of expenses
to average net assets................ 0.55%**+ 0.52%** 0.54% 0.62% 0.54% 0.88%
Ratio of interest expense to
average net assets................... 0.02%+ 0.02% 0.13% -- -- 0.39%
Ratio of net investment income to
average net assets .................. 5.05%+ 5.33% 3.49% 2.82% 3.82% 6.12%
Decrease reflected in above expense
ratios due to undertakings by the
Advisor/Administrator ............... 0.00% 0.01% 0.01% 0.00% 0.01% 0.06%
Net Assets, end of
period (in thousands)............... $216,253 $169,297 $143,744 $145,021 $169,357 $205,282
- ----------
*Not annualized.
**Effective 1995, the ratios do not include a reduction of expenses for
custodian fee credits on cash balances maintained with the custodian.
Including such custodian fee credits, the expense ratios would be 0.52% and
0.50% for the six months ended April 30, 1996 and the fiscal year ended
October 31, 1995, respectively.
+Annualized
</TABLE>
See accompanying notes to financial statements
17
<PAGE>
THE TREASURER'S FUND
FINANCIAL HIGHLIGHTS (UNAUDITED)
Contained below is per share-operating performance data for a share of
beneficial interest outstanding, total investment return, ratios to average net
assets and other supplemental data for each year indicated. This information has
been derived from information provided in the Portfolio's financial statements.
<TABLE>
<CAPTION>
TAX-EXEMPT
MONEY MARKET PORTFOLIO
------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED ---------------------------------------------------------------------
APRIL 30, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1994 1993 1992 1991
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA:
Net asset value, beginning of year..... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- ------- -------
Investment Operations:
Investment income--net.................. 0.015 0.034 0.022 0.021 0.031 0.047
Net realized gain (loss)
on investments....................... 0.000 0.000 0.000 0.000 0.000 0.000
------- ------- ------- ------- ------- -------
Total from Investment Operations .... 0.015 0.034 0.022 0.021 0.031 0.047
------- ------- ------- ------- ------- -------
Distributions:
Dividends from investment
income--net........................... (0.015) (0.034) (0.022) (0.021) (0.031) (0.047)
------- ------- ------- ------- ------- -------
Total Distributions.................. (0.015) (0.034) (0.022) (0.021) (0.031) (0.047)
------- ------- ------- ------- ------- -------
Net asset value, end of period ........ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= ======= =======
Total Investment Return ................. 1.53%* 3.42% 2.21% 2.16% 3.19% 4.83%
Ratios/Supplemental Data:
Ratio of expenses to
average net assets................... 0.54%**+ 0.52%** 0.53% 0.57% 0.58% 0.49%
Ratio of net investment income to
average net assets................... 3.04%+ 3.35% 2.18% 2.15% 3.10% 4.71%
Decrease reflected in above expense
ratios due to undertakings by the
Advisor/Administrator................ 0.00% 0.01% 0.01% 0.00% 0.02% 0.09%
Net Assets, end of period
(in thousands) ...................... $135,154 $140,826 $133,951 $117,751 $95,751 $86,486
- ----------
*Not annualized.
**Effective 1995, the ratios do not include a reduction of expenses for
custodian fee credits on cash balances maintained with the custodian.
Including such custodian fee credits, the expense ratios would be 0.52% and
0.50% for the six months ended April 30, 1996 and the fiscal year ended
October 31, 1995, respectively.
+Annualized
</TABLE>
See accompanying notes to financial statements
18
<PAGE>
THE TREASURER'S FUND
FINANCIAL HIGHLIGHTS (UNAUDITED)
Contained below is per share-operating performance data for a share of
beneficial interest outstanding, total investment return, ratios to average net
assets and other supplemental data for each year indicated. This information has
been derived from information provided in the Portfolio's financial statements.
<TABLE>
<CAPTION>
U.S. TREASURY
MONEY MARKET PORTFOLIO
----------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED ---------------------------------------------------------------------
APRIL 30, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
1996 1995 1994 1993 1992 1991
--------- ---------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA:
Net asset value, beginning of year...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------ ------ ------ ------ ------ ------
Investment Operations:
Investment income--net ................. 0.024 0.051 0.033 0.026 0.034 0.055
Net realized gain (loss)
on investments........................ 0.000 0.000 0.000 0.000 0.002 0.002
------ ------ ------ ------ ------ ------
Total from Investment Operations...... 0.024 0.051 0.033 0.026 0.036 0.057
------ ------ ------ ------ ------ ------
Distributions:
Dividends from
investment income--net................ (0.024) (0.051) (0.033) (0.026) (0.034) (0.055)
Dividends from net realized
gain on investments................... -- -- -- -- (0.002) (0.002)
------ ------ ------ ------ ------ ------
Total Distributions .................. (0.024) (0.051) (0.033) (0.026) (0.036) (0.057)
------ ------ ------ ------ ------ ------
Net asset value, end of year ........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
====== ====== ====== ====== ====== ======
Total Investment Return .................. 2.42%* 5.27% 3.31% 2.60% 3.68% 6.06%
Ratios/Supplemental Data:
Ratio of expenses to average
net assets............................ 0.63%**+ 0.56%** 0.49% 0.47% 0.45% 0.49%
Ratio of net investment income
to average net assets ............... 4.80%+ 5.10% 3.07% 2.55% 3.38% 5.50%
Decrease reflected in above expense
ratios due to undertakings by the
Advisor/Administrator................. 0.00% 0.00% 0.00% 0.00% 0.01% 0.03%
Net Assets, end of
year (in thousands)................... $84,231 $94,834 $138,205 $224,071 $254,899 $281,259
- ----------
*Not annualized.
**Effective 1995, the ratios do not include a reduction of expenses for
custodian fee credits on cash balances maintained with the custodian.
Including such custodian fee credits, the expense ratios would be 0.60% and
0.54% for the six months ended April 30, 1996 and the fiscal year ended
October 31, 1995, respectively.
+Annualized
</TABLE>
19
<PAGE>
THE TREASURER'S FUND
BOARD OF DIRECTORS
THOMAS E. O'CONNOR* Chairman of the Board
FELIX J. CHRISTIANA (Retired) Senior Vice President, Dollar Dry
Dock Savings Bank
MARY E. HAUCK (Retired) Senior Portfolio Manager,
Gabelli-O'Connor Fixed Income
Mutual Funds Management Co.
ROBERT C. KOLODNY, M.D. Physician, author and lecturer, General
Partner of KBS Partnership
WILLIAM A. MERRITT Financial Consultant/Mergers & Acquisitions
ANTHONY R. PUSTORINO Certified Public Accountant; Professor, Pace
University
GARY L. ROUBOS Chairman of Dover Corp.
* "Interested person" as that term is defined in the Investment Company
Act of 1940.
- --------------------------------------------------------------------------------
OFFICERS
THOMAS E. O'CONNOR Chairman of the Board
RONALD S. EAKER President and Chief Investment Officer
HENLEY L. SMITH Vice President and Investment Officer
CARROLL L. COWARD Vice President and Investment Officer
JUDITH A. FABRIZI Secretary, Treasurer and Investment Officer
JOHN J. PILEGGI Assistant Treasurer
JOAN V. FIORE Assistant Secretary
SHERYL HIRSCHFELD Assistant Secretary
