<PAGE>
Goldman Sachs Trust
INSTITUTIONAL LIQUID ASSETS
. Prime Obligations Portfolio
. Money Market Portfolio
. Government Portfolio
. Treasury Obligations Portfolio
. Treasury Instruments Portfolio
. Federal Portfolio
. Tax-Exempt Diversified Portfolio
. Tax-Exempt California Portfolio
. Tax-Exempt New York Portfolio
Goldman
Sachs
ANNUAL REPORT
December 31, 1997
<PAGE>
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
- -------------------------------- --------------------------------
Dear Shareholders:
We welcome this opportunity to provide you with a summary of the trends and
key events that affected the economy and the Goldman Sachs Institutional Liquid
Assets (ILA) Portfolios in 1997. It was another strong year for the funds,
during which time all of the portfolios outperformed or performed in line with
their respective IBC Financial Data, Inc. averages. Assets in the ILA
Portfolios totaled $9.1 billion as of December 31, 1997.
1997 IN REVIEW
Over the first quarter, the U.S. economy demonstrated significant strength,
with no sign of slowing. Employment data pointed to continued growth as
unemployment rates dropped, average hourly earnings rose and real consumer
spending surged. In March, in a show of concern over the pace of economic
growth, the Federal Reserve chose to raise short-term rates by 25 basis points.
When all was said and done, first quarter's real gross domestic product (GDP)
posted a robust 4.9% increase--although this was attributed to an increase in
inventories, typically a precursor of slower growth.
Economic data early in the second quarter, including New Home Sales, the
Employment Cost Index (ECI), GDP and durable goods, continued to point to
ongoing momentum in the economy. By June, there was no overwhelming evidence
that the economy had slowed to a sustainable growth pace. Nevertheless, Fed
officials seemed impressed with a slowdown in the pace of broad price measures,
and opted to maintain a neutral stance. Early third-quarter data initially
suggested that any slowdown perceived by the Fed represented a modified
correction from the first quarter's rapid growth, not the onset of a weaker
trend. However, as the quarter progressed, subdued inflationary pressures and a
slower pace of economic growth further lowered the probability that Fed
officials would tighten monetary policy in the months that remained in 1997.
In the final months of the fiscal year, financial turmoil in Asia's equity
markets spilled into the U.S. However, a number of factors, including Federal
Reserve Chairman Alan Greenspan's testimony and U.S. investors' overall
reaction to the market, quickly restored confidence that the U.S. market would
not suffer a significant downturn. Not surprisingly, at its November meeting,
the Fed chose to leave monetary policy on hold. As the fourth quarter drew to a
close, central bankers continued to be torn between their anxiety over
excessively rapid demand growth and rising wages on the domestic front and
their worries that the Asian crisis could spread to new regions and have a
negative impact on U.S. output and earnings prospects. Consequently, Fed
officials chose to maintain their "wait-and-see" stance on monetary policy and
await future market developments.
HISTORICAL YIELD CURVE (LIBOR)
[THE FOLLOWING TABLE WAS REPRESENTED BY A GRAPH IN THE PRINTED MATERIAL]
Maturity Yield
(months) 1996 1997
-------- ---- ----
1 5.50% 5.72%
3 5.56% 5.81%
6 5.60% 5.84%
9 5.69% 5.91%
12 5.79% 5.97%
The Federal funds rate began the year at 5.25% and ended the year at 5.50%. The
slope of the LIBOR yield curve steepened significantly over the course of the
year. By the end of 1997, the spread between one- and 12-month LIBOR moved to
plus 25 basis points.
Source: Goldman Sachs Fixed Income Database, reflecting London Interbank
Offered Rate (LIBOR).
STRATEGY
Taxable. The portfolios began the fiscal period with a short laddered
structure intended to be advantageous in the event of a steepening yield curve.
In March, the
- -------------------------------- --------------------------------
1
<PAGE>
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LETTER TO SHAREHOLDERS (continued)
- -------------------------------------- --------------------------------------
- -------------------------------------- --------------------------------------
Fed's decision to tighten led us to extend the portfolios'
weighted average maturities. Despite a market rally over the next several
months, we maintained these longer weighted average maturities due to a benign
inflationary environment and a "wait-and-see" Fed. In the second half of the
fiscal year, a period of Fed inactivity caused us to slightly extend the
portfolios' durations to the upper end of the neutral range in seeking to
capture incremental yield. We maintained this stance throughout November and
December.
Tax-Exempt. Early in the year, the tax-exempt money market portfolios assumed
defensive weighted average maturities, as we anticipated higher short-term
rates in the near future. As expected, this scenario played itself out in March
when the Fed tightened, and was magnified in April when larger than expected
tax payments caused the market to back up further. During the second half of
the year, we began to extend the weighted average maturities of the portfolios
as the likelihood of further Fed tightening faded.
SUMMARY FOR ILA PORTFOLIOS INSTITUTIONAL UNITS* AS OF 12/31/97
<TABLE>
<CAPTION>
SEC
7-DAY SEC 7-DAY 30-DAY WEIGHTED AVG.
CURRENT EFFECTIVE AVERAGE MATURITY
ILA PORTFOLIOS YIELD YIELD YIELD (DAYS)
- -------------- ------- --------- ------- -------------
<S> <C> <C> <C> <C>
Prime Obligations...................... 5.40% 5.55% 5.38% 50
Money Market........................... 5.49 5.64 5.43 41
Government............................. 5.35 5.50 5.31 45
Treasury Obligations................... 5.33 5.47 5.26 35
Treasury Instruments................... 5.13 5.26 5.15 39
Federal................................ 5.45 5.60 5.40 41
Tax-Exempt Diversified................. 3.72 3.79 3.48 49
Tax-Exempt California.................. 3.49 3.55 3.24 46
Tax-Exempt New York.................... 3.61 3.68 3.38 43
</TABLE>
*ILA offers three separate classes of units (Institutional, Administration and
Service), each of which is subject to different fees and expenses that affect
performance and entitle shareholders to different services. The Administration
and Service units offer financial institutions the opportunity to receive a fee
for providing administrative support services. The Administration units pay
0.15% plus 0.10% from the
adviser for a total of 0.25%. The Service units pay 0.40% plus 0.10% from the
adviser for a total of 0.50%. Furthermore, in addition to these classes, Prime
Obligations offers Class B and Class C shares, which are subject to a
distribution fee and an authorized dealer service fee and may be subject to
contingent deferred sales charges. Performance reflects fee waivers and expense
reimbursements. Had fees not been waived or expense reimbursed, performance
would be reduced. Past performance is no guarantee of future resulted. Yield
will vary. An investment in any one of the ILA Portfolios is neither insured
nor guaranteed by the U.S. Government nor is there any assurance that the Funds
will be able to maintain a stable net asset value of $1.00 per share. More
complete information, including management fees and expenses, is included in
the ILA Portfolios' prospectus or may be obtained by calling Goldman Sachs
Funds at 1-800-621-2550.
DOMESTIC CREDIT TRENDS POSITIVE
Domestic credit quality in 1997 continued its positive trend. It was the
third consecutive year of extraordinary stock market growth and record mergers
and acquisitions. It was the seventh straight year of growth for the U.S.
economy, with high employment, low inflation and relatively stable, low
interest rates. U.S. corporations and financial institutions reported strong
earnings as a result of the strong economic environment, as well as from
previous cost-cutting and consolidation moves.
The improvement in credit strength was broad-based, except in the consumer
credit sector, which continued its downward trend. Consumer bankruptcy filings
set another record high of 1.3 million cases in 1997. Credit card loan
delinquencies, however, began to stabilize by the end of the year. These
consumer credit problems had a negative impact on the financial sector,
including serious problems in the sub-prime auto lending industry. The Credit
Department's experienced team of financial institutions analysts closely
monitored consumer credit quality trends.
2
<PAGE>
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- --------------------------------------- ---------------------------------------
THE CREDIT PICTURE ABROAD: ASIA IN TROUBLE, EMU ON COURSE
The international credit environment in 1997 was dominated by the Asian
financial crisis and the apparent resolution of European Monetary Union's (EMU)
likely course. Thailand's forced currency devaluation in July set off a
financial fire that found ample fuel in the region's highly leveraged
economies. Even higher rated securities were affected; for example, Hong Kong
weathered various shocks flowing from Southeast Asia. At the time this report
was written, there were no Asian-issued holdings in any of the ILA money market
portfolios.
In Europe, the second half of the year presented a more positive picture than
the first part of the year. A "euroland" of 11 countries now appears on track,
with almost every government producing better than expected fiscal results and
unexpectedly strong economies. Yields and asset prices have begun to achieve a
measure of convergence across the Continent, while the rating agencies have
begun to clarify their (differing) approaches to creditworthiness under the
euro. Just as important, political resistance to EMU has been effectively
controlled despite stubbornly high unemployment. The combination of Europe's
improving performance and the U.S.'s continuing robust health has helped to
mute the broader contagion effects from Asia so far, though such effects may
become more potent if Asia's trouble continues well into 1998.
The year ahead will likely be more difficult for the domestic economy, with
the uncertain outlook in Europe and Asia. The Goldman Sachs Credit Department,
with its analysts based in London, Tokyo, Frankfurt and New York, as well as
extensive technological assets and credit expertise, will continue to
anticipate and monitor global developments and apply its conservative credit
standards to the money market portfolios.
OUTLOOK AND STRATEGIES FOR 1998
The pivotal factor in the U.S. economic outlook for 1998 is the tug of war
between the trade drag from Asia and the strength of the domestic economy. Asia
will most likely dominate the first half of the year while the tight U.S. labor
market is likely to have an impact in the second half of the year.
This view is dependent upon the behavior of the U.S. stock market, which has
boosted spending in both
households and businesses in recent years. A decline in the stock market could
hurt consumer spending and keep the Fed on hold throughout the year.
Providing there are no new disturbances relative to the Asian markets or
domestic financial asset prices, we anticipate that the Fed will hold off on
making policy changes for some time to come. With no signs of inflation and the
U.S. dollar ever stronger with respect to foreign markets, Chairman Greenspan
and the Fed have good reason to "wait and see" how events unfold overseas
before making any decisions that could prove destabilizing in the short-term
and whose long-term impact would be uncertain.
With the Fed on hold for the near-term, we expect to position the portfolios
with neutral weighted average maturities. However, a steepening yield curve
would give us the incentive to extend the weighted average maturities on all
portfolios, as any Fed tightening in 1998 is likely to be modest.
In closing, we thank you for your support and for making 1997 a year of
record assets for the ILA money market portfolios. As in the past, we will
continue to look for additional ways to improve our services, while seeking to
provide you with competitive performance. We welcome your suggestions and
questions, and look forward to another strong year in 1998.
Sincerely,
/s/ Kaysie Uniacke
Kaysie Uniacke
Portfolio Manager
February 2, 1998
- --------------------------------------- ---------------------------------------
3
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA PRIME OBLIGATIONS PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS--29.3%
BANK HOLDING COMPANIES
Bankers Trust Securities Corp.
$10,000,000 5.67% 06/09/98 $ 9,749,575
BUSINESS CREDIT INSTITUTIONS
General Electric Cap Corp.
20,000,000 5.69 02/12/98 19,867,233
20,000,000 5.67 03/13/98 19,776,350
COMMERCIAL BANKS
CP Trust Certificates Series 1996-1
35,000,000 6.22(a) 03/30/98 35,000,000
HOME BUILDERS
First Data Corp.
15,000,000 5.63 06/16/98 14,610,592
PHH Corp.
25,000,000 5.60 01/30/98 24,887,222
LIFE INSURANCE
Metlife Funding Inc.
30,000,000 5.68 01/23/98 29,895,867
RECEIVABLE/ASSET FINANCINGS
Ciesco LP
23,000,000 5.55 01/23/98 22,921,992
SECURITY AND COMMODITY BROKERS, DEALERS AND SERVICES
Bear Stearns Companies, Inc.
30,000,000 5.62 01/29/98 29,868,867
10,000,000 5.71 02/17/98 9,925,714
Merrill Lynch & Co., Inc.
10,000,000 5.97 08/14/98 10,000,000
Morgan Stanley Dean Witter, Inc.
10,000,000 5.69 02/23/98 9,916,231
20,000,000 5.74 03/11/98 19,779,967
20,000,000 5.64 06/01/98 19,526,867
Smith Barney Holdings, Inc.
10,000,000 5.70 02/11/98 9,935,083
- ---------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS $285,661,560
- ---------------------------------------------------------------------------------------------------
BANK NOTES--13.0%
Bank of Boston, N.A.
$20,000,000 5.75% 02/17/98 $ 20,000,000
10,000,000 5.99 08/13/98 10,000,000
10,000,000 5.97 10/21/98 10,000,000
Comerica Bank Detroit
15,000,000 6.00 03/27/98 14,994,334
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BANK NOTES (CONTINUED)
FCC National Bank
$20,000,000 6.01%(a) 07/06/98 $ 19,997,080
Huntington National Bank
12,000,000 5.82 11/13/98 11,996,023
Morgan Guaranty Trust Co.
15,000,000 6.02 03/25/98 14,996,809
Wachovia Bank, N.A.
25,000,000 5.60 01/12/98 25,000,000
- -------------------------------------------------------------------------------------------------
TOTAL BANK NOTES $126,984,246
- -------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES(A)--46.1%
American Express Centurion Bank
$ 5,000,000 5.93% 01/20/98 $ 5,000,000
5,000,000 5.95 01/13/98 5,000,000
5,000,000 5.97 01/08/98 5,000,000
Bank One Columbus, N.A.
25,000,000 5.55 01/06/98 24,992,895
Bank One Texas
25,000,000 5.55 01/06/98 24,990,422
Comerica Bank Detroit
15,000,000 5.88 01/15/98 14,997,060
20,000,000 5.90 01/15/98 19,998,703
Commonwealth Life Insurance Co.
35,000,000 5.86 01/01/98 35,000,000
20,000,000(c) 5.86 09/04/98 20,000,000
Corestates Bank, N.A.
20,000,000 5.93 01/02/98 20,000,000
5,000,000 5.96 01/06/98 5,000,000
FCC National Bank
10,000,000 5.74 01/28/98 9,995,574
20,000,000 6.16 01/28/98 19,996,658
First Bank, N.A.
35,000,000 5.86 01/21/98 34,993,214
15,000,000 5.87 01/21/98 14,996,964
First Union Corporation
40,000,000 6.06 02/24/98 40,015,359
Merrill Lynch & Co., Inc.
10,000,000 5.65 01/05/98 9,999,711
10,000,000 5.94 01/13/98 9,999,620
10,000,000 5.96 01/12/98 9,999,627
New York Life Insurance
10,000,000 5.89 03/03/98 10,000,000
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
VARIABLE RATE DEMAND NOTES (CONTINUED)
Pacific Mutual Life Insurance Co.
$25,000,000 5.66% 01/01/98 $ 25,000,000
PNC Bank, N.A.
25,000,000 5.89 01/09/98 24,990,381
10,000,000 5.91 01/09/98 9,999,874
Southtrust Bank of Alabama, N.A.
40,000,000 5.91 01/02/98 39,996,167
SMM Trust Series 1997-x
10,000,000 6.00 01/12/98 10,000,000
- ------------------------------------------------------------------------------------------------
TOTAL VARIABLE RATE DEMAND NOTES $449,962,229
- ------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT--11.3%
Bankers Trust Securities Corp.
$25,000,000 5.78% 06/18/98 $ 25,000,000
15,000,000 5.79 06/18/98 15,000,000
Chase Manhattan Bank U.S.A.
25,000,000 5.64 01/14/98 25,000,000
Chase Manhattan Bank, N.A.
15,000,000 5.75 02/17/98 15,000,000
Morgan Guaranty Trust Co.
15,000,000 5.91 03/19/98 14,998,790
Regions Bank
15,000,000 6.00 03/18/98 14,999,401
- ------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT $109,998,191
- ------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--0.2%
Joint Repurchase Agreement Account(d)
$ 2,000,000 6.40% 01/02/98 $ 2,000,000
- ------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT $ 2,000,000
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $974,606,226(b)
- ------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
(a) Variable rate security-base index is either U.S. Treasury Bill, one or
three month LIBOR, one month commercial paper, Federal Funds, or Prime
lending rate.
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
(c) When-issued security.
(d) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest date for floating rate securities, or the prerefunded date for those
type of securities.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA MONEY MARKET PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS--34.5%
BANK HOLDING COMPANIES
BUSINESS CREDIT INSTITUTIONS
General Electric Capital Corp.
$40,000,000 5.55% 01/20/98 $ 39,882,833
COMMERCIAL BANKS
CP Trust Certificates Series 1996-1
20,000,000 6.22(a) 03/30/98 20,000,000
ELECTRIC COMPANIES
Mitsui & Co U.S.A.
15,000,000 5.65 01/26/98 14,941,146
FOREIGN BANKS
Banca Crt Financial Corp.
14,000,000 6.05 02/12/98 13,901,183
11,600,000 6.05 02/13/98 11,516,174
6,000,000 6.05 02/17/98 5,952,608
17,000,000 6.05 02/24/98 16,845,725
BCI Funding Corporation
10,000,000 5.52 01/09/98 9,987,733
Cades
20,000,000 5.63 05/29/98 19,537,089
5,000,000 5.68 06/10/98 4,873,778
Cariplo Finance
10,000,000 5.65 01/08/98 9,989,014
Credit Suisse First Boston
25,000,000 5.52 01/08/98 24,973,167
11,000,000 5.70 01/15/98 10,975,617
Rose One
15,000,000 5.73 02/27/98 14,863,913
Unifunding Inc.
25,000,000 5.52 01/05/98 24,984,667
RECEIVABLE/ASSET FINANCINGS
Dakota Certificates
20,000,000 5.53 01/05/98 19,987,711
Delaware Funding
13,724,000 5.69 02/20/98 13,615,542
Enterprise Funding Corporation
10,636,000 5.72 01/22/98 10,600,511
Windmill Funding
25,000,000 5.65 01/23/98 24,913,681
10,000,000 5.70 02/25/98 9,912,917
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER AND CORPORATE OBLIGATIONS (CONTINUED)
SECURITY AND COMMODITY BROKERS, DEALERS AND SERVICES
Bear Stearns Companies, Inc.
$25,000,000 5.62% 01/29/98 $ 24,890,722
10,000,000 5.71 02/17/98 9,925,453
Morgan Stanley Dean Witter, Inc.
25,000,000 5.69 02/23/98 24,790,576
Smith Barney Holdings, Inc.
10,000,000 5.70 02/11/98 9,935,082
- -----------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS $ 391,796,842
- -----------------------------------------------------------------------------------------------
BANK NOTES--2.0%
Huntington National Bank
$ 3,000,000 5.82% 11/13/98 $ 2,999,006
Morgan Guaranty Trust Co.
10,000,000 5.93 08/31/98 9,997,465
Westpac Banking Corp., New York
10,000,000 5.97 03/23/98 9,998,301
- -----------------------------------------------------------------------------------------------
TOTAL BANK NOTES $ 22,994,772
- -----------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - FOREIGN EURODOLLAR--3.8%
Norinchukin Bank, London
$ 8,000,000 6.27% 01/20/98 $ 8,000,063
Sanwa Bank Limited, London
10,000,000 6.12 01/14/98 10,000,036
25,000,000 5.79 01/26/98 25,000,171
- -----------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT - FOREIGN
EURODOLLAR $ 43,000,270
- -----------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - YANKEEDOLLAR--14.5%
Bank of Tokyo Mitsubishi, New York
$12,000,000 6.00% 01/14/98 $ 12,000,000
Canadian Imperial Bank of Commerce, New York
15,500,000 5.94 03/17/98 15,499,086
Credit Agric Indosuez, New York
15,000,000 5.95 08/13/98 14,995,601
Landesbank Hessen Thuringen, New York
20,000,000 5.93 06/30/98 19,988,598
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
6
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CERTIFICATES OF DEPOSIT - YANKEEDOLLAR (CONTINUED)
Norinchukin Bank, New York
$22,000,000 5.73% 01/05/98 $ 22,000,000
15,000,000 5.68 01/07/98 15,000,025
Rabobank Nederland, New York
35,000,000 6.07 03/26/98 34,996,924
5,000,000 6.05 03/27/98 4,998,667
Royal Bank of Canada, New York
10,000,000 5.81 06/03/98 10,000,000
Societe Generale, New York
5,000,000 5.91 10/15/98 4,997,745
10,000,000 5.91 10/20/98 9,992,736
- -------------------------------------------------------------------------------------------------
$ 164,469,382
TOTAL CERTIFICATES OF DEPOSIT - YANKEEDOLLAR
- -------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES(A)--41.3%
Abbey National
$50,000,000 5.86% 01/15/98 $ 49,982,361
ABN/AMRO Bank, New York
11,000,000 6.17 01/02/98 10,999,034
American Express Centurion Bank
5,000,000 5.93 01/20/98 5,000,000
5,000,000 5.95 01/13/98 5,000,000
5,000,000 5.97 01/08/98 5,000,000
Bank One Columbus, N.A.
25,000,000 5.55 01/06/98 24,992,895
Bayerische Landesbank
35,000,000 5.84 01/26/98 34,986,872
Comerica Bank Detroit
20,000,000 5.88 01/15/98 19,996,080
17,500,000 5.90 01/05/98 17,498,865
Commonwealth Life Insurance Co.
25,000,000(c) 5.86 09/04/98 25,000,000
Corestates Bank, N.A.
20,000,000 5.95 01/05/98 20,000,000
5,000,000 5.96 01/06/98 5,000,000
Dauphin Deposit Bank & Trust
10,000,000 5.66 02/04/98 9,997,713
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
VARIABLE RATE DEMAND NOTES (CONTINUED)
Den Danske Bank, New York
$15,000,000 5.92% 01/26/98 $ 14,999,302
25,000,000 5.93 01/15/98 24,998,618
FCC National Bank
10,000,000 5.74 01/28/98 9,995,574
30,000,000 6.16 01/02/98 29,994,986
First Bank, N.A.
15,000,000 5.87 01/21/98 14,996,964
JP Morgan & Co., Inc.
10,000,000 5.64 06/19/98 9,735,233
Merrill Lynch & Co., Inc.
10,000,000 5.94 01/13/98 9,999,620
10,000,000 5.96 01/12/98 9,999,627
Morgan Stanley Dean Witter, Inc.
15,000,000(c) 5.54 01/15/99 14,998,577
New York Life Insurance
10,000,000 5.89 03/03/98 10,000,000
PNC Bank, N.A.
15,000,000 5.89 01/28/98 14,994,229
10,000,000 5.91 01/09/98 9,999,874
SMM Trust Series 1997-x
10,000,000 6.00 01/12/98 10,000,000
Societe Generale, New York
5,000,000 6.19 01/02/98 4,999,667
Southtrust Bank of Alabama, N.A.
20,000,000 5.91 01/02/98 19,998,083
U.S. Bank, N.A.
15,000,000 6.21 03/18/98 15,035,848
10,000,000 6.24 03/10/98 10,024,395
- -------------------------------------------------------------------------------------------------
$ 468,224,417
TOTAL VARIABLE RATE DEMAND NOTES
- -------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT--2.2%
Chase Manhattan Bank U.S.A.
$25,000,000 5.64%(a) 01/14/98 $ 25,000,000
- -------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT $ 25,000,000
- -------------------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA MONEY MARKET PORTFOLIO (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT--2.8%
Joint Repurchase Agreement Account(d)
$32,000,000 6.40% 01/02/98 $ 32,000,000
- ---------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT $ 32,000,000
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $1,147,485,683(b)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) Variable rate security-base index is either U.S. Treasury Bill, one or
three month LIBOR, one month commercial paper, Federal Funds, or Prime
lending rate.
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
(c) When-issued security.
(d) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those type of securities.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
8
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA GOVERNMENT PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS--49.9%
Federal Farm Credit Bank
$ 8,000,000 5.45% 03/03/98 $ 7,992,123
50,000,000 5.80(a) 04/14/98 49,987,517
15,000,000 5.70 12/01/98 14,985,535
12,000,000 5.65(c) 01/04/99 11,982,600
Federal Home Loan Bank
8,000,000 5.67 03/10/98 7,996,769
25,000,000 5.79 03/18/98 24,996,196
6,485,000 5.71 10/01/98 6,483,512
Federal Home Loan Mortgage Corp.
8,000,000 5.72 03/17/98 7,997,870
18,000,000 5.77(a) 03/20/98 17,996,380
Federal National Mortgage Association
75,000,000 5.59(a) 01/15/98 74,998,275
10,000,000 5.79 03/25/98 9,995,584
23,000,000 6.02 04/15/98 22,993,119
10,000,000 5.89 05/21/98 9,996,836
Student Loan Marketing Association
8,200,000 5.79 09/16/98 8,200,937
- ---------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS $276,603,253
- ---------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--52.2%
CIBC Oppenheimer, Dated 12/31/97, Repurchase Price $25,009,028 (Total
Collateral Value $25,504,324 consisting of U.S. Treasury Notes: 6.50%-
6.625%, 07/31/01-08/15/05)
$ 25,000,000 6.50% 01/02/98 $ 25,000,000
Deutsche Morgan Grenfell, Dated 12/31/97, Repurchase Price $25,009,444
(Total Collateral Value $25,500,784 consisting of FNMA: 02/02/98-02/11/00;
U.S. Treasury Bills: 01/29/98-04/30/98; U.S. Treasury Bond: 11.75%,
02/15/01; U.S. Treasury Notes: 5.875%-7.75%, 02/28/99-05/15/07; U.S.
Treasury Stripped Interest only Securities: 11/15/01-08/15/05)
25,000,000 6.80 01/02/98 25,000,000
Goldman, Sachs & Co., Dated 12/10/97, Repurchase Price $25,356,250 (FNMA:
$25,500,000, 6.50%, 08/01/02)
25,000,000 5.70 03/09/98 25,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
Lehman Brothers Inc., Dated 12/31/97, Repurchase Price $25,009,167 (Total
Collateral Value $25,502,919 consisting of FHLMC Pool: 7.0%-9.5%,
06/01/02-07/01/27)
$ 25,000,000 6.60% 01/02/98 $ 25,000,000
Morgan Stanley & Co., Dated 10/28/97, Repurchase Price $50,700,000 (Total
Collateral Value $51,230,758 consisting of FHLMC Pool: 5.5%-8.5%,
01/01/99-12/01/27)
50,000,000 5.60 01/26/98 50,000,000
Nomura Securities International Inc., Dated 12/31/97, Repurchase Price
$25,009,583 (FNMA: $25,553,189, 6.57%, 06/20/02)
25,000,000 6.90 01/02/98 25,000,000
Joint Repurchase Agreement Account(d)
114,300,000 6.40 01/02/98 114,300,000
- -------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS $289,300,000
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $565,903,253(b)
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) Variable rate security-base index is either Federal Funds, Prime lending
rate, or one month LIBOR
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
(c) When-issued security.
(d) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest date for floating rate securities, or the prerefunded date for those
type of securities.
The percentages shown for each investment category reflects the value of the
investments in that category as a percentage of total net assets.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
9
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TREASURY OBLIGATIONS PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--15.8%
United States Treasury Notes
$ 10,000,000 7.25% 02/15/98 $ 10,018,359
15,000,000 6.13 03/31/98 15,009,143
39,000,000 7.88 04/15/98 39,205,303
15,000,000 6.25 07/31/98 15,045,683
10,000,000 4.75 08/31/98 9,934,688
15,000,000 5.88 10/31/98 15,018,861
5,000,000 5.75 12/31/98 5,001,085
20,000,000 5.88 01/31/98 20,040,523
- ---------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS $129,273,645
- ---------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--84.3%
Bear Stearns Companies, Inc., Dated 12/31/97, Repurchase Price $35,012,153
(U.S. Treasury Bill: $35,725,759, 01/02/98)
$ 35,000,000 6.25% 01/02/98 $ 35,000,000
BZW Securities, Dated 12/31/97, Repurchase Price $35,012,882 (U.S. Treasury
Note: $35,700,057, 5.875%, 11/15/99)
35,000,000 6.63 01/02/98 35,000,000
C.S. First Boston Corp., Dated 12/31/97, Repurchase Price $30,419,042 (Total
Collateral Value $30,636,345 consisting of U.S. Treasury Interest Only
Stripped Securities: 02/15/99-08/15/06)
30,000,000 5.65 03/10/98 30,000,000
CIBC Oppenheimer, Dated 12/31/97, Repurchase Price $35,012,639 (Total
Collateral Value $35,700,652 consisting of U.S. Treasury Notes: 6.0%-7.0%,
08/15/00-07/15/06)
35,000,000 6.50 01/02/98 35,000,000
Deutsche Morgan Grenfell, Dated 12/31/97, Repurchase Price $35,013,222
(Total Collateral Value $35,700,788 consisting of U.S. Treasury Notes:
5.75%-7.25%, 2/28/99-5/15/06; U.S. Treasury Stripped Interest only
Security: 2/15/02)
35,000,000 6.80 01/02/98 35,000,000
Goldman, Sachs & Co., Dated 12/31/97, Repurchase Price $35,012,639 (U.S.
Treasury Note: $35,700,065, 5.625%, 11/30/99)
35,000,000 6.50 01/02/98 35,000,000
JP Morgan Securities, Inc., Dated 12/31/97, Repurchase Price $35,012,153
(U.S. Treasury Note: $36,312,500, 6.25%, 02/28/02)
35,000,000 6.25 01/02/98 35,000,000
Lehman Brothers Inc., Dated 12/31/97, Repurchase Price $35,012,542 (U.S.
Treasury Note: $35,698,470, 5.625%, 11/30/99)
35,000,000 6.45 01/02/98 35,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
Merrill Lynch Government Securities, Inc., Dated 12/31/97, Repurchase
Price $35,012,639 (Total Collateral Value $35,702,260 consisting of U.S.
Treasury Stripped Interest only Securities: 08/15/03-05/15/04)
$ 35,000,000 6.50% 01/02/98 $ 35,000,000
Morgan Stanley & Co., Dated 12/31/97, Repurchase Price $35,012,153 (U.S.
Treasury Note: $35,704,378, 5.125%, 03/31/98)
35,000,000 6.25 01/02/98 35,000,000
Nomura Securities International, Inc., Dated 12/31/97, Repurchase Price
$35,014,097 (U.S. Treasury Note: $35,014,097, 6.0%, 06/30/99)
35,000,000 7.25 01/02/98 35,000,000
UBS Securities, Inc., Dated 12/31/97, Repurchase Price $35,012,736
(U.S. Treasury Note: $38,368,750 7.875%, 08/15/01)
35,000,000 6.55 01/02/98 35,000,000
Joint Repurchase Agreement Account
275,500,000 6.40 01/02/98 275,500,000
- -------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS $690,500,000
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $819,773,645(a)
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
10
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TREASURY INSTRUMENTS PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS--98.8%
U.S. Treasury Bills
$ 90,900,000 5.19% 01/22/98 $ 90,624,800
5,000,000 4.95 02/12/98 4,971,125
11,300,000 5.10 02/12/98 11,232,765
13,400,000 5.12 02/12/98 13,319,957
U.S. Treasury Notes
175,000,000 5.00 01/31/98 174,901,395
25,000,000 5.63 01/31/98 24,995,265
150,000,000 7.25 02/15/98 150,299,338
70,000,000 5.13 02/28/98 69,940,374
75,000,000 7.88 04/15/98 75,492,375
25,000,000 5.13 04/30/98 24,969,978
75,000,000 6.00 05/31/98 75,125,148
- -------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS $715,872,520
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $715,872,520(a)
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
The percentages shown for each category reflect the value of investments in
that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA FEDERAL PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS--102.9%
Federal Farm Credit Bank
$ 50,000,000 5.53%(a) 01/02/98 $ 49,999,898
59,000,000 5.40 01/02/98 58,991,150
75,000,000(c) 5.50(a) 01/04/98 75,000,000
15,000,000 5.73 01/06/98 14,988,063
10,000,000 5.60 01/08/98 9,989,111
19,820,000 5.58 01/14/98 19,780,063
25,000,000 5.65 01/15/98 24,945,069
5,000,000 5.45 01/16/98 4,988,646
17,000,000 5.45-5.77 01/21/98 16,947,283
14,000,000 5.45 01/22/98 13,955,492
11,600,000 5.48 01/26/98 11,555,856
20,000,000 5.58 01/30/98 19,910,100
24,000,000 5.62 01/30/98 23,891,347
50,000,000 5.53(a) 01/30/98 49,985,210
210,000,000 5.50(a) 02/02/98 210,000,000
21,300,000 5.53-5.65 02/02/98 21,260,165
10,000,000 5.62 02/09/98 9,939,117
34,945,000 5.49 02/11/98 34,726,705
64,000,000 5.60 02/18/98 63,522,133
45,000,000 5.56 03/02/98 44,583,000
45,000,000 5.45 03/03/98 44,955,764
11,636,000 5.59 03/12/98 11,509,523
100,000,000(d) 6.05 05/01/98 99,992,295
10,000,000 5.49 06/15/98 9,748,375
20,000,000 5.75 09/11/98 19,987,523
30,000,000 5.70 12/01/98 29,971,069
Federal Home Loan Bank
50,600,000 4.90-5.72 01/02/98 50,592,782
50,000,000 5.73 01/06/98 49,960,208
42,590,000 5.55 01/07/98 42,550,604
43,000,000 5.67 01/14/98 42,911,958
134,805,000 5.44-5.50 01/16/98 134,498,642
101,800,000 5.50-5.75 01/21/98 101,476,749
95,131,000 5.48-5.65 02/11/98 94,535,437
146,100,000 5.48-5.65 02/13/98 145,134,333
80,510,000 5.50-5.65 02/18/98 79,912,846
15,000,000 5.61 03/04/98 14,855,075
25,000,000 5.67 03/10/98 24,989,903
116,000,000 5.79(a) 03/18/98 115,982,351
46,100,000 5.37-5.52 04/01/98 45,466,858
125,000,000 5.82(a) 04/14/98 124,973,996
20,000,000 5.59 04/22/98 19,655,283
50,000,000 5.77 07/07/98 49,975,070
50,000,000 5.74(a) 09/17/98 49,972,088
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (CONTINUED)
Federal Home Loan Bank (continued)
$ 75,000,000 5.75%(a) 10/02/98 $ 74,956,136
30,000,000 5.70 10/23/98 29,977,936
Student Loan Marketing Association
25,000,000 5.10 01/02/98 24,996,458
60,000,000 5.47-5.48 01/27/98 59,762,714
20,000,000 5.79 09/16/98 20,012,372
Tennessee Valley Authority
64,700,000 5.48 01/13/98 64,581,815
25,000,000 5.58 02/05/98 24,864,375
15,000,000 5.47 02/10/98 14,908,833
25,000,000 5.51 02/20/98 24,808,681
25,000,000 5.57 02/24/98 24,791,125
50,000,000 5.57 03/09/98 49,481,681
15,000,000 5.57 03/11/98 14,839,863
50,000,000 5.58 03/13/98 49,449,750
30,000,000 5.57 03/20/98 29,637,950
- -------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS $ 2,689,636,828
- -------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATION--0.2%
U.S. Treasury Bill
$ 5,300,000 5.12% 02/12/98 $ 5,268,342
- -------------------------------------------------------------------------------------
TOTAL INVESTMENTS $2,694,905,170(b)
- -------------------------------------------------------------------------------------
</TABLE>
(a) Variable rate security-base index is either U.S. Treasury Bill, one or
three month LIBOR, Federal Funds, Prime lending rate, or 30 day discount
note rate.
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
(c) When-issued security.
(d) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those type of securities.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
12
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ALABAMA--5.8%
Columbia IDB PCRB for Alabama Power Co. Series 1996 A (A-1/VMIG1)
$17,800,000 4.80% 01/02/98 $ 17,800,000
Columbia IDB PCRB for Alabama Power Co. Series 1995 B (A-1/VMIG1)
21,700,000 4.80 01/07/98 21,700,000
Homewood RB for Samford University (Bank of Nova Scotia LOC)
(A-1+/MIG1)
30,800,000 4.80 01/02/98 30,800,000
Mobile County IDA PCRB for M&T Chemicals Series 1984
(Bankers Trust Company LOC)(A1)
3,000,000 4.275 01/07/98 3,000,000
Mobile IDA PCRB for Alabama Power Series 1993A(A-1/VMIG1)
8,600,000 4.10 01/07/98 8,600,000
Montgomery Special Care RB Series 1994 A (Amsouth Bank LOC) (VMIG1)
6,720,000 4.20 01/07/98 6,720,000
- ---------------------------------------------------------------------------------------------------
$ 88,620,000
- ---------------------------------------------------------------------------------------------------
ARKANSAS--1.2%
Crossett PCRB for Georgia Pacific Corp. Series 1991
(Suntrust Bank LOC)(AA3)
$ 9,500,000 4.20% 01/07/98 $ 9,500,000
Union County PCRB Series 1988 for Great Lakes Chemical(A-1+)
9,000,000 4.25(c) 01/07/98 9,000,000
- ---------------------------------------------------------------------------------------------------
$ 18,500,000
- ---------------------------------------------------------------------------------------------------
CALIFORNIA--2.0%
California School Cash Reserve Program, 1997 Pool Bonds Series A (Ambac
Assurance Corporation)(SP-1+/MIG1)
$ 6,000,000 4.75% 07/02/98 $ 6,025,469
Los Angeles County, 1997-98 TRANS, Series A(SP-1+/MIG1)
24,500,000 4.50 06/30/98 24,576,245
- ---------------------------------------------------------------------------------------------------
$ 30,601,714
- ---------------------------------------------------------------------------------------------------
COLORADO--1.2%
Colorado Health Facilities Authority Series 1992 C(A-1+/VMIG1)
$ 5,400,000 4.15% 01/07/98 $ 5,400,000
Denver Airport System Subordinate RB Series 1997 B (Westdeutsche Landesbank
Girozentrale)(A-1+/VMIG1)
13,000,000 4.10 01/07/98 13,000,000
- ---------------------------------------------------------------------------------------------------
$ 18,400,000
- ---------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DISTRICT OF COLUMBIA--1.3%
District of Columbia VRDN ACES for Georgetown University Series 1988 B
Bayerische LandesBank Girozentrale LOC (A-1+/VMIG1)
$ 6,875,000 3.80% 01/07/98 $ 6,875,000
District of Columbia VRDN ACES for Georgetown University Series 1988 C(A-
1+/VMIG1)
5,100,000 3.80 01/07/98 5,100,000
District of Columbia VRDN ACES for Georgetown University Series 1988 E(A-
1+/VMIG1)
1,100,000 3.80 01/07/98 1,100,000
HFA MF Hsg. for Mclean Gardens South Apartments VRDN (Sumitomo Bank
LOC)(VMIG1)
7,000,000 4.35 01/07/98 7,000,000
- --------------------------------------------------------------------------------------------------
$ 20,075,000
- --------------------------------------------------------------------------------------------------
FLORIDA--2.4%
Florida Pooled Commercial Paper Notes Series A (First Union National Bank
of Florida)(A-1/P-1)
$27,445,000 3.90% 01/14/98 $ 27,445,000
Putnam County Development Authority VRDN PCRB For Seminole Electric Series
1984 H CFC (A-1+/P-1)
9,000,000 3.85 01/07/98 9,000,000
- --------------------------------------------------------------------------------------------------
$ 36,445,000
- --------------------------------------------------------------------------------------------------
GEORGIA--13.8%
Albany Dougherty PCRB for Philip Morris Company(A-1/P-1)
$17,000,000 3.90% 01/07/98 $ 17,000,000
Albany Dougherty PCRB Series 1991 for Georgia Power Co.(VMIG1)
2,120,000 4.20 01/07/98 2,120,000
Atlanta Water & Sewer RB Eagle Tax-exempt Trust Class A Series 1997
(Financial Guaranty Insurance Company)(A1+C)
10,500,000 4.27 01/07/98 10,500,000
Bartow County PCRB for Georgia Power Co. Series 1997 (VMIG1)
29,000,000 4.80 01/07/98 29,000,000
Burke County PCRB for Georgia Power Co. Fifth Series 1995 (MIG1)
5,100,000 5.05 01/02/98 5,100,000
Burke County PCRB for Georgia Power Co. 1st Series 1992 (VMIG1)
12,425,000 4.20 01/07/98 12,425,000
Burke County PCRB for Georgia Power Co. Eighth Series 1994
(A-1/VMIG1)
1,600,000 5.05 01/02/98 1,600,000
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GEORGIA (CONTINUED)
Burke County PCRB for Georgia Power Co. Ninth Series 1994
(A-1/VMIG1)
$11,200,000 5.05% 01/02/98 $ 11,200,000
Burke County PCRB for Oglethorpe Power Corp. Series 1993A (FGIC)(A-1+)
7,350,000 3.65 01/07/98 7,350,000
Cobb County Institute of Nuclear Operations Inc. VRDN for Georgia Power Co.
(Suntrust Bank LOC)(AA3)
5,525,000 4.20 01/07/98 5,525,000
Cobb County Power Operations Inc. Georgia Power Co. 1st Series 1991
(Trust Company Bank LOC)(VMIG1)
8,330,000 4.20 01/07/98 8,330,000
Columbus Hospital Authority RB for St. Francis Hospital
(Suntrust Bank LOC)(VMIG1)
7,350,000 4.20 01/07/98 7,350,000
Coweta County PCRB Series 1996 for Georgia Power Co.(A-1/VMIG1)
1,600,000 5.05 01/02/98 1,600,000
Dekalb County Hospital Authority RB Series 1993 B
(Suntrust Bank LOC)(MIG1)
5,200,000 4.20 01/07/98 5,200,000
DeKalb County IDA VRDN for Siemens Energy and Automation Inc. (P-1)
3,750,000 4.25 01/07/98 3,750,000
Floyd County PCRB for Georgia Power Co. 1st Series 1996(A-1/VMIG1)
1,500,000 5.05 01/02/98 1,500,000
Fulco Hospital Authority Series 1992 Revenue Anticipation Certificates
(Suntrust Bank LOC)(A-1+)
7,100,000 4.20 01/07/98 7,100,000
Georgia Municipal Gas Authority RB Series A (Credit Suisse First
Boston/Morgan Guaranty/Bayerische Landesbank Girozentrale/Wachovia Bank
National Association/ABN Amro Bank) (A-1+)
19,500,000 3.65 01/07/98 19,500,000
Georgia Municipal Gas Authority RB Series B (Credit Suisse First
Boston/Morgan Guaranty/Bayerische Landesbank Girozentrale/Wachovia Bank
National Association)(A-1+)
16,700,000 3.65 01/07/98 16,700,000
Heard County PCRB for Georgia Power Co. 1st Series 1996 (A-1/VMIG1)
1,800,000 5.05 01/02/98 1,800,000
Henry County Georgia IDA PCRB Series 1993 for Georgia Pacific Corp.
(Suntrust Bank LOC) (AA3)
4,000,000 4.20 01/07/98 4,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Meag Project One Subordinated Bonds Series 1985 A (Credit Suisse First
Boston/Morgan Guaranty Trust Co./Bayerische Landesbank Girozentrale)(A-
1+/VMIG1)
5,000,000 3.80 05/12/98 5,000,000
Meag Project One Subordinated Bond Series 1994 E (ABN Amro
Bank) (A-1+/VMIG1)
$14,100,000 3.85% 01/07/98 $ 14,100,000
Monroe County IDA PCRB 1st Series 1997 A(A-1/VMIG1)
2,000,000 5.05 01/02/98 2,000,000
Municipal Electric Authority of Georgia Subordinate General Resolution
Series 1985 B (Credit Suisse/Morgan Guaranty/Bayerische Landesbank
Girozentrale LOC)(A-1+/VMIG1)
8,145,000 3.65 01/07/98 8,145,000
Savannah Economic Development Authority PCRB VRDN for Savannah Electric &
Power(A-1/VMIG1)
4,085,000 4.20 01/07/98 4,085,000
- --------------------------------------------------------------------------------------------------
$211,980,000
- --------------------------------------------------------------------------------------------------
IDAHO--0.7%
Idaho Health Facilities for Holy Cross Health Systems(A-1/VMIG1)
$10,000,000 4.15% 01/07/98 $ 10,000,000
- --------------------------------------------------------------------------------------------------
ILLINOIS--9.5%
Belleville IDA for Weyerhaeuser Company Series 1993(A-1)
$ 1,800,000 4.20% 01/07/98 $ 1,800,000
Chicago GO Tender Notes Series 1997 (Morgan Stanley LOC) (A-1+/VMIG1)
38,000,000 3.65 02/05/98 37,997,088
Cook County GO Variable Rate Bonds Series 1996(A-1+/VMIG1)
50,700,000 3.70 01/07/98 50,700,000
Illinois Health Facilities Authority VRDN (First National Bank of
Chicago)(A-1+/VMIG1)
3,000,000 3.80 01/07/98 3,000,000
Illinois Health Facilities Authority 1990 VRDN for Central Dupage Hospital
(Rabobank Nederland LOC)(VMIG1)
4,710,000 5.10 01/02/98 4,710,000
Illinois Health Facilities Authority VRDN Series 1985 C Revolving Fund
Pooled Finance Program (First National Bank of Chicago LOC)
(A-1+/VMIG1)
13,575,000 3.80 01/07/98 13,575,000
Illinois Health Facilities Authority VRDN Series 1985 D Revolving Fund
Pooled Finance Program (First National Bank of Chicago LOC)
(A-1+/VMIG1)
8,300,000 3.80 01/07/98 8,300,000
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ILLINOIS (CONTINUED)
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Hospital
(VMIG1)
$ 9,200,000 5.15% 01/02/98 $ 9,200,000
Illinois Health Facilities Authority VRDN for Northwest Community Hospital
Series 1995(A-1+/MIG1)
1,700,000 4.15 01/07/98 1,700,000
Sauget PCRB VRDN Series 1992 (Monsanto)(P-1)
3,300,000 3.80 01/07/98 3,300,000
Societe Generale Municipal Securities Trust Receipts For Chicago Midway
Airport RB Series 1996 A (MBIA)(A1+C)
12,000,000 4.25 01/07/98 12,000,000
- ---------------------------------------------------------------------------------------------------
$ 146,282,088
- ---------------------------------------------------------------------------------------------------
INDIANA--4.6%
Fort Wayne Hospital Authority VRDN Series 1985 D (Bank of America
LOC)(VMIG1)
$ 1,180,000 3.65% 01/07/98 $ 1,180,000
Fort Wayne Parkview Memorial Hospital VRDN Series 1985 B (Bank of America)
(VMIG1)
15,700,000 4.15 01/07/98 15,700,000
Fort Wayne Parkview Memorial Hospital VRDN Series 1985 C (Bank of
America)(VMIG1)
7,655,000 3.65 01/07/98 7,655,000
Gary RB for U.S. Steel Corp. Series 1986 (Bank of New York)(A-1+/P-2)
20,000,000 3.90 02/18/98 20,000,000
Indiana Health Facility Hospital RB(A-1+/VMIG1)
16,800,000 3.65 01/07/98 16,800,000
Schererville Economic Development VRDN Series 1983 for Avery International
Corp. Project (Bankers Trust LOC)(A1)
4,000,000 4.28 01/07/98 4,000,000
Warrick County PCRB for Aluminum Company of America Series 1992(A-1)
5,000,000 4.25 01/07/98 5,000,000
- ---------------------------------------------------------------------------------------------------
$ 70,335,000
- ---------------------------------------------------------------------------------------------------
IOWA--2.5%
Chillicothe PCRB for Midwest Power Systems Series 1993 A
(A-1/VMIG1)
$ 900,000 3.85% 01/07/98 $ 900,000
Louisa County PCRB for Iowa-Illinois Gas & Electric Co./Midamerican Energy
Co. Series 1986 A(A-1)
15,400,000 4.00 01/07/98 15,400,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
IOWA (CONTINUED)
Muscatine County VRDN for Monsanto Corp. Series 1992(P-1)
$ 1,000,000 3.80% 01/07/98 $ 1,000,000
Salix PCRB VRDN for Midwest Power Systems Inc. Series 1993 (A-1/VMIG1)
21,795,000 3.85 01/07/98 21,795,000
- --------------------------------------------------------------------------------------------------
$ 39,095,000
- --------------------------------------------------------------------------------------------------
KENTUCKY--2.3%
Calvert VRDN for Air Products and Chemicals Inc. Project Series 1993 B (A-
1)
$ 1,000,000 4.20% 01/07/98 $ 1,000,000
Kentucky Turnpike Authority Refunding Bonds 1987A Series 1997 Fr/ri-17
(Financial Security Assurance Inc.)(A-1+/VMIG1)
5,000,000 3.90 01/07/98 5,000,000
Mason County Floating/Fixed Rate PCRB for East Kentucky Power Facility
Series 1984 B (National Rural Utilities Cooperative Finance Corp.)(A-1+/P-
1)
14,350,000 3.85 01/07/98 14,350,000
Mason County Variable/Fixed Rate PCRB Pooled for East Kentucky Power
(CFC)(A-1+/P-1)
5,650,000 3.85 01/07/98 5,650,000
Trimble County PCRB for Louisville Gas and Electric Co. Series 1996 A(A-
1+/VMIG1)
10,000,000 3.85 02/12/98 10,000,000
- --------------------------------------------------------------------------------------------------
$ 36,000,000
- --------------------------------------------------------------------------------------------------
LOUISIANA--0.9%
Ascension Parish PCRB for Vulcan Materials Co. Series 1996
(A-1+/VMIG1)
$ 8,200,000 3.80% 01/07/98 $ 8,200,000
Parish of Iberville VRDN for Air Products and Chemicals Inc. Project
Series 1992 (A-1)
6,200,000 4.20 01/07/98 6,200,000
- --------------------------------------------------------------------------------------------------
$ 14,400,000
- --------------------------------------------------------------------------------------------------
MASSACHUSETTS--1.1%
Massachusetts Bay Transportation Authority VRDN Series 1984 A(A-1+)
$ 4,200,000 3.75% 03/01/98 $ 4,200,000
Massachusetts Health & Education Authority Eagle Tax-exempt Trust for
Harvard University Series 972104(A1+C)
12,500,000 4.27 01/07/98 12,500,000
- --------------------------------------------------------------------------------------------------
$ 16,700,000
- --------------------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MICHIGAN--1.1%
Michigan Job Development Authority for Mazda Motor Manufacturing VRDN
(Sumitomo Bank LOC)(VMIG1)
$11,100,000 4.65%(c) 01/07/98 $ 11,100,000
State of Michigan GO Notes(SP-1+/MIG1)
6,000,000 4.50 09/30/98 6,032,697
- ---------------------------------------------------------------------------------------------------
$ 17,132,697
- ---------------------------------------------------------------------------------------------------
MINNESOTA--1.2%
Becker PCRB for Northern States Power Co. Series 1992 A (A-1+/VMIG1)
$ 8,000,000 3.70% 04/08/98 $ 8,000,000
Minnesota Education Facility Authority for Carleton College(VMIG1)
4,175,000 3.65 01/07/98 4,175,000
White Bear Lake IDA Series 1993 for Weyerhaeuser Co.(A-1)
6,800,000 4.20 01/07/98 6,800,000
- ---------------------------------------------------------------------------------------------------
$ 18,975,000
- ---------------------------------------------------------------------------------------------------
MISSISSIPPI--1.0%
Canton IDRB Series 1995 for Levi Strauss & Co. (Bank of America LOC)(A1+)
$10,000,000 3.65% 01/07/98 $ 10,000,000
Grenada County Refunding RB VRDN for Georgia Pacific Corp. Series 1994
(Sumitomo Bank LOC)(A1)
5,000,000 4.50 01/07/98 5,000,000
- ---------------------------------------------------------------------------------------------------
$ 15,000,000
- ---------------------------------------------------------------------------------------------------
MISSOURI--1.6%
Kansas City Cloversett IDA MF Hsg. RB Series 1988 VRDN (Boatmen's Bank of
Kansas City LOC)(A-1+)
$ 8,635,000 4.35%(c) 01/07/98 $ 8,635,000
Missouri Health & Education Facility Authority VRDN (MBIA)(A-1+)
10,500,000 3.70 01/07/98 10,500,000
Monsanto Corporation State Environmental Improvement and Energy Resources
Authority Series 1993 (Monsanto)(P-1)
5,000,000 3.80 01/07/98 5,000,000
- ---------------------------------------------------------------------------------------------------
$ 24,135,000
- ---------------------------------------------------------------------------------------------------
NEVADA--2.0%
Clark County VRDN for Nevada Airport System Series 1993A (MBIA)(A-1+/VMIG1)
$30,700,000 3.65%(b) 01/07/98 $ 30,700,000
- ---------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW JERSEY--1.9%
New Jersey TRANS Series 1998A(A-1+/P-1)
$20,000,000 3.75% 03/11/98 $ 20,000,000
9,300,000 3.75 05/08/98 9,300,000
- ---------------------------------------------------------------------------------------------------
$ 29,300,000
- ---------------------------------------------------------------------------------------------------
NEW MEXICO--1.2%
Albuquerque RB for Sisters of Charity Series 1992(A-1+/VMIG1)
$ 6,000,000 4.15% 01/07/98 $ 6,000,000
New Mexico TRANS Series 1997(SP-1+/VMIG1)
13,000,000 4.50 06/30/98 13,040,075
- ---------------------------------------------------------------------------------------------------
$ 19,040,075
- ---------------------------------------------------------------------------------------------------
NEW YORK--4.6%
Brentwood Union Free School District Tax Anticipation Notes of 1997(MIG1)
$ 5,000,000 4.25% 06/30/98 $ 5,009,923
New York City GO RANS Fiscal 1998 Series A (National Westminster Bank
/Morgan Guaranty Trust/Bayerische Landesbank Girozentrale/ Westdeutsche
Landesbank Girozentrale/Societe Generale/Landesbank LOC)(A-1+/MIG1)
31,000,000 4.50 06/30/98 31,105,347
New York City Health & Hospitals Corporation, Health System Bonds, 1997
Series B(Canadian Imperial Bank of Commerce)(A-1+/VMIG1)
6,800,000 3.55 01/07/98 6,800,000
New York City Water Finance Authority CP Series 5 Lob A (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale/Landesbank
Hessen-thueringen Girozentrale)
(A-1+/P-1)
15,000,000 3.80 03/24/98 15,000,000
New York State Floating Rate Trust Receipts Series 1997(VMIG1)
10,125,000 4.00 01/07/98 10,125,000
New York State Housing Finance Agency for Normandie Court Housing RB Series
1987 A (Fleet Bank LOC)(VMIG1)
1,000,000 4.00 01/07/98 1,000,000
New York State Triborough Bridge & Tunnel Authority VRDN Series 1994
(FGIC)(A-1+/VMIG1)
1,000,000 3.55 01/07/98 1,000,000
- ---------------------------------------------------------------------------------------------------
$ 70,040,270
- ---------------------------------------------------------------------------------------------------
NORTH CAROLINA--0.3%
Rockingham County IDA PCRB Series 1992 for Philip Morris Company(A-1/P-1)
$ 3,960,000 4.00% 01/07/98 $ 3,960,000
- ---------------------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OHIO--2.9%
Franklin County Hospital RB for Holy Cross Health System Series 1995(A-
1+/VMIG1)
$17,500,000 4.15% 01/07/98 $ 17,500,000
Hamilton County Adjustable Rate Hospital Facilities RB Series 1997 B for
The Health Alliance of Greater Cincinnati (MBIA)(A-1+/VMIG1)
26,675,000 3.70(c) 01/07/98 26,675,000
- -----------------------------------------------------------------------------------------------
$ 44,175,000
- -----------------------------------------------------------------------------------------------
OKLAHOMA--0.7%
Muskogee PCRB for Oklahoma Gas and Electric Co. Series 1997 A(A-1+/VMIG1)
$10,000,000 3.90% 01/07/98 $ 10,000,000
- -----------------------------------------------------------------------------------------------
OREGON--0.7%
Clackamas County Hospital TRB Series 1984(A-1+)
$ 4,110,000 3.75% 04/01/98 $ 4,110,000
Lane County PCRB VRDN for Weyerhaeuser Company Series 1994
(A-1)
6,500,000 4.20(c) 01/07/98 6,500,000
- -----------------------------------------------------------------------------------------------
$ 10,610,000
- -----------------------------------------------------------------------------------------------
PENNSYLVANIA--3.1%
Pennsylvania GO Bond Eagle Tax Exempt Trust Class A Series 1994 (AMBAC)(A-
1+C)
$14,400,000 4.27% 01/07/98 $ 14,400,000
Pennsylvania TRANS Series 1997-1998(SP-1+/MIG1)
27,000,000 4.50 06/30/98 27,096,053
Philadelphia School District TRANS Series 1997- 98
(Commerzbank)(SP-1+/MIG1)
6,000,000 4.50 06/30/98 6,017,947
- -----------------------------------------------------------------------------------------------
$ 47,514,000
- -----------------------------------------------------------------------------------------------
SOUTH CAROLINA--0.7%
York County Floating/Fixed Rate PCRB Pooled Series 1984-North Carolina
Electric Membership Corp. VRDN (CFC)(A-1+/MIG1)
$ 1,100,000 3.85% 01/07/98 $ 1,100,000
8,925,000 3.85 01/07/98 8,925,000
- -----------------------------------------------------------------------------------------------
$ 10,025,000
- -----------------------------------------------------------------------------------------------
SOUTH DAKOTA--0.7%
Puttable Floating Option Receipts Series PT-73(A1+C)
$10,240,000 4.25% 01/07/98 $ 10,240,000
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
TEXAS--18.0%
Belton VRDN Series 1993 (Texas Commerce Bank LOC)(P-1)
$ 3,450,000 3.70% 01/07/98 $ 3,450,000
Brazos Harbor IDA VRDN Series 1996 for Monsanto Company
(P-1)
3,500,000 3.80 01/07/98 3,500,000
Brazos River Authority PCRB Series 1994 for Monsanto Company
(A-1/P-1)
5,100,000 3.80 01/07/98 5,100,000
Brazos River Authority VRDN for Monsanto Company(P-1)
5,300,000 3.80 01/07/98 5,300,000
Harris County Health Facility Development Adjustable RB for School of The
Incarnate Word Series 1997 A(A-1+C/VMIG1)
12,500,000 3.70 03/13/98 12,500,000
Harris County Hospital RB for Childrens Hospital Series 1989
B-2(VMIG1)
12,900,000 3.70 01/07/98 12,900,000
Houston GO CP Notes Series A(A-1+/P-1)
25,000,000 3.75 05/13/98 25,000,000
Lower Colorado River Authority CP Notes Series C(A-1+/P-1)
3,500,000 3.75 05/15/98 3,500,000
Nueces River IDA PCRB UPDATE Series 1984 for San Miguel (National Rural
Utilities Cooperative Finance Corp.)(A-1+/VMIG1)
50,700,000 3.70 03/10/98 50,700,000
San Antonio Electric & Gas Systems CP Notes Series A(A-1+/P-1)
15,000,000 3.75 01/15/98 15,000,000
11,000,000 3.75 05/01/98 11,000,000
6,000,000 3.75 05/26/98 6,000,000
San Antonio Electric & Gas System Revenue & Refunding Bonds New Series
1997 Sg 104 & Sg 105(A1+C)
33,000,000 4.25 01/07/98 33,000,000
State of Texas TRANS CP Series 1997B(A-1+/P-1)
5,000,000 3.70 02/25/98 5,000,000
Texas TRANS Series 1997 A(SP-1+/MIG1)
75,600,000 4.75 08/31/98 76,038,639
Travis County Health Facilities Development Variable Rate RB for Charity
Obligation Group Series 1997E(A-1+/VMIG1)
5,100,000 3.65 01/07/98 5,100,000
Waco Health Facilities Development Co. Variable Rate RB for Charity
Obligated Group Series 1997E(A-1+/VMIG1)
4,200,000 3.65 01/07/98 4,200,000
- -----------------------------------------------------------------------------------------------
$ 277,288,639
- -----------------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
17
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT DIVERSIFIED PORTFOLIO (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
UTAH--0.3%
Utah State RB for University of Utah Series 1997A(A-1+/VMIG1)
$ 5,000,000 3.85% 01/07/98 $ 5,000,000
- -----------------------------------------------------------------------------------------------
VIRGINIA--8.5%
Chesapeake IDA PCRB for Virginia Electric & Power Co. Series 1985(A-1/P-1)
$22,000,000 3.80% 03/10/98 $ 22,000,000
Chesterfield County IDA PCRB for Virginia Electric & Power Co. Series
1985(A-1/P-1)
8,000,000 3.85 03/02/98 8,000,000
Chesterfield County IDA PCRB for Virginia Electric & Power Co. Series
1987A(A-1/P-1)
5,000,000 3.80 03/10/98 5,000,000
Chesterfield County IDA PCRB for Virginia Electric & Power Co. Series 1987
C(A-1)
1,000,000 3.90 02/10/98 1,000,000
Chesterfield County PCRB for Virginia Electric & Power Co. Series 1985(A-
1/P-1)
5,200,000 3.90 02/10/98 5,200,000
Louisa PCRB for Virginia Electric & Power Co. Series 1984(A-1/P-1)
3,700,000 3.95 02/13/98 3,700,000
4,000,000 3.80 02/26/98 4,000,000
4,000,000 3.80 02/27/98 4,000,000
4,000,000 3.85 03/17/98 4,000,000
4,000,000 3.85 03/30/98 4,000,000
Richmond VRDN Public Utility Revenue Notes Series A(A-1+/MIG1)
14,000,000 4.20 01/07/98 14,000,000
Roanoke VRDN for Carilion Health Systems Hospital Series A (A-1+/VMIG1)
33,700,000 4.10 01/07/98 33,700,000
Spotsylvania IDA PCRB Series 1993 for Carlisle Corp. (Suntrust Bank
LOC)(AA3)
6,500,000 4.20 01/07/98 6,500,000
York County IDA PCRB for Virginia Electric & Power Co. Series 1985(A-1)
9,400,000 3.90 02/09/98 9,400,000
5,600,000 3.80 03/11/98 5,600,000
- -----------------------------------------------------------------------------------------------
$ 130,100,000
- -----------------------------------------------------------------------------------------------
WASHINGTON--2.1%
Port of Grays Harbor IDA VRDN for Weyerhaeuser Project Series 1992(A-1)
$ 1,000,000 4.20% 01/07/98 $ 1,000,000
Port of Grays Harbor IDA VRDN for Weyerhaeuser Project Series 1993(A-1)
5,850,000 4.20 01/07/98 5,850,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
WASHINGTON (CONTINUED)
Union Gap City IDA VRDN for Weyerhaeuser Project Series 1992
(A-1)
1,600,000 4.20 01/07/98 1,600,000
Washington Health Care Facilities Authority VRDN Series 1996 (Morgan
Guaranty Trust LOC)(VMIG1)
$ 3,000,000 5.10% 01/02/98 $ 3,000,000
Washington Public Power Supply Project Electric RB Series 1993-1A (Bank
of America LOC)(A-1+/VMIG1)
9,000,000 3.75 01/07/98 9,000,000
Washington Public Power Supply System RB Series 1993-1A-2 (Bank of
America National Trust & Savings Association)(A-1+/VMIG1)
9,300,000 3.75 01/07/98 9,300,000
Washington VRDN for Hutchinson Cancer Research Centre Series 1991 A
(Morgan Guaranty Trust LOC)(VMIG1)
3,160,000 5.10 01/02/98 3,160,000
- ---------------------------------------------------------------------------------------------
$ 32,910,000
- ---------------------------------------------------------------------------------------------
WISCONSIN--1.9%
State of Wisconsin Operating Notes Series 1997(SP-1+/MIG1)
$ 6,700,000 4.50% 06/15/98 $ 6,720,268
Wisconsin Health & Educational Facilities Authority Variable Rate RB
Series 1997 (Toronto Dominion Bank)(A-1+/VMIG1)
7,000,000 4.10 01/07/98 7,000,000
Wisconsin Operating Notes Series 1997-2(SP 1+/MIG1)
15,000,000 4.50 06/15/98 15,050,537
- ---------------------------------------------------------------------------------------------
$ 28,770,805
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $1,592,350,288(a)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
(b) When-issued security
(c) Portions of these securities are being segregated for when-issued
securities.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those type of securities.
Security ratings are unaudited.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
18
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT CALIFORNIA PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA-98.2%
California GO CP (A-1/P-1)
$ 5,000,000 3.70% 03/09/98 $ 5,000,000
4,600,000 3.75 03/13/98 4,600,000
California Health Facilities Authority for Kaiser Permanente Series 1993 A
RB(A-1+/VMIG1)
2,000,000 3.45 01/07/98 2,000,000
California Health Facility Finance Authority RB Series 1990 A VRDN
(Rabobank Nederland LOC)(A-1+/VMIG1)
7,300,000 3.50 01/07/98 7,300,000
California PCRB for Pacific Gas & Electric Series 1996F (Banque Nationale
de Paris LOC)(A-1)
28,100,000 4.75 01/02/98 28,100,000
California Pollution Control Financing Authority for Pacific Gas & Electric
TRB Series 1996E (Morgan Guaranty LOC)(A-1+)
4,200,000 3.60 03/02/98 4,200,000
10,000,000 3.65 05/14/98 10,000,000
California Pollution Control Financing Authority for Southern California
Edison Adjustable TRB Series 1986 D(A-1/VMIG1)
2,600,000 4.20 01/02/98 2,600,000
California Pollution Control Financing Authority for Southern California
Edison TRB Series 1986 A(A-1/VMIG1)
10,400,000 4.20 01/02/98 10,400,000
California Pollution Control Financing Authority for Southern California
Edison TRB Series 1986 B(A-1/VMIG1)
5,000,000 4.20 01/02/98 5,000,000
California Pollution Control Financing Authority for Southern California
Edison TRB Series 1986 C(A-1/VMIG1)
2,800,000 4.20 01/02/98 2,800,000
California Revenue Anticipation Notes Series 1997 (SP 1+/MIG1)
10,000,000 4.50 06/30/98 10,031,007
California School Cash Reserve Program, 1997 Pool Bonds Series A(AMBAC)(SP
1+/MIG1)
14,900,000 4.75 07/02/98 14,965,638
California State Puttable Floating Option Receipts Series
Pt-1001 (FGIC)(A-1+)
18,870,000 4.20 01/07/98 18,870,000
California Statewide Communities Development Authority for Kaiser
Foundation Hospital 1995 COPS(A-1+/MIG1)
5,200,000 3.45 01/07/98 5,200,000
California Statewide Communities Development Authority Refunding RB Series
1995(A-1+)
700,000 3.45 01/07/98 700,000
California Statewide Communities Development Authority Refunding RB Series
1995A-2(A-1+)
8,000,000 3.45 01/07/98 8,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
California Statewide Communities Development Authority Series 1995A-1(A-1+)
$14,200,000 3.45% 01/07/98 $ 14,200,000
City of Berkely TRANS Series 1997 (MIG1)
14,500,000 4.25 09/09/98 14,540,294
City of Fresno MF Hsg. Revenue Refunding Bonds Series 1996 A (First
Interstate Bank of California LOC)(VMIG1)
3,315,000 3.65 01/07/98 3,315,000
City of Irwindale IDRB Series 1984 for Toys-R-Us VRDN (Bankers Trust
LOC)(A1)
2,000,000 4.28 01/07/98 2,000,000
City of Los Angeles VRDN MF Hsg. Museum Terrace-84H (Bank of America
LOC)(VMIG1)
4,000,000 3.65 01/07/98 4,000,000
City of Newport Beach Floating/Fixed Rate Health Facilities Memorial
Hospital Facility VRDN(A-1+/VMIG1)
10,050,000 5.00 01/02/98 10,050,000
City of Newport Beach VRDN RB Series 1996 B(A-1+)
1,000,000 5.00 01/02/98 1,000,000
City of San Diego MF Hsg. for Lacima Apartments VRDN (Citibank LOC)(VMIG1)
12,725,000 3.90 01/07/98 12,725,000
City of San Diego MF Hsg. for Nobel Court Apartments VRDN (Citibank
LOC)(VMIG1)
11,355,000 3.90 01/07/98 11,355,000
City of San Diego VRDN MF Hsg. RB Series 1985 (Swiss Bank LOC)(VMIG1)
15,700,000 3.85 01/07/98 15,700,000
Contra Costa MF Hsg. for Lakeshore Apartments VRDN(A-1+)
4,500,000 3.35 01/07/98 4,500,000
East Bay Municipal Utility District Water & Wastewater CP (A-1+/P-1)
9,300,000 3.70 04/08/98 9,300,000
6,000,000 3.65 04/09/98 6,000,000
Fremont MF Hsg. RB Series 1985 D (Krediet Bank LOC)(VMIG1)
14,400,000 3.90 01/07/98 14,400,000
Huntington Beach City Monthly MF Hsg. VRDN Series 1985 A (Bank of America
LOC)(VMIG1)
7,500,000 4.00 01/07/98 7,500,000
Kings County Housing Authority MF Hsg. Refunding RB Series 1996 A (Wells
Fargo) (VMIG1)
6,655,000 3.65 01/07/98 6,655,000
Los Angeles County Metro TRANS Authority VRDN (MBIA)(A-1+/MIG1)
8,095,000 3.85 01/07/98 8,095,000
</TABLE>
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT CALIFORNIA PORTFOLIO (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
Los Angeles Metro Transportation Authority CP Series A (National
Westminster Bank Plc/Bayerische Vereinsbank Ag/Canadian Imperial Bank of
Commerce)(A-1/P-1)
$10,000,000 3.70% 04/22/98 $ 10,000,000
Los Angeles TRANS Series 1997-98 A (SP 1+/MIG1)
26,100,000 4.50 06/30/98 26,179,939
Los Angeles Unified School District TRANS Series 1997-98 A (SP 1+/MIG1)
5,000,000 4.50 10/01/98 5,022,979
Los Angeles Unified School District Variable Rate Certificates of
Participation (Belmont Learning Complex) 1997 Series A(Commerzbank
AG)(VMIG1)
10,000,000 3.40 01/07/98 10,000,000
Los Angeles Wastewater System CP Revenue Notes(Morgan Guaranty Trust
Company of New York/Union Bank of Switzerland)(A-1+/P-1)
4,000,000 3.80 02/18/98 4,000,000
MSR Public Power Agency RB Series 1997 D (MBIA)(A-1+/VMIG1)
19,000,000 3.85 01/07/98 19,000,000
MSR Public Power Agency RB Series 1997 E (MBIA)(A-1+/VMIG1)
5,000,000 3.85 01/07/98 5,000,000
Newport Beach VRDN RB Series 1996 A(A-1+)
5,300,000 5.00 01/02/98 5,300,000
Newport Beach VRDN RB Series 1996 C For Hoag Memorial Hospital (A-1+)
19,600,000 5.00 01/02/98 19,600,000
Northern California Power Agency Geothermal Project Number 3 Adjustable
Rate RB Series 1996 A (AMBAC)(A-1+/VMIG1)
8,500,000 3.35 01/07/98 8,500,000
Orange County Apartment Development for Seaside Meadow RB Series 1984C
(Krediet Bank LOC)(A-1/VMIG1)
24,000,000 3.90 01/07/98 24,000,000
Orange County Apartment Development Revenue Refunding Bonds, Larkspur
Canyon Apartments Issue A of 1997(AAA)
6,635,000 3.35 01/07/98 6,635,000
Palo Alto Unified School District Series 1997 Sga 53, Municipal Securities
Trust Receipts(A-1+)
9,830,000 3.60 01/07/98 9,830,000
Sacramento County 1990 COP Admin-Center Courthouse Project VRDN (Union Bank
of Switzerland LOC)(A-1+/VMIG1)
5,800,000 3.80 01/07/98 5,800,000
Sacramento County MF Hsg. Revenue Refunding Bonds for Stone Creek
Apartments (FNMA) (A-1+)
5,950,000 3.95 01/07/98 5,950,000
Sacramento County TRANS Series 1997 (SP 1+/MIG1)
3,000,000 4.50 09/30/98 3,015,464
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
San Bernardino County VRDN--Woodview Apartments Series 1985 (Swiss Bank
LOC)(VMIG1)
$ 6,500,000 3.85% 01/07/98 $ 6,500,000
San Diego City MF Hsg. Revenue Refunding Bonds, Series 1993E (Carmel Del
Mar Apartments Project)(Citibank NA)(A-1+)
3,000,000 4.00 01/07/98 3,000,000
San Diego County MF Hsg. for Country Hills VRDN (FNMA)(A-1+)
10,100,000 3.40 01/07/98 10,100,000
San Francisco Redevelopment Agency VRDN MFH RB for Bayside Village Series
1985 A (Industrial Bank of Japan Limited LOC) (VMIG1)
10,000,000 4.25 01/07/98 10,000,000
San Leandro MF Hsg. VRDN Series 1985 B-Haas Avenue Apartments (Bank of
America LOC)(VMIG1)
3,900,000 3.65 01/07/98 3,900,000
San Diego County Sales Tax Revenue CP Series A(A-1+/P-1)
10,800,000 3.80 02/13/98 10,800,000
2,300,000 3.60 03/02/98 2,300,000
3,000,000 3.75 03/09/98 3,000,000
Southern California Metropolitan Water District Revenue Refunding Bonds
Series 1996 A (AMBAC)(A-1+/VMIG1)
5,940,000 3.85 01/07/98 5,940,000
Southern California Public Power Authority 1991 Subordinated Revenue
Refunding Bonds (AMBAC)(A-1+/VMIG1)
9,100,000 3.35 01/07/98 9,100,000
Southern California Public Power Authority Power Project RB Series 1996 B
(AMBAC)(A-1+/VMIG1)
5,900,000 3.35 01/07/98 5,900,000
Southern California Public Power Authority Power Project RB Series 1996 C
(AMBAC)(A-1+/VMIG1)
12,300,000 3.35 01/07/98 12,300,000
Southern California Metro Water District CP Series A (A-1+/P-1)
5,400,000 3.60 03/12/98 5,400,000
2,000,000 3.70 05/12/98 2,000,000
Southern California Metro Water District CP Series B (A-1+/P-1)
13,000,000 3.65 04/09/98 13,000,000
Triunfo Sanitation District VRDN Refunding RB Series 1994 (Banque
Nationale de Paris LOC)(A-1)
3,700,000 3.60 01/07/98 3,700,000
Tulare-Porterville Schools Finance Authority COPS (Union Bank of
California LOC)(A-1/VMIG1)
7,515,000 4.35 01/07/98 7,515,000
University of California CP, Series A (A-1+/P-1)
2,400,000 3.60 04/22/98 2,400,000
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT
NEW YORK PORTFOLIO
December 31, 1997
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CALIFORNIA (CONTINUED)
University of California Trust Receipts Series 1997 D (MBIA)(VMIG1)
$10,905,000 3.80% 01/07/98 $10,905,000
- ------------------------------------------------------------------------------------------------
$580,695,321
- ------------------------------------------------------------------------------------------------
PUERTO RICO--1.3%
Commonwealth of Puerto Rico TRANS Series 1998A (SP 1+/MIG1)
$ 1,000,000 4.50% 07/30/98 $ 1,004,555
Puerto Rico Government Development Bank CP (A-1+)
3,200,000 3.65 03/16/98 3,200,000
3,700,000 3.70 05/13/98 3,700,000
- ------------------------------------------------------------------------------------------------
$ 7,904,555
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $588,599,876(a)
- ------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK--94.8%
Brentwood Union Free School District TANS 1997(MIG1)
$ 3,250,000 4.25% 06/30/98 $ 3,256,450
City of Yonkers IDA RB for Consumers (Credit Local De France LOC)(VMIG1)
2,600,000 3.50 01/02/98 2,600,000
City of Yonkers IDA Series 1991 Civic Facility RB (Credit Local De France
LOC)(VMIG1)
2,800,000 3.50 01/02/98 2,800,000
Great Neck North Water Authority Water System RB Series 1993 A VRDN
(FGIC)(A-1+/VMIG1)
6,100,000 3.70 01/07/98 6,100,000
Guggenheim Foundation (West Deutsche/Landesbank Girozentrale LOC)(A-
+/VMIG1)
3,900,000 4.75 01/02/98 3,900,000
Metropolitan Museum of Art Variable Rate Interest Bonds (A-1+/VMIG1)
1,485,000 3.50 01/07/98 1,485,000
Municipal Assistance Corporation for The City of New York, Series K,
Subseries K-2 (Bayerische Landesbank Girozentrale LOC)(A-1+/VMIG1)
4,700,000 3.55 01/07/98 4,700,000
Nassau County Combined Sewer Districts RB Series 1988A (MBIA)(AAA/AAA)
1,355,000 6.70 07/15/98 1,402,495
Nassau County IDA Civic Facility RB Cold Spring Harbor Labs Series 1989
VRDN (Morgan Guaranty Trust LOC)(A-1+)
900,000 4.85 01/02/98 900,000
Nassau County RANS, Series B (SP-1/MIG1)
5,000,000 4.50 04/10/98 5,008,419
Nassau County TANS, Series 1997C(SP-1)
1,000,000 4.25 12/22/98 1,003,930
New York City GO Bonds Series 1994E (Morgan Guaranty Trust LOC)(A-1/VMIG1)
200,000 5.00 01/02/98 200,000
New York City GO Fiscal 1995 Series B-6 (MBIA)(A-1+/VMIG1)
2,100,000 5.00 01/07/98 2,100,000
New York City GO RANS Fiscal 1998 Series A (National Westminster
Bank/Morgan Guaranty Trust/Bayerische Landesbank Girozentrale/Westdeutsche
Landesbank Girozentrale/Societe Generale/Landesbank LOC)(A-1+/MIG1)
3,000,000 4.50 06/30/98 3,010,088
New York City Health & Hospitals Corporation, Health System Bonds, 1997
Series B (Canadian Imperial Bank of Commerce)(A-1+/VMIG1)
7,500,000 3.55 01/07/98 7,500,000
New York City IDA--Civic Facility RB 1989 National Audubon Society, Inc.
(Credit Local De France LOC)(A-1+)
3,000,000 4.75 01/02/98 3,000,000
</TABLE>
21
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA TAX-EXEMPT NEW YORK PORTFOLIO (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK (CONTINUED)
New York City IDA for Columbia Grammar Prep School VRDN
(Chase Manhattan Bank LOC)(A-1)
$ 3,200,000 3.60% 01/07/98 $ 3,200,000
New York City Municipal Water Finance Authority CP Notes Series 5 Lot B
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank
Girozentrale/Landesbank Hessen-thueringen Girozentrale)(A-1+/P-1)
2,500,000 3.75 04/13/98 2,500,000
New York City Municipal Water Finance Authority CP Series 3 (Toronto
Dominion Bank/Bank of Nova Scotia LOC)(A-1+/P-1)
2,500,000 3.75 02/26/98 2,500,000
New York City Water Finance Authority CP Series 4 (Credit Suisse First
Boston)(A-1+/P-1)
1,000,000 3.70 02/27/98 1,000,000
New York City Puttable GO Bonds Fiscal 1995 Series D (MBIA)
(VMIG1)
3,800,000 4.15 01/07/98 3,800,000
New York City Trust for Cultural Resources American Museum of Natural
History Adjustable Rate TRB VRDN (MBIA)(A-1+/VMIG1)
1,000,000 3.55 01/07/98 1,000,000
New York State Energy Research & Development Authority PCRB for Brooklyn
Union Gas Series 1997 A-1 (MBIA)(A-1+/VMIG1)
2,000,000 3.70 01/07/98 2,000,000
New York State Energy Research & Development Authority for Long Island
Lighting Co. VRDN (Toronto Dominion Bank LOC)
(VMIG1)
3,000,000 3.85 01/07/98 3,000,000
New York State Energy Research and Development Authority for Orange and
Rockland Utilities Series 1995 A VRDN (AMBAC)(A-1+/VMIG1)
400,000 3.55 01/02/98 400,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Series 1994 D (Union Bank of Switzerland LOC)(A-
1+/VMIG1)
2,800,000 5.00 01/02/98 2,800,000
New York State Energy Research & Development Authority PCRB Series A & B--
Central Hudson Gas & Electric VRDN (Deutsche Bank LOC)(P-1)
1,300,000 3.95 01/07/98 1,300,000
New York State Floating Rate Trust Receipts Series 1997(A-1C/VMIG1)
300,000 4.00 01/07/98 300,000
New York State Housing Finance Agency for Normandie Court Housing RB
Series 1987 A (Fleet Bank LOC)(VMIG1)
4,800,000 4.00 01/07/98 4,800,000
New York State Local Government Assistance Series 1995 B VRDN (Bank of
Nova Scotia LOC)(A-1+/VMIG1)
3,000,000 3.55 01/07/98 3,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK (CONTINUED)
New York State Local Government Series C VRDN (Landesbank Hessen-
Thueringen Girozentrale LOC)(A-1+/VMIG1)
$ 2,400,000 3.55% 01/07/98 $ 2,400,000
New York State Local Government Series G VRDN (National Westminster Bank
LOC)(A-1+/VMIG1)
300,000 3.55 01/07/98 300,000
New York State Local Government VRDN Series 1995 F (Toronto Dominion Bank
LOC)(A-1+/VMIG1)
1,100,000 3.50 01/07/98 1,100,000
New York State Medical Care Facility Financing Agency for Children's
Hospital of Buffalo RB Series 1991 A (Barclays Bank LOC)(VMIG1)
4,000,000 3.70 01/07/98 4,000,000
New York State Triborough Bridge & Tunnel Authority VRDN (FGIC)(A-
1+/VMIG1)
3,400,000 3.55 01/07/98 3,400,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Series 1985 A (Morgan Guaranty LOC)(A-1+)
3,000,000 3.65 03/15/98 3,000,000
New York State Energy Research & Development Authority PCRB for Orange and
Rockland Utilities Series 1994 A (Financial Guaranty Insurance
Company)(A-1+/VMIG1)
600,000 3.55 01/07/98 600,000
New York State Energy Research & Development Authority RB for Brooklyn
Union Gas Series 1997 Series A-2 (MBIA) (A-1+/VMIG1)
1,800,000 3.60 01/07/98 1,800,000
New York State Environmental Quality 1986 Variable Interest Rate GO Bonds
Series 1997A(Bayerische Landesbank Girozentrale/Landesbank Hessen-
Thueringen Girozentrale)(A-1+/VMIG1)
2,000,000 3.70 04/22/98 2,000,000
3,000,000 3.70 05/26/98 3,000,000
New York State Housing Finance Agency for Related-Liberty View Apartments
Housing Rd Series 1997 A (Federal National Mortgage Association)(A-1+)
5,000,000 3.55 01/07/98 5,000,000
New York State Housing Finance Agency for Tribeca Park Housing RB Series
1997 A (Bayerische Hypotheken-und Wechsel-Bank LOC)(VMIG1)
5,000,000 4.10 01/07/98 5,000,000
Oswego County IDA PCRB Series 1992 for Philip Morris(A-1/P-1)
1,000,000 3.85 01/07/98 1,000,000
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW YORK (CONTINUED)
Port Authority of New York And New Jersey Floating Rate Trust Receipts
(FSA)(A-1/VMIG1)
$ 6,000,000 4.00% 01/07/98 $ 6,000,000
Rensselaer County IDA RB for Rensselaer Polytechnic Institute Series
1997A(VMIG1)
4,440,000 4.10 01/07/98 4,440,000
Syracuse University IDA VRDN (Morgan Guaranty LOC)(A-1+/VMIG1)
4,300,000 4.75 01/02/98 4,300,000
- ------------------------------------------------------------------------------------------------
$127,906,382
- ------------------------------------------------------------------------------------------------
PUERTO RICO--4.8%
Puerto Rico Government Development Bank, TECP(A-1+/NR)
$ 1,500,000 3.70% 04/09/98 $ 1,500,000
2,000,000 3.70 05/12/98 2,000,000
Puerto Rico Medical & Environmental PCRB Series 1983 A for Key
Pharmaceuticals (Morgan Guaranty) (AAA)
3,000,000 3.75 12/01/98 2,998,627
- ------------------------------------------------------------------------------------------------
$ 6,498,627
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS $134,405,009(a)
- ------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or, for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
INVESTMENT ABBREVIATIONS:
<TABLE>
<C> <S>
ACES --Adjustable Convertible Extendible Securities
AMBAC --Insured by American Municipal Bond Assurance Corp.
BANS --Bond Anticipation Notes
COPS --Certificates of Participation
CP --Commercial Paper
FGIC --Insured by Financial Guaranty Insurance Co.
GO --General Obligation
IDA --Industrial Development Authority
IDB --Industrial Development Bond
IDRB --Industrial Development Revenue Bond
LOC --Letter of Credit
MBIA --Insured by Municipal Bond Investors Assurance
MF Hsg. --Multi-Family Housing
PCRB --Pollution Control Revenue Bond
RANS --Revenue Anticipation Notes
RB --Revenue Bond
TANS --Tax Anticipation Notes
TECP --Tax Exempt Commercial Paper
TRANS --Tax Revenue Anticipation Notes
TRB --Tender Revenue Bond
UPDATE --Unit Priced Daily Adjustable Tax-Exempt Security
VRDN --Variable Rate Demand Note
</TABLE>
- --------------------------------------- ---------------------------------------
23
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at value
based on amortized cost $974,606,226 $1,147,485,683 $565,903,253
Receivable for investments sold -- -- --
Interest receivable 7,554,296 8,003,135 3,028,806
Cash 78,548 28,630 322,631
Other assets 75,149 66,751 31,348
- ------------------------------------------------------------------------------
TOTAL ASSETS 982,314,219 1,155,584,199 569,286,038
- ------------------------------------------------------------------------------
LIABILITIES:
Payable for investment securities
purchased -- 14,998,553 11,982,600
Dividends payable 5,409,153 5,942,595 2,555,812
Due to bank -- -- --
Accrued expenses and other liabili-
ties 563,009 550,354 299,510
- ------------------------------------------------------------------------------
TOTAL LIABILITIES 5,972,162 21,491,502 14,837,922
- ------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 976,343,682 1,134,092,697 554,392,483
Accumulated undistributed net in-
vestment income -- -- 2,840
Accumulated undistributed net
realized gain (loss) on investment
transactions (1,625) -- 52,793
- ------------------------------------------------------------------------------
NET ASSETS $976,342,057 $1,134,092,697 $554,448,116
- ------------------------------------------------------------------------------
Net asset value, offering and re-
demption price per unit
(net assets/units outstanding) $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
UNITS OUTSTANDING:
ILA units 866,405,891 806,095,979 460,423,182
ILA Administration units 28,147,490 307,480,205 10,182,126
ILA Service units 78,319,515 20,516,513 83,787,175
ILA B units 1,573,829 -- --
ILA C units 1,896,957 -- --
- ------------------------------------------------------------------------------
Total units of beneficial interest
outstanding, $.001 par value (un-
limited number of units autho-
rized) 976,343,682 1,134,092,697 554,392,483
- ------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
24
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA ILA ILA ILA
TREASURY TREASURY ILA TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT
OBLIGATIONS INSTRUMENTS FEDERAL DIVERSIFIED CALIFORNIA NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$819,773,645 $715,872,520 $2,694,905,170 $1,592,350,288 $588,599,876 $134,405,009
-- -- -- -- -- 1,002,737
2,580,192 11,406,880 7,279,210 10,043,125 4,101,398 877,902
13,224 335,893 219,601 2,475,073 532,189 --
10,726 24,199 37,011 78,912 17,602 6,207
- ---------------------------------------------------------------------------------------
822,377,787 727,639,492 2,702,440,992 1,604,947,398 593,251,065 136,291,855
- ---------------------------------------------------------------------------------------
-- -- 75,000,000 61,275,000 -- --
3,306,307 2,983,665 11,601,478 5,082,002 1,635,248 368,540
-- -- -- -- -- 988,622
398,205 344,285 739,651 624,558 250,642 52,453
- ---------------------------------------------------------------------------------------
3,704,512 3,327,950 87,341,129 66,981,560 1,885,890 1,409,615
- ---------------------------------------------------------------------------------------
818,673,229 724,307,077 2,615,099,480 1,537,792,596 591,383,369 134,887,125
4,678 2,506 -- 362,642 10,495 1,634
(4,632) 1,959 383 (189,400) (28,689) (6,519)
- ---------------------------------------------------------------------------------------
$818,673,275 $724,311,542 $2,615,099,863 $1,537,965,838 $591,365,175 $134,882,240
- ---------------------------------------------------------------------------------------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------
590,278,995 330,237,533 2,050,535,778 1,479,581,838 591,021,540 102,890,525
124,230,332 98,664,287 530,026,646 27,967,106 360,320 31,995,090
104,163,902 295,405,257 34,537,056 30,510,544 1,509 1,510
-- -- -- -- -- --
-- -- -- -- -- --
- ---------------------------------------------------------------------------------------
818,673,229 724,307,077 2,615,099,480 1,538,059,488 591,383,369 134,887,125
- ---------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
25
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest Income $71,347,525 $69,192,244 $35,986,975
- ------------------------------------------------------------------------------
EXPENSES:
Management fees 4,412,869 4,269,169 2,258,653
Transfer agent fees 535,142 487,902 258,132
Custodian fees 270,096 202,633 121,357
Professional fees 48,881 24,075 29,152
Trustees' fees 17,422 9,957 8,107
Other 140,409 79,371 44,270
- ------------------------------------------------------------------------------
TOTAL EXPENSES 5,424,819 5,073,107 2,719,671
Less--Expenses reimbursable and fees
waived by Goldman Sachs (160,669) (592,281) (30,990)
- ------------------------------------------------------------------------------
Net Expenses 5,264,150 4,480,826 2,688,681
Administration unit fees 117,600 510,535 66,034
Service unit fees 300,300 40,053 342,976
- ------------------------------------------------------------------------------
NET EXPENSES AND UNIT FEES 5,682,050 5,031,414 3,097,691
- ------------------------------------------------------------------------------
NET INVESTMENT INCOME 65,665,475 64,160,830 32,889,284
- ------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON INVESTMENT
TRANSACTIONS 7,264 7,828 39,273
- ------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $65,672,739 $64,168,658 $32,928,557
- ------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA ILA ILA ILA
TREASURY TREASURY ILA TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT
OBLIGATIONS INSTRUMENTS FEDERAL DIVERSIFIED CALIFORNIA NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$42,476,661 $41,956,511 $150,831,476 $60,259,120 $18,148,019 $4,024,935
- -----------------------------------------------------------------------------
2,682,436 2,802,009 9,555,781 5,788,344 1,803,245 394,631
306,564 320,230 1,092,179 661,525 206,085 45,100
151,972 151,227 402,941 119,196 48,325 20,563
22,843 17,511 50,420 47,886 12,163 5,498
8,079 4,584 19,867 17,105 3,589 985
33,642 71,848 122,624 152,488 101,159 25,739
- -----------------------------------------------------------------------------
3,205,536 3,367,409 11,243,812 6,786,544 2,174,566 492,516
(6,756) (1,632,054) (3,970,362) (1,544,933) (21,406) (119,295)
- -----------------------------------------------------------------------------
3,198,780 1,735,355 7,273,450 5,241,611 2,153,160 373,221
311,981 296,919 1,119,368 119,510 508 46,589
361,567 1,020,955 209,156 102,409 2 2
- -----------------------------------------------------------------------------
3,872,328 3,053,229 8,601,974 5,463,530 2,153,670 419,812
- -----------------------------------------------------------------------------
38,604,333 38,903,282 142,229,502 54,795,590 15,994,349 3,605,123
- -----------------------------------------------------------------------------
68,700 83,128 74,776 (15,310) 1,331 --
- -----------------------------------------------------------------------------
$38,673,033 $38,986,410 $142,304,278 $54,780,280 $15,995,680 $3,605,123
- -----------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
27
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO (a) PORTFOLIO PORTFOLIO
--------------------------------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 65,665,475 $ 64,160,830 $ 32,889,284
Net realized gain (loss)
on investment transac-
tions 7,264 7,828 39,273
- -------------------------------------------------------------------------------
Net increase in net as-
sets resulting from op-
erations 65,672,739 64,168,658 32,928,557
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
ILA units (59,354,126) (47,350,587) (27,429,780)
ILA Administration units (1,861,296) (15,644,221) (905,728)
ILA Service units (4,418,670) (1,166,022) (4,550,936)
ILA B units (26,790) -- --
ILA C units (4,593) -- --
Net realized gain on in-
vestment transactions
ILA units (7,654) (6,079) (48,379)
ILA Administration units (240) (2,008) (1,597)
ILA Service units (570) (150) (8,027)
ILA B units (3) -- --
ILA C units (1) -- --
- -------------------------------------------------------------------------------
Total distributions to
unitholders (65,673,943) (64,169,067) (32,944,447)
- -------------------------------------------------------------------------------
FROM UNIT TRANSACTIONS
(AT $1.00 PER UNIT):
Proceeds from sales of
units 8,100,238,207 10,177,000,201 3,631,302,781
Reinvestment of dividends
and distributions 36,672,387 54,788,884 17,235,209
Cost of units repurchased (8,424,145,429) (10,086,895,886) (3,919,007,935)
- -------------------------------------------------------------------------------
Increase (decrease) in
net assets resulting
from unit transactions (287,234,835) 144,893,199 (270,469,945)
- -------------------------------------------------------------------------------
Total increase (de-
crease) (287,236,039) 144,892,790 (270,485,835)
NET ASSETS:
Beginning of year 1,263,578,096 989,199,907 824,933,951
- -------------------------------------------------------------------------------
End of year $ 976,342,057 $ 1,134,092,697 $ 554,448,116
- -------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- $ 2,840
- -------------------------------------------------------------------------------
SUMMARY OF UNIT TRANSAC-
TIONS (AT $1.00 PER
UNIT)
ILA UNITS:
Units sold 6,992,549,668 6,229,278,910 3,133,684,985
Reinvestment of divi-
dends and distributions 32,469,384 40,419,776 13,509,545
Units repurchased (7,313,358,850) (6,166,699,293) (3,381,375,693)
- -------------------------------------------------------------------------------
(288,339,798) 102,999,393 (234,181,163)
- -------------------------------------------------------------------------------
ILA ADMINISTRATION UNITS:
Units sold 305,758,205 3,772,593,876 76,180,173
Reinvestment of divi-
dends and distributions 1,666,739 14,007,620 255,167
Units repurchased (303,053,312) (3,736,379,689) (102,298,068)
- -------------------------------------------------------------------------------
4,371,632 50,221,807 (25,862,728)
- -------------------------------------------------------------------------------
ILA SERVICE UNITS:
Units sold 793,008,962 175,127,415 421,437,623
Reinvestment of divi-
dends and distributions 2,516,141 361,488 3,470,497
Units repurchased (801,916,230) (183,816,904) (435,334,174)
- -------------------------------------------------------------------------------
(6,391,127) (8,328,001) (10,426,054)
- -------------------------------------------------------------------------------
Net increase (decrease)
in units (290,359,293)* 144,893,199 (270,469,945)
- -------------------------------------------------------------------------------
</TABLE>
* In addition, ILA B units had sales, reinvestments of dividends and
distributions and repurchases of 6,341,071, 19,157 and 5,132,727 units,
respectively, for a net increase of 1,227,501 units. ILA C units had sales,
reinvestments of dividends and distributions and repurchases of 2,580,301,
966 and 684,310 units, respectively, for a net increase of 1,896,957 units.
(a) ILA Prime Obligations Portfolio C unit activity commenced on August 15,
1997.
(b) ILA Tax-Exempt California Portfolio and ILA Tax-Exempt New York Portfolio
Service unit activity commenced on September 15, 1997.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA ILA
ILA ILA TAX- TAX- TAX-
TREASURY TREASURY ILA EXEMPT EXEMPT EXEMPT
OBLIGATIONS INSTRUMENTS FEDERAL DIVERSIFIED CALIFORNIA NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO (b) PORTFOLIO (b)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 38,604,333 $ 38,903,282 $ 142,229,502 $ 54,795,590 $ 15,994,349 $ 3,605,123
68,700 83,128 74,776 (15,310) 1,331 --
- -----------------------------------------------------------------------------------------------------
38,673,033 38,986,410 142,304,278 54,780,280 15,995,680 3,605,123
- -----------------------------------------------------------------------------------------------------
(27,001,884) (20,917,629) (106,705,052) (52,227,688) (15,984,157) (2,645,413)
(5,544,143) (4,217,185) (30,190,717) (1,423,227) (10,180) (959,697)
(6,053,628) (13,765,962) (5,333,733) (1,144,675) (12) (13)
-- -- -- -- -- --
-- -- -- -- -- --
(72,833) (51,900) (4,171) -- -- --
(14,954) (10,463) (1,180) -- -- --
(16,329) (34,156) (209) -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------
(38,703,771) (38,997,295) (142,235,062) (54,795,590) (15,994,349) (3,605,123)
- -----------------------------------------------------------------------------------------------------
5,211,063,367 3,670,371,899 16,814,872,375 9,843,836,580 3,353,570,112 827,650,114
13,130,596 16,821,105 103,222,618 43,365,293 14,638,737 3,317,213
(5,212,556,500) (4,193,476,260) (17,593,694,622) (9,951,681,538) (3,217,463,359) (810,579,568)
- -----------------------------------------------------------------------------------------------------
11,637,463 (506,283,256) (675,599,629) (64,479,665) 150,745,490 20,387,759
- -----------------------------------------------------------------------------------------------------
11,606,725 (506,294,141) (675,530,413) (64,494,975) 150,746,821 20,387,759
807,066,550 1,230,605,683 3,290,630,276 1,602,460,813 440,618,354 114,494,481
- -----------------------------------------------------------------------------------------------------
$ 818,673,275 $ 724,311,542 $ 2,615,099,863 $ 1,537,965,838 $ 591,365,175 $ 134,882,240
- -----------------------------------------------------------------------------------------------------
$ 4,678 $ 2,506 -- $ 362,642 $ 10,495 $ 1,634
- -----------------------------------------------------------------------------------------------------
3,424,838,381 2,560,753,797 12,019,743,098 9,577,662,569 3,352,291,159 495,921,548
11,264,434 15,705,121 86,047,218 42,436,074 14,638,445 2,353,341
(3,420,432,815) (2,955,211,656) (12,358,958,269) (9,655,040,327) (3,216,403,921) (465,562,390)
- -----------------------------------------------------------------------------------------------------
15,670,000 (378,752,738) (253,167,953) (34,941,684) 150,525,683 32,712,499
- -----------------------------------------------------------------------------------------------------
878,884,012 330,854,584 4,080,488,784 87,602,648 1,277,453 331,727,066
510,538 973,977 15,900,268 171,471 283 963,862
(864,080,649) (370,865,445) (4,360,940,804) (118,904,272) (1,059,438) (345,017,178)
- -----------------------------------------------------------------------------------------------------
15,313,901 (39,036,884) (264,551,752) (31,130,153) 218,298 (12,326,250)
- -----------------------------------------------------------------------------------------------------
907,340,974 778,763,518 714,640,493 178,571,363 1,500 1,500
1,355,624 142,007 1,275,132 757,748 9 10
(928,043,036) (867,399,159) (873,795,549) (177,736,939) -- --
- -----------------------------------------------------------------------------------------------------
(19,346,438) (88,493,634) (157,879,924) 1,592,172 1,509 1,510
- -----------------------------------------------------------------------------------------------------
11,637,463 (506,283,256) (675,599,629) (64,479,665) 150,745,490 20,387,759
- -----------------------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
29
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA
PRIME MONEY ILA
OBLIGATIONS MARKET GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------
<S> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 75,135,513 $ 50,329,934 $ 35,679,612
Net realized gain (loss)
on investment transac-
tions 72,405 72,865 62,662
- -------------------------------------------------------------------------------
Net increase in net as-
sets resulting from op-
erations 75,207,918 50,402,799 35,742,274
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
ILA units (67,076,054) (38,261,044) (29,556,990)
ILA Administration units (2,206,827) (10,545,315) (2,048,010)
ILA Service units (5,850,540) (1,523,575) (4,074,612)
ILA B units (2,092) -- --
Net realized gain on in-
vestment transactions
ILA units (65,059) (54,983) (38,029)
ILA Administration units (2,127) (15,267) (2,635)
ILA Service units (5,640) (2,206) (5,242)
- -------------------------------------------------------------------------------
Total distributions to
unitholders (75,208,339) (50,402,390) (35,725,518)
- -------------------------------------------------------------------------------
FROM UNIT TRANSACTIONS (AT
$1.00 PER UNIT):
Proceeds from sales of
units 9,633,671,566 8,281,604,075 5,115,245,365
Reinvestment of dividends
and distributions 40,414,429 38,191,105 17,312,306
Cost of units repurchased (9,962,009,233) (8,092,253,028) (5,011,078,568)
- -------------------------------------------------------------------------------
Increase (decrease) in
net assets resulting
from unit transactions (287,923,238) 227,542,152 121,479,103
- -------------------------------------------------------------------------------
Total increase (decrease) (287,923,659) 227,542,561 121,495,859
NET ASSETS:
Beginning of year 1,551,501,755 761,657,346 703,438,092
- -------------------------------------------------------------------------------
End of year $ 1,263,578,096 $ 989,199,907 $ 824,933,951
- -------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- --
- -------------------------------------------------------------------------------
SUMMARY OF UNIT TRANSAC-
TIONS (AT $1.00 PER
UNIT):
ILA UNITS:
Units sold 8,756,241,159 5,161,953,773 4,490,979,392
Reinvestment of dividends
and distributions 36,833,028 30,348,683 13,978,786
Units repurchased (8,899,537,496) (5,063,361,343) (4,380,790,567)
- -------------------------------------------------------------------------------
(106,463,309) 128,941,113 124,167,611
- -------------------------------------------------------------------------------
ILA ADMINISTRATION UNITS:
Units sold 318,656,203 2,902,067,359 220,574,807
Reinvestment of dividends
and distributions 1,520,549 7,510,848 283,223
Units repurchased (359,456,201) (2,816,742,074) (232,371,387)
- -------------------------------------------------------------------------------
(39,279,449) 92,836,133 (11,513,357)
- -------------------------------------------------------------------------------
ILA SERVICE UNITS:
Units sold 558,266,701 217,582,943 403,691,166
Reinvestment of dividends
and distributions 2,060,072 331,574 3,050,297
Units repurchased (702,853,581) (212,149,611) (397,916,614)
- -------------------------------------------------------------------------------
(142,526,808) 5,764,906 8,824,849
- -------------------------------------------------------------------------------
Net increase (decrease) in
units (288,269,566)* 227,542,152 121,479,103
- -------------------------------------------------------------------------------
</TABLE>
* In addition, ILA B units had sales, reinvestments of dividends and
distributions and repurchases of 507,503, 780 and 161,955 units,
respectively, for a net increase of 346,328 units.
---------------------------------------
- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ILA ILA ILA ILA ILA
TREASURY TREASURY ILA TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT
OBLIGATIONS INSTRUMENTS FEDERAL DIVERSIFIED CALIFORNIA NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 44,242,234 $ 50,019,031 $ 137,805,192 $ 49,128,456 $ 12,042,847 $ 3,053,285
195,578 416,602 (4,477) (12,968) 15 (4,539)
- -----------------------------------------------------------------------------------------------------
44,437,812 50,435,633 137,800,715 49,115,488 12,042,862 3,048,746
- -----------------------------------------------------------------------------------------------------
(32,818,890) (30,911,761) (101,011,206) (46,819,418) (12,036,826) (2,289,010)
(4,742,767) (4,651,770) (30,041,532) (1,375,597) (6,021) (764,275)
(6,680,577) (14,455,500) (6,752,454) (933,441) -- --
-- -- -- -- -- --
(124,367) (251,459) -- -- -- --
(17,973) (37,841) -- -- -- --
(25,316) (117,591) -- -- -- --
- -----------------------------------------------------------------------------------------------------
(44,409,890) (50,425,922) (137,805,192) (49,128,456) (12,042,847) (3,053,285)
- -----------------------------------------------------------------------------------------------------
5,362,879,167 5,282,794,697 15,965,974,823 9,518,523,372 2,958,021,573 648,758,829
13,347,956 20,444,542 79,358,869 35,078,864 11,445,149 2,949,980
(5,492,732,128) (4,850,904,367) (15,106,127,095) (9,392,133,030) (2,875,637,134) (654,470,394)
- -----------------------------------------------------------------------------------------------------
(116,505,005) 452,334,872 939,206,597 161,469,206 93,829,588 (2,761,585)
- -----------------------------------------------------------------------------------------------------
(116,477,083) 452,344,583 939,202,120 161,456,238 93,829,603 (2,766,124)
923,543,633 778,261,100 2,351,428,156 1,441,004,575 346,788,751 117,260,605
- -----------------------------------------------------------------------------------------------------
$ 807,066,550 $ 1,230,605,683 $ 3,290,630,276 $ 1,602,460,813 $ 440,618,354 $ 114,494,481
- -----------------------------------------------------------------------------------------------------
-- -- -- $ 362,642 $ 10,495 $ 1,634
- -----------------------------------------------------------------------------------------------------
3,696,243,017 3,783,423,031 11,171,686,790 9,264,641,627 2,957,305,487 340,781,821
11,811,603 19,300,481 66,486,820 34,471,658 11,444,982 2,236,468
(3,844,547,762) (3,680,022,103) (10,666,427,699) (9,127,243,309) (2,875,001,835) (363,376,230)
- -----------------------------------------------------------------------------------------------------
(136,493,142) 122,701,409 571,745,911 171,869,976 93,748,634 (20,357,941)
- -----------------------------------------------------------------------------------------------------
659,581,577 470,006,128 3,606,492,816 142,908,870 716,086 307,977,008
855,243 1,082,829 11,506,068 298,114 167 713,512
(644,240,509) (402,096,387) (3,340,378,274) (132,882,806) (635,299) (291,094,164)
- -----------------------------------------------------------------------------------------------------
16,196,311 68,992,570 277,620,610 10,324,178 80,954 17,596,356
- -----------------------------------------------------------------------------------------------------
1,007,054,573 1,029,365,538 1,187,795,217 110,972,875 -- --
681,110 61,232 1,365,981 309,092 -- --
(1,003,943,857) (768,785,877) (1,099,321,122) (132,006,915) -- --
- -----------------------------------------------------------------------------------------------------
3,791,826 260,640,893 89,840,076 (20,724,948) -- --
- -----------------------------------------------------------------------------------------------------
(116,505,005) 452,334,872 939,206,597 161,469,206 93,829,588 (2,761,585)
- -----------------------------------------------------------------------------------------------------
</TABLE>
---------------------------------------
- ---------------------------------------
31
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
December 31, 1997
- --------------------------------------- ---------------------------------------
1. ORGANIZATION
Effective May 1, 1997, the Goldman Sachs Money Market Trust was reorganized
from a Massachusetts business trust to a Delaware business trust named the
Goldman Sachs Trust (the "Trust"). The Trust includes the Goldman Sachs--
Institutional Liquid Assets Portfolios, collectively "ILA". The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. ILA consists of nine portfolios: Prime
Obligations, Money Market, Government, Treasury Obligations, Treasury
Instruments, Federal, Tax-Exempt Diversified, Tax-Exempt California and Tax-
Exempt New York. All of the portfolios are diversified except for the Tax-
Exempt California and Tax-Exempt New York Portfolios. ILA offers three classes
of units for each of its portfolios: ILA units, ILA Administration units and
ILA Service units. In addition, the Prime Obligations Portfolio offers ILA B
and ILA C units. The investment objective of the Funds is to maximize current
income to the extent consistent with the preservation of capital and
maintenance of liquidity.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by ILA. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that may affect the reported amounts.
A. Investment Valuation--
ILA uses the amortized-cost method for valuing portfolio securities, which
approximates market value. Under this method, all investments purchased at a
discount or premium are valued by amortizing the difference between the
original purchase price and maturity value of the issue over the period to
maturity.
B. Interest Income--
Interest income is determined on the basis of interest accrued, premium
amortized and discount earned.
C. Federal Taxes--
It is each portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
each year substantially all investment company taxable and tax-exempt income to
its unitholders. Accordingly, no federal tax provisions are required.
The characterization of distributions to unitholders for financial reporting
purposes is determined in accordance with federal income tax rules. Therefore,
the source of the Portfolio's distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or
net realized gain on investment transactions, or from paid-in capital,
depending on the type of book/tax differences that may exist.
At December 31, 1997 (tax year end), the following portfolios had capital loss
carryforwards for U.S. Federal tax purposes of approximately:
<TABLE>
<CAPTION>
YEARS OF
PORTFOLIO AMOUNT EXPIRATION
--------- -------- ------------
<S> <C> <C>
Tax-Exempt Diversified $189,400 1998 to 2005
Tax-Exempt New York 6,519 1999 to 2004
Tax-Exempt California 28,689 2000 to 2003
</TABLE>
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
D. Expenses--
Expenses incurred by ILA which do not specifically relate to an individual
portfolio of ILA are allocated to the portfolios based on each portfolio's
relative average net assets for the period.
Unitholders of ILA Administration, ILA Service, ILA B and ILA C units bear all
expenses and fees paid to service and distribution organizations for their
services
---------------------------------------
- ---------------------------------------
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
with respect to such units as well as other expenses (subject to expense
limitations) which are directly attributable to such units.
3. AGREEMENTS
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser pursuant to
an Investment Management Agreement (the "Agreement"). Under the Agreement,
GSAM, subject to general supervision by the Trust's Board of Trustees, manages
the portfolios and provides for the administration of ILA's other affairs. As
compensation for the services rendered under the Agreement and the assumption
of the expenses related thereto, GSAM is entitled to a fee, computed daily and
payable monthly, at an annual rate equal to .35% of each portfolio's average
daily net assets. For the year ended December 31, 1997, GSAM has voluntarily
agreed to waive a portion of its management fees for the Money Market, Treasury
Instruments, Federal, Tax-Exempt Diversified and Tax-Exempt New York
Portfolios, respectively.
Goldman Sachs also serves as ILA's transfer agent under a Transfer Agency
Agreement for a fee. In addition, Goldman Sachs acts as ILA's distributor under
a Distribution Agreement for which it receives no compensation except for the
ILA B and ILA C units of Prime Obligations Portfolio. Amounts due to Goldman
Sachs are included in "Accrued expenses and other liabilities" in the
accompanying Statements of Assets and Liabilities.
GSAM has voluntarily agreed that if the sum of a portfolio's expenses
(including the advisory fee, but excluding interest, taxes, brokerage
commissions, litigation and indemnification expenses, administration,
authorized dealer service, distribution and service plan fees and other
extraordinary expenses) exceeds on an annualized basis .42% (.41% prior to May
1, 1997) of such portfolio's net assets, the portfolio will be reimbursed in
the amount of such excess monthly.
For the year ended December 31, 1997, GSAM has voluntarily agreed to reimburse
the Money Market, Treasury Instruments, Federal, Tax-Exempt Diversified and
Tax-Exempt New York Portfolios to the extent that each portfolio's expenses, as
defined above, exceed .37%, .22%, .27%, .32% and .33%, respectively, of the
average net assets per annum. Amounts due from Goldman Sachs at December 31,
1997 are included in "Other assets"in the accompanying Statements of Assets and
Liabilities.
The ILA B and ILA C units of Prime Obligations Portfolio have adopted a
Distribution Plan (the "Distribution Plan") pursuant to Rule 12b-1. Under the
Distribution Plan, Goldman Sachs is entitled to a quarterly fee for
distribution services equal, on an annual basis, up to .75% of ILA B and ILA C
units average daily net assets.
The ILA B and ILA C units of Prime Obligations Portfolio have also adopted an
Authorized Dealer Service Plan (the "Service Plan") pursuant to which Goldman
Sachs and Authorized Dealers are compensated for providing personal and account
maintenance services. ILA B and ILA C units pay a fee under this Service Plan
equal, on an annual basis, up to .25% of ILA B and C units average daily net
assets.
---------------------------------------
- ---------------------------------------
33
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 1997
- --------------------------------------- ---------------------------------------
3. AGREEMENTS (continued)
The chart below outlines the fee waivers and expense reimbursements for the
year ended December 31, 1997 and amounts owed to and due from Goldman Sachs at
December 31, 1997 (in thousands):
<TABLE>
<CAPTION>
Amounts
Amounts due
Management Expense due to from
Fee Reimburse- Goldman Goldman
Portfolio Waived ments Total Sachs Sachs
<S> <C> <C> <C> <C> <C>
Prime
Obligations
Portfolio -- 161 161 460 --
- ------------------------------------------------------------
Money Market
Portfolio 525 67 592 421 --
- ------------------------------------------------------------
Government
Portfolio -- 31 31 230 --
- ------------------------------------------------------------
Treasury
Obligations
Portfolio -- 7 7 302 --
- ------------------------------------------------------------
Treasury
Instruments
Portfolio 1,552 80 1,632 180 --
- ------------------------------------------------------------
Federal
Portfolio 3,925 45 3,970 552 --
- ------------------------------------------------------------
Tax-Exempt
Diversified
Portfolio 1,544 1 1,545 563 --
- ------------------------------------------------------------
Tax-Exempt
California
Portfolio -- 21 21 197 --
- ------------------------------------------------------------
Tax-Exempt New
York Portfolio 94 25 119 34 5
</TABLE>
4. ADMINISTRATION AND SERVICE PLANS
ILA has adopted Administration and Service Plans. These plans allow for ILA
Administration units and ILA Service units, respectively, to compensate service
organizations for providing varying levels of account administration and
unitholder liaison services to their customers who are beneficial owners of
such units. The Administration and Service Plans provide for compensation to
the service organizations in an amount up to .15% and .40% (on an annualized
basis), respectively, of the average daily net asset value of the respective
units.
5. LINE OF CREDIT FACILITY
ILA participates in a $250,000,000 uncommitted, unsecured revolving line of
credit facility to be used solely for temporary or emergency purposes. Under
the most restrictive arrangement, each Portfolio must own securities having a
market value in excess of 300% of the total bank borrowings. The interest rate
on the borrowings is based on the Federal Funds rate. During the year ended
December 31, 1997, ILA did not have any borrowings under this facility.
6. REPURCHASE AGREEMENTS
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the
value of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping by a custodian.
7. JOINT REPURCHASE AGREEMENT ACCOUNTS
The ILA Portfolios, together with other registered investment companies having
management agreements with GSAM or its affiliates, may transfer uninvested cash
balances into joint accounts, the daily aggregate balances of which are
invested in one or more repurchase agreements. The underlying securities for
the repurchase agreements are U.S. Treasury obligations.
As of December 31, 1997, the Prime Obligations, Money Market, Government and
Treasury Obligations Portfolios had investments in the following joint account
of $2,000,000, $32,000,000, $114,300,000 and $275,500,000 in principal amount,
respectively. As of December 31, 1997, the repurchase agreements in this joint
account, along with the corresponding underlying securities
- ---------------------------------------34---------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
7. JOINT REPURCHASE AGREEMENT ACCOUNTS (continued)
(including the type of security, market value, interest rate and maturity
date), were as follows:
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS
Chase Manhattan Securities, dated 12/31/97, repurchase price $200,061,111
(total collateral value $204,001,955 consisting of U.S. Treasury Notes:
5.50%-8.75%, 02/15/00-08/31/00)
$ 200,000,000 5.50% 01/02/98 $200,000,000
Donaldson, Lufkin & Jenrette, Inc., dated 12/31/97, repurchase price
$510,185,583 (total collateral value $520,200,021 consisting of U.S.
Treasury Notes: 5.125%-8.125%, 01/31/98-02/15/04; U.S. Treasury Stripped
Interest only Securities: 02/15/98-02/15/04; U.S. Treasury Stripped
Principal Security: 08/15/01; U.S. Treasury Bill: 05/14/98)
510,000,000 6.55 01/02/98 510,000,000
Swiss Bank Corp., dated 12/31/97, repurchase price $735,367,495 (total
collateral value $749,834,669 consisting of U.S. Treasury Notes: 4.75%-
8.50%, 02/15/98-11/15/05; U.S. Treasury Inflation Indexed Bond: 3.375%,
01/15/07; U.S. Treasury Bills: 01/15/98-10/15/98; U.S. Treasury Bonds:
10.75%-11.125%, 08/15/03-08/15/05)
735,100,000 6.55 01/02/98 735,100,000
Swiss Bank Corp., dated 12/31/97, repurchase price $300,091,667 (total
collateral value $306,013,333 consisting of U.S. Treasury Notes: 4.75%-
8.50%, 02/15/98-11/15/05; U.S. Treasury Inflation Indexed Bond: 3.375%,
01/15/07; U.S. Treasury Bills: 01/15/98-10/15/98; U.S. Treasury Bonds:
10.75%-11.125%, 08/15/03-08/15/05)
300,000,000 5.50 01/02/98 300,000,000
Salomon-Smith Barney, Inc., dated 12/31/97, repurchase price
$1,000,369,444 (total collateral value $1,020,528,930 consisting of U.S.
Treasury Stripped Interest only Securities: 02/15/98-11/15/04; U.S.
Treasury Stripped Principal only Securities: 5.75%-11.625%, 02/15/98-
11/15/04; U.S. Treasury Bill: 10/15/98)
1,000,000,000 6.65 01/02/98 1,000,000,000
- ---------------------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $2,745,100,000
- ---------------------------------------------------------------------------------------------
</TABLE>
8. CERTAIN RECLASSIFICATION
In accordance with Statement Of Position 93-2, the Tax-Exempt Diversified
Portfolio have reclassified $70,300 from paid-in capital to accumulated
undistributed net realized gain (loss) on investment transactions.
9. OTHER MATTERS
Pursuant to an SEC exemptive order, certain of the Portfolios may enter into
certain principal transactions, including repurchase agreements, with Goldman,
Sachs & Co. subject to certain limitations which include the following: 25% of
eligible security transactions, as defined, and 10% of repurchase agreement
transactions.
---------------------------------------
- ---------------------------------------
35
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Selected Data for a Unit Outstanding Throughout Each Period
Prime Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from value at
beginning investment investment investment Distributions end Total
of period income transactions operations to unitholders of period return(a)
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0524 -- $0.0524 $(0.0524) $1.00 5.38%
1997-ILA
Administration
units........... 1.00 0.0511 -- 0.0511 (0.0511) 1.00 5.22
1997-ILA Service
units........... 1.00 0.0485 -- 0.0485 (0.0485) 1.00 4.96
1997-ILA B
units........... 1.00 0.0433 -- 0.0433 (0.0433) 1.00 4.33
1997-ILA C
units(b)........ 1.00 0.0365 -- 0.0365 (0.0365) 1.00 4.41(d)
1996-ILA units.. 1.00 0.0511 -- 0.0511 (0.0511) 1.00 5.22
1996-ILA
Administration
units........... 1.00 0.0497 -- 0.0497 (0.0497) 1.00 5.06
1996-ILA Service
units........... 1.00 0.0474 -- 0.0474 (0.0474) 1.00 4.80
1996-ILA B
units(b)........ 1.00 0.0262 -- 0.0262 (0.0262) 1.00 3.97(d)
1995-ILA units.. 1.00 0.0566 -- 0.0566 (0.0566) 1.00 5.79
1995-ILA
Administration
units........... 1.00 0.0551 -- 0.0551 (0.0551) 1.00 5.63
1995-ILA Service
units........... 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.37
1994-ILA units.. 1.00 0.0394 -- 0.0394 (0.0394) 1.00 4.07
1994-ILA
Administration
units........... 1.00 0.0379 -- 0.0379 (0.0379) 1.00 3.91
1994-ILA Service
units........... 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.66
1993-ILA units.. 1.00 0.0291 0.0002 0.0293 (0.0293) 1.00 2.97
1993-ILA
Administration
units........... 1.00 0.0275 0.0003 0.0278 (0.0278) 1.00 2.82
1993-ILA Service
units........... 1.00 0.0250 0.0001 0.0251 (0.0252) 1.00 2.56
1992-ILA units.. 1.00 0.0364 0.0010 0.0374 (0.0374) 1.00 3.75
1992-ILA
Administration
units........... 1.00 0.0339 0.0010 0.0349 (0.0349) 1.00 3.60
1992-ILA Service
units........... 1.00 0.0311 0.0010 0.0321 (0.0320) 1.00 3.34
1991-ILA units.. 1.00 0.0591 0.0003 0.0594 (0.0594) 1.00 6.10
1991-ILA
Administration
units........... 1.00 0.0568 0.0003 0.0571 (0.0571) 1.00 5.94
1991-ILA Service
units........... 1.00 0.0558 0.0003 0.0561 (0.0561) 1.00 5.68
1990-ILA units.. 1.00 0.0793 -- 0.0793 (0.0793) 1.00 8.21
1990-ILA
Administration
units(c)........ 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.81(d)
1990-ILA Service
units(c)........ 1.00 0.0425 -- 0.0425 (0.0425) 1.00 7.56(d)
1989-ILA units.. 1.00 0.0890 -- 0.0890 (0.0890) 1.00 9.27
1988-ILA units.. 1.00 0.0714 -- 0.0714 (0.0714) 1.00 7.48
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.42% 5.24% $ 866,445 0.43% 5.23%
1997-ILA
Administration
units........... 0.57 5.11 28,110 0.58 5.10
1997-ILA Service
units........... 0.82 4.85 78,316 0.83 4.84
1997-ILA B
units........... 1.42 4.33 1,574 1.43 4.32
1997-ILA C
units(b)........ 1.42(d) 4.39(d) 1,897 1.43(d) 4.38(d)
1996-ILA units.. 0.41 5.11 1,154,787 0.43 5.09
1996-ILA
Administration
units........... 0.56 4.97 23,738 0.58 4.95
1996-ILA Service
units........... 0.81 4.74 84,707 0.83 4.72
1996-ILA B
units(b)........ 1.41(d) 4.09(d) 346 1.43(d) 4.07(d)
1995-ILA units.. 0.41 5.66 1,261,251 0.43 5.64
1995-ILA
Administration
units........... 0.56 5.51 63,018 0.58 5.49
1995-ILA Service
units........... 0.81 5.22 227,233 0.83 5.20
1994-ILA units.. 0.40 3.94 1,963,846 0.42 3.92
1994-ILA
Administration
units........... 0.55 3.79 149,234 0.57 3.77
1994-ILA Service
units........... 0.80 3.65 170,453 0.82 3.63
1993-ILA units.. 0.40 2.91 2,332,771 0.42 2.89
1993-ILA
Administration
units........... 0.55 2.75 189,431 0.57 2.73
1993-ILA Service
units........... 0.80 2.50 137,804 0.82 2.48
1992-ILA units.. 0.40 3.64 3,444,591 0.42 3.62
1992-ILA
Administration
units........... 0.55 3.39 257,321 0.57 3.37
1992-ILA Service
units........... 0.80 3.11 22,044 0.82 3.09
1991-ILA units.. 0.40 5.91 3,531,736 0.42 5.89
1991-ILA
Administration
units........... 0.55 5.68 198,417 0.57 5.66
1991-ILA Service
units........... 0.80 5.58 18,789 0.82 5.56
1990-ILA units.. 0.38 7.93 2,833,541 0.38 7.93
1990-ILA
Administration
units(c)........ 0.55(d) 7.62(d) 209,272 0.55(d) 7.62(d)
1990-ILA Service
units(c)........ 0.80(d) 7.25(d) 19,039 0.80(d) 7.25(d)
1989-ILA units.. 0.40 8.90 3,761,964 0.40 8.90
1988-ILA units.. 0.40 7.14 3,799,628 0.40 7.14
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) ILA Class B and C unit activity commenced during May of 1996 and August of
1997, respectively.
(c) ILA Administration and Service unit activity commenced during June of
1990.
(d) Annualized.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Money Market Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investment to end Total
of period income transactions operations unitholders of period return(a)
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0531 -- $0.0531 $(0.0531) $1.00 5.43%
1997-ILA
Administration
units........... 1.00 0.0515 -- 0.0515 (0.0515) 1.00 5.28
1997-ILA Service
units........... 1.00 0.0490 -- 0.0490 (0.0490) 1.00 5.01
1996-ILA units.. 1.00 0.0515 0.0001 0.0516 (0.0516) 1.00 5.27
1996-ILA
Administration
units........... 1.00 0.0500 0.0001 0.0501 (0.0501) 1.00 5.12
1996-ILA Service
units........... 1.00 0.0475 0.0001 0.0476 (0.0476) 1.00 4.86
1995-ILA units.. 1.00 0.0571 -- 0.0571 (0.0571) 1.00 5.85
1995-ILA
Administration
units........... 1.00 0.0555 -- 0.0555 (0.0555) 1.00 5.69
1995-ILA Service
units........... 1.00 0.0529 -- 0.0529 (0.0529) 1.00 5.43
1994-ILA units.. 1.00 0.0401 -- 0.0401 (0.0401) 1.00 4.13
1994-ILA
Administration
units........... 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.98
1994-ILA Service
units........... 1.00 0.0364 -- 0.0364 (0.0364) 1.00 3.72
1993-ILA units.. 1.00 0.0296 0.0003 0.0299 (0.0299) 1.00 3.03
1993-ILA
Administration
units........... 1.00 0.0281 0.0003 0.0284 (0.0284) 1.00 2.88
1993-ILA Service
units........... 1.00 0.0257 0.0002 0.0259 (0.0259) 1.00 2.62
1992-ILA units.. 1.00 0.0368 0.0004 0.0372 (0.0372) 1.00 3.76
1992-ILA
Administration
units........... 1.00 0.0356 0.0004 0.0360 (0.0360) 1.00 3.61
1992-ILA Service
units........... 1.00 0.0358 0.0006 0.0364 (0.0364) 1.00 3.35
1991-ILA units.. 1.00 0.0591 0.0004 0.0595 (0.0595) 1.00 6.12
1991-ILA
Administration
units........... 1.00 0.0574 0.0004 0.0578 (0.0578) 1.00 5.96
1991-ILA Service
units........... 1.00 0.0547 0.0004 0.0551 (0.0551) 1.00 5.70
1990-ILA units.. 1.00 0.0793 0.0001 0.0794 (0.0794) 1.00 8.24
1990-ILA
Administration
units(c)........ 1.00 0.0424 0.0001 0.0425 (0.0425) 1.00 7.86(b)
1990-ILA Service
units(c)........ 1.00 0.0438 -- 0.0438 (0.0438) 1.00 7.61(b)
1989-ILA units.. 1.00 0.0885 0.0001 0.0886 (0.0886) 1.00 9.31
1988-ILA units.. 1.00 0.0751 -- 0.0751 (0.0751) 1.00 7.66
FOR THE PERIOD DECEMBER 2, 1987 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- ---------------------------------------------------------------------------------
1987-ILA units.. 1.00 0.0063 -- 0.0063 (0.0063) 1.00 7.38(b)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net Net investment
Ratio of net investment assets at Ratio of net income to
expenses to income to end expenses to average
average net average net of period average net net
assets assets (in 000's) assets assets
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.37% 5.31% $ 806,096 0.42% 5.26%
1997-ILA
Administration
units........... 0.52 5.15 307,480 0.57 5.10
1997-ILA Service
units........... 0.77 4.90 20,517 0.82 4.85
1996-ILA units.. 0.36 5.15 703,097 0.43 5.08
1996-ILA
Administration
units........... 0.51 5.00 257,258 0.58 4.93
1996-ILA Service
units........... 0.76 4.75 28,845 0.83 4.68
1995-ILA units.. 0.36 5.71 574,155 0.42 5.65
1995-ILA
Administration
units........... 0.51 5.55 164,422 0.57 5.49
1995-ILA Service
units........... 0.76 5.29 23,080 0.82 5.23
1994-ILA units.. 0.35 4.01 559,470 0.43 3.93
1994-ILA
Administration
units........... 0.50 3.88 145,867 0.58 3.80
1994-ILA Service
units........... 0.75 3.61 21,862 0.83 3.53
1993-ILA units.. 0.35 2.96 699,604 0.43 2.88
1993-ILA
Administration
units........... 0.50 2.81 150,452 0.58 2.73
1993-ILA Service
units........... 0.75 2.57 11,166 0.83 2.49
1992-ILA units.. 0.35 3.68 884,571 0.43 3.60
1992-ILA
Administration
units........... 0.50 3.56 187,445 0.58 3.48
1992-ILA Service
units........... 0.75 3.58 15,114 0.83 3.50
1991-ILA units.. 0.35 5.91 1,153,191 0.42 5.84
1991-ILA
Administration
units........... 0.50 5.74 210,330 0.57 5.67
1991-ILA Service
units........... 0.75 5.47 56,586 0.82 5.40
1990-ILA units.. 0.35 7.93 924,141 0.40 7.88
1990-ILA
Administration
units(c)........ 0.50(b) 7.63(b) 204,477 0.55(b) 7.58(b)
1990-ILA Service
units(c)........ 0.75(b) 7.46(b) 38,128 0.80(b) 7.41(b)
1989-ILA units.. 0.35 8.85 1,295,389 0.40 8.80
1988-ILA units.. 0.27 7.51 701,105 0.40 7.38
FOR THE PERIOD DECEMBER 2, 1987 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- ---------------------------------------------------------------------------------
1987-ILA units.. 0.15(b) 7.62(b) 183,633 0.40(b) 7.37(b)
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June of
1990.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
37
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Government Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net
Net assets realized Total Net asset
value at Net gain on income from value at
beginning investment investment investment Distributions end Total
of period income transactions operations to unitholders of period return(a)
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0516 -- $0.0516 $(0.0516) $1.00 5.31%
1997-ILA
Administration
units........... 1.00 0.0499 -- 0.0499 (0.0498) 1.00 5.15
1997-ILA Service
units........... 1.00 0.0478 -- 0.0478 (0.0478) 1.00 4.89
1996-ILA units.. 1.00 0.0504 0.0001 0.0505 (0.0504) 1.00 5.15
1996-ILA
Administration
units........... 1.00 0.0489 0.0001 0.0490 (0.0489) 1.00 4.99
1996-ILA Service
units........... 1.00 0.0463 0.0001 0.0464 (0.0463) 1.00 4.73
1995-ILA units.. 1.00 0.0562 0.0002 0.0564 (0.0564) 1.00 5.77
1995-ILA
Administration
units........... 1.00 0.0549 0.0002 0.0551 (0.0551) 1.00 5.62
1995-ILA Service
units........... 1.00 0.0519 0.0002 0.0521 (0.0521) 1.00 5.35
1994-ILA units.. 1.00 0.0378 0.0002 0.0380 (0.0380) 1.00 3.94
1994-ILA
Administration
units........... 1.00 0.0362 0.0002 0.0364 (0.0364) 1.00 3.79
1994-ILA Service
units........... 1.00 0.0350 0.0002 0.0352 (0.0352) 1.00 3.53
1993-ILA units.. 1.00 0.0282 0.0008 0.0290 (0.0291) 1.00 2.94
1993-ILA
Administration
units........... 1.00 0.0267 0.0008 0.0275 (0.0276) 1.00 2.79
1993-ILA Service
units........... 1.00 0.0242 0.0006 0.0248 (0.0250) 1.00 2.53
1992-ILA units.. 1.00 0.0338 0.0027 0.0365 (0.0364) 1.00 3.70
1992-ILA
Administration
units........... 1.00 0.0325 0.0027 0.0352 (0.0351) 1.00 3.55
1992-ILA Service
units........... 1.00 0.0309 0.0030 0.0339 (0.0336) 1.00 3.29
1991-ILA units.. 1.00 0.0567 0.0011 0.0578 (0.0578) 1.00 5.91
1991-ILA
Administration
units........... 1.00 0.0545 0.0011 0.0556 (0.0556) 1.00 5.75
1991-ILA Service
units........... 1.00 0.0522 0.0011 0.0533 (0.0533) 1.00 5.49
1990-ILA units.. 1.00 0.0779 0.0003 0.0782 (0.0782) 1.00 8.11
1990-ILA
Administration
units(c)........ 1.00 0.0439 0.0004 0.0443 (0.0443) 1.00 7.74(b)
1990-ILA Service
units(c)........ 1.00 0.0359 0.0002 0.0361 (0.0363) 1.00 7.42(b)
1989-ILA units.. 1.00 0.0877 0.0001 0.0878 (0.0878) 1.00 9.15
1988-ILA units.. 1.00 0.0716 0.0002 0.0718 (0.0718) 1.00 7.42
1987-ILA units.. 1.00 0.0622 0.0001 0.0623 (0.0624) 1.00 6.43
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.42% 5.16% $460,457 0.42% 5.16%
1997-ILA
Administration
units........... 0.57 4.98 10,192 0.57 4.98
1997-ILA Service
units........... 0.82 4.78 83,799 0.82 4.78
1996-ILA units.. 0.41 5.04 694,651 0.44 5.01
1996-ILA
Administration
units........... 0.56 4.89 36,055 0.59 4.86
1996-ILA Service
units........... 0.81 4.63 94,228 0.84 4.60
1995-ILA units.. 0.41 5.62 570,469 0.43 5.60
1995-ILA
Administration
units........... 0.56 5.49 47,558 0.58 5.47
1995-ILA Service
units........... 0.81 5.19 85,401 0.83 5.17
1994-ILA units.. 0.40 3.78 881,520 0.44 3.74
1994-ILA
Administration
units........... 0.55 3.62 95,483 0.59 3.58
1994-ILA Service
units........... 0.80 3.50 156,930 0.84 3.46
1993-ILA units.. 0.40 2.82 1,315,378 0.43 2.79
1993-ILA
Administration
units........... 0.55 2.67 161,845 0.58 2.64
1993-ILA Service
units........... 0.80 2.42 101,272 0.83 2.39
1992-ILA units.. 0.40 3.38 1,785,472 0.42 3.36
1992-ILA
Administration
units........... 0.55 3.25 461,542 0.57 3.23
1992-ILA Service
units........... 0.80 3.09 56,389 0.82 3.07
1991-ILA units.. 0.40 5.67 2,103,627 0.43 5.64
1991-ILA
Administration
units........... 0.55 5.45 464,060 0.58 5.42
1991-ILA Service
units........... 0.80 5.22 200,176 0.83 5.19
1990-ILA units.. 0.39 7.79 2,203,756 0.39 7.79
1990-ILA
Administration
units(c)........ 0.55(b) 7.49(b) 296,313 0.55(b) 7.49(b)
1990-ILA Service
units(c)........ 0.80(b) 7.15(b) 132,888 0.80(b) 7.15(b)
1989-ILA units.. 0.40 8.77 2,268,330 0.40 8.77
1988-ILA units.. 0.40 7.16 2,197,796 0.40 7.16
1987-ILA units.. 0.40 6.22 2,243,870 0.40 6.22
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June and
July of 1990, respectively.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
38
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investment to end Total
of period income transactions operations unitholders of period return(a)
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0514 $0.0001 $0.0515 $(0.0513) $1.00 5.26%
1997-ILA
Administration
units........... 1.00 0.0500 0.0001 0.0501 (0.0508) 1.00 5.10
1997-ILA Service
units........... 1.00 0.0474 0.0001 0.0475 (0.0478) 1.00 4.84
1996-ILA units.. 1.00 0.0498 0.0002 0.0500 (0.0500) 1.00 5.11
1996-ILA
Administration
units........... 1.00 0.0483 0.0003 0.0486 (0.0486) 1.00 4.95
1996-ILA Service
units........... 1.00 0.0459 0.0001 0.0460 (0.0460) 1.00 4.69
1995-ILA units.. 1.00 0.0551 0.0007 0.0558 (0.0558) 1.00 5.73
1995-ILA
Administration
units........... 1.00 0.0537 0.0007 0.0544 (0.0544) 1.00 5.57
1995-ILA Service
units........... 1.00 0.0511 0.0007 0.0518 (0.0518) 1.00 5.31
1994-ILA units.. 1.00 0.0377 -- 0.0377 (0.0377) 1.00 3.91
1994-ILA
Administration
units........... 1.00 0.0368 -- 0.0368 (0.0368) 1.00 3.75
1994-ILA Service
units........... 1.00 0.0340 -- 0.0340 (0.0340) 1.00 3.49
1993-ILA units.. 1.00 0.0279 0.0006 0.0285 (0.0286) 1.00 2.89
1993-ILA
Administration
units........... 1.00 0.0264 0.0006 0.0270 (0.0270) 1.00 2.74
1993-ILA Service
units........... 1.00 0.0239 0.0006 0.0245 (0.0246) 1.00 2.48
1992-ILA units.. 1.00 0.0339 0.0025 0.0364 (0.0362) 1.00 3.65
1992-ILA
Administration
units........... 1.00 0.0320 0.0023 0.0343 (0.0343) 1.00 3.49
1992-ILA Service
units........... 1.00 0.0294 0.0024 0.0318 (0.0318) 1.00 3.23
1991-ILA units.. 1.00 0.0557 0.0018 0.0575 (0.0575) 1.00 5.90
1991-ILA
Administration
units........... 1.00 0.0540 0.0018 0.0558 (0.0558) 1.00 5.74
1991-ILA Service
units........... 1.00 0.0515 0.0018 0.0533 (0.0533) 1.00 5.48
1990-ILA units.. 1.00 0.0772 0.0002 0.0774 (0.0774) 1.00 8.05
1990-ILA
Administration
units(c)........ 1.00 0.0413 0.0002 0.0415 (0.0415) 1.00 7.67(b)
1990-ILA Service
units(c)........ 1.00 0.0417 0.0003 0.0420 (0.0421) 1.00 7.42(b)
1989-ILA units.. 1.00 0.0864 0.0005 0.0869 (0.0869) 1.00 9.06
1988-ILA units.. 1.00 0.0704 0.0004 0.0708 (0.0708) 1.00 7.30
1987-ILA units.. 1.00 0.0617 0.0002 0.0619 (0.0619) 1.00 6.32
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.42% 5.12% $ 590,381 0.42% 5.12%
1997-ILA
Administration
units........... 0.57 4.99 124,159 0.57 4.99
1997-ILA Service
units........... 0.82 4.73 104,133 0.82 4.73
1996-ILA units.. 0.41 4.98 574,734 0.43 4.96
1996-ILA
Administration
units........... 0.56 4.83 108,850 0.58 4.81
1996-ILA Service
units........... 0.81 4.59 123,483 0.83 4.57
1995-ILA units.. 0.41 5.51 711,209 0.43 5.49
1995-ILA
Administration
units........... 0.56 5.37 92,643 0.58 5.35
1995-ILA Service
units........... 0.81 5.11 119,692 0.83 5.09
1994-ILA units.. 0.40 3.77 713,816 0.44 3.73
1994-ILA
Administration
units........... 0.55 3.68 97,626 0.59 3.64
1994-ILA Service
units........... 0.80 3.40 108,972 0.84 3.35
1993-ILA units.. 0.40 2.79 969,565 0.43 2.76
1993-ILA
Administration
units........... 0.55 2.64 121,327 0.58 2.61
1993-ILA Service
units........... 0.80 2.39 185,506 0.83 2.36
1992-ILA units.. 0.40 3.39 1,328,036 0.43 3.36
1992-ILA
Administration
units........... 0.55 3.20 152,804 0.58 3.17
1992-ILA Service
units........... 0.80 2.94 183,208 0.83 2.91
1991-ILA units.. 0.40 5.57 1,709,321 0.43 5.54
1991-ILA
Administration
units........... 0.55 5.40 146,795 0.58 5.37
1991-ILA Service
units........... 0.80 5.15 154,419 0.83 5.12
1990-ILA units.. 0.39 7.72 1,816,991 0.39 7.72
1990-ILA
Administration
units(c)........ 0.55(b) 7.42(b) 132,088 0.55(b) 7.42(b)
1990-ILA Service
units(c)........ 0.80(b) 7.11(b) 148,323 0.80(b) 7.11(b)
1989-ILA units.. 0.40 8.64 1,769,974 0.40 8.64
1988-ILA units.. 0.40 7.04 1,657,215 0.40 7.04
1987-ILA units.. 0.40 6.17 1,693,767 0.40 6.17
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June of
1990, respectively.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
39
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Instruments Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investment to end Total
of period income transactions operations unitholders of period return(a)
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0502 $0.0001 $0.0503 $(0.0503) $1.00 5.17%
1997-ILA
Administration
units........... 1.00 0.0488 0.0001 0.0489 (0.0489) 1.00 5.01
1997-ILA Service
units........... 1.00 0.0463 0.0001 0.0464 (0.0464) 1.00 4.75
1996-ILA units.. 1.00 0.0496 0.0004 0.0500 (0.0500) 1.00 5.10
1996-ILA
Administration
units........... 1.00 0.0482 0.0004 0.0486 (0.0486) 1.00 4.95
1996-ILA Service
units........... 1.00 0.0456 0.0004 0.0460 (0.0460) 1.00 4.68
1995-ILA units.. 1.00 0.0550 0.0006 0.0556 (0.0556) 1.00 5.70
1995-ILA
Administration
units........... 1.00 0.0534 0.0007 0.0541 (0.0540) 1.00 5.54
1995-ILA Service
units........... 1.00 0.0500 0.0005 0.0505 (0.0505) 1.00 5.28
1994-ILA units.. 1.00 0.0397 0.0001 0.0398 (0.0398) 1.00 4.01
1994-ILA
Administration
units........... 1.00 0.0397 0.0001 0.0398 (0.0398) 1.00 3.85
1994-ILA Service
units........... 1.00 0.0371 0.0001 0.0372 (0.0372) 1.00 3.59
1993-ILA units.. 1.00 0.0288 0.0006 0.0294 (0.0294) 1.00 2.98
1993-ILA
Administration
units........... 1.00 0.0273 0.0006 0.0279 (0.0279) 1.00 2.83
1993-ILA Service
units........... 1.00 0.0248 0.0006 0.0254 (0.0254) 1.00 2.57
1992-ILA units.. 1.00 0.0338 0.0012 0.0350 (0.0350) 1.00 3.54
1992-ILA
Administration
units........... 1.00 0.0326 0.0012 0.0338 (0.0338) 1.00 3.38
1992-ILA Service
units........... 1.00 0.0275 0.0011 0.0286 (0.0286) 1.00 3.13
FOR THE PERIOD JANUARY 30, 1991 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- ---------------------------------------------------------------------------------
1991-ILA units.. 1.00 0.0486 0.0013 0.0499 (0.0499) 1.00 5.75(b)
1991-ILA
Administration
units (c)....... 1.00 0.0210 0.0010 0.0220 (0.0220) 1.00 5.21(b)
1991-ILA Service
units (c)....... 1.00 0.0473 0.0009 0.0482 (0.0482) 1.00 5.33(b)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.22% 5.02% $330,241 0.42% 4.82%
1997-ILA
Administration
units........... 0.37 4.88 98,667 0.57 4.68
1997-ILA Service
units........... 0.62 4.63 295,404 0.82 4.43
1996-ILA units.. 0.21 4.96 708,999 0.43 4.74
1996-ILA
Administration
units........... 0.36 4.82 137,706 0.58 4.60
1996-ILA Service
units........... 0.61 4.56 383,901 0.83 4.34
1995-ILA units.. 0.21 5.50 586,294 0.44 5.27
1995-ILA
Administration
units........... 0.36 5.34 68,713 0.59 5.11
1995-ILA Service
units........... 0.61 5.00 123,254 0.84 4.77
1994-ILA units.. 0.20 3.96 547,351 0.43 3.73
1994-ILA
Administration
units........... 0.35 3.97 64,388 0.58 3.74
1994-ILA Service
units........... 0.60 3.72 74,451 0.83 3.49
1993-ILA units.. 0.20 2.88 456,411 0.44 2.64
1993-ILA
Administration
units........... 0.35 2.73 26,553 0.59 2.49
1993-ILA Service
units........... 0.60 2.48 34,014 0.84 2.24
1992-ILA units.. 0.18 3.38 422,506 0.45 3.11
1992-ILA
Administration
units........... 0.33 3.26 6,915 0.60 2.99
1992-ILA Service
units........... 0.58 2.75 29,522 0.85 2.48
FOR THE PERIOD JANUARY 30, 1991 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- ---------------------------------------------------------------------------------
1991-ILA units.. 0.10(b) 5.28(b) 424,436 0.45(b) 4.93(b)
1991-ILA
Administration
units (c)....... 0.25(b) 4.77(b) 17,649 0.60(b) 4.42(b)
1991-ILA Service
units (c)....... 0.50(b) 5.13(b) 9,430 0.85(b) 4.78(b)
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during July and
January of 1991, respectively.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
40
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Federal Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-----------------------------------
Net asset Net realized Total Net asset
value at Net gain on income from Distributions value at
beginning investment investment investment to end Total
of period income transactions operations unitholders of period return(a)
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0526 -- $0.0526 $(0.0526) $1.00 5.40%
1997-ILA
Administration
units........... 1.00 0.0511 -- 0.0511 (0.0511) 1.00 5.24
1997-ILA Service
units........... 1.00 0.0483 -- 0.0483 (0.0483) 1.00 4.98
1996-ILA units.. 1.00 0.0513 -- 0.0513 (0.0513) 1.00 5.24
1996-ILA
Administration
units........... 1.00 0.0498 -- 0.0498 (0.0498) 1.00 5.09
1996-ILA Service
units........... 1.00 0.0473 -- 0.0473 (0.0473) 1.00 4.83
1995-ILA units.. 1.00 0.0569 -- 0.0569 (0.0569) 1.00 5.83
1995-ILA
Administration
units........... 1.00 0.0550 -- 0.0550 (0.0550) 1.00 5.67
1995-ILA Service
units........... 1.00 0.0522 -- 0.0522 (0.0522) 1.00 5.41
1994-ILA units.. 1.00 0.0407 -- 0.0407 (0.0407) 1.00 4.11
1994-ILA
Administration
units........... 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.95
1994-ILA Service
units........... 1.00 0.0392 -- 0.0392 (0.0392) 1.00 3.69
1993-ILA units.. 1.00 0.0296 -- 0.0296 (0.0296) 1.00 3.00
1993-ILA
Administration
units........... 1.00 0.0281 -- 0.0281 (0.0281) 1.00 2.84
1993-ILA Service
units (c)....... 1.00 0.0157 -- 0.0157 (0.0157) 1.00 2.56(b)
1992-ILA units.. 1.00 0.0358 -- 0.0358 (0.0358) 1.00 3.61
1992-ILA
Administration
units........... 1.00 0.0340 -- 0.0340 (0.0340) 1.00 3.46
1991-ILA units.. 1.00 0.0576 -- 0.0576 (0.0576) 1.00 5.94
1991-ILA
Administration
units........... 1.00 0.0542 -- 0.0542 (0.0542) 1.00 5.78
1991-ILA Service
units (c)....... 1.00 0.0196 -- 0.0196 (0.0196) 1.00 5.55(b)
1990-ILA units.. 1.00 0.0772 -- 0.0772 (0.0772) 1.00 8.06
1990-ILA
Administration
units (d)....... 1.00 0.0205 -- 0.0205 (0.0205) 1.00 7.39(b)
FOR THE PERIOD MAY 22, 1989 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- -----------------------------------------------------------------------------
1989-ILA units.. 1.00 0.0516 -- 0.0516 (0.0516) 1.00 7.62(b)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.27% 5.26% $2,050,559 0.41% 5.12%
1997-ILA
Administration
units........... 0.42 5.11 530,001 0.56 4.97
1997-ILA Service
units........... 0.67 4.83 34,540 0.81 4.69
1996-ILA units.. 0.26 5.13 2,303,677 0.43 4.96
1996-ILA
Administration
units........... 0.41 4.98 794,537 0.58 4.81
1996-ILA Service
units........... 0.66 4.73 192,416 0.83 4.56
1995-ILA units.. 0.26 5.69 1,731,935 0.42 5.53
1995-ILA
Administration
units........... 0.41 5.50 516,917 0.57 5.34
1995-ILA Service
units........... 0.66 5.22 102,576 0.82 5.06
1994-ILA units.. 0.25 4.07 1,625,567 0.42 3.90
1994-ILA
Administration
units........... 0.40 3.88 329,896 0.57 3.71
1994-ILA Service
units........... 0.65 3.92 15,539 0.82 3.75
1993-ILA units.. 0.25 2.96 1,430,292 0.42 2.79
1993-ILA
Administration
units........... 0.40 2.81 362,401 0.57 2.64
1993-ILA Service
units (c)....... 0.65(b) 2.54(b) 1,425 0.82(b) 2.37(b)
1992-ILA units.. 0.25 3.58 1,600,989 0.42 3.41
1992-ILA
Administration
units........... 0.40 3.40 312,792 0.57 3.23
1991-ILA units.. 0.25 5.76 1,656,232 0.42 5.59
1991-ILA
Administration
units........... 0.40 5.42 291,810 0.57 5.25
1991-ILA Service
units (c)....... 0.65(b) 5.56(b) -- 0.82(b) 5.39(b)
1990-ILA units.. 0.25 7.72 1,368,765 0.40 7.57
1990-ILA
Administration
units (d)....... 0.40(b) 7.25(b) 90,748 0.55(b) 7.10(b)
FOR THE PERIOD MAY 22, 1989 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- -----------------------------------------------------------------------------
1989-ILA units.. 0.19(b) 8.41(b) 455,230 0.40(b) 8.20(b)
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b)Annualized.
(c) ILA Service unit activity commenced during April of 1991; no shares were
outstanding during the period from August 7, 1991 through May 15, 1993.
(d) ILA Administration unit activity commenced during September of 1990.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
41
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt Diversified Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
------------------------------------
Net asset Net realized Total Net asset
value at Net gain (loss) income from value at
beginning investment on investment investment Distributions end Total
of period income transactions operations to unitholders of period return(a)
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0333 -- $0.0333 $(0.0333) $1.00 3.39%
1997-ILA
Administration
units........... 1.00 0.0316 -- 0.0316 (0.0316) 1.00 3.23
1997-ILA Service
units........... 1.00 0.0297 -- 0.0297 (0.0297) 1.00 2.97
1996-ILA units.. 1.00 0.0320 -- 0.0320 (0.0320) 1.00 3.25
1996-ILA
Administration
units........... 1.00 0.0306 -- 0.0306 (0.0306) 1.00 3.09
1996-ILA Service
units........... 1.00 0.0279 -- 0.0279 (0.0279) 1.00 2.84
1995-ILA units.. 1.00 0.0365 -- 0.0365 (0.0365) 1.00 3.72
1995-ILA
Administration
units........... 1.00 0.0351 -- 0.0351 (0.0352) 1.00 3.57
1995-ILA Service
units........... 1.00 0.0324 -- 0.0324 (0.0325) 1.00 3.31
1994-ILA units.. 1.00 0.0264 -- 0.0264 (0.0264) 1.00 2.71
1994-ILA
Administration
units........... 1.00 0.0250 -- 0.0250 (0.0250) 1.00 2.55
1994-ILA Service
units........... 1.00 0.0220 -- 0.0220 (0.0220) 1.00 2.30
1993-ILA units.. 1.00 0.0222 -- 0.0222 (0.0222) 1.00 2.25
1993-ILA
Administration
units........... 1.00 0.0207 -- 0.0207 (0.0207) 1.00 2.09
1993-ILA Service
units........... 1.00 0.0183 -- 0.0183 (0.0183) 1.00 1.84
1992-ILA units.. 1.00 0.0277 -- 0.0277 (0.0277) 1.00 2.82
1992-ILA
Administration
units........... 1.00 0.0266 -- 0.0266 (0.0266) 1.00 2.67
1992-ILA Service
units........... 1.00 0.0243 -- 0.0243 (0.0243) 1.00 2.41
1991-ILA units.. 1.00 0.0424 -- 0.0424 (0.0424) 1.00 4.33
1991-ILA
Administration
units........... 1.00 0.0406 -- 0.0406 (0.0406) 1.00 4.17
1991-ILA Service
units........... 1.00 0.0386 -- 0.0386 (0.0386) 1.00 3.91
1990-ILA units.. 1.00 0.0550 (0.0001) 0.0549 (0.0549) 1.00 5.64
1990-ILA
Administration
units (c)....... 1.00 0.0301 -- 0.0301 (0.0300) 1.00 5.43(b)
1990-ILA Service
units (c)....... 1.00 0.0259 -- 0.0259 (0.0259) 1.00 5.17(b)
1989-ILA units.. 1.00 0.0591 (0.0001) 0.0590 (0.0590) 1.00 6.07
1988-ILA units.. 1.00 0.0487 0.0003 0.0490 (0.0490) 1.00 5.03
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.32% 3.33% $1,479,486 0.41% 3.24%
1997-ILA
Administration
units........... 0.47 3.16 27,967 0.56 3.07
1997-ILA Service
units........... 0.72 2.97 30,513 0.81 2.88
1996-ILA units.. 0.31 3.20 1,514,443 0.41 3.10
1996-ILA
Administration
units........... 0.46 3.06 59,097 0.56 2.96
1996-ILA Service
units........... 0.71 2.79 28,921 0.81 2.69
1995-ILA units.. 0.31 3.65 1,342,585 0.42 3.54
1995-ILA
Administration
units........... 0.46 3.51 48,773 0.57 3.40
1995-ILA Service
units........... 0.71 3.24 49,647 0.82 3.13
1994-ILA units.. 0.30 2.64 1,434,965 0.41 2.53
1994-ILA
Administration
units........... 0.45 2.50 97,778 0.56 2.39
1994-ILA Service
units........... 0.70 2.20 36,492 0.81 2.09
1993-ILA units.. 0.30 2.22 1,769,477 0.41 2.11
1993-ILA
Administration
units........... 0.45 2.08 99,896 0.56 1.97
1993-ILA Service
units........... 0.70 1.83 45,172 0.81 1.72
1992-ILA units.. 0.30 2.77 1,333,925 0.42 2.65
1992-ILA
Administration
units........... 0.45 2.66 50,225 0.57 2.54
1992-ILA Service
units........... 0.70 2.43 29,534 0.82 2.31
1991-ILA units.. 0.32 4.24 1,044,986 0.42 4.14
1991-ILA
Administration
units........... 0.47 4.06 37,567 0.57 3.96
1991-ILA Service
units........... 0.72 3.86 52,399 0.82 3.76
1990-ILA units.. 0.40 5.50 603,895 0.40 5.50
1990-ILA
Administration
units (c)....... 0.55(b) 5.40(b) 42,498 0.55(b) 5.40(b)
1990-ILA Service
units (c)....... 0.80(b) 5.16(b) 56,810 0.80(b) 5.16(b)
1989-ILA units.. 0.40 5.91 688,556 0.40 5.91
1988-ILA units.. 0.40 4.87 907,782 0.40 4.87
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during June and
July of 1990, respectively.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
42
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt California Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
------------------------------------
Net asset Net realized Total Net asset
value at Net gain (loss) income from value at
beginning investment on investment investment Distributions end Total
of period income transactions operations to unitholders of period return(a)
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0310 -- $0.0310 $(0.0310) $1.00 3.15%
1997-ILA
Administration
units........... 1.00 0.0298 -- 0.0298 (0.0301) 1.00 3.00
1997-ILA Service
units (d)....... 1.00 0.0085 -- 0.0085 (0.0080) 1.00 2.87(b)
1996-ILA units.. 1.00 0.0299 -- 0.0299 (0.0299) 1.00 3.03
1996-ILA
Administration
units........... 1.00 0.0284 -- 0.0284 (0.0284) 1.00 2.88
1995-ILA units.. 1.00 0.0349 -- 0.0349 (0.0350) 1.00 3.55
1995-ILA
Administration
units........... 1.00 0.0332 -- 0.0332 (0.0332) 1.00 3.40
1994-ILA units.. 1.00 0.0250 -- 0.0250 (0.0250) 1.00 2.53
1994-ILA
Administration
units........... 1.00 0.0233 -- 0.0233 (0.0233) 1.00 2.37
1993-ILA units.. 1.00 0.0206 -- 0.0206 (0.0206) 1.00 2.09
1993-ILA
Administration
units........... 1.00 0.0191 -- 0.0191 (0.0191) 1.00 1.93
1993-ILA Service
units........... 1.00 0.0166 -- 0.0166 (0.0166) 1.00 1.68
1992-ILA units.. 1.00 0.0256 (0.0001) 0.0255 (0.0256) 1.00 2.62
1992-ILA
Administration
units........... 1.00 0.0235 (0.0002) 0.0233 (0.0235) 1.00 2.47
1992-ILA Service
units (c)....... 1.00 0.0081 -- 0.0081 (0.0081) 1.00 1.99(b)
1991-ILA units.. 1.00 0.0388 -- 0.0388 (0.0388) 1.00 3.92
1991-ILA
Administration
units........... 1.00 0.0376 -- 0.0376 (0.0376) 1.00 3.80
1990-ILA units.. 1.00 0.0511 (0.0001) 0.0510 (0.0511) 1.00 5.24
1990-ILA
Administration
units (c)....... 1.00 0.0042 -- 0.0042 (0.0042) 1.00 5.14(b)
1989-ILA units.. 1.00 0.0573 (0.0001) 0.0572 (0.0572) 1.00 5.93
FOR THE PERIOD OCTOBER 3, 1988 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- --------------------------------------------------------------------------------
1988-ILA units.. 1.00 0.0139 -- 0.0139 (0.0139) 1.00 5.81(b)
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.42% 3.10% $591,003 0.42% 3.10%
1997-ILA
Administration
units........... 0.57 2.98 360 0.57 2.98
1997-ILA Service
units (d)....... 0.82(b) 2.90(b) 2 0.82(b) 2.90(b)
1996-ILA units.. 0.41 2.99 440,476 0.42 2.98
1996-ILA
Administration
units........... 0.56 2.84 142 0.57 2.83
1995-ILA units.. 0.41 3.49 346,728 0.41 3.49
1995-ILA
Administration
units........... 0.56 3.32 61 0.56 3.32
1994-ILA units.. 0.40 2.50 227,399 0.41 2.49
1994-ILA
Administration
units........... 0.55 2.33 790 0.56 2.32
1993-ILA units.. 0.40 2.06 229,839 0.44 2.02
1993-ILA
Administration
units........... 0.55 1.91 1,425 0.59 1.87
1993-ILA Service
units........... 0.76 1.66 -- 0.84 1.54
1992-ILA units.. 0.40 2.56 161,868 0.47 2.49
1992-ILA
Administration
units........... 0.55 2.35 31 0.62 2.28
1992-ILA Service
units (c)....... 0.80(b) 2.03(b) 3 0.87(b) 1.96(b)
1991-ILA units.. 0.40 3.88 102,494 0.47 3.81
1991-ILA
Administration
units........... 0.55 3.76 13 0.62 3.69
1990-ILA units.. 0.40 5.11 106,972 0.40 5.11
1990-ILA
Administration
units (c)....... 0.55(b) 5.33(b) 68 0.55(b) 5.33(b)
1989-ILA units.. 0.40 5.73 112,463 0.40 5.73
FOR THE PERIOD OCTOBER 3, 1988 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- --------------------------------------------------------------------------------
1988-ILA units.. 0.24(b) 5.74(b) 41,028 0.38(b) 5.60(b)
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during December of
1990 and August of 1992, respectively. No service shares were outstanding
for the years ended December 31, 1994, 1995 and 1996.
(d) ILA Service unit activity re-commenced during September of 1997.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
43
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Tax-Exempt New York Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
------------------------------------
Net asset Net realized Total Net asset
value at Net gain (loss) income from value at
beginning investment on investment investment Distributions end Total
of period income transactions operations to unitholders of period return(a)
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. $1.00 $0.0325 -- $0.0325 $(0.0325) $1.00 3.29%
1997-ILA
Administration
units........... 1.00 0.0310 -- 0.0310 (0.0310) 1.00 3.14
1997-ILA Service
units(c)........ 1.00 0.0089 -- 0.0089 (0.0089) 1.00 3.02(b)
1996-ILA units.. 1.00 0.0301 -- 0.0301 (0.0301) 1.00 3.05
1996-ILA
Administration
units........... 1.00 0.0288 -- 0.0288 (0.0288) 1.00 2.90
1995-ILA units.. 1.00 0.0344 -- 0.0344 (0.0344) 1.00 3.51
1995-ILA
Administration
units........... 1.00 0.0328 -- 0.0328 (0.0328) 1.00 3.35
1994-ILA units.. 1.00 0.0262 -- 0.0262 (0.0262) 1.00 2.56
1994-ILA
Administration
units........... 1.00 0.0247 -- 0.0247 (0.0247) 1.00 2.41
1993-ILA units.. 1.00 0.0221 -- 0.0221 (0.0221) 1.00 2.21
1993-ILA
Administration
units........... 1.00 0.0205 -- 0.0205 (0.0205) 1.00 2.05
1992-ILA units.. 1.00 0.0265 -- 0.0265 (0.0265) 1.00 2.71
1992-ILA
Administration
units........... 1.00 0.0253 -- 0.0253 (0.0253) 1.00 2.55
FOR THE PERIOD FEBRUARY 15, 1991 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- ----------------------------------------------------------------------------------
1991-ILA units.. 1.00 0.0347 (0.0002) 0.0345 (0.0347) 1.00 4.02(b)
1991-ILA
Administration
units (c)....... 1.00 0.0330 -- 0.0330 (0.0330) 1.00 3.87(b)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net Net Ratio of Ratio of net
Ratio of net investment assets at net investment
expenses to income to end expenses to income to
average net average net of period average net average net
assets assets (in 000's) assets assets
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FOR THE YEARS ENDED DECEMBER 31,
- --------------------------------
1997-ILA units.. 0.33% 3.24% $102,887 0.43% 3.14%
1997-ILA
Administration
units........... 0.48 3.09 31,993 0.58 2.99
1997-ILA Service
units(c)........ 0.73(b) 3.04(b) 2 0.83(b) 2.94(b)
1996-ILA units.. 0.32 3.01 70,175 0.43 2.90
1996-ILA
Administration
units........... 0.47 2.88 44,319 0.58 2.77
1995-ILA units.. 0.30 3.44 90,537 0.44 3.30
1995-ILA
Administration
units........... 0.45 3.28 26,724 0.59 3.14
1994-ILA units.. 0.24 2.62 84,517 0.47 2.39
1994-ILA
Administration
units........... 0.39 2.47 38,970 0.62 2.24
1993-ILA units.. 0.10 2.21 48,367 0.51 1.80
1993-ILA
Administration
units........... 0.25 2.05 20,306 0.66 1.64
1992-ILA units.. 0.10 2.65 16,844 0.57 2.18
1992-ILA
Administration
units........... 0.25 2.53 14,641 0.72 2.06
FOR THE PERIOD FEBRUARY 15, 1991 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
- ----------------------------------------------------------------------------------
1991-ILA units.. 0.10(b) 3.96(b) 11,070 0.76(b) 3.30(b)
1991-ILA
Administration
units (c)....... 0.25(b) 3.90(b) 19,198 0.91(b) 3.24(b)
</TABLE>
- ----
(a) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(b) Annualized.
(c) ILA Administration and Service unit activity commenced during February of
1991 and September of 1997, respectively.
- ------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
44
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
- --------------------------------------- ---------------------------------------
To the Unitholders and Board of Trustees of the Goldman Sachs Trust--
Institutional Liquid Assets:
We have audited the accompanying statements of assets and liabilities of
Goldman Sachs Trust--Institutional Liquid Assets (a Delaware business trust
comprising the Prime Obligations, Money Market, Government, Treasury
Obligations, Treasury Instruments, Federal, Tax-Exempt Diversified, Tax-Exempt
California and Tax-Exempt New York Portfolios), including the statements of
investments as of December 31, 1997, and the related statements of operations
for the year then ended, and the statements of changes in net assets and the
financial highlights for the periods presented. These financial statements and
the financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1997 by correspondence with the custodian and broker. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and the financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting Goldman Sachs Trust--
Institutional Liquid Assets as of December 31, 1997, the results of their
operations for the year then ended, the changes in their net assets and the
financial highlights for the periods presented, in conformity with generally
accepted accounting principles.
Arthur Andersen LLP
Boston, Massachusetts
February 12, 1998
45
<PAGE>
VOTING RESULTS OF SPECIAL MEETING OF SHAREHOLDERS
The proposals described below were submitted to a vote of unitholders of
Goldman Sachs Institutional Liquid Assets Portfolios (the "Trust") at a Special
Meeting of Unitholders held on April 1, 1997 and reconvened on April 24, 1997
(the "Meeting"):
- --------------------------------------------------------------------------------
PROPOSAL NO. 1--ELECTION OF TRUSTEES:
- --------------------------------------------------------------------------------
At the Meeting, Ashok Bakhru, David B. Ford, Douglas Grip, John McNulty, Mary
McPherson, Richard Strubel, Alan Shuch, Jackson Smart and William Springer were
elected to the Trust's Board of Trustees. In electing trustees, the Trust's
unitholders voted as follows:(/1/)
<TABLE>
<CAPTION>
DIRECTOR FOR AGAINST ABSTAIN BROKER NON-VOTES
-------- ------------------ ------- --------------- ----------------
<S> <C> <C> <C> <C>
Ashok Bakhru....... 13,198,134,650.489 0 317,290,085.860 0
David B. Ford...... 13,196,882,310.419 0 318,542,425.630 0
Douglas Grip....... 13,198,421,139.119 0 317,003,596.930 0
John McNulty....... 13,192,692,508.499 0 322,752,227.550 0
Mary McPherson..... 13,198,375,102.859 0 317,049,663.190 0
Alan Shuch......... 13,196,888,161.369 0 318,536,574.680 0
Jackson Smart...... 13,186,250,475.539 0 329,174,260.510 0
William Springer... 13,186,378,105.759 0 329,046,630.290 0
Richard Strubel.... 13,198,268,677.579 0 317,155,058.470 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 2--RATIFICATION OF THE SELECTION OF ARTHUR ANDERSEN LLP AS THE
COMPANY'S INDEPENDENT ACCOUNTANTS FOR THE FISCAL YEAR ENDING
DECEMBER, 31, 1997:
- --------------------------------------------------------------------------------
At the Meeting, the Trust's unitholders approved Proposal No. 2 as
follows:(/1/)
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN BROKER NON-VOTES
--- -------------- --------------- ----------------
<S> <C> <C> <C>
12,740,448,563.959 86,008,900.390 688,967,266.700 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 4(B)--APPROVAL OF AN AMENDMENT TO THE TRUST'S DECLARATION OF TRUST
TO PERMIT INVESTMENT OF EACH FUND'S ASSETS IN ANOTHER OPEN-END
INVESTMENT COMPANY:
- --------------------------------------------------------------------------------
At the Meeting, the Trust's unitholders approved Proposal No. 4(B) as
follows:(/1/)
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN BROKER NON-VOTES
--- --------------- --------------- ----------------
<S> <C> <C> <C>
11,979,828,027.249 666,114,085.840 869,482,622.960 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 3--APPROVAL OF AN AGREEMENT AND PLAN OF REORGANIZATION PURSUANT TO
WHICH EACH PORTFOLIO OF THE TRUST WILL BE REORGANIZED AS A SERIES
OF THE GOLDMAN SACHS TRUST, A DELAWARE BUSINESS TRUST:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each of the Trust's portfolios (each, a
"Fund" and collectively, the "Funds") approved Proposal No. 3 as follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- --------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 712,565,921.869 242,943.290 25,505,695.170 0
Money Market............ 516,823,831.590 6,970,819.070 24,410,496.820 0
Government.............. 334,703,511.900 123,461,589.610 1,839,434.100 0
Treasury Obligations.... 468,748,245.020 52,349.040 42,433,478.980 0
Treasury Instruments.... 651,998,108.070 65,348,426.590 5,827,507.150 0
Federal................. 1,726,207,313.730 7,203,981.770 54,770,148.540 0
Tax-Exempt Diversified.. 668,379,114.130 16,024,005.530 109,560,527.870 0
Tax-Exempt California... 208,489,888.900 5,523.230 14,115,586.820 0
Tax-Exempt New York..... 55,095,994.960 195,516.090 7,800,334.690 0
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 4--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL INVESTMENT
RESTRICTIONS TO PERMIT EACH FUND TO INVEST SUBSTANTIALLY ALL OF
ITS ASSETS IN ANOTHER OPEN-END INVESTMENT COMPANY:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 4 as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 647,870,547.009 59,650,745.650 30,793,267.670 0
Money Market............ 511,963,094.500 10,565,134.560 25,676,918.420 0
Government.............. 400,141,597.240 58,041,127.440 1,821,810.930 0
Treasury Obligations.... 436,391,496.290 5,008,378.970 69,834,197.780 0
Treasury Instruments.... 651,998,108.070 65,348,426.590 5,827,507.150 0
Federal................. 1,722,092,130.160 15,994,193.540 50,095,120.340 0
Tax-Exempt Diversified.. 660,773,671.500 23,733,454.350 109,456,521.680 0
Tax-Exempt California... 203,615,442.560 4,607,172.950 14,388,383.440 0
Tax-Exempt New York..... 54,956,961.700 575,338.300 7,559,545.740 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(A)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT RESTRICTIONS RELATING TO ISSUER DIVERSIFICATION:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(A) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 663,362,748.369 44,081,414.130 30,870,397.830 0
Money Market............ 514,239,550.690 9,059,065.940 24,906,530.850 0
Government.............. 389,415,820.100 68,527,347.690 2,061,367.820 0
Treasury Obligations.... 463,827,823.350 5,008,378.970 42,397,870.720 0
Treasury Instruments.... 665,723,563.120 51,622,971.540 5,827,507.150 0
Federal................. 1,728,433,466.310 9,475,231.770 50,272,745.960 0
Tax-Exempt Diversified.. 667,406,339.950 16,862,490.800 109,694,816.780 0
Tax-Exempt California... 208,174,431.280 1,076,891.910 13,359,675.760 0
Tax-Exempt New York..... 55,150,009.260 0 7,941,836.480 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(B)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT RESTRICTIONS RELATING TO BORROWING, MARGIN PURCHASES
AND PLEDGING ASSETS:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(B) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- --------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 651,887,355.399 55,504,550.190 30,922,654.740 0
Money Market............ 492,734,444.380 9,700,670.670 45,770,032.430 0
Government.............. 322,830,104.650 69,348,909.140 67,825,521.820 0
Treasury Obligations.... 463,621,255.690 5,214,946.630 42,397,870.720 0
Treasury Instruments.... 613,391,610.620 109,262,637.520 519,793.670 0
Federal................. 1,688,341,705.150 34,314,305.930 65,525,432.960 0
Tax-Exempt Diversified.. 595,302,477.970 88,094,689.320 110,566,480.240 0
Tax-Exempt California... 205,716,433.050 2,873,454.090 14,021,111.810 0
Tax-Exempt New York..... 55,056,709.090 93,300.170 7,941,836.480 0
</TABLE>
47
<PAGE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(C)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT RESTRICTIONS RELATING TO UNDERWRITING:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(C) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 663,326,119.079 44,063,126.200 30,925,315.050 0
Money Market............ 508,616,005.340 9,059,065.940 30,530,076.200 0
Government.............. 323,233,872.990 68,824,654.510 67,946,008.110 0
Treasury Obligations.... 468,060,179.510 606,867.450 42,567,026.080 0
Treasury Instruments.... 632,424,779.150 51,622,971.540 39,126,291.120 0
Federal................. 1,721,111,336.850 5,645,294.300 61,424,812.890 0
Tax-Exempt Diversified.. 661,349,711.030 22,401,707.950 110,212,228.550 0
Tax-Exempt California... 206,245,319.340 1,015,093.840 15,350,585.770 0
Tax-Exempt New York..... 55,150,009.260 0 7,941,836.480 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(D)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT
RESTRICTIONS RELATING TO INVESTMENTS IN REAL ESTATE, OIL AND
GAS:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(D) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 640,385,552.729 66,995,565.360 30,933,442.240 0
Money Market............ 508,443,121.040 9,243,481.870 30,518,544.570 0
Government.............. 322,664,193.140 69,164,900.990 68,175,441.480 0
Treasury Obligations.... 436,391,496.290 32,275,550.670 42,567,026.080 0
Treasury Instruments.... 623,254,542.890 56,930,685.020 42,988,813.900 0
Federal................. 1,697,204,506.430 29,337,113.840 61,639,823.770 0
Tax-Exempt Diversified.. 659,879,346.410 23,873,811.490 110,210,489.630 0
Tax-Exempt California... 206,410,527.450 1,675,179.170 14,525,292.330 0
Tax-Exempt New York..... 53,382,698.610 1,767,310.650 7,941,836.480 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(E)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT RESTRICTIONS RELATING TO INVESTMENTS IN COMMODITIES:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(E) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 662,306,969.869 45,127,069.290 30,880,521.170 0
Money Market............ 486,910,529.510 31,086,343.760 30,208,274.210 0
Government.............. 322,759,975.990 69,323,646.950 67,920,912.670 0
Treasury Obligations.... 436,560,651.650 32,275,550.670 42,397,870.720 0
Treasury Instruments.... 623,254,542.890 51,622,971.540 48,296,527.380 0
Federal................. 1,712,077,298.400 14,464,321.870 61,639,823.770 0
Tax-Exempt Diversified.. 664,706,879.770 18,456,351.640 110,800,416.120 0
Tax-Exempt California... 206,291,830.450 3,022,235.750 13,296,932.750 0
Tax-Exempt New York..... 55,056,709.090 93,300.170 7,941,836.480 0
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(F)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT RESTRICTIONS RELATING TO THE ISSUANCE OF SENIOR
SECURITIES:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(F) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 666,760,538.409 40,610,456.340 30,943,565.580 0
Money Market............ 508,256,805.590 9,647,467.020 30,300,874.870 0
Government.............. 319,497,687.690 68,601,458.610 71,905,389.310 0
Treasury Obligations.... 464,244,863.920 4,591,338.400 42,397,870.720 0
Treasury Instruments.... 636,979,997.940 51,622,971.540 34,571,072.330 0
Federal................. 1,655,884,823.010 54,542,671.620 77,753,949.410 0
Tax-Exempt Diversified.. 661,636,399.680 22,134,203.520 110,193,044.330 0
Tax-Exempt California... 207,652,033.350 1,157,408.330 13,801,557.270 0
Tax-Exempt New York..... 55,150,009.260 0 7,941,836.480 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(G)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT
RESTRICTIONS RELATING TO SHORT SALES OF SECURITIES:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(G) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 633,661,812.479 73,785,010.330 30,867,737.520 0
Money Market............ 470,662,407.590 30,994,535.020 46,548,204.870 0
Government.............. 318,784,978.900 69,397,554.330 71,822,002.380 0
Treasury Obligations.... 436,184,928.630 32,651,273.690 42,397,870.720 0
Treasury Instruments.... 665,723,563.120 51,622,971.540 5,827,507.150 0
Federal................. 1,640,265,983.120 64,442,160.340 83,473,300.580 0
Tax-Exempt Diversified.. 600,755,583.190 82,493,105.650 110,714,958.690 0
Tax-Exempt California... 205,507,408.730 3,302,032.950 13,801,557.270 0
Tax-Exempt New York..... 53,465,471.480 1,684,537.780 7,941,836.480 0
</TABLE>
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PROPOSAL NO. 5(H)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT
RESTRICTIONS RELATING TO INVESTMENTS IN OPTIONS:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(H) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 665,972,905.509 41,473,917.300 30,867,737.520 0
Money Market............ 486,107,497.980 30,982,828.190 31,114,821.310 0
Government.............. 318,888,036.380 69,035,878.400 72,080,620.830 0
Treasury Obligations.... 436,560,651.650 32,275,550.670 42,397,870.720 0
Treasury Instruments.... 665,723,563.120 51,622,971.540 5,827,507.150 0
Federal................. 1,654,139,453.480 55,955,350.840 78,086,639.720 0
Tax-Exempt Diversified.. 650,093,862.920 33,129,570.460 110,740,214.150 0
Tax-Exempt California... 204,847,324.400 3,962,117.280 13,801,557.270 0
Tax-Exempt New York..... 53,382,698.610 1,767,310.650 7,941,836.480 0
</TABLE>
49
<PAGE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 5(I)--APPROVAL OF AN AMENDMENT TO EACH FUND'S FUNDAMENTAL
INVESTMENT RESTRICTIONS RELATING TO EXERCISE CONTROL:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 5(I) as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- ----------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Prime Obligations....... 641,214,201.709 66,222,497.760 30,877,860.860 0
Money Market............ 507,763,441.520 9,326,123.520 31,115,582.440 0
Government.............. 319,387,893.800 68,568,127.330 72,048,514.480 0
Treasury Obligations.... 464,244,863.920 4,591,338.400 42,397,870.720 0
Treasury Instruments.... 651,998,108.070 65,348,426.590 5,827,507.150 0
Federal................. 1,702,540,158.730 7,894,110.110 77,747,175.200 0
Tax-Exempt Diversified.. 661,147,907.340 22,893,587.050 109,922,153.140 0
Tax-Exempt California... 206,410,855.230 2,331,265.150 13,868,878.570 0
Tax-Exempt New York..... 53,465,471.480 1,684,537.780 7,941,836.480 0
</TABLE>
- --------------------------------------------------------------------------------
PROPOSAL NO. 6--APPROVAL OF A CHANGE IN THE FUNDAMENTAL INVESTMENT POLICIES OF
THE TAX-EXEMPT DIVERSIFIED, TAX-EXEMPT CALIFORNIA AND TAX-EXEMPT
NEW YORK PORTFOLIOS:
- --------------------------------------------------------------------------------
At the Meeting, the unitholders of each Fund approved Proposal No. 6 as
follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES
---- --------------- -------------- --------------- ----------------
<S> <C> <C> <C> <C>
Tax-Exempt Diversified.. 667,228,981.130 16,402,187.130 110,332,479.270 0
Tax-Exempt California... 209,206,940.510 0 13,404,058.440 0
Tax-Exempt New York..... 53,696,767.540 139,033.260 9,256,044.940 0
</TABLE>
(1) The voting results for proposal No. 1, 2 and 4(B) reflect the vote of the
unitholders of the Trust and the unitholders of Goldman Sachs Financial
Square Funds.
50
<PAGE>
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51
<PAGE>
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This Annual Report is authorized for distribution to prospective investors only
when preceded or accompanied by a Goldman Sachs Trust--Money Market Funds,
Institutional Liquid Assets Prospectus which contains facts concerning each
Fund's objectives and policies, management, expenses and other information.
- --------------------------------------------------------------------------------
52
<PAGE>
TRUSTEES
Ashok N. Bakhru, Chairman
David B. Ford
Douglas C. Grip
John P. McNulty
Mary P. McPherson
Alan. A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
OFFICERS
Douglas C. Grip, President
James A. Fitzpatrick, Vice President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
GOLDMAN SACHS
Investment Adviser,
Distributor and Transfer Agent
Goldman
Sachs
Goldman Sachs Funds
One New York Plaza, 41st Floor
New York, NY 10004
