<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
ANNUAL REPORT [LOGO] GOLDMAN
December 31, 1998 SACHS
<PAGE>
- -------------------------------------------------------------------------------
Letter to Unit/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 1998. It was another strong year for the
funds, during which all of the portfolios outperformed or performed in line
with their respective IBC Financial Data, Inc. averages. Net assets in the ILA
Portfolios totaled $10.5 billion as of December 31, 1998.
The Economy In Review
Despite a slight tempering due to soft employment numbers, the U.S. economy
continued to see strong growth for most of 1998. This growth, combined with
continued uncertainty about the impact of Asian instability on the U.S.
economy, kept the Federal Reserve in a wait-and-see mode for the first nine
months of the year.
On September 29th, in the wake of increasing global market turmoil, the
Federal Reserve Board cut the Federal Funds target rate by 25 basis points, to
5.25%. As increasing illiquidity concerns in the market became more severe,
the Fed followed up with two more surprise rate cuts, easing the target rate
and the discount rate by another 50 basis points.
The Fed's moves were a strong signal that the monetary authorities were
prepared to do whatever was necessary to provide liquidity and to support the
economy against the forces that had the potential of a substantial economic
slowdown in 1999.
At period end, while consumer spending remained strong, the manufacturing
side of the economy appeared to weaken because of a trade drag and a slowdown
in capital spending. However, based on signs of non-inflationary growth in the
areas of consumer spending, new home sales and strong third quarter gross
domestic product (GDP), the general consensus is that any further easing by
the Fed will come later, rather than sooner.
Credit Year 1998: A Year of Crisis with a Hopeful Ending
Domestic credit quality continued its strong positive trend for the first
six months of 1998. Mergers and acquisitions were at an all time high. U.S.
banks remained strong, well capitalized and provisioned, with diversified
operations. The stock market continued its climb and American consumers were
spending more than they were earning. The shocks of the Russian default in
August and the near collapse of Long Term Capital Management (LTCM) caused
severe liquidity problems and a difficult trading environment, as well as a
major sell-off in the stock market. Calm was restored by the rescue of LTCM
and the Fed's lowering of interest rates three times in seven weeks. A newly
risk adverse investor moved funds to safer, more liquid credits. The
enthusiasm for globalization was temporarily curbed, as domestic production
was suppressed in response to the Asian crisis and corporate profit gains for
the year were generally mixed.
The international credit environment in 1998 saw the Asian situation explode
into a full-blown global crisis that adversely affected markets around the
world. The default and devaluation of Russia in August came after an already
painful several months of recession and restructuring in Asia. This pain was
exacerbated by Japan's continued slow economic deterioration, which cast a
shadow over the entire region. The unprecedented market volatility that
followed Russia's default took months to dissipate, and only after a more
committed response by the U.S. government to the crisis. By the end of the
year, however, trends were much more positive. The reforming Asian economies
showed notable progress, with signs of a return to economic growth in 1999.
More significant, however, was the successful launch of the euro. Ongoing
policy convergence and political resolution served to create the world's first
regional currency with nary a ripple in the markets. In fact, with the U.S.
economy seemingly impervious to difficulties elsewhere, global markets quickly
rebounded to close the year on a decidedly positive note.
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1
<PAGE>
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Letter to Unit/Shareholders (continued)
- --------------------------------------- ---------------------------------------
Although the U.S. economy remains favorable, the challenges of global
volatility continue to concern us. The Goldman Sachs Credit Department, with
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.
Strategy
Taxable--For most of the period, a "flight to quality" resulting from the
ongoing Asian economic crisis rendered the short end of the yield curve
expensive. In view of this, the Portfolios maintained a neutral stance by
buying on market dips and "aging in" when levels got expensive. However, we
extended the weighted average maturity (WAM) ranges from neutral to slightly
long as the Fed began its series of easings in late September in response to
market liquidity. We continued to maintain a barbell structure by holding
significant liquidity in anticipation of year-end outflows, and targeted longer
dated maturities to enhance performance in a declining rate environment.
Tax-Exempt--Early in the period, given the fact that we no longer foresaw a
near-term Fed easing and in preparation for the seasonally short supply of
municipal issuance in January, we increased the portfolio's WAMs to the 40- to
50-day range. This decision helped keep the portfolios' yields competitive
during this period of high cash inflows and high demand for municipal
securities. In March, we shortened the WAMs of the portfolios to the 30- to 35-
day range, seeking to build liquidity as the April 15th tax deadline
approached. This move helped us to fund tax-time redemptions. In August, when
seasonal issuance was strong and there was less demand in the tax-exempt market
in contrast to the "flight to quality" in the Treasury market, we extended the
portfolios' WAMs to the 40-day range.
At period end, after a brief period during which the portfolios' WAMs were
brought into a neutral range, we extended the WAMs in anticipation of
technically driven lower yields (due to inflows from the reinvestment of
maturity proceeds, coupled with a seasonal scarcity of issuance).
Summary for ILA Portfolios Institutional Units* as of 12/31/98
<TABLE>
<CAPTION>
SEC 1-Month
7-Day SEC 7-Day Simple Weighted Avg.
Current Effective Average Maturity
ILA Portfolios Yield Yield Yield (days)
-------------- ------- --------- ------- -------------
<S> <C> <C> <C> <C>
Money Market.... 4.85% 4.97% 4.81% 46
Prime
Obligations.... 4.89 5.01 4.87 35
Treasury
Instruments.... 4.11 4.20 4.12 53
Government...... 4.77 4.88 4.68 48
Treasury
Obligations.... 4.47 4.57 4.49 32
Federal......... 4.75 4.86 4.73 48
Tax-Exempt
California..... 3.10 3.15 2.67 41
Tax-Exempt
Diversified.... 3.24 3.29 2.88 46
Tax-Exempt New
York........... 3.20 3.25 2.79 44
</TABLE>
*ILA offers four separate classes of units/shares (Institutional,
Administration, Service and Cash Management), each of which is subject to
different fees and expenses that affect performance and entitle
unit/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%. The Cash Management shares pay 0.50%
plus 0.30% from the adviser for a total of up to 0.80%. Furthermore, in
addition to these classes, Prime Obligations offers Class B and Class C units,
which may be subject to contingent deferred sales charges. 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.
Outlook and Strategies for 1999
With the financing pressure of year-end behind institutional investors, we
are looking to extend the portfolios' weighted average maturities somewhat as
we see opportunities on the yield curve. While there are a
- --------------------------------------- ---------------------------------------
2
<PAGE>
- --------------------------------------------------------------------------------
Letter to Unit/Shareholders (continued)
- --------------------------------------- ---------------------------------------
variety of opinions as to when the Fed will move, based on current signs of
non-inflationary growth in areas of consumer spending, new home sales and
fourth quarter GDP, most anticipate that easing will come later than sooner.
Goldman Sachs economists' 1999 outlook anticipates a 50 basis point cumulative
ease in the second half of the year.
In closing, we thank you for your support and for making 1998 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 1999.
Money Market Management Team
January 29, 1999
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3
<PAGE>
Statement of Investments
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ILA Prime Obligations Portfolio
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--33.4%
Bank Holding Companies
BankAmerica
$10,000,000 5.16% 01/15/99 $ 9,979,933
25,000,000 5.12 01/25/99 24,914,667
10,000,000 5.04 05/12/99 9,816,600
Business Credit Institutions
CIT Group, Inc.
10,000,000 5.05 03/29/99 9,877,958
General Electric Capital Corp.
15,000,000 5.36 02/16/99 14,897,267
10,000,000 5.02 02/25/99 9,923,306
Commercial Banks
CP Trust Certificates Series 1996-1
29,750,000 4.95 03/30/99 29,750,000
Industrial
Caterpillar Financial Services Corp.
5,800,000 5.35 02/24/99 5,753,455
Receivable/Asset Financings
Corporate Receivables Corp.
15,000,000 5.22 01/13/99 14,973,900
Delaware Funding
25,000,000 5.30 01/13/99 24,955,833
15,047,000 5.22 01/22/99 15,001,182
Edison Asset
10,000,000 5.13 01/29/99 9,960,100
25,000,000 5.14 02/26/99 24,800,111
Receivables Capital Corp.
30,000,000 5.49 01/08/99 29,967,975
Riverwoods Funding Corp.
20,000,000 5.05 02/25/99 19,845,694
Security and Commodity Brokers, Dealers and Services
J.P. Morgan & Co., Inc.
5,000,000 5.12 01/19/99 4,987,200
5,000,000 5.75 03/10/99 5,000,000
5,000,000 5.02 04/21/99 4,923,306
Merrill Lynch & Co., Inc.
5,000,000 5.79 04/28/99 5,000,000
Morgan Stanley Dean Witter & Co.
40,000,000 5.35 02/23/99 39,684,944
Salomon Smith Barney Holdings, Inc.
10,000,000 5.40 01/12/99 9,983,500
5,000,000 5.40 01/19/99 4,986,500
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations (continued)
Utilities
Consolidated Natural Gas
$10,000,000 8.75% 06/01/99 $ 10,126,482
- --------------------------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $339,109,913
- --------------------------------------------------------------------------------------------------
Bank Notes--7.7%
BankBoston, N.A.
$10,000,000 5.76% 03/31/99 $ 10,000,000
10,000,000 5.20 04/01/99 10,000,000
10,000,000 5.74 04/15/99 9,998,908
Bank of New York
8,500,000 5.57 03/17/99 8,498,242
First Tennessee Bank, N.A.
10,000,000 5.65 03/02/99 9,999,211
10,000,000 5.82 04/30/99 9,998,128
PNC Bank, N.A.
5,000,000 5.71 04/26/99 4,999,095
Wachovia Bank, N.A.
15,000,000 5.00 06/02/99 15,000,000
- --------------------------------------------------------------------------------------------------
Total Bank Notes $ 78,493,584
- --------------------------------------------------------------------------------------------------
Taxable Municipal Notes--0.5%
Ocean Spray Cranberries
$5,000,000 5.63% 01/07/99 $ 5,000,000
- --------------------------------------------------------------------------------------------------
Total Taxable Municipal Notes $ 5,000,000
- --------------------------------------------------------------------------------------------------
Variable Rate Obligations(a)--41.3%
Bank One N.A.
$40,000,000 5.48% 01/04/99 $ 39,994,116
Comerica Bank Detroit
15,000,000 5.42 01/19/99 14,995,170
25,000,000 5.11 03/10/99 24,992,473
First National Bank of Chicago
10,000,000 5.42 01/14/99 9,996,811
10,000,000 5.48 01/14/99 9,996,930
First Tennessee Bank, N.A.
10,000,000 5.07 01/25/99 9,998,496
First Union Corp.
10,000,000 5.52 01/25/99 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 Obligations (continued)
Ford Motor Credit Co.
$10,000,000 5.50% 02/22/99 $ 10,004,439
General Electric Capital Corp.
10,000,000 5.32 02/17/99 10,000,000
5,000,000 5.18 03/08/99 5,000,000
IBM Corp.
20,000,000 5.23 02/12/99 19,987,345
J.P. Morgan & Co., Inc.
30,000,000 5.48 01/07/99 29,991,033
Merrill Lynch & Co., Inc.
25,000,000 5.48 01/13/99 24,998,466
10,000,000 5.14 03/16/99 10,000,000
Monumental Life Insurance Co.
20,000,000 5.72 02/01/99 20,000,000
New York Life Insurance Co.
10,000,000 5.31 01/07/99 10,000,000
Norwest Corp.
10,000,000 5.17 03/22/99 9,999,310
Old Kent Bank & Trust Co.
10,000,000 5.10 02/01/99 9,998,405
Pacific Mutual Life Insurance Co.
25,000,000 4.98 02/01/99 25,000,000
PepsiCo, Inc.
30,000,000 5.21 02/19/99 29,978,669
PNC Bank, N.A.
10,000,000 5.50 01/27/99 9,995,747
SMM Trust Series 1998-A
5,000,000 5.32 03/16/99 5,000,000
Southtrust Bank of Alabama, N.A.
25,000,000 5.42 01/14/99 24,992,824
5,000,000 5.08 01/21/99 4,999,262
U.S. Bank, N.A.
10,000,000 5.50 01/08/99 9,998,493
30,000,000 5.43 01/20/99 29,991,935
- --------------------------------------------------------------------------------------------------
Total Variable Rate Obligations $419,909,924
- --------------------------------------------------------------------------------------------------
Certificates of Deposit--2.5%
Mellon Bank, N.A.
$25,000,000 5.00% 02/17/99 $ 25,000,000
- --------------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 25,000,000
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements--14.6%
Joint Repurchase Agreement Account
$123,400,000 4.82% 01/04/99 $ 123,400,000
Joint Repurchase Agreement Account II
25,000,000 4.89 01/04/99 25,000,000
- ----------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 148,400,000
- ----------------------------------------------------------------------------------------------
Total Investments $1,015,913,421(b)
</TABLE>
- --------------------------------------------------------------------------------
(a) Variable rate security-base index is either U.S. Treasury Bill, LIBOR, one
month commercial paper, Federal Funds, or Prime lending rate.
(b) 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 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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--35.1%
Agency/Government
Province of Quebec
$15,000,000 5.01% 05/07/99 $ 14,736,975
Bank Holding Companies
Banca CRT Financial Corp.
20,000,000 5.35 02/22/99 19,845,444
Banque Et Caisse Epargne
20,000,000 5.01 03/29/99 19,757,850
C.S. First Boston Corp.
10,000,000 5.33 02/10/99 9,940,778
Deutsche Bank Financial
25,000,000 5.60 01/07/99 24,976,667
IMI Funding Corp.
10,000,000 5.38 02/26/99 9,916,311
Business Credit Institutions
CIT Group, Inc.
10,000,000 5.05 03/29/99 9,877,958
General Electric Capital Corp.
10,000,000 5.36 02/16/99 9,931,511
Chemicals
Henkel Corp.
11,000,000 5.03 03/12/99 10,892,414
Commercial Banks
CP Trust Certificates Series 1996-1
17,000,000 4.95 03/30/99 17,000,000
Motor Vehicles and Equipment
DaimlerChrysler N.A. Holding Corp.
21,849,000 4.98 05/28/99 21,404,701
Receivable/Asset Financings
Asset Portfolio Funding
20,000,000 5.20 03/17/99 19,783,333
Asset Securitization Corp.
25,000,000 5.15 03/12/99 24,749,653
Atlantis One Funding Corp.
28,364,000 5.11 05/13/99 27,832,553
CC USA, Inc.
10,000,000 5.15 01/15/99 9,979,972
Corporate Receivables Corp.
25,000,000 5.25 02/18/99 24,825,000
30,000,000 5.25 02/19/99 29,785,625
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations (continued)
Receivable/Asset Financings (continued)
Edison Asset Securitization Corp.
$10,000,000 5.15% 01/13/99 $ 9,982,833
10,000,000 5.13 01/29/99 9,960,100
20,000,000 5.14 02/26/99 19,840,089
10,000,000 5.15 03/22/99 9,885,556
17,884,000 5.18 03/29/99 17,660,122
Eureka Securities
30,000,000 5.35 02/01/99 29,861,792
Four Winds Funding Corp.
20,000,000 5.25 01/14/99 19,962,083
40,000,000 5.65 01/28/99 39,830,500
Riverwoods Funding Corp.
20,000,000 5.05 02/25/99 19,845,694
Rose One Plus(a)
10,000,000 5.31 01/08/99 9,989,675
Windmill Funding Corp.
10,000,000 5.30 01/15/99 9,979,389
25,000,000 5.30 02/08/99 24,860,139
Savings and Loan
Northern Rock PLC
15,000,000 5.12 02/02/99 14,931,733
Security and Commodity Brokers, Dealers and Services
J.P. Morgan Securities, Inc.
10,000,000 5.02 04/21/99 9,846,611
Morgan Stanley Dean Witter & Co.
10,000,000 5.20 03/24/99 9,881,556
Salomon Smith Barney Holdings, Inc.
5,000,000 5.40 01/19/99 4,986,500
25,000,000 5.40 02/23/99 24,801,250
5,000,000 5.20 03/12/99 4,949,444
- --------------------------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $596,291,811
- --------------------------------------------------------------------------------------------------
Bank Notes--1.9%
BankBoston, N.A.
$10,000,000 5.20% 04/01/99 $ 10,000,000
5,000,000 5.11 04/05/99 5,000,000
First Union National Bank
18,000,000 5.12 03/29/99 18,000,000
- --------------------------------------------------------------------------------------------------
Total Bank Notes $ 33,000,000
- --------------------------------------------------------------------------------------------------
</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--1.5%
Mellon Bank, N.A.
$25,000,000 5.00% 02/17/99 $ 25,000,000
- -------------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 25,000,000
- -------------------------------------------------------------------------------------------------
Certificates of Deposit - Yankeedollar--11.4%
Bank Austria, New York
$15,000,000 5.08% 12/30/99 $ 14,998,562
Canadian Imperial Bank of Commerce, New York
15,000,000 5.66 02/26/99 14,998,897
15,000,000 5.06 05/05/99 15,000,000
Commerzbank, New York
9,000,000 5.37 02/24/99 9,001,361
5,000,000 5.65 02/26/99 4,999,632
Credit Agricole Indosuez, New York
10,000,000 5.74 04/26/99 9,998,190
Creditanstalt, New York
10,000,000 5.85 05/03/99 9,998,402
Den Danske Bank Corp., New York
10,000,000 5.75 04/26/99 9,998,492
Deutsche Bank, New York
25,000,000 5.04 05/05/99 25,000,000
National Bank of Canada, New York
10,000,000 5.78 05/19/99 9,997,757
15,000,000 5.76 06/10/99 14,996,223
Societe Generale, New York
15,000,000 5.66 02/26/99 14,999,116
5,000,000 5.71 03/29/99 4,999,543
10,000,000 5.63 04/06/99 9,995,600
Toronto Dominion Bank, New York
5,000,000 5.10 12/29/99 5,000,239
UBS, New York
20,000,000 5.23 01/13/99 20,000,099
- -------------------------------------------------------------------------------------------------
Total Certificates of Deposit - Yankeedollar $193,982,113
- -------------------------------------------------------------------------------------------------
Corporate Bond--1.2%
Dakota Certificates of Standard Credit Card Master Trust
$20,000,000 5.25% 01/14/99 $ 19,962,083
- -------------------------------------------------------------------------------------------------
Total Corporate Bond $ 19,962,083
- -------------------------------------------------------------------------------------------------
Time Deposit--4.4%
National City Bank
$75,000,000 4.94% 01/04/99 $ 75,000,000
- -------------------------------------------------------------------------------------------------
Total Time Deposit $ 75,000,000
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations(a)--34.4%
Abbey National Treasury Services
$35,000,000 5.07% 01/20/99 $ 34,985,808
Bank of Austria, New York
30,000,000 5.49 01/04/99 29,991,266
Bank of Western Australia Ltd.
5,000,000 5.35 02/19/99 4,999,579
Barclays Bank PLC
30,000,000 5.49 01/04/99 29,990,382
Bayerische Landesbank
25,000,000 5.03 01/22/99 24,989,139
15,000,000 5.49 01/25/99 14,998,473
10,000,000 5.49 01/29/99 9,996,385
C.S. First Boston Corp.
10,000,000 5.20 01/04/99 10,000,000
10,000,000 5.57 02/01/99 10,000,000
Citicorp, Inc.
20,000,000 5.20 03/17/99 20,000,000
Comerica Bank Detroit
15,000,000 5.42 01/19/99 14,995,170
Den Danske Bank Corp.
15,000,000 5.52 01/04/99 14,996,317
5,000,000 5.56 01/25/99 4,999,891
First Tennessee Bank, N.A.
10,000,000 5.07 01/25/99 9,998,496
General Electric Capital Corp.
10,000,000 5.32 02/17/99 10,000,000
Istituto Bancario, New York
15,000,000 5.22 01/14/99 14,997,930
30,000,000 5.12 02/24/99 29,991,930
5,000,000 5.09 03/08/99 4,998,514
J.P. Morgan Securities, Inc.
30,000,000 5.48 01/07/99 29,991,033
Merrill Lynch & Co., Inc.
15,000,000 5.51 01/11/99 15,000,000
11,000,000 5.39 01/22/99 11,001,592
5,000,000 5.53 02/10/99 5,003,586
10,000,000 5.14 03/16/99 10,000,000
Monumental Life Insurance Co.
25,000,000 5.72 02/01/99 25,000,000
Morgan Stanley Dean Witter & Co.
$ 15,000,000 5.30% 01/15/99 14,999,944
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Money Market Portfolio (continued)
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations (continued)
National Rural Utilities Corp.
$20,000,000 5.17% 02/25/99 $ 20,000,000
New York Life Insurance Co.
10,000,000 5.31 01/07/99 10,000,000
Norwest Corp.
10,000,000 5.17 03/22/99 9,999,310
Old Kent Bank & Trust Co.
10,000,000 5.10 02/01/99 9,998,405
PNC Bank, N.A.
25,000,000 5.50 01/04/99 24,990,238
SMM Trust Series 1998-A
8,000,000 5.32 03/16/99 8,000,000
Societe Generale, New York
5,000,000 5.51 01/07/99 4,999,229
5,000,000 5.54 01/26/99 4,998,514
Southtrust Bank of Alabama, N.A.
20,000,000 5.08 01/21/99 19,997,047
Svenska Handelsbanken
45,000,000 5.44 01/04/99 44,989,022
Westpac Banking Corp., New York
20,000,000 5.10 02/03/99 19,994,826
- --------------------------------------------------------------------------------------------------
Total Variable Rate Obligations $583,892,026
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements--9.9%
Joint Repurchase Agreement Account
$ 68,900,000 4.82% 01/04/99 $ 68,900,000
Joint Repurchase Agreement Account II
100,000,000 4.89 01/04/99 100,000,000
- ----------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 168,900,000
- ----------------------------------------------------------------------------------------------
Total Investments $1,696,028,033(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.
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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--75.2%
Federal Farm Credit Bank
$12,000,000 5.65% 01/04/99 $ 11,999,858
4,698,000 5.15 01/20/99 4,685,231
7,000,000 4.76(a) 01/18/00 6,987,225
Federal Home Loan Bank
20,000,000 4.75 01/20/99 19,949,861
1,540,000 5.15 02/03/99 1,532,730
3,000,000 5.61 06/18/99 2,999,238
5,000,000 5.52 08/12/99 5,018,270
2,495,000 4.90 12/01/99 2,496,280
25,000,000 4.86(a)(b) 04/11/99 24,982,750
Federal Home Loan Mortgage Corp.
15,000,000 5.41(b) 01/04/99 14,996,259
6,250,000 5.15 01/19/99 6,233,906
35,000,000 5.44(b) 01/26/99 34,998,369
20,000,000 5.15 02/03/99 19,905,583
5,000,000 4.92 03/19/99 4,947,383
15,000,000 4.79 04/09/99 14,804,408
9,000,000 5.60 04/21/99 9,022,468
Federal National Mortgage Association
15,000,000 4.98(b) 01/05/99 14,995,535
5,000,000 5.07 01/08/99 4,995,071
25,000,000 5.33(b) 01/17/99 24,997,473
75,000,000 5.36(b) 01/22/99 74,997,439
9,000,000 5.41 02/23/99 8,997,681
10,000,000 5.53 03/11/99 9,998,563
2,000,000 6.60 06/24/99 2,012,340
2,760,000 6.03 07/07/99 2,770,935
1,450,000 5.92 08/11/99 1,455,868
4,000,000 8.35 11/10/99 4,115,031
13,550,000 5.74 12/23/99 13,669,368
Student Loan Marketing Association
25,000,000 5.45(b) 01/03/99 24,985,042
- -------------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $373,550,165
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements--31.3%
ABN/AMRO, Inc.(c)
$30,000,000 5.15% 01/04/99 $ 30,000,000
Joint Repurchase Agreement Account(d)
95,400,000 4.82 01/04/99 95,400,000
NationsBanc Montgomery Securities LLC(c)
30,000,000 5.15 01/04/99 30,000,000
- ------------------------------------------------------------------------------------------------
Total Repurchase Agreements $155,400,000
- ------------------------------------------------------------------------------------------------
Total Investments $528,950,165(e)
- ------------------------------------------------------------------------------------------------
</TABLE>
(a) Forward commitments.
(b) Variable rate security-base index is either Federal Funds, Prime lending
rate, LIBOR or three or six month U.S. Treasury Bill.
(c) At December 31, 1998 these agreements were fully collateralized by Federal
Agency obligations
(d) A portion of this security is segregated for forward commitments.
(e) 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 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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--13.3%
United States Treasury Notes
$15,000,000 6.38% 04/30/99 $ 15,037,410
5,000,000 6.38 05/17/99 5,013,813
5,000,000 6.25 06/01/99 5,013,899
25,000,000 6.00 06/30/99 25,111,348
8,000,000 6.00 08/16/99 8,081,686
8,000,000 7.13 09/30/99 8,126,129
31,000,000 7.50 11/01/99 31,792,767
15,000,000 5.88 11/15/99 15,185,065
- --------------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $113,362,117
- --------------------------------------------------------------------------------------------------
Repurchase Agreements--86.9%
ABN/AMRO, Inc.(a)
$40,000,000 4.92% 01/04/99 $ 40,000,000
Barclays Bank(a)
30,000,000 4.88 01/06/99 30,000,000
Bear Stearns Companies, Inc.(a)
40,000,000 4.60 01/04/99 40,000,000
C.S. First Boston Corp.(a)
30,000,000 4.82 01/04/99 30,000,000
Deutsche Morgan Grenfell(a)
40,000,000 4.88 01/04/99 40,000,000
Goldman, Sachs & Co.(a)
30,000,000 4.96 01/04/99 30,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements (continued)
Joint Repurchase Agreement Account
$294,200,000 4.82% 01/04/99 $294,200,000
J.P. Morgan Securities, Inc.(a)
40,000,000 4.75 01/04/99 40,000,000
Lehman Brothers, Inc.(a)
40,000,000 4.90 01/04/99 40,000,000
Merrill Lynch Government Securities, Inc.(a)
40,000,000 4.65 01/04/99 40,000,000
Morgan Stanley Dean Witter & Co.(a)
35,000,000 5.75 01/04/99 35,000,000
NationsBanc Montgomery Securities LLC(a)
40,000,000 4.75 01/04/99 40,000,000
Salomon Smith Barney, Inc.(a)
40,000,000 4.90 01/04/99 40,000,000
- ---------------------------------------------------------------------------------------------
Total Repurchase Agreements $739,200,000
- ---------------------------------------------------------------------------------------------
Total Investments $852,562,117(b)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) At December 31, 1998 these agreements were fully collateralized by U.S.
Treasury obligations.
(b) 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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--99.7%
United States Treasury Bills
$ 64,900,000 4.32% 01/07/99 $ 64,853,272
4,800,000 4.03 01/14/99 4,793,015
5,600,000 4.64 01/21/99 5,585,907
11,400,000 4.61 01/21/99 11,371,437
15,700,000 4.49 01/21/99 15,661,688
12,600,000 4.56 01/21/99 12,568,710
2,900,000 4.62 01/21/99 2,892,685
5,800,000 4.51 02/04/99 5,775,295
8,200,000 4.51 02/11/99 8,158,909
15,000,000 4.44 02/11/99 14,925,943
11,000,000 4.40 02/11/99 10,946,256
115,000,000 4.51 03/04/99 114,128,555
35,000,000 4.48 03/04/99 34,736,285
65,000,000 4.41 03/11/99 64,450,588
100,000,000 4.53 04/01/99 98,895,000
50,000,000 4.48 04/01/99 49,453,750
41,700,000 4.34 04/22/99 41,142,627
United States Treasury Notes
108,700,000 5.88 01/31/99 108,773,665
175,000,000 5.50 02/28/99 175,222,522
- -------------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $844,336,109
- -------------------------------------------------------------------------------------------------
Total Investments $844,336,109(a)
- -------------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate or annualized yield on
date of purchase for discounted notes.
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.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Federal Portfolio
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--107.9%
Federal Farm Credit Bank
$ 85,000,000 5.00%(a) 01/01/99 $ 84,976,237
40,000,000 5.34(a) 01/01/99 39,983,688
35,000,000 5.41(a) 01/01/99 35,000,000
25,000,000 5.35(a) 01/01/99 24,995,886
210,000,000 4.94(a)(b) 01/04/99 210,000,000
75,000,000 5.09(a) 01/04/99 75,000,000
3,100,000 5.05 01/12/99 3,095,217
50,000,000 5.37(a) 01/13/99 50,000,000
37,555,000 5.09 01/14/99 37,485,972
18,269,000 5.05 01/15/99 18,233,122
40,300,000 5.07 01/15/99 40,220,542
125,000,000 5.34(a) 01/15/99 124,982,484
60,000,000 5.37(a) 01/15/99 60,000,000
62,000,000 4.76(c) 01/18/00 61,942,475
36,000,000 5.06 01/22/99 35,893,740
90,000,000 5.36(a) 01/23/99 89,960,517
10,000,000 5.01 02/01/99 9,956,858
10,000,000 4.98 02/08/99 9,947,433
9,000,000 5.14 02/10/99 8,948,600
25,000,000 4.98 02/12/99 24,854,750
40,000,000 5.38 03/02/99 39,988,855
10,000,000 4.81 05/17/99 9,818,289
50,000,000 5.50 09/01/99 50,091,696
10,000,000 4.75 12/01/99 9,988,305
Federal Home Loan Bank
15,000,000 4.30 01/04/99 14,994,625
40,600,000 4.75 01/04/99 40,583,929
75,000,000 4.80(a) 01/04/99 74,956,021
63,124,000 5.04 01/04/99 63,097,500
3,600,000 5.08 01/04/99 3,598,476
23,035,000 5.03 01/06/99 23,018,907
93,900,000 5.04 01/06/99 93,834,270
34,375,000 4.75 01/08/99 34,343,251
12,113,000 4.76 01/08/99 12,101,789
36,987,000 4.84 01/08/99 36,952,191
100,000,000 5.38(a) 01/08/99 99,965,753
100,000,000 5.34(a) 01/11/99 99,992,308
19,800,000 5.06 01/13/99 19,766,604
27,000,000 4.73(b) 01/15/99 26,950,335
40,000,000 4.75(b) 01/15/99 39,926,111
14,300,000 5.06(b) 01/15/99 14,271,861
37,600,000 4.75 01/20/99 37,505,739
50,000,000 5.12 01/20/99 49,864,889
8,600,000 4.79 01/22/99 8,575,970
12,200,000 4.82 01/27/99 12,157,530
18,550,000 5.05 02/05/99 18,458,925
69,678,000 5.05 02/10/99 69,287,029
50,000,000 5.00 03/03/99 49,576,813
35,000,000 4.96 03/08/99 34,681,733
40,000,000 5.60 03/10/99 39,999,702
</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)
$ 100,300,000 4.95% 03/17/99 $ 99,265,656
50,000,000 4.96 03/17/99 49,483,333
149,000,000 4.95 03/19/99 147,422,463
14,000,000 4.95 03/24/99 13,842,150
50,000,000 4.76 04/14/99 49,319,056
25,000,000 4.77 04/14/99 24,658,813
12,000,000 4.82 04/28/99 11,812,020
7,985,000 4.84 05/05/99 7,851,881
20,000,000 5.61 06/18/99 19,994,919
125,000,000 4.86(a)(c) 01/11/00 124,913,750
Student Loan Marketing Association
100,000,000 5.45(a) 01/03/99 99,940,164
105,000,000 4.99(a)(b) 01/05/99 104,989,903
50,000,000 5.13(a) 01/05/99 49,992,952
75,000,000 5.37(a) 01/15/99 75,000,000
72,000,000 4.99(b) 01/19/99 71,820,360
50,000,000 4.73 01/27/99 49,829,194
75,000,000 5.01 02/11/99 74,572,062
50,000,000 5.00(a) 03/15/99 49,973,993
20,000,000 5.63 06/02/99 19,995,969
10,135,000 5.63 06/30/99 10,132,786
60,000,000 5.23(a)(c) 01/11/00 59,970,600
Tennessee Valley Authority
40,000,000 4.98 02/22/99 39,712,267
10,000,000 8.38 10/01/99 10,253,761
- ----------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $3,438,574,979
- ----------------------------------------------------------------------------------
Total Investments $3,438,574,979(d)
- ----------------------------------------------------------------------------------
</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) A portion of these securities are segregated for forward commitments.
(c) Forward commitments.
(d) 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 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 , 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama--3.0%
City of Mobile Industrial Development PCRB for Alabama Power Series 1993 A
(A-1/VMIG1)
$ 7,000,000 3.95% 01/07/99 $ 7,000,000
Columbia Town IDRB for Alabama Power Co. Series 1996 A (A-1/VMIG1)
10,700,000 5.00 01/04/99 10,700,000
Homewood City Educational Building Authority Educational Facilities RB for
Samford University Series 1996 (Bank of Nova Scotia) (A-1+/VMIG1)
24,100,000 5.00 01/04/99 24,100,000
Montgomery City Special Care RB Series 1994 A (Amsouth Bank) (VMIG1)
6,620,000 3.95 01/07/99 6,620,000
- -------------------------------------------------------------------------------------------------
$48,420,000
- -------------------------------------------------------------------------------------------------
Alaska--0.3%
City of Valdez Marine Terminal Refunding RB for Exxon Pipeline Company
Series 1993 C (A-1+/VMIG1)
$ 5,600,000 5.10% 01/04/99 $ 5,600,000
- -------------------------------------------------------------------------------------------------
Arkansas--0.6%
Union County PCRB for Great Lakes Chemical Series 1988 (A-1)(a)
$ 9,000,000 4.11% 01/07/99 $ 9,000,000
- -------------------------------------------------------------------------------------------------
California--0.3%
City of Long Beach TRANS Series 1998-1999 (SP-1+)
$ 3,400,000 4.00% 10/05/99 $ 3,421,009
City of Newport Beach Floating/Fixed Rate Health Facility RB for Hoag
Memorial Series 1992 (A-1+C/VMIG1)
700,000 5.10 01/04/99 700,000
- -------------------------------------------------------------------------------------------------
$ 4,121,009
- -------------------------------------------------------------------------------------------------
Colorado--1.0%
Jefferson County School District TANS Series 1998 (MIG1/SP-1+)
$15,910,000 4.00% 06/30/99 $15,975,320
- -------------------------------------------------------------------------------------------------
Florida--2.7%
Florida Local Government Financing Commission Pooled CP Notes Series A
(First Union National Bank) (A-1/P-1)
$ 8,035,000 3.00% 03/26/99 $ 8,035,000
Florida Pooled CP Notes Series A (First Union National Bank) (A-1/P-1)
25,000,000 3.00 03/15/99 25,000,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series
1984 H (NRU LOC) (A-1+/P-1)
10,785,000 4.05 01/07/99 10,785,000
- -------------------------------------------------------------------------------------------------
$43,820,000
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Georgia--14.5%
Albany Dougherty Payroll IDA PCRB for Georgia Power First Series 1991
(VMIG1)
$2,120,000 4.00% 01/07/99 $ 2,120,000
Albany Dougherty PCRB for Philip Morris Companies Inc. Series 1992 (A-
1/P-1)
17,000,000 4.30 01/07/99 17,000,000
Atlanta Water & Sewer RB Series 1997 Eagle Tax-Exempt Trust Series
971003 Class A COPS (FGIC) (A-1+C)
10,500,000 4.15 01/07/99 10,500,000
Burke County Development Authority PCRB for Georgia Power First Series
1992 (VMIG1)
12,800,000 4.00 01/07/99 12,800,000
Burke County IDA Adjustable Tender PCRB for Oglethorpe Power Corp.
Series 1993 A (FGIC) (A-1+/VMIG1)
4,100,000 3.85 01/07/99 4,100,000
25,220,000(b) 3.80 01/16/99 25,220,000
Cobb County Development Authority PCRB for Georgia Power First Series
1991 (VMIG1)
8,330,000 4.00 01/07/99 8,330,000
Cobb County IDA RB for Institute of Nuclear Power Operations Project
Series 1998 (Suntrust Bank) (AA3)
5,525,000 4.00 01/07/99 5,525,000
Columbus Hospital Authority Adjustable Rate Revenue Certificates for
St. Frances Hospital Project Series 1994 (Suntrust Bank) (VMIG1)
6,950,000 4.00 01/07/99 6,950,000
Dekalb County IDRB for Siemens Energy & Automation, Inc./Siemens Series
1994 (P-1)
3,750,000 4.15 01/07/99 3,750,000
Dekalb County Hospital Authority Revenue Anticipation Certificates for
Dekalb Medical Center Series 1993 B (Suntrust Bank) (VMIG1)
4,900,000 4.00 01/07/99 4,900,000
Effingham County PCRB for Savannah Electric & Power Company Series 1997
(A-1/VMIG1)
3,700,000 5.10 01/04/99 3,700,000
Floyd County PCRB for Georgia Power Co. Series 1996 (A-1/VMIG1)
2,080,000 5.10 01/04/99 2,080,000
Fulco Hospital Authority Revenue Anticipation Certificates for Piedmont
Hospital Series 1992 (Suntrust Bank) (A-1+)
7,800,000 4.00% 01/07/99 7,800,000
Georgia Muncipal Electric and Gas Subordinated Bonds for General
Resolution Projects (C.S. First Boston/Morgan Guaranty/Bayerische
Landesbank Girozentrale/Wachovia Bank/ABN/AMRO Bank, N.V. LOC) (A-
1+/VMIG1)(b)
28,235,000 3.90 01/07/99 28,235,000
</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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Georgia (continued)
Georgia Municipal Electric and Gas Subordinated Bonds for General
Resolution Projects Series 1985 C (Bayerische Landesbank Girozentrale LOC)
(A-1+/VMIG1)
$ 5,000,000 4.15% 01/07/99 $ 5,000,000
Georgia Municipal Electric and Gas Project One Subordinated Bonds Series
1994 D (ABN/AMRO Bank, N.V.) (A-1+/VMIG1)
19,450,000 4.15 01/07/99 19,450,000
Georgia Municipal Electric and Gas Project One Subordinated Bonds Series
1994 E (ABN/AMRO Bank, N.V.) (A-1+/VMIG1)
21,300,000 3.80 01/07/99 21,300,000
Georgia Municipal Gas Authority RB for Agency Project Series B (C.S. First
Boston/Morgan Guaranty/Bayerische Landesbank Girozentrale/Wachovia
Bank/ABN/AMRO Bank, N.V.) (A-1+)
6,000,000 4.15 01/07/99 6,000,000
Georgia Municipal Gas Authority RB for Gas Portfolio II Project Series B
(C.S. First Boston/Morgan Guaranty/Bayerische Landesbank
Girozentrale/Wachovia Bank N.A.) (A-1+)
10,845,000 3.90 01/07/99 10,845,000
Georgia Municipal Gas Authority RB Series A (C.S. First Boston/Morgan
Guaranty/Bayerische Landesbank Girozentrale/Wachovia Bank N.A./ABN AMRO
Bank N.V.) (A-1+)
7,000,000 4.15 01/07/99 7,000,000
Henry County Georgia IDA RB for Georgia-Pacific Series 1993 (Suntrust Bank)
(AA3)
4,000,000 4.00 01/07/99 4,000,000
Monroe County IDA PCRB for Georgia Power Co. Plant Scherer Project First
Series 1997 (A-1/VMIG1)
5,000,000 5.10 01/04/99 5,000,000
Savannah Economic Development Authority PCRB for Savannah Electric & Power
First Series 1993 (A-1/VMIG1)
4,085,000 4.00 01/07/99 4,085,000
State of Georgia GO Bonds Puttable Floating Option Tax-Exempt Receipts
Series 1991 C PA-246 (A-1+C)
10,205,000 4.10 01/07/99 10,205,000
- --------------------------------------------------------------------------------------------------
$235,895,000
- --------------------------------------------------------------------------------------------------
Idaho--1.2%
State of Idaho TANS Series 1998 (VMIG1/SP-1+)
$20,000,000 4.50% 06/30/99 $ 20,085,648
- --------------------------------------------------------------------------------------------------
Illinois--7.3%
Chicago City RB for Chicago Midway Airport Series 1996 A Societe Generale
Trustor Municipal Securities Trust Receipts (MBIA) (A-1+C)
$12,000,000 4.10% 01/07/99 $ 12,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Illinois (continued)
City of Belleville IDA Refunding RB for Weyerhaeuser Project Series 1993
(A-1)
$ 1,800,000 4.10% 01/07/99 $ 1,800,000
Cook County GO Variable Rate Demand Bonds Series 1996
(A-1+/VMIG1)
24,000,000 4.10 01/07/99 24,000,000
Illinois Health Facilities Authority VRDN Adjustable RB for Evanston
Northwestern Health Care Corp. Series 1998 (A-1+/VMIG1)
7,500,000 3.70 06/01/99 7,500,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Health
System Series 1998 A (VMIG1)
19,300,000 5.15 01/04/99 19,300,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Health
Systems Series 1993 B (VMIG1)
22,000,000 5.15 01/04/99 22,000,000
Illinois Health Facilities Authority VRDN for Northwest Community Hospital
Series 1997 (A-1+/VMIG1)
2,600,000 4.00 01/07/99 2,600,000
Illinois Health Facilities Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 C (The First National Bank of Chicago) (A-
1+/VMIG1)
16,575,000 4.10 01/07/99 16,575,000
Illinois Health Facilities Authority VRDN RB for Northwest Community
Hospital Series 1995 (A-1+/VMIG1)
1,700,000 4.00 01/07/99 1,700,000
Illinois Health Facility Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 D (The First National Bank of Chicago)
(A-1+/VMIG1)
8,300,000 4.10 01/07/99 8,300,000
Village of Sauget VRDN PCRB for Monsanto Series 1992 (P-1)
3,300,000 4.15 01/07/99 3,300,000
- --------------------------------------------------------------------------------------------------
$119,075,000
- --------------------------------------------------------------------------------------------------
Indiana--4.0%
Fort Wayne City Hospital Authority VRDN for Parkview Memorial Hospital
Series 1985 D (Bank of America National Trust & Savings Association)
(VMIG1)
$ 1,180,000 3.90% 01/07/99 $ 1,180,000
Fort Wayne City Hospital Authority VRDN for Parkview Memorial Hospital
Series 1989 B (Bank of America National Trust & Savings Association)
(VMIG1)
15,700,000 3.90 01/07/99 15,700,000
Fort Wayne City Hospital Authority VRDN RB for Parkview Memorial Hospital
Series 1985 C (Bank of America National Trust & Savings Association)
(VMIG1)
7,655,000 3.90 01/07/99 7,655,000
</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>
Indiana (continued)
Indiana Health Facility Authority Variable Rate Hospital RB for
Daughters of Charity National Health System Series 1997 E (A-1+/VMIG1)
$14,730,000(b) 3.80% 01/07/99 $14,730,000
Indiana Hospital Equipment Financing Authority VRDN Series 1985 A
(MBIA) (A-1/VMIG1)
5,000,000 4.00 01/07/99 5,000,000
Princeton City PCRB for PSI Energy Inc. Project Series 1996 (CIBC LOC)
(A-1+/VMIG1)
15,000,000 5.15 01/04/99 15,000,000
Warrick County PCRB for ALCOA Series 1992 (A-1)
5,000,000 4.15 01/07/99 5,000,000
- -----------------------------------------------------------------------------------------------
$64,265,000
- -----------------------------------------------------------------------------------------------
Iowa--2.4%
Chillicothe City PCRB for Midamerican Energy Co./Midwest Power Systems
Series 1993 A (A-1/VMIG1)
$ 900,000 4.20% 01/07/99 $ 900,000
Louisa County PCRB for Iowa-Illinois Gas & Electric Co./Midamerican
Energy Co. Series 1986 A (A-1)
15,400,000 4.20 01/07/99 15,400,000
Muscatine County VRDN PCRB for Monsanto Series 1992 (P-1)
1,000,000 4.15 01/07/99 1,000,000
Salix City PCRB for Midamerican Energy Co./Midwest Power Systems Series
1993 (A-1/VMIG1)
21,795,000 4.20 01/07/99 21,795,000
- -----------------------------------------------------------------------------------------------
$39,095,000
- -----------------------------------------------------------------------------------------------
Kentucky--1.3%
Calvert City Pollution Control for Air Products and Chemicals Series
1993 B (A-1)
$ 1,000,000 4.10% 01/07/99 $ 1,000,000
Kentucky Economic Development Financing Authority Adjustable Rate
Hospital Facilities RB for The Health Alliance of Greater Cincinnati
Series 1997 D (MBIA) (A-1+/VMIG1)
5,000,000 4.00 01/07/99 5,000,000
Kentucky Turnpike Authority Resource Recovery Road Refunding RB Series
1987 A Trust Receipts, Series 1997 Fr/ri-17 (Financial Security
Assurance Inc.) (A-1+/VMIG1)
3,950,000 4.10 01/07/99 3,950,000
Trimble County PCRB for Louisville Gas And Electric Company Series 1996
A (A-1/VMIG1)
11,000,000 3.10 03/15/99 11,000,000
- -----------------------------------------------------------------------------------------------
$20,950,000
- -----------------------------------------------------------------------------------------------
Louisiana--3.1%
Ascension Parish PCRB for Shell Oil Co. Series 1996 (A-1+/VMIG1)(a)
$ 9,500,000 3.80% 01/07/99 $ 9,500,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Louisiana (continued)
Ascension Parish PCRB for Vulcan Materials Co. Series 1996
(A-1+/VMIG1)
$ 8,200,000 4.30% 01/07/99 $ 8,200,000
Iberville Parish PCRB for Air Products and Chemicals Series 1992 (A-1)
6,200,000 4.10 01/07/99 6,200,000
Plaquemines Port Harbor & District Marine Terminal Series 1985 B for
Electro-Coal Transfer Corp. (A-1+/P-1)
6,050,000 3.00 05/20/99 6,050,000
South Louisiana Port Commission RB for Occidental Petroleum Corp. Series
1996 (Wachovia Bank N.A.) (P-1)
11,800,000 3.85 01/07/99 11,800,000
St. James Parish PCRB for Occidental Petroleum Corp. Series 1996 (Wachovia
Bank N.A.) (P-1)
8,000,000 3.85 01/07/99 8,000,000
- -------------------------------------------------------------------------------------------------
$49,750,000
- -------------------------------------------------------------------------------------------------
Maryland--0.8%
Washington Suburban Sanitary District GO VRDN Series 1998
(A-1+/VMIG1)(a)
$13,000,000 4.05% 01/07/99 $13,000,000
- -------------------------------------------------------------------------------------------------
Massachusetts--4.4%
Commonwealth of Massachusetts Eagle Tax-Exempt Trust Series 97C2101 Class
A COPS (MBIA) (A-1+C)
$10,195,000 4.15% 01/07/99 $10,195,000
Commonwealth of Massachusetts GO Refunding Bonds Series 1998 A (A-
1+/VMIG1)
22,000,000 3.90 01/07/99 22,000,000
Massachusetts Health & Education Facility Authority for Harvard University
Series A Eagle Tax-Exempt Trust Series 972104 Class A COPS (A-1+C)
12,500,000 4.15 01/07/99 12,500,000
Massachusetts Health & Education Facility Authority RB for Harvard
University Series I (A-1+/VMIG1)
27,265,000 3.95 01/07/99 27,265,000
- -------------------------------------------------------------------------------------------------
$71,960,000
- -------------------------------------------------------------------------------------------------
Michigan--2.2%
Michigan State Building Authority CP Notes Series 2 (CIBC) (A-1+/P-1)
$17,500,000 3.30% 02/09/99 $17,500,000
Michigan State Trunk Line Fund Series 1998 A-Eagle Tax-Exempt Trust Series
982202 Class A Certificates (A-1+C)
18,000,000 4.13 01/07/99 18,000,000
- -------------------------------------------------------------------------------------------------
$35,500,000
- -------------------------------------------------------------------------------------------------
</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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Minnesota--1.2%
Becker PCRB for Northern States Power Co.--Sherburne County Generating
Station Unit 3 Project Series 1992-A (A-1+/P-1)
$ 8,000,000 3.05% 03/10/99 $ 8,000,000
Minnesota Higher Education Facility Authority VRDN for Carleton College
Series 3-L2 (VMIG1)
4,175,000 3.85 01/07/99 4,175,000
White Bear Lake Refunding IDRB for Weyerhaeuser Project Series 1993 (A-1)
6,800,000 4.10 01/07/99 6,800,000
- -------------------------------------------------------------------------------------------------
$18,975,000
- -------------------------------------------------------------------------------------------------
Mississippi--0.6%
Canton IDRB for Levi Strauss & Co. Series 1995 (Bank of America National
Trust & Savings Association) (A-1+)
$10,000,000 4.00% 01/07/99 $10,000,000
- -------------------------------------------------------------------------------------------------
Missouri--0.5%
Missouri Environmental Improvement & Energy VRDN PCRB for Monsanto Series
1993 (P-1)
$ 5,000,000 4.10% 01/07/99 $ 5,000,000
Missouri Refunding RB for Washington University Series 1984
(A-1+/VMIG1)
3,750,000 4.10 01/07/99 3,750,000
- -------------------------------------------------------------------------------------------------
$ 8,750,000
- -------------------------------------------------------------------------------------------------
Nevada--2.8%
Clark County Refunding RB for Nevada Airport System Series 1993 A (MBIA)
(A-1+/VMIG1)
$45,970,000 3.85% 01/07/99 $45,970,000
- -------------------------------------------------------------------------------------------------
New Jersey--3.1%
State of New Jersey TRANS Series 1999 A (A-1+/P-1)
$ 5,000,000 3.35% 03/11/99 $ 5,000,000
13,000,000 2.95 03/17/99 13,000,000
25,000,000 3.00 03/31/99 25,000,000
7,500,000 3.35 04/06/99 7,500,000
- -------------------------------------------------------------------------------------------------
$50,500,000
- -------------------------------------------------------------------------------------------------
New Mexico--0.6%
State of New Mexico TRANS Series 1998 (VMIG1/SP-1+)
$10,200,000 4.25% 06/30/99 $10,231,561
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York--3.8%
Long Island Power Authority Electric System Subordinated RB Series 1
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale)
(A-1+/VMIG1)
$ 9,000,000 4.15% 01/07/99 $ 9,000,000
Long Island Power Authority Electric System Subordinated RB Series 4
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale)
(A-1+/VMIG1)
24,800,000 2.85 03/18/99 24,800,000
New York City GO Bonds Fiscal 1995 Series B-5 (MBIA) (A-1+/VMIG1)
4,100,000 5.15 01/04/99 4,100,000
New York City GO Puttable Tax-Exempt Receipts Series 1995 D (MBIA) (VMIG1)
10,700,000 4.25 01/07/99 10,700,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Series 1994 B (UBS AG) (A-1+/ VMIG1)
2,500,000 5.05 01/04/99 2,500,000
New York State Environmental Facility Corp. Floating Rate Trust Receipts
Series 1997 (A-1+C/VMIG1)
10,425,000 4.10 01/07/99 10,425,000
- -------------------------------------------------------------------------------------------------
$61,525,000
- -------------------------------------------------------------------------------------------------
North Carolina--3.1%
City of Greensboro COPS Series 1998 (A-1+/VMIG1)
$ 5,000,000 4.10% 01/07/99 $ 5,000,000
North Carolina State Public School Building Bonds Series 1998 A Puttable
Floating Option Tax-Exempt Receipts Series PA 283 (A-1+)
8,800,000 4.10 01/07/99 8,800,000
Rockingham County Refunding PCRB for Philip Morris Project Series 1992 (A-
1/P-1)
3,960,000 4.10 01/07/99 3,960,000
Wake County Industrial Facilities & Pollution Control Financing Authority
PCRB for Carolina Power & Light Series 1990 B (The Bank of New York) (A-
1+/P-1)
7,200,000 3.15 03/11/99 7,200,000
10,000,000 2.90 03/25/99 10,000,000
15,000,000 2.90 03/26/99 15,000,000
- -------------------------------------------------------------------------------------------------
$49,960,000
- -------------------------------------------------------------------------------------------------
Ohio--1.9%
Hamilton County Adjustable Rate Hospital Facilities RB for The Health
Alliance of Greater Cincinnati Series 1997 B (MBIA) (A-1+/VMIG1)(a)
$30,775,000 4.00% 01/07/99 $30,775,000
- -------------------------------------------------------------------------------------------------
</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>
Oklahoma--0.6%
Muskogee Industrial Trust Pollution Control for Oklahoma Gas and Electric
Company Project Series 1997 A (A-1+/VMIG1)
$10,000,000 4.05% 01/07/99 $10,000,000
- -------------------------------------------------------------------------------------------------
Oregon--0.4%
Lane County PCRB for Weyerhaeuser Company Series 1994 (A-1)(a)
$ 6,500,000 4.10% 01/07/99 $ 6,500,000
- -------------------------------------------------------------------------------------------------
Pennsylvania--2.0%
Commonwealth of Pennsylvania GO Bonds First Series 1994 Eagle Tax-Exempt
Trust 943804 Class A COPS (AMBAC) (A-1 C)
$14,400,000 4.15% 01/07/99 $14,400,000
Delaware County IDA PCRB For BP Oil Inc. Project Series 1985 (A-1+/P-1)
700,000 5.00 01/04/99 700,000
Philadelphia City TRANS Series A 1998-1999 (VMIG1/SP-1+)
17,625,000 4.25 06/30/99 17,676,510
- -------------------------------------------------------------------------------------------------
$32,776,510
- -------------------------------------------------------------------------------------------------
South Carolina--0.6%
York County Floating/Fixed Rate PCRB Pooled Series 1984-North Carolina
Electric Membership Corp. VRDN (NRU) (A-1+/VMIG1)
$ 8,625,000 4.05% 01/07/99 $ 8,625,000
York County Floating/Fixed Rate PCRB Series 1984 N (NRU)
(A-1+/VMIG1)
1,100,000 4.05 01/07/99 1,100,000
- -------------------------------------------------------------------------------------------------
$ 9,725,000
- -------------------------------------------------------------------------------------------------
South Dakota--0.6%
South Dakota Housing Development Authority Puttable Floating Option Tax-
Exempt Receipts Series PT-73 Homeownership Mortgage Bonds Series 1996 A
(A-1+C)
$ 9,200,000 4.10% 01/07/99 $ 9,200,000
- -------------------------------------------------------------------------------------------------
Tennessee--0.1%
Bradley County VRDN for Olin Corp. Series 1993 C (Wachovia Bank N.A.) (A-
1+)
$ 1,000,000 5.10% 01/04/99 $ 1,000,000
- -------------------------------------------------------------------------------------------------
Texas--19.9%
Brazos Harbor Industrial Development Corp. Variable Rate for Monsanto
Company (P-1)
$ 3,500,000 4.15% 01/07/99 $ 3,500,000
Brazos River Authority PCRB for Monsanto Co. Series 1994 (P-1)
5,100,000 4.15 01/07/99 5,100,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Texas (continued)
Brazos River Authority VRDN for Monsanto Co. (P-1)
$ 5,300,000 4.15% 01/07/99 $ 5,300,000
City of Belton Industrial Development Corp. Refunding RB for the Butt
Grocery Series 1993 (Chase Bank of Texas, N.A.) (P-1)
2,875,000 4.00 01/07/99 2,875,000
City of Dallas Waterworks and Sewer System Refunding RB Series 1998, PT-
1114 (Financial Security Assurance, Inc.) (A-1+)
14,540,000 4.10 01/07/99 14,540,000
City of Houston GO CP Notes Series A (A-1+/P-1)
20,000,000 2.95 04/07/99 20,000,000
City of San Antonio Electric & Gas System Revenue RB Series 1997 SG 104,
SG 105 (A-1+C)
36,800,000 4.10 01/07/99 36,800,000
Coastal Bend Health Facilities Development Corp. Incarnate Word Health
System RB Series 1998 B (AMBAC) (VMIG1)
10,000,000 4.05 01/07/99 10,000,000
Harris County Health Facilities Development Corp. Health Care System
United Priced Demand Adjustable RB for School of the Incarnate Word
Series 1997 A (A-1+C/VMIG1)
10,000,000 3.00 04/07/99 10,000,000
Harris County Health Facilities Development Corp. Hospital RB for The
Methodist Hospital Series 1997 (A-1+)
8,100,000 5.00 01/04/99 8,100,000
Harris County Health Facilities Development Corp. RB for Memorial Hospital
System Series 1997 B (MBIA) (A-1+/VMIG1)
7,700,000 3.90 01/07/99 7,700,000
Harris County Health Facilities Development Corp. RB for Methodist
Hospital Series 1994 (A-1+)
14,600,000 5.00 01/04/99 14,600,000
Harris County Health Facilities Development Corp. Unit Priced Demand
Adjustable RB for St. Luke's Episcopal Hospital Series 1997 A (A-1+)
17,160,000 4.85 01/04/99 17,160,000
Harris County Toll Road Adjustable/Fixed Rate Subordinated Lien RB Series
1994 F (A-1+/VMIG1)
9,400,000 3.95% 01/07/99 9,400,000
Harris County Toll Road VRDN Series 1994 C (A-1+/VMIG1)
13,400,000 3.95 01/07/99 13,400,000
Red River Authority Texas PCRB for Southwestern Public Service Company
Series 1991 (A-1/VMIG1)
24,900,000 4.30 01/07/99 24,900,000
San Antonio Electric & Gas System CP Notes Series A (A-1+/P-1)
23,000,000 3.05 03/16/99 23,000,000
15,000,000 3.00 04/08/99 15,000,000
</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, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Texas (continued)
State of Texas TRANS CP Notes Series 1997 B (A-1+/P-1)
$16,000,000 2.95% 07/28/99 $ 16,000,000
16,000,000 2.95 08/23/99 16,000,000
State of Texas TRANS Series 1998 (SP1+/VMIG1)
50,000,000 4.50 08/31/99 50,439,902
- --------------------------------------------------------------------------------------------------
$323,814,902
- --------------------------------------------------------------------------------------------------
Utah--0.8%
Central Utah Water Conservancy District GO Limited Tax Refunding Bonds
Variable Rate Tender Option Bonds Series 1998 F (AMBAC) (A-1+/VMIG1)
$ 9,000,000 3.95% 01/07/99 $ 9,000,000
Utah State Board of Regents Auxiliary and Campus Facilities System RB
Series 1997 A (A-1+/VMIG1)
3,390,000 3.75 01/07/99 3,390,000
- --------------------------------------------------------------------------------------------------
$ 12,390,000
- --------------------------------------------------------------------------------------------------
Virginia--3.8%
Chesapeake IDA PCRB for Virginia Electric & Power Company Series 1985 (A-
1/VMIG1)
$22,000,000 3.10% 01/15/99 $ 22,000,000
Chesterfield County IDA PCRB for Virginia Electric & Power Series 1987 A
(A-1/VMIG1)
5,000,000 3.10 01/15/99 5,000,000
Louisa County PCRB for Virginia Electric & Power Series 1984 (A-1/VMIG1)
4,000,000 3.15 01/22/99 4,000,000
4,000,000 3.15 01/25/99 4,000,000
Roanoke City IDA VRDN for Carilion Health System Series A (A-1/VMIG1)
4,800,000 5.00 01/04/99 4,800,000
Roanoke City VRDN for Carilion Health System Hospital Series B (A-1/VMIG1)
5,300,000 5.00 01/04/99 5,300,000
Spotsylvania County IDRB for Carlisle Corp. Series 1993 (Suntrust Bank)
(AA3)
6,500,000 4.00 01/07/99 6,500,000
York County IDA PCRB for Virginia Electric & Power Series 1985 (A-1/VMIG1)
9,400,000 3.00 02/01/99 9,400,000
- --------------------------------------------------------------------------------------------------
$ 61,000,000
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Washington--2.5%
King County Limited Tax GO Bonds Series 1994 A Eagle Tax-Exempt Trust
Series 97C 4701 Class A Certificates (A-1+C)
$10,000,000 4.13% 01/07/99 $ 10,000,000
King County Sewer Revenue BANS CP Series A (A-1/P-1)
9,200,000 3.05 03/11/99 9,200,000
7,500,000 3.05 03/19/99 7,500,000
Port of Grays Harbor Industrial Development Corp. for Weyerhaeuser
Project Series 1993 (A-1)(a)
5,850,000 4.10 01/07/99 5,850,000
Port of Grays Harbor Refunding IDA for Weyerhaeuser Project Series 1992
(A-1)
1,000,000 4.10 01/07/99 1,000,000
Union Gap City Refunding IDA for Weyerhaeuser Project Series 1992 (A-1)
1,600,000 4.10 01/07/99 1,600,000
Washington Public Power Supply System Refunding Electric RB Series
1993-1A-2 (Bank of America National Trust & Savings Association) (A-
1+/VMIG1)
5,800,000 3.95 01/07/99 5,800,000
- ---------------------------------------------------------------------------------------------
$ 40,950,000
- ---------------------------------------------------------------------------------------------
Wisconsin--5.1%
City of Milwaukee Short-Term School Order Notes Series 1998 B
(SP1+/VMIG1)
$48,500,000 4.25% 08/26/99 $ 48,719,616
Milwaukee Metropolitan Sewage District GO Capital Purpose Bonds Series
1992 A Eagle Tax-Exempt Trust Series 944905 (A-1+C)
15,085,000 4.15 01/07/99 15,085,000
State of Wisconsin Operating Notes Series 1998 (VMIG1/SP-1+)
12,500,000 4.50 06/15/99 12,578,766
Wisconsin Health & Educational Facilities Authority VRDN for Wheaton
Franciscan Services Series 1997 (Toronto Dominion Bank) (A-1+/VMIG1)
7,000,000 4.00 01/07/99 7,000,000
- ---------------------------------------------------------------------------------------------
$ 83,383,382
- ---------------------------------------------------------------------------------------------
Wyoming--0.9%
Sweetwater PCRB for PacifiCorp Project Series 1990 A (C.S. First Boston
LOC) (VMIG1)
$14,500,000 3.85% 01/07/99 $ 14,500,000
- ---------------------------------------------------------------------------------------------
Total Investments $1,688,438,332(c)
- ---------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
18
<PAGE>
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(a) A portion of these securities are segregated for forward commitments.
(b)Forward commitments.
(c) 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 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.
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California--92.4%
Alameda-Contra Costa Schools Financing Authority VRDN Cops for Capital
Improvement Financing Project Series F (KBC Bank, N.V.)
(A-1+)
$ 5,565,000 3.75% 01/07/99 $ 5,565,000
California Health Facilities Authority Insured Variable Rate Hospital RB
for Adventist Health System/West Series 1998 A (MBIA)
(A-1+/VMIG1)
6,700,000 5.00 01/04/99 6,700,000
California Health Facility Financing Authority RB Series 1990 A (Rabobank
Nederland Coop Centrale Raiffeisen-Boerenleenbank) (VMIG1)
1,800,000 3.60 01/07/99 1,800,000
California Pollution Control Financing Authority Adjustable TRB for
Southern California Edison Series 1986 A (A-1/VMIG1)
4,600,000 5.20 01/04/99 4,600,000
California Pollution Control Financing Authority Adjustable TRB for
Southern California Edison Series 1986 B (A-1/VMIG1)
3,700,000 5.20 01/04/99 3,700,000
California Pollution Control Financing Authority Adjustable TRB for
Southern California Edison Series 1986 C (A-1/VMIG1)
300,000 5.20 01/04/99 300,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1996 E (Morgan Guaranty Trust Company of New York)
(A-1+)
5,200,000 2.90 03/10/99 5,200,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1996 F (Banque Nationale de Paris, S.A.) (A-1)
5,650,000 5.00 01/04/99 5,650,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1997 A (Toronto Dominion Bank)
(A-1+)
7,100,000 5.00 01/04/99 7,100,000
Chula Vista IDRB for San Diego Gas & Electric Company Series 1996 A (A-
1/VMIG1)
13,400,000 5.00 01/04/99 13,400,000
City of Fresno VRDN MF Hsg. Refunding RB for Heron Pointe & Stone Series
1996 A (Wells Fargo Bank, N.A.) (VMIG1)
3,315,000 3.75 01/07/99 3,315,000
City of Huntington Beach Monthly Floating Rate Demand MF Hsg. RB Series
1985 A (Bank of America National Trust & Savings Association) (VMIG1)
7,400,000 4.00 02/01/99 7,400,000
City of Long Beach TRANS Series 1998-1999 (SP1+)
1,700,000 4.00 10/05/99 1,710,505
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
City of Los Angeles TRANS Series 1998 (SP1+/VMIG1)
$10,000,000 4.00% 06/30/99 $ 10,020,473
City of Los Angeles Wastewater System CP Revenue Notes (Morgan Guaranty
Trust Company of New York/UBS AG) (A-1/P-1)
7,000,000 2.80 03/15/99 7,000,000
5,500,000 2.80 03/16/99 5,500,000
City of Newport Beach Floating/Fixed Rate Health Facility RB for Hoag
Memorial Series 1992 (A-1+C/VMIG1)
6,500,000 5.10 01/04/99 6,500,000
City of Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital
Series 1996 A (A-1+C/VMIG1)
7,500,000 5.10 01/04/99 7,500,000
City of Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital
Series 1996 C (A-1+C/VMIG1)
1,500,000 5.10 01/04/99 1,500,000
City of San Diego Certificates of Undivided Interest in The Water Utility
Fund Series 1998 (FGIC) (A-1+C)
15,685,000 3.88 01/07/99 15,685,000
Contra Costa Water District Tax-Exempt CP Notes Series A (A-1+/P-1)
5,200,000 2.85 03/10/99 5,200,000
County of Los Angeles Pension Obligation Refunding RB Series 1996 A (AMBAC)
(A-1+/VMIG1)
9,000,000 3.70 01/07/99 9,000,000
County of Los Angeles Pension Obligation Refunding RB Series 1996 B (AMBAC)
(A-1+/VMIG1)
3,700,000 3.70 01/07/99 3,700,000
County of Los Angeles Pension Obligation Refunding RB Series 1996 C (AMBAC)
(A-1+/VMIG1)
1,800,000 3.70 01/07/99 1,800,000
East Bay Municipal Utility District Water & Waste Water CP Notes
(A-1+/P-1)
7,800,000 2.95 03/17/99 7,800,000
Fremont City Pursuant to a Lease with Fremont Public Financing Authority
VRDN COPS for Family Resource Center Financing Project Series 1998 (KBC
Bank, N.V.) (A-1+)
2,000,000 3.75 01/07/99 2,000,000
Fremont VRDN MF Hsg. RB for Creekside Village Apartments Series 1985 D (KBC
Bank, N.V.) (A-1+/VMIG1)
14,400,000 3.70 01/07/99 14,400,000
Kern High School District TRANS Series 1998 (SP1+)
18,000,000 4.00 08/26/99 18,059,771
Kings County Housing Authority VRDN MF Hsg. Refunding RB for Edgewater
Series 1996 A (Wells Fargo Bank, N.A.) (VMIG1)
6,555,000 3.75 01/07/99 6,555,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Long Beach City Housing Authority VRDN MF Hsg. RB for Channel Point
Apartments Series 1998 A (FNMA) (A-1)
$ 6,250,000 3.80% 01/07/99 $ 6,250,000
Los Angeles County Housing Authority Variable Rate MF Hsg. Refunding RB for
Malibu Meadows II Project Series 1998 B (FNMA) (A-1+)
3,200,000 3.80 01/07/99 3,200,000
Los Angeles County Housing Authority Variable Rate MF Hsg. Refunding RB for
Malibu Meadows II Project Series 1998 C (FNMA) (A-1+)
14,249,000 3.80 01/07/99 14,249,000
Los Angeles County Metro TRANS Authority 2nd Sub Sales Tax Revenue CP Notes
Series A (National Westminster Bank PLC/Bayerische Hypotheken Vereinsbank
AG/CIBC) (A-1+/P-1)
3,000,000 2.75 03/10/99 3,000,000
10,000,000 3.10 04/12/99 10,000,000
Los Angeles County TRANS Series 1998-99 A (SP1+/VMIG1)
16,980,000 4.50 06/30/99 17,076,161
Los Angeles Unified School District Variable Rate COPS for Belmont Learning
Complex Series 1997 A (Commerzbank AG) (VMIG1)
26,890,000 3.80 01/07/99 26,890,000
MSR Public Power Agency Subordinate Lien RB for San Juan Project Series
1997 D (MBIA) (A-1+/VMIG1)
19,000,000 3.90 01/07/99 19,000,000
Oakland Joint Powers Financing Authority Lease RB Series 1998 A-2
(Financial Security Assurance, Inc.) (A-1+/VMIG1)
2,000,000 3.65 01/07/99 2,000,000
Orange County Apartment Development Refunding RB for Larkspur Canyon
Apartments Series 1997 A (FNMA) (A-1+)
7,635,000 3.85 01/07/99 7,635,000
Orange County VRDN Apartment Development RB for Seaside Meadow Series 1984
C (KBC Bank, N.V.) (A-1/VMIG1)
24,000,000 3.70 01/07/99 24,000,000
Palo Alto Unified School District Municipal Securities Trust Receipts
Series 1997 SGA 53 (A-1+)
9,830,000 4.00 01/07/99 9,830,000
Sacramento County COPS for Administration Center and Courthouse Project
Series 1990 (UBS AG) (A-1+/VMIG1)
19,430,000 3.70 01/07/99 19,430,000
Sacramento County Housing Authority MF Hsg. Refunding RB for Stone Creek
Apartments (FNMA) (A-1+)
8,450,000 3.80 01/07/99 8,450,000
San Diego City Housing Authority MF Hsg. RB for LA Cima Apartments Series
1985, Issue K (Citibank, N.A.) (VMIG1)
12,725,000 3.65 01/07/99 12,725,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
San Diego City Housing Authority MF Hsg. RB for Nobel Court Series 1985,
Issue L (Citibank, N.A.) (VMIG1)
$11,355,000 3.65% 01/07/99 $ 11,355,000
San Diego City Housing Authority VRDN MF Hsg. Refunding RB for Carmel Del
Mar Apartments Project Series 1993, Issue E (Commerzbank AG) (A-1+)
6,000,000 3.85 01/07/99 6,000,000
San Diego County VRDN MF Hsg. RB for Country Hills-Phase I Series 1985 C
(FNMA) (A-1+)
9,900,000 3.55 01/07/99 9,900,000
San Diego County Water Authority CP Notes Series 1 (A-1/P-1)
4,500,000 3.10 04/12/99 4,500,000
San Francisco City & County Housing Authority VRDN MF Hsg. RB Series 1985 D
(A-1+)
6,800,000 3.70 01/07/99 6,800,000
South Coast Local Education Agencies Pooled TRANS Program Series 1998 A
(SP1+/VMIG1)
15,000,000 4.50 06/30/99 15,066,972
Southern California Metropolitan Water District CP Notes Series A
(A-1+/P-1)
7,400,000 2.85 03/15/99 7,400,000
Southern California Metropolitan Water District Water RB Series 1997 B (A-
1+/VMIG1)
9,000,000 3.65 01/07/99 9,000,000
Southern California Metropolitan Water District Water RB Series 1997 C (A-
1+/VMIG2)
9,700,000 3.65 01/07/99 9,700,000
Southern California Public Power Authority Power Project RB Series 1996 B
(AMBAC) (A-1+/VMIG1)
8,000,000 3.65 01/07/99 8,000,000
Southern California Public Power Authority Power Project Subordinate
Refunding RB for Palo Verde Series 1997 A (Financial Security Assurance,
Inc.) (Aaa/AAA)
2,915,000 4.50 07/01/99 2,927,944
Southern California Public Power Authority Subordinate Refunding RB for
Transportation Project Series 1991 (AMBAC) (A-1+/VMIG1)
14,700,000 3.65 01/07/99 14,700,000
State of California GO Puttable Floating Option Tax-Exempt Receipts Series
PA-238 (MBIA) (A-1+C)
10,000,000 3.93 01/07/99 10,000,000
State of California GO Puttable Floating Option Tax-Exempt Receipts Series
PT-1001 (FGIC) (A-1+C)
18,870,000 3.88 01/07/99 18,870,000
State of California GO TECP Notes (A-1/P-1)
7,500,000 2.85 03/11/99 7,500,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
21
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio (continued)
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
State of California Municipal Securities Trust Receipt Series 1997 SGA
55 (FGIC) (A-1+)
$12,700,000 4.03% 01/07/99 $ 12,700,000
State of California RANS Series 1998-99 (SP1+/VMIG1)
5,000,000 4.00 06/30/99 5,020,447
Triunfo Sanitation District VRDN Refunding RB Series 1994 (Banque
Nationale de Paris, S.A.) (A-1)
3,600,000 3.70 01/07/99 3,600,000
University of California CP Notes Series A (A-1+/P-1)
5,000,000 2.85 05/03/99 5,000,000
- ------------------------------------------------------------------------------------------------
$540,436,273
- ------------------------------------------------------------------------------------------------
Puerto Rico--7.3%
Puerto Rico Government Development Bank TECP Program (A-1+)
$ 4,443,000 2.90% 02/18/99 $ 4,443,000
13,000,000 2.85 04/06/99 13,000,000
5,000,000 2.85 05/03/99 5,000,000
Puerto Rico Government Development Bank VRDN Series 1985 (MBIA LOC) (A-
1+/VMIG1)
7,700,000 3.60 01/07/99 7,700,000
Puerto Rico Highway & Transportation Authority Transportation RB Series
A (AMBAC) (A-1+)
12,280,000 3.80 01/07/99 12,280,000
- ------------------------------------------------------------------------------------------------
$ 42,423,000
- ------------------------------------------------------------------------------------------------
Total Investments $582,859,273(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 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.
22
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York--91.7%
City of Yonkers Civic Facility IDA RB for Consumers Series 1991 (Credit
Local de France) (VMIG1)
$2,500,000 4.00% 01/07/99 $ 2,500,000
City of Yonkers Civic Facility IDA RB Series 1991 (Credit Local de France)
(VMIG1)
2,738,000 4.00 01/07/99 2,738,000
City of Yonkers GO Serial Bonds Series 1996 C (AMBAC) (Aaa/AAA)
2,460,000 5.00 08/01/99 2,488,646
Great Neck North Water Authority Water System RB Series 1993 A (FGIC) (A-
1+/VMIG1)
4,900,000 4.00 01/07/99 4,900,000
Long Island Power Authority Electric System Subordinated RB Series 4
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale)
(A-1+/VMIG1)
3,400,000 3.05 03/09/99 3,400,000
Long Island Power Authority Electric System Subordinated RB Series 6
(Morgan Guaranty Trust Company of New York/ABN/AMRO
Bank, N.V.) (A-1+/VMIG1)
3,500,000 4.85 01/04/99 3,500,000
Massapequa Union Free School District TANS Series 1998-99 (MIG1)
3,700,000 4.00 06/30/99 3,707,577
Municipal Assistance Corp. for the City of New York
Series G (Aa2/AA)
3,000,000 5.00 07/01/99 3,018,779
Municipal Assistance Corp. for the City of New York Series K, Subseries K-
1 (Westdeutsche Landesbank Girozentrale)
(A-1+/VMIG1)
3,000,000 3.80 01/07/99 3,000,000
New York & New Jersey Port Authority Floating Rate Trust Receipts 108th
Series (Financial Security Assurance Inc.) (A-1(C)/VMIG1)
6,000,000 4.15 01/07/99 6,000,000
New York City GO Bonds Fiscal 1995 Series B-5 (MBIA) (A-1+/VMIG1)
1,800,000 5.15 01/04/99 1,800,000
New York City GO Puttable Tax-Exempt Receipts Series 1995 D (MBIA) (VMIG1)
600,000 4.25 01/07/99 600,000
New York City GO Refunded Bonds Series 1991 F
(U.S. Treasury Bond) (AAA)
2,835,000 8.10 11/15/99 2,959,431
New York City Health & Hospitals Corp. Health System Bonds Series 1997 A
(Morgan Guaranty Trust) (A-1+/VMIG1)
1,300,000 3.90 01/07/99 1,300,000
New York City Health & Hospitals Corp. Health System Bonds Series 1997 B
(CIBC) (A-1+/VMIG1)
4,700,000 3.95 01/07/99 4,700,000
New York City IDA Civic Facility RB for National Audubon Society Inc.
Series 1989 (Credit Local de France) (A-1+)
3,700,000 5.00 01/04/99 3,700,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
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)
$6,000,000 5.00% 01/04/99 $ 6,000,000
New York City Transitional Finance Authority Future Tax Secured Bonds
Series 1999 A, Subseries A-1 (A-1+/VMIG1)
5,000,000 4.05 01/07/99 5,000,000
New York City Transitional Finance Authority Future Tax Secured Bonds
Series 1999 A, Subseries A-2 (A-1+/VMIG1)
1,000,000 3.90 01/07/99 1,000,000
New York City Trust for Cultural Resources Multi-Mode Bonds for Solomon
Guggenheim Foundation Series 1990 B (Westdeutsche Landesbank
Girozentrale) (A-1+/VMIG1)
1,400,000 5.00 01/04/99 1,400,000
New York Local Government Assistance Corp. Variable Rate Bond Series 1995
B (Bank of Nova Scotia) (A-1+/VMIG1)
4,600,000 3.85 01/04/99 4,600,000
New York State Dormitory Authority RB for State University Educational
Facilities Series 1989 A (U.S. Treasury Bond) (Aaa/AAA)
3,000,000 7.13 05/15/99 3,105,176
New York State Dormitory Authority RB Series for Cornell University Series
1990 B (A-1+/VMIG1)
3,200,000 5.00 01/04/99 3,200,000
New York State Dormitory Authority Variable Rate Interest Bond for
Metropolitan Museum of Art (A-1+/VMIG1)
3,260,000 3.85 01/07/99 3,260,000
New York State Energy Research & Development Authority PCRB for Central
Hudson Gas & Electric Series 1985 B
(Deutsche Bank AG) (P-1)
2,300,000 4.00 01/07/99 2,300,000
New York State Energy Research & Development Authority Gas Facility RB for
Brooklyn Union Gas Series 1997 A-1 (MBIA) (A-1+/VMIG1)
5,850,000 4.00 01/07/99 5,850,000
New York State Energy Research & Development Authority Gas Facility RB for
Brooklyn Union Gas Series 1997 A-2 (MBIA) (A-1+/VMIG1)
1,800,000 3.80 01/07/99 1,800,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series 1985 A (Morgan Guaranty Trust Company
of New York) (A-1+)
3,000,000 3.58 03/15/99 3,000,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series 1985 D (UBS AG)
(A-1+/Aaa)
4,000,000 3.00 12/01/99 4,000,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
23
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio (continued)
December 31, 1998
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series D-2 (First National Bank of Chicago)
(VMIG1)
$ 200,000 5.10% 01/04/99 $ 200,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Series 1994 B (UBS AG) (A-1+/VMIG1)
500,000 5.05 01/04/99 500,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Series 1994 D-1 (First National Bank of Chicago)
(VMIG1)
500,000 4.80 01/04/99 500,000
New York State Energy Research & Development VRDN for Orange & Rockland
Utilities Series 1995 A (AMBAC) (A-1+/VMIG1)
400,000 3.80 01/07/99 400,000
New York State Enviromental Facility Corp. RB Eagle Tax-Exempt Trust Series
1994 D, Class A Cops (A-1+C)
6,050,000 4.13 01/07/99 6,050,000
New York State Environmental Quality Variable Interest Rate GO Bonds Series
1997 A (Bayerische Landesbank Girozentrale/Landesbank Hessen-Thueringen
Girozentrale) (A-1+/VMIG1)
2,000,000 3.05 03/10/99 2,000,000
New York State Housing Finance Agency RB for 750 Sixth Ave Housing Series
1998 A (VMIG1)
2,000,000 4.00 01/07/99 2,000,000
New York State Housing Finance Agency RB for Liberty View Apartments Housing
Series 1997 A (FNMA) (A-1+)
6,000,000 3.75 01/07/99 6,000,000
New York State Housing Finance Agency RB for Tribeca Park Housing Series
1997 A (Bayerische Hypotheken Vereinsbank AG) (VMIG1)
12,000,000 3.90 01/07/99 12,000,000
Oswego County IDA PCRB Series 1992 for Philip Morris Companies (A-1/P-1)
1,000,000 4.25 01/07/99 1,000,000
Rensselaer County IDA RB for Rensselaer Polytechnic Institute Civic Facility
Series 1997 A (VMIG1)
4,440,000 3.85 01/07/99 4,440,000
Syracuse University IDA RB for Syracuse University Eggers Hall Series 1993
(Morgan Guaranty Trust Co. of New York) (A-1+/VMIG1)
1,700,000 5.00 01/04/99 1,700,000
Westchester County GO Serial Bonds Series 1990 A (Aaa/AAA)
500,000 6.70 02/01/99 501,231
- ---------------------------------------------------------------------------------------------------
$132,118,840
- ---------------------------------------------------------------------------------------------------
Puerto Rico--8.0%
Puerto Rico Government Development Bank Tax-Exempt CP
Program (A-1+)
$ 4,000,000 2.85% 04/06/99 $ 4,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Puerto Rico (continued)
Puerto Rico Government Development Bank VRDN Series 1985
(MBIA LOC) (A-1+/VMIG1)
$3,100,000 3.60% 01/07/99 $ 3,100,000
Puerto Rico Highway & Transportation Authority RB Series A (AMBAC)
(A-1+)
4,400,000 3.80 01/07/99 4,400,000
- ------------------------------------------------------------------------------------------------
$ 11,500,000
- ------------------------------------------------------------------------------------------------
Total Investments $143,618,840(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 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.
24
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------- ---------------------------------------
Investment Abbreviations:
<TABLE>
<C> <S>
AMBAC --Insured by American Municipal Bond Assurance Corp.
COPS --Certificates of Participation
CP --Commercial Paper
FGIC --Insured by Financial Guaranty Insurance Co.
FNMA --Federal National Mortgage Association
GO --General Obligation
IDA --Industrial Development Authority
IDRB --Industrial Development Revenue Bond
LOC --Letter of Credit
MBIA --Insured by Municipal Bond Investors Assurance
MF Hsg. --Multi-Family Housing
NRU --National Rural Utilities Cooperation Finance Corp.
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
VRDN --Variable Rate Demand Note
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
-------------------------------------
<S> <C> <C> <C>
Assets:
Investment in securities, at value
based on amortized cost $1,015,913,421 $1,696,028,033 $528,950,165
Cash 129,674 166,937 247,528
Receivables:
Interest 5,052,970 9,222,686 1,572,450
Reimbursement from adviser -- 161,074 17,129
Other assets 104,032 89,080 41,016
- -------------------------------------------------------------------------------
Total assets 1,021,200,097 1,705,667,810 530,828,288
- -------------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased -- -- 31,969,975
Income distribution 4,161,925 7,761,480 1,946,315
Amounts owed to affiliates 344,185 633,841 165,633
Accrued expenses and other liabili-
ties 136,197 277,698 77,077
- -------------------------------------------------------------------------------
Total liabilities 4,642,307 8,673,019 34,159,000
- -------------------------------------------------------------------------------
Net Assets:
Paid-in capital 1,016,557,790 1,696,994,791 496,650,373
Accumulated undistributed net in-
vestment income -- -- 18,915
Accumulated net realized gain
(loss) on investment transactions -- -- --
- -------------------------------------------------------------------------------
Net assets $1,016,557,790 $1,696,994,791 $496,669,288
- -------------------------------------------------------------------------------
Net asset value, offering and re-
demption price per unit/share
(net assets/units or shares out-
standing) $1.00 $1.00 $1.00
- -------------------------------------------------------------------------------
Units/Shares outstanding:
ILA units 837,185,408 1,350,316,356 383,209,380
ILA Administration units 38,835,536 314,327,442 7,682,007
ILA Service units 119,308,922 32,349,450 105,720,727
ILA B units 14,411,968 -- --
ILA C units 6,814,413 -- --
Cash Management shares 1,543 1,543 1,541
- -------------------------------------------------------------------------------
Total units/shares of beneficial
interest outstanding, $.001 par
value (unlimited number of units
authorized) 1,016,557,790 1,696,994,791 496,613,655
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral part of these financial
statements.
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury 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>
$852,562,117 $844,336,109 $3,438,574,979 $1,688,438,332 $582,859,273 $143,618,840
42,012 100,056 219,046 1,292,207 1,275,515 116,630
1,528,046 5,916,348 10,357,392 9,729,680 2,574,156 771,565
25,446 22,322 138,824 -- -- 59,995
468 -- 3,166 139,437 43,540 --
- -------------------------------------------------------------------------------------
854,158,089 850,374,835 3,449,293,407 1,699,599,656 586,752,484 144,567,030
- -------------------------------------------------------------------------------------
-- -- 246,826,825 68,185,000 -- --
3,304,041 2,610,700 13,034,311 4,163,622 1,394,394 337,806
289,225 258,299 1,082,345 571,500 205,324 47,515
116,124 216,418 353,888 33,405 21,572 48,605
- -------------------------------------------------------------------------------------
3,709,390 3,085,417 261,297,369 72,953,527 1,621,290 433,926
- -------------------------------------------------------------------------------------
850,448,699 847,286,786 3,187,992,819 1,626,430,582 585,120,699 144,136,145
-- -- 3,219 362,642 10,495 1,632
-- 2,632 -- (147,095) -- (4,673)
- -------------------------------------------------------------------------------------
$850,448,699 $847,289,418 $3,187,996,038 $1,626,646,129 $585,131,194 $144,133,104
- -------------------------------------------------------------------------------------
$1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- -------------------------------------------------------------------------------------
734,456,625 341,470,687 2,625,682,181 1,562,378,412 584,534,942 122,551,094
80,532,554 131,681,160 508,323,031 26,510,013 512,198 21,581,978
35,459,520 374,134,939 53,990,685 37,847,328 1,546 1,550
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- 1,524 1,521 1,523
- -------------------------------------------------------------------------------------
850,448,699 847,286,786 3,187,995,897 1,626,737,277 585,050,207 144,136,145
- -------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
27
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Operations
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
---------------------------------
<S> <C> <C> <C>
Investment Income:
Interest income $58,784,401 $84,777,665 $26,843,383
- ------------------------------------------------------------------------------
Expenses:
Management fees 3,665,907 5,321,209 1,703,454
Distribution and service fees(a) 103,117 -- --
Transfer agent fees 438,389 608,138 194,680
Custodian fees 179,071 252,149 93,072
Registration fees 109,624 289,700 125,001
Professional fees 40,829 40,825 40,614
Trustee fees 17,957 18,351 14,045
Administration unit fees 56,195 482,750 14,657
Service unit fees 435,823 144,733 395,588
Other 80,440 39,665 24,470
- ------------------------------------------------------------------------------
Total expenses 5,127,352 7,197,520 2,605,581
Less--expenses reimbursed and fees
waived by Goldman Sachs (46,293) (522,063) (114,600)
- ------------------------------------------------------------------------------
Net expenses 5,081,059 6,675,457 2,490,981
- ------------------------------------------------------------------------------
Net investment income 53,703,342 78,102,208 24,352,402
- ------------------------------------------------------------------------------
Net realized gain on investment trans-
actions 27,766 6,924 --
- ------------------------------------------------------------------------------
Net increase in net assets resulting
from operations $53,731,108 $78,109,132 $24,352,402
- ------------------------------------------------------------------------------
</TABLE>
(a)Class B and Class C for ILA Prime Obligations Portfolio had distribution and
service fees of $59,917 and $43,200, respectively.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury 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>
$41,058,564 $36,324,314 $152,216,875 $59,331,309 $21,019,743 $4,564,301
- ----------------------------------------------------------------------------
2,662,028 2,500,096 9,778,681 5,985,015 2,294,224 479,305
-- -- -- -- -- --
304,232 285,734 1,117,564 684,002 262,197 54,776
148,190 141,522 408,178 109,401 55,798 25,630
94,795 106,115 255,144 107,423 26,421 77,959
40,689 40,668 58,651 35,643 40,619 40,480
15,878 15,296 28,730 16,487 4,752 10,896
134,705 146,145 779,240 34,749 1,702 34,741
324,013 1,126,342 145,279 124,850 -- --
27,473 15,511 83,737 51,652 24,700 17,466
- ----------------------------------------------------------------------------
3,752,003 4,377,429 12,655,204 7,149,222 2,710,413 741,253
(87,462) (940,476) (2,177,526) (1,016,544) -- (208,367)
- ----------------------------------------------------------------------------
3,664,541 3,436,953 10,477,678 6,132,678 2,710,413 532,886
- ----------------------------------------------------------------------------
37,394,023 32,887,361 141,739,197 53,198,631 18,309,330 4,031,415
- ----------------------------------------------------------------------------
242,821 324,555 15,167 2,502 99,181 1,846
- ----------------------------------------------------------------------------
$37,636,844 $33,211,916 $141,754,364 $53,201,133 $18,408,511 $4,033,261
- ----------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
29
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio(a) Portfolio(a) Portfolio(a)
----------------------------------------
<S> <C> <C> <C>
From operations:
Net investment income $ 53,703,342 $ 78,102,208 $ 24,352,402
Net realized gain on
investment transactions 27,766 6,924 --
- --------------------------------------------------------------------------------
Net increase in net
assets resulting
from operations 53,731,108 78,109,132 24,352,402
- --------------------------------------------------------------------------------
Distributions to
unit/shareholders from:
Net investment income
ILA units (46,200,440) (60,149,271) (19,247,644)
ILA Administration units (1,890,467) (16,225,977) (483,492)
ILA Service units (5,216,323) (1,733,835) (4,621,219)
ILA B units (243,815) -- --
ILA C units (178,389) -- --
ILA Cash Management shares (49) (49) (47)
- --------------------------------------------------------------------------------
Total distributions to
unit/shareholders (53,729,483) (78,109,132) (24,352,402)
- --------------------------------------------------------------------------------
From unit/share
transactions (at $1.00 per
unit/share):
Proceeds from sales of
units/shares 8,542,913,228 11,101,396,894 2,593,217,390
Reinvestment of dividends
and distributions 39,783,380 67,128,955 15,532,324
Cost of units/shares
repurchased (8,542,482,500) (10,605,623,755) (2,666,528,542)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from unit/share
transactions 40,214,108 562,902,094 (57,778,828)
- --------------------------------------------------------------------------------
Total increase (decrease) 40,215,733 562,902,094 (57,778,828)
Net assets:
Beginning of year 976,342,057 1,134,092,697 554,448,116
- --------------------------------------------------------------------------------
End of year $ 1,016,557,790 $ 1,696,994,791 $ 496,669,288
- --------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- $ 18,915
- --------------------------------------------------------------------------------
</TABLE>
(a)Cash Management share activity commenced May 1, 1998.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax- Tax- Tax-
Treasury Treasury Exempt Exempt Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio (a) Portfolio (a) Portfolio (a)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 37,394,023 $ 32,887,361 $ 141,739,197 $ 53,198,631 $ 18,309,330 $ 4,031,415
242,821 324,555 15,167 2,502 99,181 1,846
- ------------------------------------------------------------------------------------------------------
37,636,844 33,211,916 141,754,364 53,201,133 18,408,511 4,033,261
- ------------------------------------------------------------------------------------------------------
(29,331,672) (16,191,465) (114,206,301) (51,660,082) (18,277,052) (3,371,684)
(4,475,011) (4,556,321) (25,838,728) (689,810) (32,215) (659,667)
(3,830,207) (12,465,963) (1,709,577) (848,712) (38) (40)
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- (27) (25) (26)
- ------------------------------------------------------------------------------------------------------
(37,636,890) (33,213,749) (141,754,606) (53,198,631) (18,309,330) (4,031,417)
- ------------------------------------------------------------------------------------------------------
5,414,225,682 3,212,265,317 15,359,171,878 11,082,316,241 3,338,558,136 947,508,619
17,325,155 14,415,252 114,243,618 47,224,255 17,860,837 3,885,716
(5,399,775,367) (3,103,700,860) (14,900,519,079) (11,040,862,707) (3,362,752,135) (942,145,315)
- ------------------------------------------------------------------------------------------------------
31,775,470 122,979,709 572,896,417 88,677,789 (6,333,162) 9,249,020
- ------------------------------------------------------------------------------------------------------
31,775,424 122,977,876 572,896,175 88,680,291 (6,233,981) 9,250,864
818,673,275 724,311,542 2,615,099,863 1,537,965,838 591,365,175 134,882,240
- ------------------------------------------------------------------------------------------------------
$ 850,448,699 $ 847,289,418 $ 3,187,996,038 $ 1,626,646,129 $ 585,131,194 $ 144,133,104
- ------------------------------------------------------------------------------------------------------
-- -- $ 3,219 $ 362,642 $ 10,495 $ 1,632
- ------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
31
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
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 transactions 7,264 7,828 39,273
- --------------------------------------------------------------------------------
Net increase in net
assets resulting from
operations 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
investment 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)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from unit transactions (287,234,835) 144,893,199 (270,469,945)
- --------------------------------------------------------------------------------
Total increase (decrease) (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
- --------------------------------------------------------------------------------
</TABLE>
(a)ILA Prime Obligations Portfolio C unit activity commenced August 15, 1997.
(b)ILA Tax-Exempt California Portfolio and ILA Tax-Exempt New York Portfolio
Service unit activity commenced September 15, 1997.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax- Tax- Tax-
Treasury Treasury 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
- -----------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
33
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1998
- --------------------------------------- ---------------------------------------
1. Organization
The Goldman Sachs Trust (the "Trust") is a Delaware business trust registered
under the Investment Company Act of 1940 (as amended) as an open-end management
investment company. The Trust includes the Goldman Sachs--Institutional Liquid
Assets Portfolios, collectively "ILA". 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 the following
classes:
<TABLE>
<CAPTION>
ILA ILA
ILA ILA Class Class Cash
ILA Administra- Service B C Management
Portfolio Units tion Units Units Units Units Shares
<S> <C> <C> <C> <C> <C> <C>
Prime
Obligations x x x x x x
- ------------------------------------------------------------------------------------
Money Market x x x x
- ------------------------------------------------------------------------------------
Government x x x x
- ------------------------------------------------------------------------------------
Treasury
Obligations x x x
- ------------------------------------------------------------------------------------
Treasury
Instruments x x x
- ------------------------------------------------------------------------------------
Federal x x x
- ------------------------------------------------------------------------------------
Tax-Exempt
Diversified x x x x
- ------------------------------------------------------------------------------------
Tax-Exempt
California x x x x
- ------------------------------------------------------------------------------------
Tax-Exempt
New York x x x x
</TABLE>
The investment objective of the portfolios is to maximize current income to the
extent consistent with the preservation of capital and maintenance of
liquidity. The Tax-Exempt Diversified, Tax-Exempt California and Tax-Exempt New
York Portfolios also seek to provide shareholders with a high level of income
exempt from federal income tax. In addition, the Tax-Exempt California and Tax-
Exempt New York Portfolios seek to provide shareholders with income exempt from
California state and New York state and city personal income taxes,
respectively.
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 unit/shareholders for financial
reporting purposes is determined in accordance with federal income tax rules.
Therefore, the source of the portfolios' 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, 1998 (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 $144,593 2001 to 2005
Tax-Exempt New York 4,673 1999 to 2004
</TABLE>
- --------------------------------------- ---------------------------------------
34
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
2. Significant Accounting Policies (continued)
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 generally allocated to the portfolios based on the nature
of the expense.
Unitholders of ILA Administration, ILA Service, ILA B, ILA C and Cash
Management share classes bear all expenses and fees paid to service and
distribution organizations for their services with respect to such classes as
well as other expenses (subject to expense limitations) which are directly
attributable to such classes. Effective September 1, 1998, each class of
units/shares of the Portfolios now separately bears its respective class-
specific transfer agency fees.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser (the
"Adviser") pursuant to an Investment Management Agreement (the "Agreement").
Under the Agreement, GSAM, subject to the general supervision by the Trust's
Board of Trustees, manages the portfolios and administers each portfolio's
business affairs, including providing facilities. 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, 1998, 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 acts as ILA's distributor under a Distribution Agreement for
which it receives no compensation except for a portion of the ILA Prime
Obligations Class B and Class C contingent deferred sales charges. Goldman
Sachs has advised the Portfolio that it retained approximately $2,000 for the
period ended December 31, 1998.
GSAM had voluntarily agreed to reduce or limit the total operating expenses of
each Portfolio (excluding distribution and service fees, administration and
service plan fees, taxes, interest, brokerage commissions, litigation,
indemnification and other extraordinary expenses) on an annualized basis to
approximately .43% of the average net assets of each portfolio.
For the year ended December 31, 1998, the Adviser waived certain fees and
expenses such that annualized "Management Fees", "Other Expenses (including
transfer agent fees)" and "Total Operating Expenses" (as defined above)
actually incurred by the portfolios based on average net assets were as
follows:
<TABLE>
<CAPTION>
Management Other Total Operating
Portfolio Fees (%) Expenses (%) Expenses (%)
<S> <C> <C> <C>
Prime
Obligations .35 .08 .43
- --------------------------------------------------------
Money Market .34 .06 .40
- --------------------------------------------------------
Government .35 .08 .43
- --------------------------------------------------------
Treasury
Obligations .35 .07 .42
- --------------------------------------------------------
Treasury
Instruments .24 .06 .30
- --------------------------------------------------------
Federal .28 .06 .34
- --------------------------------------------------------
Tax-Exempt
Diversified .29 .06 .35
- --------------------------------------------------------
Tax-Exempt
California .35 .06 .41
- --------------------------------------------------------
Tax-Exempt
New York .30 .06 .36
</TABLE>
The ILA Class B Units, ILA Class C Units and Cash Management Shares have each
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, of up to .75% of the average
daily net assets attributable to ILA Class B Units and ILA Class C Units and
.50% of the average daily net assets attributable to Cash Management Shares.
For the period ended December 31, 1998, GSAM has voluntarily agreed to
- --------------------------------------- ---------------------------------------
35
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1998
- --------------------------------------- ---------------------------------------
3. Agreements (continued)
waive a portion of the Cash Management Shares Distribution Fees.
The ILA Class B Units and ILA Class C Units of Prime Obligations Portfolio had
also adopted an Authorized Dealer Service Plan (the "Dealer Service Plan")
pursuant to which Goldman Sachs and Authorized Dealers are compensated for
providing personal and account maintenance services. ILA Class B Units and ILA
Class C Units pay a fee under this Dealer Service Plan equal, on an annual
basis, to .25% of ILA Class B and Class C units' average daily net assets.
Effective September 1, 1998, the Distribution Plans and Dealer Service Plans
were combined into Distribution and Service Plans. Under the Distribution and
Service Plans, Goldman Sachs and/or Authorized Dealers are entitled to a
monthly fee from each Portfolio for distribution services equal to, on an
annual basis, 1.00% of the average daily net assets attributable to Class B and
Class C units and 50% of the average daily net assets attributable to Cash
Management shares.
Goldman Sachs also serves as the Transfer Agent and is entitled to a fee
calculated daily and payable monthly at an annual rate of .04% of the average
daily net assets of each class.
The chart below outlines the fee waivers and expense reimbursements for the
year ended December 31, 1998 (in thousands):
<TABLE>
<CAPTION>
Management
Fees Expense
Portfolio Waived Reimbursements Total
<S> <C> <C> <C>
Prime Obligations $ -- $46 $46
- ------------------------------------------------------------------------------------------
Money Market 225 297 522
- ------------------------------------------------------------------------------------------
Government -- 115 115
- ------------------------------------------------------------------------------------------
Treasury Obligations -- 87 87
- ------------------------------------------------------------------------------------------
Treasury Instruments 781 159 940
- ------------------------------------------------------------------------------------------
Federal 1,943 235 2,178
- ------------------------------------------------------------------------------------------
Tax-Exempt Diversified 1,017 -- 1,017
- ------------------------------------------------------------------------------------------
Tax-Exempt California -- -- --
- ------------------------------------------------------------------------------------------
Tax-Exempt New York 67 141 208
</TABLE>
At December 31, 1998, the amount owed to affiliates were as follows (in
thousands):
<TABLE>
<CAPTION>
Distribution Transfer
Portfolio Management and Service Agent Total
<S> <C> <C> <C> <C>
Prime Obligations 306 18 20 344
- --------------------------------------------------------------
Money Market 570 -- 64 634
- --------------------------------------------------------------
Government 149 -- 17 166
- --------------------------------------------------------------
Treasury Obligations 259 -- 30 289
- --------------------------------------------------------------
Treasury Instruments 232 -- 26 258
- --------------------------------------------------------------
Federal 971 -- 111 1,082
- --------------------------------------------------------------
Tax-Exempt Diversified 513 -- 59 572
- --------------------------------------------------------------
Tax-Exempt California 184 -- 21 205
- --------------------------------------------------------------
Tax-Exempt
New York 43 -- 5 48
</TABLE>
4. Administration, Service and Cash Management Plans
ILA has adopted Administration and Service Plans. These plans allow for ILA
Administration Units, ILA Service Units and Cash Management Shares,
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, Service and Cash
Management Shares Plans provide for compensation to the service organizations
in an amount up to .15%, .40% and .50% (on an annualized basis), respectively,
of the average daily net asset value of the respective units/shares.
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, 1998, ILA did not have any borrowings under this facility.
- --------------------------------------- ---------------------------------------
36
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
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.
At December 31, 1998, the Prime Obligations, Money Market, Government and
Treasury Obligations Portfolios had investments in the following joint
repurchase account of $123,400,000, $68,900,000, $95,400,000 and $294,200,000
in principal amount, respectively. At December 31, 1998, the repurchase
agreements held in this joint account were fully collateralized by U.S.
Treasury obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Account
Donaldson, Lufkin & Jenrette, Inc.
$1,285,000,000 4.95% 01/04/1999 $1,285,000,000
Goldman, Sachs & Co.
500,000,000 4.75 01/04/1999 500,000,000
SBC Warburg Dillon Read Corp.
500,000,000 4.70 01/04/1999 500,000,000
1,098,400,000 4.75 01/04/1999 1,098,400,000
- -----------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $3,383,400,000
- -----------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1998, the Prime Obligations and Money Market Portfolios had
also invested in the following joint repurchase account II, which equaled
$25,000,000 and $100,000,000 in principal amount, respectively.
At December 31, 1998, the repurchase agreements held in this joint account were
fully collateralized by Federal Agency obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Account II
ABN/AMRO, Inc.
$120,000,000 5.15% 01/04/1999 $ 120,000,000
Deutsche Bank
77,300,000 5.07 01/04/1999 77,300,000
Donaldson, Lufkin & Jenrette, Inc.
150,000,000 4.95 01/04/1999 150,000,000
J.P. Morgan Securities, Inc.
700,000,000 4.75 01/04/1999 700,000,000
Morgan Stanley & Co.
200,000,000 4.95 01/04/1999 200,000,000
NationsBanc Montgomery Securities LLC
125,000,000 5.15 01/04/1999 125,000,000
- ---------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account II $1,372,300,000
- ---------------------------------------------------------------------------------------------
</TABLE>
8. 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 annual limitations which include the following:
25% of eligible security transactions, as defined, and 10% of repurchase
agreement transactions.
9. Certain Reclassifications
In accordance with Statement of Position 93-2, Money Market and Treasury
Obligations Portfolios have reclassified $14,714 and $4,679, respectively, from
accumulated undistributed net investment income to accumulated net realized
loss. The Government Portfolio has reclassified $36,718 and $16,075 to paid-in
capital and accumulated undistributed net investment income, respectively, from
accumulated net realized gain. The Federal Portfolio has reclassified $3,078
and $141 from paid-in capital and accumulated net realized gain, respectively
to accumulated undistributed net investment income. Tax-Exempt Diversified has
reclassified $39,803 from paid-in capital to accumulated net realized loss. The
Tax- Exempt California Portfolio has reclassified $70,492 from accumulated net
realized gain to paid-in capital. These reclassifications have no impact on the
net asset value of the Portfolio and are designed to present the Portfolio's
capital accounts on a tax basis.
- --------------------------------------- ---------------------------------------
37
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1998
- --------------------------------------------------------------------------------
10. Summary of Unit/Share Transactions (at $1.00 per unit/share)
Unit activity for the year ended December 31, 1998 is as follows:
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
ILA units:
Units sold 6,177,432,624 7,328,543,666 2,248,582,578
Reinvestment of dividends
and distributions 33,879,763 50,879,300 11,318,661
Units repurchased (6,240,532,870) (6,835,202,589) (2,337,115,041)
-------------------------------------
(29,220,483) 544,220,377 (77,213,802)
- -----------------------------------------------------------------------------
ILA Administration units:
Units sold 406,909,760 3,620,680,668 27,916,421
Reinvestment of dividends
and distributions 1,717,460 15,903,189 267,130
Units repurchased (397,939,174) (3,629,736,620) (30,683,670)
-------------------------------------
10,688,046 6,847,237 (2,500,119)
- -----------------------------------------------------------------------------
ILA Service units:
Units sold 1,818,720,552 152,171,059 316,716,890
Reinvestment of dividends
and distributions 3,921,578 346,424 3,946,493
Units repurchased (1,781,652,723) (140,684,546) (298,729,831)
-------------------------------------
40,989,407 11,832,937 21,933,552
- -----------------------------------------------------------------------------
ILA Class B units:
Units sold 29,480,688 -- --
Reinvestment of dividends
and distributions 179,458 -- --
Units repurchased (16,822,007) -- --
-------------------------------------
12,838,139 -- --
- -----------------------------------------------------------------------------
ILA Class C units:
Units sold 110,368,103 -- --
Reinvestment of dividends
and distributions 85,079 -- --
Units repurchased (105,535,726) -- --
-------------------------------------
4,917,456 -- --
- -----------------------------------------------------------------------------
Cash Management shares:(a)
Shares sold 1,501 1,501 1,501
Reinvestment of dividends
and distributions 42 42 40
Shares repurchased -- -- --
-------------------------------------
1,543 1,543 1,541
- -----------------------------------------------------------------------------
Net increase (decrease) in
units/shares 40,214,108 562,902,094 (57,778,828)
- -----------------------------------------------------------------------------
</TABLE>
(a) Cash Management shares activity commenced May 1, 1998.
- --------------------------------------- ---------------------------------------
38
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury 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>
4,007,287,255 1,803,189,385 11,530,501,990 10,877,493,043 3,322,147,594 649,511,937
16,031,743 13,367,625 98,365,419 46,502,366 17,860,780 3,220,163
(3,879,141,368) (1,805,323,856) (11,053,721,006) (10,841,198,835) (3,346,494,972) (633,071,531)
- --------------------------------------------------------------------------------------------------
144,177,630 11,233,154 575,146,403 82,796,574 (6,486,598) 19,660,569
- --------------------------------------------------------------------------------------------------
734,426,070 445,049,864 3,555,390,187 119,262,415 16,409,041 297,995,181
560,922 997,460 15,683,011 98,573 -- 665,491
(778,684,770) (413,030,451) (3,592,776,813) (120,818,081) (16,257,163) (309,073,784)
- --------------------------------------------------------------------------------------------------
(43,697,778) 33,016,873 (21,703,615) (1,457,093) 151,878 (10,413,112)
- --------------------------------------------------------------------------------------------------
672,512,357 964,026,068 273,279,701 85,559,282 -- --
732,490 50,167 195,188 623,293 37 40
(741,949,229) (885,346,553) (254,021,260) (78,845,791) -- --
- --------------------------------------------------------------------------------------------------
(68,704,382) 78,729,682 19,453,629 7,336,784 37 40
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- 1,501 1,501 1,501
-- -- -- 23 20 22
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- 1,524 1,521 1,523
- --------------------------------------------------------------------------------------------------
31,775,470 122,979,709 572,896,417 88,677,789 (6,333,162) 9,249,020
- --------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
39
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1998
- --------------------------------------------------------------------------------
10. Summary of Unit Transactions (at $1.00 per unit) (continued)
Unit activity for the year ended December 31, 1997:
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio(a) Portfolio Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
ILA Units:
Units sold 6,992,549,668 6,229,278,910 3,133,684,985
Reinvestment of dividends 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 dividends 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 dividends 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)
- ------------------------------------------------------------------------------
ILA Class B Units:
Units sold 6,341,071 -- --
Reinvestment of dividends and
distributions 19,157 -- --
Units repurchased (5,132,727) -- --
--------------------------------------
1,227,501 -- --
- ------------------------------------------------------------------------------
ILA Class C Units:
Units sold 2,580,301 -- --
Reinvestment of dividends and
distributions 966 -- --
Units repurchased (684,310) -- --
--------------------------------------
1,896,957 -- --
- ------------------------------------------------------------------------------
Net increase (decrease) in
units (287,234,835) 144,893,199 (270,469,945)
- ------------------------------------------------------------------------------
</TABLE>
(a) ILA Prime Obligations Portfolio Class C unit activity commenced August 15,
1997.
(b) ILA Tax-Exempt California Portfolio and ILA Tax-Exempt New York Portfolio
Service unit activity commenced September 15, 1997.
- --------------------------------------- ---------------------------------------
40
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio(b) Portfolio(b)
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
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>
- --------------------------------------- ---------------------------------------
41
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights
Selected Data for a Unit/Share Outstanding Throughout Each Period
Prime Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end of expenses to income to
beginning investment to unit/ end Total period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.05 $(0.05) $1.00 5.32% $837,185 0.43% 5.19%
1998-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.16 38,836 0.58 5.05
1998-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.90 119,309 0.83 4.79
1998-ILA B
units........... 1.00 0.04 (0.04) 1.00 4.27 14,412 1.43 4.07
1998-ILA C
units........... 1.00 0.04 (0.04) 1.00 4.27 6,814 1.43 4.13
1998-Cash
Management
shares
(commenced
May 1).......... 1.00 0.03 (0.03) 1.00 4.69(c) 2 0.93(c) 4.81(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.05 (0.05) 1.00 5.38 866,445 0.42 5.24
1997-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.22 28,110 0.57 5.11
1997-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.96 78,316 0.82 4.85
1997-ILA B
units........... 1.00 0.04 (0.04) 1.00 4.33 1,574 1.42 4.33
1997-ILA C units
(commenced
August 15)...... 1.00 0.04 (0.04) 1.00 4.41(c) 1,897 1.42(c) 4.39(c)
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.05 (0.05) 1.00 5.22 1,154,787 0.41 5.11
1996-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.06 23,738 0.56 4.97
1996-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.80 84,707 0.81 4.74
1996-ILA B units
(commenced
May 8).......... 1.00 0.03 (0.03) 1.00 3.97(c) 346 1.41(c) 4.09(c)
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.06 (0.06) 1.00 5.79 1,261,251 0.41 5.66
1995-ILA
Administration
units........... 1.00 0.06 (0.06) 1.00 5.63 63,018 0.56 5.51
1995-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.37 227,233 0.81 5.22
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.04 (0.04) 1.00 4.07 1,963,846 0.40 3.94
1994-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.91 149,234 0.55 3.79
1994-ILA Service
units........... 1.00 0.04 (0.04) 1.00 3.66 170,453 0.80 3.65
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.43% 5.19%
1998-ILA
Administration
units........... 0.58 5.05
1998-ILA Service
units........... 0.83 4.79
1998-ILA B
units........... 1.43 4.07
1998-ILA C
units........... 1.43 4.13
1998-Cash
Management
shares
(commenced
May 1).......... 1.43(c) 4.31(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.43 5.23
1997-ILA
Administration
units........... 0.58 5.10
1997-ILA Service
units........... 0.83 4.84
1997-ILA B
units........... 1.43 4.32
1997-ILA C units
(commenced
August 15)...... 1.43(c) 4.38(c)
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.43 5.09
1996-ILA
Administration
units........... 0.58 4.95
1996-ILA Service
units........... 0.83 4.72
1996-ILA B units
(commenced
May 8).......... 1.43(c) 4.07(c)
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.43 5.64
1995-ILA
Administration
units........... 0.58 5.49
1995-ILA Service
units........... 0.83 5.20
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.42 3.92
1994-ILA
Administration
units........... 0.57 3.77
1994-ILA Service
units........... 0.82 3.63
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
42
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Money Market Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to unit/ end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.05 $(0.05) $1.00 5.33% $1,350,317 0.40% 5.17%
1998-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.17 314,327 0.55 5.04
1998-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.91 32,349 0.80 4.79
1998-Cash
Management
shares
(commenced May 1).. 1.00 0.03 (0.03) 1.00 4.69(c) 2 0.90(c) 4.80(c)
- -----------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.05 (0.05) 1.00 5.43 806,096 0.37 5.31
1997-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.28 307,480 0.52 5.15
1997-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.01 20,517 0.77 4.90
- -----------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.05 (0.05) 1.00 5.27 703,097 0.36 5.15
1996-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.12 257,258 0.51 5.00
1996-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.86 28,845 0.76 4.75
- -----------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.06 (0.06) 1.00 5.85 574,155 0.36 5.71
1995-ILA
Administration
units........... 1.00 0.06 (0.06) 1.00 5.69 164,422 0.51 5.55
1995-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.43 23,080 0.76 5.29
- -----------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.04 (0.04) 1.00 4.13 559,470 0.35 4.01
1994-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.98 145,867 0.50 3.88
1994-ILA Service
units........... 1.00 0.04 (0.04) 1.00 3.72 21,862 0.75 3.61
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
-------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.43% 5.14%
1998-ILA
Administration
units........... 0.58 5.01
1998-ILA Service
units........... 0.83 4.76
1998-Cash
Management
shares
(commenced May 1).. 1.43(c) 4.27(c)
- -----------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.42 5.26
1997-ILA
Administration
units........... 0.57 5.10
1997-ILA Service
units........... 0.82 4.85
- -----------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.43 5.08
1996-ILA
Administration
units........... 0.58 4.93
1996-ILA Service
units........... 0.83 4.68
- -----------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.42 5.65
1995-ILA
Administration
units........... 0.57 5.49
1995-ILA Service
units........... 0.82 5.23
- -----------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.43 3.93
1994-ILA
Administration
units........... 0.58 3.80
1994-ILA Service
units........... 0.83 3.53
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
43
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Government Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to unit/ end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.05 $(0.05) $1.00 5.21% $383,243 0.43% 5.09%
1998-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.05 7,692 0.58 4.94
1998-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.79 105,732 0.83 4.67
1998-Cash
Management
shares
(commenced May
1).............. 1.00 0.03 (0.03) 1.00 4.57(c) 2 0.93(c) 4.60(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.05 (0.05) 1.00 5.31 460,457 0.42 5.16
1997-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.15 10,192 0.57 4.98
1997-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.89 83,799 0.82 4.78
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.05 (0.05) 1.00 5.15 694,651 0.41 5.04
1996-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.99 36,055 0.56 4.89
1996-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.73 94,228 0.81 4.63
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.06 (0.06) 1.00 5.77 570,469 0.41 5.62
1995-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.62 47,558 0.56 5.49
1995-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.35 85,401 0.81 5.19
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.04 (0.04) 1.00 3.94 881,520 0.40 3.78
1994-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.79 95,483 0.55 3.62
1994-ILA Service
units........... 1.00 0.04 (0.04) 1.00 3.53 156,930 0.80 3.50
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.45% 5.07%
1998-ILA
Administration
units........... 0.60 4.92
1998-ILA Service
units........... 0.85 4.65
1998-Cash
Management
shares
(commenced May
1).............. 1.45(c) 4.08(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.42 5.16
1997-ILA
Administration
units........... 0.57 4.98
1997-ILA Service
units........... 0.82 4.78
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.44 5.01
1996-ILA
Administration
units........... 0.59 4.86
1996-ILA Service
units........... 0.84 4.60
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.43 5.60
1995-ILA
Administration
units........... 0.58 5.47
1995-ILA Service
units........... 0.83 5.17
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.44 3.74
1994-ILA
Administration
units........... 0.59 3.58
1994-ILA Service
units........... 0.84 3.46
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
44
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) unitholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 0.05 $(0.05) $1.00 5.15% $ 734,553 0.42% 4.96%
1998-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.99 80,464 0.57 4.88
1998-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.73 35,432 0.82 4.67
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.05 (0.05) 1.00 5.26 590,381 0.42 5.12
1997-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.10 124,159 0.57 4.99
1997-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.84 104,133 0.82 4.73
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.05 (0.05) 1.00 5.11 574,734 0.41 4.98
1996-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.95 108,850 0.56 4.83
1996-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.69 123,483 0.81 4.59
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.06 (0.06) 1.00 5.73 711,209 0.41 5.51
1995-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.57 92,643 0.56 5.37
1995-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.31 119,692 0.81 5.11
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.04 (0.04) 1.00 3.91 713,816 0.40 3.77
1994-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.75 97,626 0.55 3.68
1994-ILA Service
units........... 1.00 0.03 (0.03) 1.00 3.49 108,972 0.80 3.40
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.43% 4.95%
1998-ILA
Administration
units........... 0.58 4.87
1998-ILA Service
units........... 0.83 4.66
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.42 5.12
1997-ILA
Administration
units........... 0.57 4.99
1997-ILA Service
units........... 0.82 4.73
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.43 4.96
1996-ILA
Administration
units........... 0.58 4.81
1996-ILA Service
units........... 0.83 4.57
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.43 5.49
1995-ILA
Administration
units........... 0.58 5.35
1995-ILA Service
units........... 0.83 5.09
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.44 3.73
1994-ILA
Administration
units........... 0.59 3.64
1994-ILA Service
units........... 0.84 3.35
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
- -------------------------------------------------------------------------------
45
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Instruments Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) unitholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years
Ended December
31,
- --------------
1998-ILA units.. $1.00 $0.05 $(0.05) $1.00 4.96% $341,476 0.30% 4.83%
1998-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.80 131,685 0.45 4.68
1998-ILA Service
units........... 1.00 0.04 (0.04) 1.00 4.54 374,128 0.70 4.43
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.05 (0.05) 1.00 5.17 330,241 0.22 5.02
1997-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.01 98,667 0.37 4.88
1997-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.75 295,404 0.62 4.63
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.05 (0.05) 1.00 5.10 708,999 0.21 4.96
1996-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.95 137,706 0.36 4.82
1996-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.68 383,901 0.61 4.56
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.06 (0.06) 1.00 5.70 586,294 0.21 5.50
1995-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.54 68,713 0.36 5.34
1995-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.28 123,254 0.61 5.00
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.04 (0.04) 1.00 4.01 547,351 0.20 3.96
1994-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.85 64,388 0.35 3.97
1994-ILA Service
units........... 1.00 0.04 (0.04) 1.00 3.59 74,451 0.60 3.72
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years
Ended December
31,
- --------------
1998-ILA units.. 0.43% 4.70%
1998-ILA
Administration
units........... 0.58 4.55
1998-ILA Service
units........... 0.83 4.30
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.42 4.82
1997-ILA
Administration
units........... 0.57 4.68
1997-ILA Service
units........... 0.82 4.43
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.43 4.74
1996-ILA
Administration
units........... 0.58 4.60
1996-ILA Service
units........... 0.83 4.34
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.44 5.27
1995-ILA
Administration
units........... 0.59 5.11
1995-ILA Service
units........... 0.84 4.77
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.43 3.73
1994-ILA
Administration
units........... 0.58 3.74
1994-ILA Service
units........... 0.83 3.49
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
- -------------------------------------------------------------------------------
46
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Federal Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) unitholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.05 $(0.05) $1.00 5.25% $2,625,705 0.34% 5.10%
1998-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.09 508,297 0.49 4.97
1998-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.83 53,994 0.74 4.71
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.05 (0.05) 1.00 5.40 2,050,559 0.27 5.26
1997-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.24 530,001 0.42 5.11
1997-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.98 34,540 0.67 4.83
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.05 (0.05) 1.00 5.24 2,303,677 0.26 5.13
1996-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 5.09 794,537 0.41 4.98
1996-ILA Service
units........... 1.00 0.05 (0.05) 1.00 4.83 192,416 0.66 4.73
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.06 (0.06) 1.00 5.83 1,731,935 0.26 5.69
1995-ILA
Administration
units........... 1.00 0.06 (0.06) 1.00 5.67 516,917 0.41 5.50
1995-ILA Service
units........... 1.00 0.05 (0.05) 1.00 5.41 102,576 0.66 5.22
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.04 (0.04) 1.00 4.11 1,625,567 0.25 4.07
1994-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.95 329,896 0.40 3.88
1994-ILA Service
units........... 1.00 0.04 (0.04) 1.00 3.69 15,539 0.65 3.92
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.42% 5.02%
1998-ILA
Administration
units........... 0.57 4.89
1998-ILA Service
units........... 0.82 4.63
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.41 5.12
1997-ILA
Administration
units........... 0.56 4.97
1997-ILA Service
units........... 0.81 4.69
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.43 4.96
1996-ILA
Administration
units........... 0.58 4.81
1996-ILA Service
units........... 0.83 4.56
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.42 5.53
1995-ILA
Administration
units........... 0.57 5.34
1995-ILA Service
units........... 0.82 5.06
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.42 3.90
1994-ILA
Administration
units........... 0.57 3.71
1994-ILA Service
units........... 0.82 3.75
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
- -------------------------------------------------------------------------------
47
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Tax-Exempt Diversified Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end of expenses to income to
beginning investment to unit/ end Total period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.03 $(0.03) $1.00 3.17% $1,562,285 0.35% 3.12%
1998-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.02 26,509 0.50 2.98
1998-ILA Service
units........... 1.00 0.03 (0.03) 1.00 2.76 37,850 0.75 2.72
1998-Cash
Management
shares
(commenced May
1).............. 1.00 0.02 (0.02) 1.00 2.61(c) 2 0.85(c) 2.66(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.03 (0.03) 1.00 3.39 1,479,486 0.32 3.33
1997-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.23 27,967 0.47 3.16
1997-ILA Service
units........... 1.00 0.03 (0.03) 1.00 2.97 30,513 0.72 2.97
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.03 (0.03) 1.00 3.25 1,514,443 0.31 3.20
1996-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.09 59,097 0.46 3.06
1996-ILA Service
units........... 1.00 0.03 (0.03) 1.00 2.84 28,921 0.71 2.79
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.04 (0.04) 1.00 3.72 1,342,585 0.31 3.65
1995-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 3.57 48,773 0.46 3.51
1995-ILA Service
units........... 1.00 0.03 (0.03) 1.00 3.31 49,647 0.71 3.24
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.03 (0.03) 1.00 2.71 1,434,965 0.30 2.64
1994-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.55 97,778 0.45 2.50
1994-ILA Service
units........... 1.00 0.02 (0.02) 1.00 2.30 36,492 0.70 2.20
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.41% 3.06%
1998-ILA
Administration
units........... 0.56 2.92
1998-ILA Service
units........... 0.81 2.66
1998-Cash
Management
shares
(commenced May
1).............. 1.41(c) 2.10(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.41 3.24
1997-ILA
Administration
units........... 0.56 3.07
1997-ILA Service
units........... 0.81 2.88
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.41 3.10
1996-ILA
Administration
units........... 0.56 2.96
1996-ILA Service
units........... 0.81 2.69
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.42 3.54
1995-ILA
Administration
units........... 0.57 3.40
1995-ILA Service
units........... 0.82 3.13
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.41 2.53
1994-ILA
Administration
units........... 0.56 2.39
1994-ILA Service
units........... 0.81 2.09
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
48
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Tax-Exempt California Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distribution value at end of expenses to income to
beginning investment to unit/ end Total period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.03 $(0.03) $1.00 2.84% $584,615 0.41% 2.79%
1998-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.68 512 0.56 2.84
1998-ILA Service
units........... 1.00 0.02 (0.02) 1.00 2.43 2 0.81 2.48
1998-Cash
Management
shares
(commenced May
1).............. 1.00 0.02 (0.02) 1.00 2.25(c) 2 0.91(c) 2.37(c)
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.03 (0.03) 1.00 3.15 591,003 0.42 3.10
1997-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.00 360 0.57 2.98
1997-ILA Service
units (Re-
commenced
September 1).... 1.00 0.01 (0.01) 1.00 2.87(c) 2 0.82(c) 2.90(c)
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.03 (0.03) 1.00 3.03 440,476 0.41 2.99
1996-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.88 142 0.56 2.84
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.03 (0.03) 1.00 3.55 346,728 0.41 3.49
1995-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.40 61 0.56 3.32
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.03 (0.03) 1.00 2.53 227,399 0.40 2.50
1994-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 2.37 790 0.55 2.33
<CAPTION>
Ratios assuming no waiver
of fees and no expense
limitations
-------------------------
Ratio of net
Ratio of net investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.41% 2.79%
1998-ILA
Administration
units........... 0.56 2.84
1998-ILA Service
units........... 0.81 2.48
1998-Cash
Management
shares
(commenced May
1).............. 1.41(c) 1.87(c)
- -------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.42 3.10
1997-ILA
Administration
units........... 0.57 2.98
1997-ILA Service
units (Re-
commenced
September 1).... 0.82(c) 2.90(c)
- -------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.42 2.98
1996-ILA
Administration
units........... 0.57 2.83
- -------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.41 3.49
1995-ILA
Administration
units........... 0.56 3.32
- -------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.41 2.49
1994-ILA
Administration
units........... 0.56 2.32
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
49
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Tax-Exempt New York Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to unit/ end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. $1.00 $0.03 $(0.03) $1.00 3.02% $122,550 0.36% 2.96%
1998-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.87 21,580 0.51 2.85
1998-ILA Service
units........... 1.00 0.03 (0.03) 1.00 2.61 2 0.76 2.61
1998-Cash
Management
shares
(commenced May
1).............. 1.00 0.02 (0.02) 1.00 2.46(c) 1 0.86(c) 2.56(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 1.00 0.03 (0.03) 1.00 3.29 102,887 0.33 3.24
1997-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.14 31,993 0.48 3.09
1997-ILA Service
units (commenced
September 15)... 1.00 0.01 (0.01) 1.00 3.02(c) 2 0.73(c) 3.04(c)
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 1.00 0.03 (0.03) 1.00 3.05 70,175 0.32 3.01
1996-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.90 44,319 0.47 2.88
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 1.00 0.03 (0.03) 1.00 3.51 90,537 0.30 3.44
1995-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 3.35 26,724 0.45 3.28
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 1.00 0.03 (0.03) 1.00 2.56 84,517 0.24 2.62
1994-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 2.41 38,970 0.39 2.47
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of Ratio of net
net investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1998-ILA units.. 0.51% 2.81%
1998-ILA
Administration
units........... 0.66 2.70
1998-ILA Service
units........... 0.91 2.46
1998-Cash
Management
shares
(commenced May
1).............. 1.51(c) 1.91(c)
- --------------------------------------------------------------------------------------------------------------
1997-ILA units.. 0.43 3.14
1997-ILA
Administration
units........... 0.58 2.99
1997-ILA Service
units (commenced
September 15)... 0.83(c) 2.94(c)
- --------------------------------------------------------------------------------------------------------------
1996-ILA units.. 0.43 2.90
1996-ILA
Administration
units........... 0.58 2.77
- --------------------------------------------------------------------------------------------------------------
1995-ILA units.. 0.44 3.30
1995-ILA
Administration
units........... 0.59 3.14
- --------------------------------------------------------------------------------------------------------------
1994-ILA units.. 0.47 2.39
1994-ILA
Administration
units........... 0.62 2.24
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
50
<PAGE>
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------- ---------------------------------------
To the Unit/Shareholders and Board of Trustees of the Goldman Sachs Trust--
Institutional Liquid Assets Portfolios:
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, 1998, 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 and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1998 by correspondence with the custodian
and brokers. 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, 1998, 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, 1999
51
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
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
Portfolio'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
Jesse H. Cole, Vice President
James A. Fitzpatrick, Vice President
Anne E. Marcel, Vice President
Nancy L. Mucker, Vice President
John M. Perlowski, Treasurer
Philip V. Giuca, Jr., Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
GOLDMAN SACHS
Investment Adviser,
Distributor and Transfer Agent
Goldman Sachs Funds
One New York Plaza, 41st Floor
New York, NY 10004
[LOGO] GOLDMAN
SACHS
