<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
SEMI-ANNUAL REPORT [LOGO]Goldman
June 30, 1999 Sachs
<PAGE>
- -------------------------------------------------------------------------------
Goldman Sachs Trust
Institutional Liquid Assets
- ------------------------------------ ------------------------------------
Taxable Portfolios
Prime Obligations Portfolio. The Portfolio invests in securities of the U.S.
Government, its agencies, authorities and instrumentalities, obligations of
U.S. banks, commercial paper and other short-term obligations of U.S.
companies, states, municipalities and other entities, and repurchase
agreements.
Money Market Portfolio. The Portfolio invests in securities of the U.S.
Government, its agencies, authorities and instrumentalities, U.S. dollar
denominated obligations of U.S. and foreign banks, U.S. dollar denominated
commercial paper and other short-term obligations of U.S. and foreign
companies, foreign governments, states municipalities and other entities, and
repurchase agreements.
Government Portfolio. The Portfolio invests in securities of the U.S.
Government, its agencies, authorities and instrumentalities, and repurchase
agreements relating to such securities.
Treasury Obligations Portfolio. The Portfolio invests in securities issued or
guaranteed by the U.S. Treasury and repurchase agreements relating to such
securities.
Treasury Instruments Portfolio. The Portfolio invests in securities issued or
guaranteed by the U.S. Treasury, the interest income from which is generally
exempt from state income taxation.
Federal Portfolio. The Portfolio invests in securities of the U.S. Government
and certain of its agencies, authorities and instrumentalities, the interest
income from which is generally exempt from state income taxation.
Tax-Exempt Portfolios
Tax-Exempt Diversified Portfolio. The Portfolio invests in municipal
obligations issued by or on behalf of states, territories and possessions of
the United States and their political subdivisions, agencies, authorities and
instrumentalities, and the District of Columbia.
Tax-Exempt California Portfolio. The Portfolio is a non-diversified portfolio
consisting primarily of municipal obligations issued by or on behalf of the
State of California and its political subdivisions, agencies and
instrumentalities and other obligations that are exempt from federal and
California state income taxes.
Tax-Exempt New York Portfolio. The Portfolio is a non-diversified portfolio
consisting primarily of municipal obligations issued by or on behalf of the
State of New York and its political subdivisions, agencies and
instrumentalities and other obligations that are exempt from federal, New York
state and New York City personal income taxes.
- ------------------------------------ ------------------------------------
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Prime Obligations Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--24.2%
Bank Holding Companies
BankAmerica Corp.
$ 5,000,000 4.81% 07/08/1999 $ 4,995,324
15,000,000 4.81 11/03/1999 14,749,479
5,000,000 4.84 11/10/1999 4,911,267
Commercial Banks
CP Trust Certificates Series 1996-1
29,750,000 5.09 07/01/1999 29,750,000
Insurance
Prudential Funding Corp.
35,000,000 4.75 07/13/1999 34,944,583
Receivable/Asset Financings
Corporate Receivables Corp.
15,000,000 4.82 07/20/1999 14,961,842
Dakota Certificates of Standard Credit Card Master Trust
25,000,000 5.11 08/19/1999 24,826,118
Edison Asset Securitization Corp.
10,000,000 4.82 07/09/1999 9,989,289
20,000,000 4.86 09/15/1999 19,794,800
Falcon Asset Securitization Corp.
10,000,000 4.87 07/15/1999 9,981,061
Intrepid Funding Notes
20,000,000 4.81 07/22/1999 19,943,883
10,000,000 4.84 08/05/1999 9,952,944
WCP Funding Corp.
10,000,000 4.81 07/14/1999 9,982,631
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
25,000,000 5.72 07/01/1999 25,000,000
10,000,000 4.87 07/26/1999 9,966,181
J.P. Morgan & Co., Inc.
10,000,000 4.82 07/12/1999 9,985,272
Salomon Smith Barney Holdings, Inc.
40,000,000 4.82 07/22/1999 39,887,533
- ---------------------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $ 293,622,207
- ---------------------------------------------------------------------------------------------
Bank and Medium-Term Notes--6.9%
CIT Group Holdings, Inc.
$ 5,000,000 6.40% 01/28/2000 $ 5,036,326
Comerica Bank Detroit
14,080,000 6.65 06/01/2000 14,187,206
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bank and Medium-Term Notes (continued)
First National Bank of Maryland
$ 10,000,000 5.09% 01/13/2000 $ 9,998,965
Huntington National Bank
10,000,000 4.98 01/11/2000 9,998,974
5,000,000 5.05 02/09/2000 4,998,822
J.P. Morgan & Co., Inc.
5,000,000 5.03 02/07/2000 5,000,000
Keybank, N.A.
10,000,000 5.60 06/16/2000 9,992,626
National City Bank
15,000,000 5.08 02/11/2000 14,996,449
Wachovia Bank, N.A.
10,000,000 4.95 08/16/1999 10,000,000
- ---------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 84,209,368
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--4.5%
Chase Manhattan Corp.
$ 25,000,000 4.90% 08/04/1999 $ 25,000,000
First National Bank of Maryland
15,000,000 4.99 01/25/2000 14,997,526
10,000,000 5.11 02/23/2000 9,997,810
Regions Bank
5,000,000 5.15 02/18/2000 5,000,000
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 54,995,336
- ---------------------------------------------------------------------------------------------
Taxable Municipal Note--0.4%
Ocean Spray Cranberries, Inc.(a)
$ 5,000,000 5.22% 07/07/1999 $ 5,000,000
- ---------------------------------------------------------------------------------------------
Total Taxable Municipal Note $ 5,000,000
- ---------------------------------------------------------------------------------------------
Variable Rate Obligations(a)--34.6%
Bank One, N.A.
$ 40,000,000 4.87% 07/01/1999 $ 39,998,017
Chase Manhattan Corp.
10,000,000 5.00 07/26/1999 9,994,220
Comerica Bank Detroit
15,000,000 4.88 07/19/1999 14,999,563
First National Bank of Chicago
10,000,000 4.84 07/14/1999 9,999,786
First Union Corp.
10,000,000 4.91 07/02/1999 10,000,000
15,000,000 4.97 08/18/1999 15,000,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
1
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Prime Obligations Portfolio (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations (continued)
Fleet National Bank
$ 25,000,000 5.07% 07/01/1999 $ 24,989,421
General Electric Capital Corp.
5,000,000 5.06 09/08/1999 5,000,000
IBM Corp.
20,000,000 4.83 08/12/1999 19,997,617
J.P. Morgan & Co., Inc.
30,000,000 4.84 07/07/1999 29,999,712
Merrill Lynch & Co., Inc.
5,000,000 4.91 07/06/1999 5,000,000
25,000,000 4.90 07/13/1999 24,999,705
Monumental Life Insurance Co.
20,000,000 5.10 07/01/1999 20,000,000
Morgan Stanley Dean Witter & Co.
15,000,000 5.04 08/18/1999 15,007,675
New York Life Insurance Co.
10,000,000 5.08 09/01/1999 10,000,000
Old Kent Bank & Trust Co.
25,000,000 4.95 07/01/1999 24,990,380
Pacific Mutual Life Insurance Co.
25,000,000 4.93 07/01/1999 25,000,000
PepsiCo, Inc.
30,000,000 4.84 08/19/1999 29,995,455
PNC Bank, N.A.
10,000,000 5.02 07/27/1999 9,999,466
SMM Trust Series 1998-A
5,000,000 5.26 09/16/1999 5,000,000
Southtrust Bank of Alabama, N.A.
15,000,000 4.87 07/08/1999 14,995,829
U.S. Bank, N.A.
10,000,000 4.89 07/08/1999 9,999,467
U.S. Central Credit Union
20,000,000 4.91 07/14/1999 20,000,000
Wells Fargo & Co.
15,000,000 4.99 09/10/1999 14,994,399
10,000,000 5.12 09/20/1999 9,999,787
- ---------------------------------------------------------------------------------------------
Total Variable Rate Obligations $ 419,960,499
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements--29.4%
Joint Repurchase Agreement Account
$227,600,000 4.85% 07/01/1999 $ 227,600,000
Joint Repurchase Agreement Account II
130,000,000 5.13 07/01/1999 130,000,000
- -------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 357,600,000
- -------------------------------------------------------------------------------------------
Total Investments $1,215,387,410(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 discounted
yield on date of purchase for discounted securities, 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.
2
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Money Market Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--36.6%
Bank Holding Companies
Banque Bruxelles Lambert
$ 11,000,000 4.83% 08/10/1999 $ 10,940,967
Nordbanken North America
30,000,000 4.81 07/16/1999 29,939,875
Commercial Banks
CP Trust Certificates Series 1996-1
17,000,000 5.09 07/01/1999 17,000,000
Communications
Telstra Corp Ltd.
30,000,000 4.82 07/23/1999 29,911,630
Engineering Accounting
Vattenfall Treasury, Inc.
25,000,000 4.84 08/18/1999 24,838,667
Insurance
Prudential Funding Corp.
10,000,000 4.85 11/08/1999 9,824,861
Receivable/Asset Financings
Atlantis One Funding
35,000,000 5.12 07/01/1999 35,000,000
35,000,000 4.82 08/11/1999 34,807,869
BCI Funding Corporation
25,000,000 4.82 08/12/1999 24,859,417
Centric Capital Corp.
25,000,000 4.82 07/20/1999 24,936,403
Edison Asset Securitization Corp.
30,000,000 4.87 07/29/1999 29,886,367
20,000,000 4.79 07/30/1999 19,922,828
Falcon Asset Securitization Corp.
12,810,000 4.87 07/15/1999 12,785,739
Grand Funding Corp.
35,000,000 4.82 07/15/1999 34,934,394
International Securitization Corp.
34,745,000 4.82 08/12/1999 34,549,617
Intrepid Funding Notes
10,575,000 4.85 07/08/1999 10,565,027
Rose One Plus
23,483,000 4.83 07/22/1999 23,416,837
WCP Funding Corp.
10,000,000 4.82 07/21/1999 9,973,222
13,000,000 4.87 07/26/1999 12,956,035
Westpac Capital Corp.
20,000,000 4.85 07/19/1999 19,951,500
</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)
Windmill Funding Corp.
$ 50,000,000 4.82% 07/14/1999 $ 49,912,972
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
25,000,000 5.72 07/01/1999 24,915,451
25,000,000 4.87 07/26/1999 25,000,000
C.S. First Boston Corp.
26,000,000 4.88 07/28/1999 25,904,840
J.P. Morgan & Co., Inc.
20,000,000 4.82 07/12/1999 19,970,544
Salomon Smith Barney Holdings, Inc.
30,000,000 4.82 07/22/1999 29,915,650
- ---------------------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $ 626,620,712
- ---------------------------------------------------------------------------------------------
Bank and Medium-Term Notes--2.3%
C.S. First Boston Corp.
$20,000,000 5.15% 02/17/2000 $ 20,000,000
Keybank, N.A.
15,000,000 5.60 06/16/2000 14,988,939
NationsBank Corp.
5,000,000 4.92 07/06/1999 5,000,000
- ---------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 39,988,939
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--5.6%
Chase Manhattan Corp.
$20,000,000 4.87% 07/21/1999 $ 20,000,000
40,000,000 4.90 08/04/1999 40,000,000
First National Bank of Maryland
10,000,000 4.99 01/25/2000 9,998,351
15,000,000 5.11 02/23/2000 14,996,717
Royal Bank of Canada(a)
10,000,000 5.70 07/03/2000 9,995,173
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 94,990,241
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--Yankeedollar--7.6%
Bank Austria, New York
$15,000,000 5.08% 12/30/1999 $ 14,999,279
Commerzbank, New York
20,000,000 5.01 01/10/2000 19,993,883
15,000,000 5.00 02/02/2000 14,998,287
15,000,000 5.07 02/09/2000 14,997,350
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
3
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Money Market Portfolio (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Certificates of Deposit--Yankeedollar (continued)
Deutsche Bank, New York
$ 20,000,000 4.90% 08/04/1999 $ 20,000,000
25,000,000 5.02 01/12/2000 24,996,135
15,000,000 5.25 05/18/2000 14,993,635
Toronto Dominion Bank, New York
5,000,000 5.10 12/29/1999 5,000,120
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit--Yankeedollar $ 129,978,689
- ---------------------------------------------------------------------------------------------
Variable Rate Obligations(b)--37.9%
Abbey National Treasury Services
$35,000,000 4.85% 07/20/1999 $ 34,998,652
American Express Centurion Bank
15,000,000 4.93 07/12/1999 14,999,223
Bayerische Hypo-Vereins
50,000,000 4.88 07/13/1999 49,982,592
Bayerische Landesbank
15,000,000 4.84 07/12/1999 14,991,875
25,000,000 4.85 07/22/1999 24,998,871
C.S. First Boston Corp.
10,000,000 5.15 07/30/1999 10,000,000
Chase Manhattan Corp.
15,000,000 5.00 07/26/1999 14,991,330
Citigroup, Inc.
20,000,000 5.14 09/17/1999 20,000,000
Comerica Bank Detroit
20,000,000 4.88 07/02/1999 19,996,516
15,000,000 4.88 07/19/1999 14,999,563
DaimlerChrysler N.A. Corp.(a)
25,000,000 5.06 08/06/1999 24,969,880
Den Danske Bank Corp.
15,000,000 4.84 07/02/1999 14,999,980
First Union Corp.
15,000,000 4.91 07/02/1999 15,000,000
30,000,000 4.97 08/18/1999 29,999,371
Fleet National Bank
10,000,000 4.91 07/01/1999 9,997,930
15,000,000 4.90 07/01/1999 14,993,652
General Electric Capital Corp.
20,000,000 4.95 07/12/1999 20,000,000
J.P. Morgan & Co., Inc.
10,000,000 4.95 07/06/1999 10,000,236
30,000,000 4.84 07/07/1999 29,999,712
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations (continued)
Merrill Lynch & Co., Inc.
$ 5,000,000 4.91% 07/06/1999 $ 5,001,435
Monumental Life Insurance Co.
25,000,000 5.10 07/01/1999 25,000,000
Morgan Stanley Dean Witter & Co.
10,000,000 5.03 08/16/1999 10,005,277
National Rural Utilities Corp.
20,000,000 4.97 08/25/1999 20,000,000
New York Life Insurance Co.
10,000,000 5.08 09/01/1999 10,000,000
Northern Rock PLC
25,000,000 5.11 09/14/1999 25,000,000
PNC Bank, N.A.
25,000,000 4.82 07/06/1999 24,998,495
SMM Trust Series 1998-A
8,000,000 5.26 09/16/1999 8,000,000
Societe Generale, New York
25,000,000 4.87 07/06/1999 24,988,376
Southtrust Bank of Alabama, N.A.
10,000,000 4.87 07/08/1999 9,996,081
U.S. Bank, N.A.
20,000,000 4.88 07/21/1999 19,987,330
10,000,000 5.05 07/21/1999 10,007,093
Wells Fargo & Co.
35,000,000 4.99 09/10/1999 34,986,932
10,000,000 5.12 09/20/1999 9,999,787
Westpac Banking Corp.
20,000,000 4.88 08/03/1999 19,999,202
- -------------------------------------------------------------------------------------------
Total Variable Rate Obligations $ 647,889,391
- -------------------------------------------------------------------------------------------
Repurchase Agreements--12.1%
Joint Repurchase Agreement Account(c)
$106,600,000 4.85% 07/01/1999 $ 106,600,000
Joint Repurchase Agreement Account II
100,000,000 5.13 07/01/1999 100,000,000
- -------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 206,600,000
- -------------------------------------------------------------------------------------------
Total Investments $1,746,067,972(d)
- -------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
(a) Forward commitments.
(b) Variable rate security-base index is either U.S. Treasury Bill, LIBOR, one
month commercial paper, Federal Funds or Prime lending rate.
(c) A portion of this security is segregated for forward commitments.
(d) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
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 Government Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--63.9%
Federal Farm Credit Bank
$25,000,000 4.76%(a) 07/10/1999 $ 24,991,532
30,000,000 4.79(a) 07/11/1999 29,996,375
7,000,000 4.76 01/18/2000 6,993,225
Federal Home Loan Bank
25,000,000 4.76(a) 07/01/1999 24,997,114
5,000,000 4.96(a) 07/01/1999 4,998,033
25,000,000 4.80(a) 07/11/1999 24,990,832
5,000,000 5.52 08/12/1999 5,003,441
2,495,000 4.90 12/01/1999 2,495,586
5,000,000 4.90 01/14/2000 4,999,578
5,600,000 4.80 01/26/2000 5,596,697
12,000,000 4.79 02/04/2000 11,991,937
3,000,000 5.04 02/25/2000 2,998,762
Federal Home Loan Mortgage Corp.
5,000,000 4.71 08/13/1999 4,971,871
10,000,000 5.02 09/23/1999 9,882,867
Federal National Mortgage Association
10,000,000 4.75 07/06/1999 9,993,403
2,760,000 6.03 07/07/1999 2,760,351
15,000,000 4.74 07/12/1999 14,978,275
25,000,000 5.18(a) 07/15/1999 24,989,955
1,450,000 5.92 08/11/1999 1,451,084
4,000,000 8.35 11/10/1999 4,048,511
13,550,000 5.74 12/23/1999 13,608,678
3,000,000 5.00 05/05/2000 2,997,062
5,000,000 5.56 07/24/2000 4,998,084
Student Loan Marketing Association(a)
10,000,000 4.94 07/01/1999 9,996,881
25,000,000 4.77 07/03/1999 24,993,099
- -------------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $279,723,233
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements--36.1%
ABN/AMRO, Inc.(b)
$ 20,000,000 5.30% 07/01/1999 $ 20,000,000
Banc of America Securities(b)
20,000,000 5.05 07/01/1999 20,000,000
Joint Repurchase Agreement Account
117,900,000 4.85 07/01/1999 117,900,000
- ----------------------------------------------------------------------------------------------
Total Repurchase Agreements $157,900,000
- ----------------------------------------------------------------------------------------------
Total Investments $437,623,233(c)
- ----------------------------------------------------------------------------------------------
</TABLE>
(a) Variable rate security-base index is either Federal Funds, Prime lending
rate, LIBOR or U.S. Treasury Bill.
(b) At June 30, 1999, these agreements were fully collateralized by Federal
Agency obligations.
(c) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
The percentage 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.
6
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Treasury Obligations Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--17.2%
United States Treasury Notes
$39,000,000 6.38% 01/15/2000 $ 39,288,110
10,000,000 5.38 01/31/2000 10,036,233
18,000,000 7.75 01/31/2000 18,307,596
7,000,000 5.88 02/15/2000 7,043,125
10,000,000 8.50 02/15/2000 10,233,883
10,000,000 7.13 02/29/2000 10,147,930
5,000,000 5.50 05/31/2000 5,023,823
4,000,000 6.13(a) 07/31/2000 4,030,938
- ------------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $104,111,638
- ------------------------------------------------------------------------------------------------
Repurchase Agreements--83.3%
ABN/AMRO, Inc.(b)
$28,000,000 4.90% 07/01/1999 $ 28,000,000
Bear Stearns Companies, Inc.(b)
28,000,000 4.80 07/01/1999 28,000,000
C.S. First Boston Corp.(b)
5,000,000 4.69 07/12/1999 5,000,000
Deutsche Morgan Grenfell(b)
28,000,000 4.95 07/01/1999 28,000,000
Donaldson, Lufkin & Jenrette, Inc.(b)
10,000,000 4.75 08/11/1999 10,000,000
Goldman, Sachs & Co.(b)
28,000,000 4.90 07/01/1999 28,000,000
J.P. Morgan Securities, Inc.(b)
28,000,000 4.90 07/01/1999 28,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements (continued)
Joint Repurchase Agreement Account(c)
$215,500,000 4.85% 07/01/1999 $215,500,000
Lehman Brothers, Inc.(b)
28,000,000 4.85 07/01/1999 28,000,000
Merrill Lynch Government Securities, Inc.(b)
28,000,000 5.00 07/01/1999 28,000,000
Morgan Stanley Dean Witter & Co.(b)
28,000,000 4.95 07/01/1999 28,000,000
25,000,000 4.69 07/12/1999 25,000,000
Salomon Smith Barney, Inc.(b)
25,000,000 4.80 07/08/1999 25,000,000
- ----------------------------------------------------------------------------------------------
Total Repurchase Agreements $504,500,000
- ----------------------------------------------------------------------------------------------
Total Investments $608,611,638(d)
- ----------------------------------------------------------------------------------------------
</TABLE>
(a) Forward commitment.
(b) At June 30, 1999, these agreements were fully collateralized by U.S.
Treasury obligations.
(c) A portion of this security is segregated for forward commitments.
(d) The amount stated also represents aggregate cost for federal income tax
purposes.
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.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Treasury Instruments Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--98.8%
United States Treasury Bills
$ 7,000,000 3.75% 07/08/1999 $ 6,994,896
1,600,000 4.27 07/08/1999 1,598,672
7,200,000 4.28 07/08/1999 7,194,008
6,800,000 3.50 07/15/1999 6,790,744
5,100,000 4.42 07/15/1999 5,091,244
3,500,000 4.10 07/29/1999 3,488,839
51,100,000 4.18 07/29/1999 50,933,868
9,300,000 4.45 07/29/1999 9,267,812
4,800,000 4.26 08/12/1999 4,776,172
15,000,000 4.46 08/12/1999 14,922,038
19,200,000 4.51 08/26/1999 19,065,301
60,000,000 4.49 09/09/1999 59,476,750
900,000 4.50 09/16/1999 891,338
7,700,000 4.51 09/16/1999 7,625,805
United States Treasury Notes
143,000,000 5.88 08/02/1999 143,127,860
120,000,000 6.88 08/02/1999 120,233,463
150,000,000 6.00 08/16/1999 150,217,916
United States Treasury Principal-Only Stripped Security
50,000,000 4.71 08/16/1999 49,705,972
- ----------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $661,402,698
- ----------------------------------------------------------------------------------------------
Total Investments $661,402,698(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 discounted
yield on date of purchase for discounted 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.
8
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Federal Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--99.8%
Federal Farm Credit Bank
$25,000,000 4.69% 07/01/1999 $25,000,000
40,000,000 4.72(a) 07/01/1999 39,997,357
30,000,000 4.74(a) 07/01/1999 29,990,200
35,000,000 4.80(a) 07/01/1999 35,000,000
35,000,000 4.93(a) 07/01/1999 34,989,193
35,000,000 4.95(a) 07/01/1999 34,987,091
65,000,000 5.06 07/01/1999 65,000,000
329,600,000 4.69(a) 07/01/1999 329,600,000
7,954,000 4.75 07/06/1999 7,948,752
25,000,000 4.76(a) 07/10/1999 24,991,532
50,000,000 4.79(a) 07/13/1999 50,000,000
60,000,000 4.82(a) 07/15/1999 60,000,000
20,200,000 4.78 07/20/1999 20,149,040
12,000,000 4.77 07/21/1999 11,968,200
25,000,000 4.85 07/22/1999 24,929,271
90,000,000 4.82 07/23/1999 89,995,721
25,000,000 4.86(a) 07/23/1999 24,991,097
75,000,000 4.82 07/27/1999 74,738,917
1,600,000 4.90 08/09/1999 1,591,507
75,000,000 5.50 09/01/1999 75,047,820
5,862,000 5.05 09/23/1999 5,792,926
10,000,000 4.75 12/01/1999 9,994,643
62,000,000 4.76 01/18/2000 61,969,492
Federal Home Loan Bank
75,000,000 4.91(a) 07/01/1999 74,981,534
50,000,000 4.96(a) 07/01/1999 49,980,328
40,000,000 4.78 07/02/1999 39,994,689
125,000,000 5.20(a) 07/07/1999 124,962,571
100,000,000 4.77(a) 07/08/1999 99,990,548
18,078,000 4.70 07/09/1999 18,059,119
25,000,000 4.71 07/09/1999 24,973,833
43,000,000 4.79 07/09/1999 42,954,229
22,700,000 4.80 07/09/1999 22,675,787
125,000,000 4.80(a) 07/11/1999 124,954,158
11,910,000 5.54 07/13/1999 11,912,425
43,000,000 4.71 07/14/1999 42,926,864
125,000,000 4.86 07/14/1999 124,780,851
100,000,000 4.84 07/16/1999 99,798,333
100,000,000 4.85 07/16/1999 99,797,917
13,000,000 6.38 07/26/1999 13,012,931
60,000,000 4.87 07/30/1999 59,764,617
2,400,000 4.78 08/06/1999 2,388,528
25,000,000 4.90 01/14/2000 24,997,891
50,000,000 4.80 01/26/2000 49,970,511
50,000,000 4.79 02/04/2000 49,966,404
30,000,000 4.95 02/24/2000 29,983,959
15,000,000 5.04 02/25/2000 14,993,812
25,000,000 5.15 03/08/2000 24,993,400
</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)
$ 45,000,000 5.10% 05/17/2000 $ 44,973,408
25,000,000 5.26 05/26/2000 24,995,650
Student Loan Marketing Association
60,000,000 4.94(a) 07/01/1999 59,981,284
100,000,000 4.77(a) 07/03/1999 99,972,397
9,500,000 4.80 07/06/1999 9,493,667
37,000,000 5.48(a) 07/07/1999 37,007,357
60,000,000 5.54(a) 07/07/1999 59,984,373
75,000,000 4.82(a) 07/15/1999 75,000,000
12,500,000 5.58 08/11/1999 12,509,541
50,000,000 4.93 09/15/1999 49,992,309
10,000,000 4.93(a) 09/16/1999 9,996,184
Tennessee Valley Authority
35,000,000 4.82 07/22/1999 34,901,592
10,000,000 8.38 10/01/1999 10,085,517
- ---------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $2,940,381,277
- ---------------------------------------------------------------------------------
Total Investments $2,940,381,277(b)
- ---------------------------------------------------------------------------------
</TABLE>
(a) Variable rate security-base index is either U.S. Treasury Bill, LIBOR,
Federal Funds, Prime lending rate or 30 day discount note rate.
(b) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
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.
9
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama--4.5%
City of Mobile Industrial Development PCRB for Alabama Power Series 1993 A
(A-1/VMIG1)
$ 7,000,000 3.80% 07/01/1999 $ 7,000,000
Columbia IDRB for Alabama Power Co. Series 1995 B
(A-1/VMIG1)
14,500,000 3.45 07/01/1999 14,500,000
Columbia IDRB for Alabama Power Co. Series 1996 A
(A-1/VMIG1)
13,000,000 3.45 07/01/1999 13,000,000
Columbia IDRB for Alabama Power Co. Series 1999-B
(A-1/VMIG1)
10,000,000 3.45 07/01/1999 10,000,000
Homewood City Educational Building Authority Educational Facilities RB for
Samford University Series 1996 (Bank of Nova Scotia)
(A-1+/VMIG1)
9,400,000 3.45 07/01/1999 9,400,000
Montgomery City Special Care RB Series 1994 A (Amsouth Bank) (VMIG1)
6,620,000 3.65 07/01/1999 6,620,000
West Jefferson IDRB for Alabama Power Co. Series 1998
(A-1/VMIG1)
5,500,000 3.75 07/01/1999 5,500,000
- -------------------------------------------------------------------------------------------------
$ 66,020,000
- -------------------------------------------------------------------------------------------------
Arizona--0.2%
Tempe VRDN Excise Tax Revenue Obligations Series 1998
(A-1+/VMIG1)
$ 3,500,000 3.55% 07/01/1999 $ 3,500,000
- -------------------------------------------------------------------------------------------------
Arkansas--0.6%
Union County PCRB for Great Lakes Chemical Series 1988 (A-1)(a)
$ 9,000,000 3.72% 07/01/1999 $ 9,000,000
- -------------------------------------------------------------------------------------------------
California--0.6%
City of Long Beach TRANS Series 1998-1999 (SP1+)
$ 3,400,000 4.00% 10/05/1999 $ 3,407,281
Los Angeles County California TRANS 1999-2000 Series A (SP1+/VMIG1)(b)
5,000,000 4.00 06/30/2000 5,032,800
- -------------------------------------------------------------------------------------------------
$ 8,440,081
- -------------------------------------------------------------------------------------------------
Florida--2.9%
Florida Local Government Financing Commission Pooled CP Notes Series A
(First Union National Bank) (A-1/P-1)
$25,000,000 3.20% 09/09/1999 $ 25,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Florida (continued)
Florida Local Government Financing Commission Pooled CP Notes Series A
(First Union National Bank) (A-1/P-1)
$ 8,035,000 3.15% 07/29/1999 $ 8,035,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
H-1 (A-1+/P-1)
6,635,000 3.55 07/07/1999 6,635,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
H-2 (NRU LOC) (A-1+/P-1)
3,850,000 3.55 07/07/1999 3,850,000
- -------------------------------------------------------------------------------------------------
$ 43,520,000
- -------------------------------------------------------------------------------------------------
Georgia--20.6%
Albany Dougherty Payroll IDA PCRB for Georgia Power First Series 1991
(VMIG1)
$ 2,120,000 3.75% 07/01/1999 $ 2,120,000
Albany Dougherty PCRB for Philip Morris Companies, Inc. Series 1992 (A-1/P-
1)
17,000,000 3.60 07/07/1999 17,000,000
Atlanta Water & Sewer RB Series 1997 Eagle Tax-Exempt Trust Series 971003
Class A COPS (FGIC) (A-1+)
10,500,000 3.69 07/01/1999 10,500,000
Bartow County IDA PCRB for Georgia Power Co. First Series 1997
(A-1/VMIG1)
5,400,000 3.45 07/01/1999 5,400,000
Burke County IDA Adjustable Tender PCRB for Oglethorpe Power Corp. Series
1993 A (FGIC) (A-1+/VMIG1)
53,870,000 3.30 07/07/1999 53,870,000
Burke County IDA PCRB for Georgia Power Co. Ninth Series 1994 (A-1/VMIG1)
10,400,000 3.65 07/01/1999 10,400,000
Burke County IDA PCRB for Georgia Power First Series 1992 (VMIG1)
12,800,000 3.75 07/01/1999 12,800,000
Burke County PCRB for Georgia Power Co. Fifth Series 1995 (VMIG1)
9,700,000 3.65 07/01/1999 9,700,000
Cobb County Development Authority PCRB for Georgia Power First Series 1991
(VMIG1)
8,330,000 3.75 07/07/1999 8,330,000
Cobb County IDA RB for Institute of Nuclear Power Operations Project Series
1998 (Suntrust Bank) (AA3)
5,265,000 3.75 07/01/1999 5,265,000
Columbus Hospital Authority Adjustable Rate Revenue Certificates for St.
Frances Hospital Project Series 1994 (Suntrust Bank) (VMIG1)
6,450,000 3.75 07/07/1999 6,450,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Georgia (continued)
Dekalb County IDRB for Siemens Energy & Automation, Inc. Series 1994 (P-1)
$ 3,750,000 3.70% 07/01/1999 $ 3,750,000
Dekalb County Hospital Authority Revenue Anticipation Certificates for
Dekalb Medical Center Series 1993 B (Suntrust Bank) (VMIG1)
4,900,000 3.75 07/07/1999 4,900,000
Dekalb County School District TANS Series 1999 (VMIG1)
15,000,000 2.88 12/31/1999 15,000,000
Floyd County PCRB for Georgia Power Co. Series 1996 (A-1/VMIG1)
7,650,000 3.65 07/01/1999 7,650,000
Fulco Hospital Authority Revenue Anticipation Certificates for Piedmont
Hospital Series 1999 (Suntrust Bank) (A-1+/VMIG1)
7,500,000 3.75 07/07/1999 7,500,000
Georgia Municipal Electric and Gas Project One Subordinated Bonds Series
1994 D (ABN/AMRO Bank) (A-1+/VMIG1)
19,450,000 3.50 07/07/1999 19,450,000
Georgia Municipal Gas Authority Gas RB for Gas Portfolio II Project Series A
(C.S. First Boston Corp./Morgan Guaranty Trust Company of New
York/Bayerische Landesbank Girozentrale/Wachovia Bank/ABN/AMRO Bank) (A-1+)
13,235,000 3.50 07/07/1999 13,235,000
Georgia Municipal Gas Authority RB for Agency Project Series B (C.S. First
Boston/Morgan Guaranty/Bayerische Landesbank Girozentrale/Wachovia
Bank/ABN/AMRO Bank) (A-1+)
5,835,000 3.50 07/07/1999 5,835,000
Georgia Municipal Gas Authority RB for Gas Portfolio II Project Series B
(C.S. First Boston/Morgan Guaranty/Bayerische Landesbank
Girozentrale/Wachovia Bank) (A-1+)
22,025,000 3.30 07/07/1999 22,025,000
Georgia Municipal Gas Authority RB Series A (C.S. First Boston/Morgan
Guaranty/Bayerische Landesbank Girozentrale/Wachovia Bank/ABN/AMRO Bank)
(A-1+)
20,900,000 3.50 07/07/1999 20,900,000
Georgia Municipal Electric and Gas Subordinated Bonds for General Resolution
Projects Series 1985 C (Bayerische Landesbank Girozentrale ) (A-1+/VMIG1)
26,000,000 3.50 12/31/1999 26,000,000
Monroe County IDA PCRB for Georgia Power Co. Plant Scherer Project First
Series 1997 (A-1/VMIG1)
2,000,000 3.65 07/01/1999 2,000,000
Savannah Economic Development Authority PCRB for Savannah Electric & Power
First Series 1993 (A-1/VMIG1)
4,085,000 3.75 07/01/1999 4,085,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Georgia (continued)
State of Georgia GO Bonds Puttable Floating Option Tax-Exempt Receipts
Series 1991 C (A-1+)
$10,205,000 3.77% 07/01/1999 $ 10,205,000
- -------------------------------------------------------------------------------------------------
$ 304,370,000
- -------------------------------------------------------------------------------------------------
Idaho--0.4%
State of Idaho TANS Series 1999 (SP1+/VMIG1)(b)
$ 6,500,000 4.25% 06/30/2000 $ 6,553,235
- -------------------------------------------------------------------------------------------------
Illinois--6.5%
Chicago City RB for Chicago Midway Airport Series 1996A Societe Generale
Trustor Municipal Securities Trust Receipts (MBIA) (A-1+)
$12,000,000 3.77% 07/01/1999 $ 12,000,000
City of Belleville IDA Refunding RB for Weyerhaeuser Project Series 1993 (A-
1 )
1,800,000 3.70 07/01/1999 1,800,000
Cook County GO VRDN Series 1996 (A-1+/VMIG1)
22,200,000 3.45 07/07/1999 22,200,000
Illinois Health Facilities Authority VRDN Adjustable RB for Evanston
Northwestern Health Care Corp. Series 1998 (A-1+/VMIG1)
15,000,000 3.25 05/31/2000 15,000,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Health
Systems Series 1998 A (VMIG1)
5,000,000 3.50 07/01/1999 5,000,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Health
Systems Series 1993 C (VMIG1)
9,400,000 3.50 07/01/1999 9,400,000
Illinois Health Facilities Authority VRDN for Resurrection Health Care
Series 1993 (A-1+/VMIG1)
2,000,000 3.45 07/01/1999 2,000,000
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 3.65 07/07/1999 16,575,000
Illinois Health Facilities Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 D (The First National Bank of Chicago) (A-
1+/VMIG1)
8,300,000 3.65 07/07/1999 8,300,000
Village of Sauget VRDN PCRB for Monsanto Project Series 1992 (P-1)
3,300,000 3.65 07/07/1999 3,300,000
- -------------------------------------------------------------------------------------------------
$ 95,575,000
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Indiana--2.9%
Fort Wayne City Hospital Authority VRDN for Parkview Memorial Hospital
Series 1985 D (Bank of America LOC) (VMIG1)
$ 1,180,000 3.50% 07/07/1999 $ 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 3.65 07/01/1999 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 3.50 07/07/1999 7,655,000
Indiana Health Facility Authority Variable Rate Hospital RB for Daughters of
Charity National Health System Series 1997 E (A-1+/VMIG1)
4,630,000 3.35 07/07/1999 4,630,000
Princeton City PCRB for PSI Energy, Inc. Project Series 1997 (Morgan
Guaranty Trust Company of New York) (A-1+/VMIG1)
9,100,000 3.75 07/01/1999 9,100,000
Warrick County PCRB for ALCOA Series 1992 (A-1)
5,000,000 3.90 07/01/1999 5,000,000
- -------------------------------------------------------------------------------------------------
$ 43,265,000
- -------------------------------------------------------------------------------------------------
Iowa--1.9%
Chillicothe City PCRB for Midamerican Energy Co./Midwest Power Systems
Series 1993 A (A-1/VMIG1)
$ 900,000 3.75% 07/07/1999 $ 900,000
Louisa County PCRB for Iowa-Illinois Gas & Electric Co./Midamerican Energy
Co. Series 1986 A (A-1)
15,400,000 3.70 07/07/1999 15,400,000
Muscatine County VRDN PCRB for Monsanto Series 1992 (P-1)
1,000,000 3.65 07/07/1999 1,000,000
Salix City PCRB for Midamerican Energy Co./Midwest Power Systems Series 1993
(A-1/VMIG1)
10,895,000 3.75 07/07/1999 10,895,000
- -------------------------------------------------------------------------------------------------
$ 28,195,000
- -------------------------------------------------------------------------------------------------
Kentucky--3.2%
Calvert City PCRB for Air Products and Chemicals, Inc. Series 1993 B (A-1)
$ 1,000,000 3.70% 07/01/1999 $ 1,000,000
Kentucky Asset/Liability Commission TRAN Series 1999A (SP1+/VMIG1)(b)
25,000,000 4.25 06/28/2000 25,209,750
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Kentucky (continued)
Kentucky Economic Development Financing Authority Adjustable Rate Hospital
Facilities RB for The Health Alliance of Greater Cincinnati Series 1997 D
(MBIA) (A-1+/VMIG1)
$ 4,832,000 3.35% 07/07/1999 $ 4,832,000
Kentucky Turnpike Authority Resource Recovery Road Refunding RB Series 1987
A Trust Receipts, Series 1997 (FSA) (A-1+/VMIG1)
3,950,000 3.60 07/07/1999 3,950,000
Trimble County PCRB for Louisville Gas and Electric Co. Series 1996 A (A-
1/VMIG1)
12,500,000 3.20 09/09/1999 12,500,000
- -------------------------------------------------------------------------------------------------
$ 47,491,750
- -------------------------------------------------------------------------------------------------
Louisiana--3.4%
Ascension Parish PCRB for Vulcan Materials Co. Series 1996
(A-1+/VMIG1)
$ 8,200,000 3.55% 07/07/1999 $ 8,200,000
Iberville Parish PCRB for Air Products and Chemicals Series 1992 (A-1)
6,200,000 3.70 07/01/1999 6,200,000
Plaquemines Port Harbor & District Marine Terminal Series 1985 B for
Electro-Coal Transfer Corp. (A-1+/P-1)
7,050,000 3.15 09/08/1999 7,050,000
South Louisiana Port Commission RB for Occidental Petroleum Corp. Series
1996 (Wachovia Bank) (P-1)
11,800,000 3.35 07/07/1999 11,800,000
St. James Parish PCRB for Occidental Petroleum Corp. Series 1996 (Wachovia
Bank) (P-1)
8,000,000 3.35 07/07/1999 8,000,000
State of Louisiana Adjustable Tender GO Refunding Bonds Series 1991 A
(Credit Local de France) (A-1+/VMIG1)
8,800,000 3.10 08/19/1999 8,800,000
- -------------------------------------------------------------------------------------------------
$ 50,050,000
- -------------------------------------------------------------------------------------------------
Maryland--1.4%
Baltimore County Metropolitan District CP BANS Series 1995
(A-1+/P-1+)
$ 9,000,000 3.20% 09/09/1999 $ 9,000,000
Washington Suburban Sanitary District GO VRDN Series 1998
(A-1+/VMIG1)(a)
12,100,000 3.45 07/07/1999 12,100,000
- -------------------------------------------------------------------------------------------------
$ 21,100,000
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Massachusetts--1.9%
Commonwealth of Massachusetts Eagle Tax-Exempt Trust Series 97C2101 Class A
COPS (MBIA) (A-1+)
$10,195,000 3.69% 07/01/1999 $ 10,195,000
Commonwealth of Massachusetts GO Refunding Bonds Series 1998 A (A-1+/VMIG1)
5,500,000 3.60 07/01/1999 5,500,000
Massachusetts Health & Education Facility Authority for Harvard University
Series A Eagle Tax-Exempt Trust Series 972104 Class A COPS (A-1+)
12,500,000 3.69 07/01/1999 12,500,000
- -------------------------------------------------------------------------------------------------
$ 28,195,000
- -------------------------------------------------------------------------------------------------
Michigan--3.7%
Michigan State Building Authority CP Notes Series 2 (CIBC) (A-1+/P-1)
$31,000,000 3.15% 08/05/1999 $ 31,000,000
Michigan State Hospital Finance Authority Variable Rate Hospital Refunding
RB for Daughters of Charity National Health System Series 1997 E (A-
1+/VMIG1)
4,595,000 3.35 07/07/1999 4,595,000
Michigan State Strategic Fund PCRB for Detroit Edison Series 1995 CC
(Barclays Bank PLC) (A-1+/P-1)
1,000,000 3.45 07/01/1999 1,000,000
Michigan State Trunk Line Fund Series 1998 A--Eagle Tax-Exempt Trust Series
982202 Class A Certificates (A-1+)
18,000,000 3.69 07/01/1999 18,000,000
- -------------------------------------------------------------------------------------------------
$ 54,595,000
- -------------------------------------------------------------------------------------------------
Minnesota--1.3%
Becker PCRB for Northern States Power Co.--Sherburne County Generating
Station Unit 3 Project Series 1992-A (A-1+/P-1)
$ 8,600,000 3.20% 08/26/1999 $ 8,600,000
Minnesota Higher Education Facility Authority VRDN for Carleton College
Series 3-l2 (VMIG1)
4,175,000 3.50 07/01/1999 4,175,000
White Bear Lake Refunding IDRB for Weyerhaeuser Project Series 1993 (A-1)
6,800,000 3.70 07/01/1999 6,800,000
- -------------------------------------------------------------------------------------------------
$ 19,575,000
- -------------------------------------------------------------------------------------------------
Mississippi--0.1%
Canton IDRB for Levi Strauss & Co. Series 1995 (Bank of America National
Trust & Savings Association) (A-1+)
$ 1,600,000 3.45% 07/07/1999 $ 1,600,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Missouri--0.3%
Missouri Environmental Improvement & Energy VRDN PCRB for Monsanto Series
1993 (P-1)
$ 5,000,000 3.60% 07/07/1999 $ 5,000,000
- -------------------------------------------------------------------------------------------------
Nevada--1.8%
Clark County Refunding RB for Nevada Airport System Series 1993 A (MBIA) (A-
1+/VMIG1)
$25,970,000 3.30% 07/07/1999 $ 25,970,000
- -------------------------------------------------------------------------------------------------
New Mexico--0.9%
New Mexico State TRANS 1999-2000 Series 1999 (SP1+/VMIG1)(b)
$12,500,000 4.00% 06/30/2000 $ 12,592,875
- -------------------------------------------------------------------------------------------------
New York--2.3%
Long Island Power Authority Electric System Subordinated RB
Series 4 (Bayerische Landesbank Girozentrale/Westdeutsche Landesbank
Girozentrale) (A-1/VMIG1)
$15,800,000 3.15% 08/26/1999 $ 15,800,000
New York City Municipal Water Finance Authority CP Notes Series 4
(Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
8,000,000 3.20 07/09/1999 8,000,000
New York State Environmental Facility Corp. Floating Rate Trust Receipts
Series 1997 (A-1/VMIG1)
10,425,000 3.65 07/01/1999 10,425,000
- -------------------------------------------------------------------------------------------------
$ 34,225,000
- -------------------------------------------------------------------------------------------------
North Carolina--2.0%
Charlotte Variable Rate Airport Refunding RB Series 1993 A (MBIA)
(A-1+/VMIG1)
$ 6,450,000 3.30% 07/07/1999 $ 6,450,000
North Carolina Medical Care Commission Health Care Facilities RB for
Wakenmed Project Series 1999 (Wachovia Bank) (A-1+)
19,000,000 3.60 07/01/1999 19,000,000
Rockingham County Refunding PCRB for Philip Morris Project Series 1992 (A-
1/P-1)
3,960,000 3.70 07/01/1999 3,960,000
- -------------------------------------------------------------------------------------------------
$ 29,410,000
- -------------------------------------------------------------------------------------------------
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)
$28,175,000 3.35% 07/07/1999 $ 28,175,000
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Oklahoma--2.3%
Muskogee Industrial Trust Pollution Control for Oklahoma Gas and Electric
Company Project Series 1997 A (A-1+/VMIG1)
$33,500,000 3.55% 07/07/1999 $ 33,500,000
- -------------------------------------------------------------------------------------------------
Oregon--0.4%
Lane County PCRB for Weyerhaeuser Company Series 1994 (A-1)(a)
$ 6,500,000 3.70% 07/01/1999 $ 6,500,000
- -------------------------------------------------------------------------------------------------
Pennsylvania--2.0%
City of Philadelphia TRANS Series A 1999-2000 (SP1+/MIG1)(b)
$15,000,000 4.25% 06/30/2000 $ 15,108,600
Commonwealth of Pennsylvania GO Bonds First Series 1994 Eagle Tax-Exempt
Trust 943804 Class A COPS (AMBAC) (A-1)(a)
14,400,000 3.69 07/01/1999 14,400,000
- -------------------------------------------------------------------------------------------------
$ 29,508,600
- -------------------------------------------------------------------------------------------------
South Carolina--0.7%
York County Floating/Fixed Rate PCRB Pooled Series 1984-North Carolina
Electric Membership Corp. VRDN (NRU) (A-1+/VMIG1)
$ 8,625,000 3.55% 07/07/1999 $ 8,625,000
York County Floating/Fixed Rate PCRB Series 1984 N (NRU)
(A-1+/VMIG1)
1,100,000 3.55 07/07/1999 1,100,000
- -------------------------------------------------------------------------------------------------
$ 9,725,000
- -------------------------------------------------------------------------------------------------
Tennessee--0.5%
Bradley County VRDN for Olin Corp. Series 1993 C (Wachovia Bank) (A-1+)
$ 7,400,000 3.75% 07/01/1999 $ 7,400,000
- -------------------------------------------------------------------------------------------------
Texas--18.2%
Brazos Harbor Industrial Development Corp. Variable Rate for Monsanto
Company (P-1)
$ 3,500,000 3.65% 07/07/1999 $ 3,500,000
Brazos River Authority PCRB for Monsanto Co. Series 1994 (P-1)
5,100,000 3.65 07/07/1999 5,100,000
Brazos River Authority VRDN for Monsanto Co. (P-1)
5,300,000 3.65 07/07/1999 5,300,000
City of Belton Industrial Development Corp. Refunding RB for the Butt
Grocery Series 1993 (Chase Bank of Texas) (P-1)
2,875,000 3.45 07/07/1999 2,875,000
City of Houston GO CP Notes Series A (A-1+/P-1)
20,000,000 3.10 08/19/1999 20,000,000
7,800,000 3.20 08/19/1999 7,800,000
5,000,000 3.20 08/24/1999 5,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Texas (continued)
City of Houston GO CP Notes Series B (A-1+/P-1)
$ 5,000,000 3.20% 08/24/1999 $ 5,000,000
City of Houston GO CP Notes Series C (A-1+/P-1)
5,000,000 3.45 10/07/1999 5,000,000
City of San Antonio Electric & Gas System Revenue RB Series 1997 (A-1+)
36,800,000 3.77 07/01/1999 36,800,000
Coastal Bend Health Facilities Development Corp. Incarnate Word Health
System RB Series 1998 B (AMBAC) (VMIG1)
10,000,000 3.30 07/07/1999 10,000,000
Harris County Health Facilities Development Corp. Health Care System United
Priced Demand Adjustable RB for the School of The Incarnate Word Series
1997 A (A-1+/VMIG1)
10,000,000 3.15 08/19/1999 10,000,000
4,000,000 3.10 08/19/1999 4,000,000
Harris County Health Facilities Development Corp. RB for Memorial Hospital
System Series 1997 B (MBIA) (A-1+/VMIG1)
7,600,000 3.30 07/07/1999 7,600,000
Harris County Toll Road VRDN Series 1994 C (A-1+/VMIG1)
22,700,000 3.35 07/07/1999 22,700,000
Harris County Toll Road VRDN Series 1994 D (A-1+/VMIG1)
3,230,000 3.35 07/07/1999 3,230,000
San Antonio Electric & Gas System CP Notes Series A (A-1+/P-1)
23,000,000 3.15 08/17/1999 23,000,000
15,000,000 3.10 08/23/1999 15,000,000
State of Texas TRANS CP Notes Series 1997 B (A-1+/P-1)
16,000,000 2.95 07/28/1999 16,000,000
16,000,000 2.95 08/23/1999 16,000,000
State of Texas TRANS Series 1998 (SP1+/VMIG1)
40,000,000 4.50 08/31/1999 40,087,700
Waco Health Facilities Development Corp. Variable Rate RB for Charity
Obligation Group Series 1997 E (A-1+/VMIG1)
5,000,000 3.35 07/07/1999 5,000,000
- -------------------------------------------------------------------------------------------------
$ 268,992,700
- -------------------------------------------------------------------------------------------------
Utah--3.8%
Central Utah Water Conservancy District GO Limited Tax Refunding Bonds
Variable Rate Tender Option Bonds Series 1998 E
(AMBAC) (A-1+/VMIG1)
$ 7,000,000 3.45% 07/07/1999 $ 7,000,000
Central Utah Water Conservancy District GO Limited Tax Refunding Bonds
Variable Rate Tender Option Bonds Series 1998 F (AMBAC)
(A-1+/VMIG1)
7,490,000 3.45 07/07/1999 7,490,000
</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>
Utah (continued)
Intermountain Power Agency Variable Rate Power Supply Refunding RB Series E
(AMBAC) (A-1+/VMIG1)
$11,000,000 3.13% 09/15/1999 $ 11,000,000
20,000,000 3.15 07/22/1999 20,000,000
State of Utah Adjustable Rate GO Highway Bonds Series 1999 D (A-1+/VMIG1)
11,000,000 3.60 07/01/1999 11,000,000
- -------------------------------------------------------------------------------------------------
$ 56,490,000
- -------------------------------------------------------------------------------------------------
Virginia--1.4%
Chesapeake IDA PCRB for Virginia Electric & Power Series 1985 (A-1/VMIG1)
$12,000,000 3.15% 08/13/1999 $ 12,000,000
Chesterfield County IDA PCRB for Virginia Electric & Power Series 1987 A (A-
1/VMIG1)
5,000,000 3.15 08/13/1999 5,000,000
Louisa County PCRB for Virginia Electric & Power Series 1984 (A-1/VMIG1)
4,000,000 3.20 08/06/1999 4,000,000
- -------------------------------------------------------------------------------------------------
$ 21,000,000
- -------------------------------------------------------------------------------------------------
Washington--3.1%
King County Limited Tax GO Bonds Series 1994 A Eagle Tax-Exempt Trust Series
97C 4701 Class A Certificates (A-1+)
$10,000,000 3.69% 07/01/1999 $ 10,000,000
King County Sewer Revenue BANS CP Series A (A-1/P-1)
14,100,000 3.15 08/16/1999 14,100,000
9,200,000 3.20 09/08/1999 9,200,000
Port of Grays Harbor Industrial Development Corp. for Weyerhaeuser Project
Series 1993 (A-1)
5,850,000 3.70 07/01/1999 5,850,000
Port of Grays Harbor Refunding IDA for Weyerhaeuser Project Series 1992 (A-
1)
1,000,000 3.70 07/01/1999 1,000,000
Union Gap City Refunding IDA for Weyerhaeuser Project Series
1992 (A-1)
1,600,000 3.70 07/01/1999 1,600,000
Washington Health Care Facilities Authority Series 1985 B
(A-1+/VMIG1)
4,100,000 3.40 07/01/1999 4,100,000
- -------------------------------------------------------------------------------------------------
$ 45,850,000
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
West Virginia--0.2%
Marshall County RB Series 1997 (Bayer Corporation) (A-1+/P-1)
$ 3,500,000 3.80% 07/01/1999 $ 3,500,000
- -----------------------------------------------------------------------------------------------
Wisconsin--4.8%
City of Milwaukee Short-Term School Order Notes Series 1998 B
(SP1+/VMIG1)
$48,500,000 4.25% 08/26/1999 $ 48,551,893
Milwaukee Metropolitan Sewage District GO Capital Purpose Bonds Series
1992 A Eagle Tax-Exempt Trust Series 944905 (A-1)
15,085,000 3.69 07/01/1999 15,085,000
Wisconsin Health & Educational Facilities Authority VRDN for Wheaton
Franciscan Services Series 1997 (Toronto Dominion Bank) (A-1+/VMIG1)
7,000,000 3.80 07/01/1999 7,000,000
- -----------------------------------------------------------------------------------------------
$ 70,636,893
- -----------------------------------------------------------------------------------------------
Wyoming--1.0%
Sweetwater PCRB for Pacificorp Project Series 1990 A (C.S. First Boston
LOC) (VMIG1)
$14,500,000 3.35% 07/07/1999 $ 14,500,000
- -----------------------------------------------------------------------------------------------
Total Investments $1,534,021,134(c)
- -----------------------------------------------------------------------------------------------
</TABLE>
(a) A portion of this security is 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 discounted
yield on date of purchase for discounted securities, 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.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California--97.2%
Alameda-Contra Costa Schools Financing Authority VRDN COPS for Capital
Improvement Financing Project Series F
(KBC Bank N.V. LOC) (A-1+)
$ 5,565,000 3.45%(a) 07/01/1999 $ 5,565,000
Alameda County TRANS 1999-2000 (SP-1+/VMIG1)
4,000,000 4.00(a) 07/07/2000 4,026,240
California GO TECP Notes (A-1/P-1)
10,100,000 3.15 07/22/1999 10,100,000
California Health Facilities Authority Insured Variable Rate Hospital RB
for Adventist Health System/West Series 1998 A (MBIA) (A-1+/VMIG1)
1,500,000 3.10 07/01/1999 1,500,000
California Health Facilities Financing Authority Insured Variable Rate
Hospital RB for Adventist Health System/West Series 1998 B (MBIA) (A-
1+/VMIG1)
18,100,000 3.10 07/01/1999 18,100,000
California Health Facilities Financing Authority Insured Variable Rate
Hospital RB For Adventist Health System/West Series 1998 C (MBIA) (A-
1+/VMIG1)
4,600,000 3.10 07/01/1999 4,600,000
California Pollution Control Financing Authority Adjustable TRB for
Southern California Edison Series 1986 D (A-1/VMIG1)
1,200,000 3.35 07/01/1999 1,200,000
California Pollution Control Financing Authority for Shell Oil Series 1991
A (A-1+/VMIG1)
1,700,000 2.85 07/01/1999 1,700,000
California Pollution Control Financing Authority for Shell Oil Series 1991
B (A-1+/P-1)
2,100,000 2.85 07/01/1999 2,100,000
California Pollution Control Financing Authority for Southern California
Edison TRB Series 1986 A (A-1/VMIG1)
8,400,000 3.35 07/01/1999 8,400,000
California Pollution Control Financing Authority for Southern California
Edison TRB Series 1986 B (A-1/VMIG1)
1,100,000 3.35 07/01/1999 1,100,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1996 E (Morgan Guaranty Trust Company of New
York) (A-1+/VMIG1)
3,000,000 3.30 07/01/1999 3,000,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1996 F (Banque Nationale de Paris, S.A.) (A-1)
10,125,000 3.10 07/01/1999 10,125,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1997 A (Toronto Dominion Bank) (A-1+)
23,500,000 3.10 07/01/1999 23,500,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
California School Cash Reserve Program Authority Pool Bonds Series 1998 A
(AMBAC) (SP1+/VMIG1)
$11,000,000 4.50%(a) 07/02/1999 $ 11,000,519
California School Cash Reserve Program Authority Pool Bonds Series 1999 A
5,000,000 4.00 07/03/2000 5,000,000
California Statewide Communities Series (FSA) (SP1+/VMIG1)
5,000,000 4.00(a) 06/30/2000 5,039,600
Chula Vista IDRB for San Diego Gas & Electric Company Series 1996 A (A-
1/VMIG1)
11,700,000 3.70 07/01/1999 11,700,000
City of Fresno VRDN MF Hsg. Refunding RB for Heron Pointe & Stone Series
1996 A (Wells Fargo Bank) (VMIG1)
3,315,000 3.10 07/07/1999 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)(b)
7,200,000 4.00 07/30/1999 7,200,000
City of Huntington Beach VRDN MF Hsg Refunding RB for Huntington Breakers
Project- Freddie Mac Credit Enhanced Series 1996 A (FHLMC LOC) (VMIG1)
6,000,000 3.20 07/07/1999 6,000,000
City of Long Beach TRANS Series 1998-1999 (SP1+)
1,700,000 4.00 10/05/1999 1,703,641
City of Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital
Series 1996 A (A-1+/VMIG1)
1,000,000 3.15 07/01/1999 1,000,000
City of Newport Beach VRDN RB Series 1996 B for Hoag Memorial Presbyterian
Hospital (A-1+/VMIG1)
3,000,000 3.15 07/01/1999 3,000,000
City of San Diego Certificates of Undivided Interest in The Water Utility
Fund Series 1998 (FGIC) (A-1+)
15,685,000 3.57 07/01/1999 15,685,000
Contra Costa Water District TECP Notes Series A (A-1+/P-1)
5,200,000 2.90 07/21/1999 5,200,000
2,000,000 2.95 10/07/1999 2,000,000
County of Los Angeles Pension Obligation Refunding Bonds Series 1996 A
(AMBAC) (A-1+/VMIG1)
4,000,000 3.25 07/07/1999 4,000,000
County of Los Angeles Pension Obligation Refunding RB Series 1996 B
(AMBAC) (A-1+/VMIG 1)
3,700,000 3.25 07/07/1999 3,700,000
County of Los Angeles Pension Obligation Refunding RB Series 1996 C (AMBAC
) (A-1+/VMIG1)
1,800,000 3.25 07/07/1999 1,800,000
</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>
California (continued)
East Bay Municipal Utility District Water & Waste Water CP Notes
(A-1+/P-1)
$ 7,800,000 3.05% 07/22/1999 $ 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) (A-1+)
2,000,000 3.45 07/01/1999 2,000,000
Fremont VRDN MF Hsg. RB For Creekside Village Apartments Series 1985 D
(KBC Bank) (VMIG1)
14,400,000 3.65 07/01/1999 14,400,000
Irvine Ranch Water District Consolidated Refunding RB Series 1993 A (Bank
of America National Trust & Savings Association)
(A-1+/VMIG1)
4,905,000 3.15 07/01/1999 4,905,000
Kern High School District TRANS Series 1998 (SP1+)
18,000,000 4.00 08/26/1999 18,014,123
Kings County Housing Authority VRDN MF Hsg. Refunding RB for Edgewater
Series 1996 A (Wells Fargo Bank) (VMIG1)
6,555,000 3.10 07/07/1999 6,555,000
Long Beach City Housing Authority VRDN MF Hsg. RB for Channel Point
Apartments Series 1998 A (FNMA) (A-1 )
6,250,000 3.60 07/01/1999 6,250,000
Los Angeles City TRANS 1999
5,000,000 4.00(a) 06/30/2000 5,031,350
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 3.60 07/01/1999 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+)(b)
14,349,000 3.60 07/01/1999 14,349,000
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)
10,000,000 2.80 08/05/1999 10,000,000
3,000,000 2.90 07/23/1999 3,000,000
Los Angeles County TRANS Series A 1999-2000 (SP1+/VMIG1)
10,000,000 4.00(a) 06/30/2000 10,065,600
Los Angeles Unified School District Variable Rate COPS for Belmont
Learning Complex Series 1997 A (Commerzbank AG) (VMIG1)
26,890,000 3.00 07/07/1999 26,890,000
Los Angeles Waste Water System CP Revenue Notes (Morgan Guaranty Trust
Company of New York/UBS AG) (A-1+/P-1)
7,000,000 2.95 09/09/1999 7,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
MSR Public Power Agency RB Series 1997 E (MBIA) (A-1+/VMIG-1)
$ 6,000,000 3.25% 07/01/1999 $ 6,000,000
MSR Public Power Agency Subordinate Lien RB for San Juan Project Series 1997
D (MBIA) (A-1+/VMIG-1)
19,000,000 3.25 07/01/1999 19,000,000
Oakland Joint Powers Financing Authority Lease RB Series 1998 A-2 (Financial
Security Assurance, Inc.) (A-1+/VMIG1)
2,000,000 3.50 07/01/1999 2,000,000
Orange County Apartment Development Refunding RB for Larkspur Canyon
Apartments Series 1997 A (FNMA) (A-1+)
7,635,000 3.20 07/07/1999 7,635,000
Orange County VRDN Apartment Development RB for Hidden Hills Development
Corporation Series 1985 C, Issue U (FHLMC) ( VMIG1)
5,000,000 3.35 07/06/1999 5,000,000
Orange County VRDN Apartment Development RB for Seaside Meadow Series 1984 C
(KBC Bank) (VMIG1)(b)
24,000,000 3.65 07/01/1999 24,000,000
Palo Alto Unified School District Municipal Securities Trust Receipts Series
1997 SGA 53 (A-1+)
9,830,000 3.36 07/07/1999 9,830,000
Sacramento County COPS for Administration Center and Courthouse Project
Series 1990 (UBS AG) (A-1+/VMIG1)
23,965,000 3.35 07/01/1999 23,965,000
Sacramento County Housing Authority MF Hsg. Refunding RB for Stone Creek
Apartments (FNMA) (A-1+)
8,450,000 3.60 07/01/1999 8,450,000
San Bernardino County VRDN MF Hsg Refunding RB for Evergreen Apartments 1999
Series A (FNMA) (A-1+)
9,400,000 3.60 07/01/1999 9,400,000
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 3.70 07/01/1999 6,000,000
San Diego County Subordinated Sales Tax Revenue CP Notes Series A (A-1+/P-1)
15,600,000 3.10 09/09/1999 15,600,000
San Diego County VRDN MF Hsg. RB for Country Hills-Phase I Series 1985 C
(FNMA) (A-1+)
9,800,000 3.00 07/07/1999 9,800,000
San Diego County Water Authority CP Notes Series 1 (A-1/P-1)
16,800,000 3.05 08/06/1999 16,800,000
4,500,000 2.80 08/26/1999 4,500,000
San Francisco City & County Housing Authority VRDN MF Hsg. RB Series 1985 D
(A-1+)
7,000,000 3.25 07/07/1999 7,000,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
17
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
San Jose Redevelopment Agency Merged Area Redevelopment Project Tax
Allocation Bonds Series 1993 (MBIA) (AAA)
$ 7,000,000 4.40% 08/01/1999 $ 7,010,459
Southern California Metropolitan Water District CP Notes Series A
(A-1+/P-1)
9,400,000 2.95 10/07/1999 9,400,000
Southern California Metropolitan Water District Water RB Series 1997 B (A-
1+/VMIG1)
12,500,000 3.50 07/01/1999 12,500,000
Southern California Public Power Authority Power Project RB Series 1996 B
(AMBAC) (A-1+/VMIG1)
8,000,000 3.25 07/07/1999 8,000,000
Southern California Public Power Authority Power Project RB Series 1996 C
(AMBAC) (A-1+/VMIG-1)
7,000,000 3.25 07/07/1999 7,000,000
Southern California Public Power Authority Power Project Subordinate
Refunding RB for Palo Verde Series 1997 A (FSA) (AAA)
2,915,000 4.50 07/01/1999 2,915,000
Southern California Public Power Authority Subordinate Refunding RB for
Transportation Project Series 1991 (AMBAC) (A-1+/VMIG1)
15,000,000 3.25(a) 07/07/1999 15,000,000
14,700,000 3.25 07/07/1999 14,700,000
State of California GO Puttable Floating Option Tax-Exempt Receipts Series
PA-238 (MBIA) (A-1+)
6,280,000 3.62 07/01/1999 6,280,000
State of California GO Puttable Floating Option Tax-Exempt Receipts Series
PT-1001 (FGIC) (A-1+)
18,870,000 3.57 07/01/1999 18,870,000
State of California Municipal Securities Trust Receipt Series 1997 SGA 55
(FGIC) (A-1+)
22,000,000 3.38 07/07/1999 22,000,000
University of California CP Notes Series A (A-1+/P-1)
5,000,000 3.05 09/09/1999 5,000,000
7,200,000 2.95 09/13/1999 7,200,000
6,500,000 3.00 10/07/1999 6,500,000
- ------------------------------------------------------------------------------------------------
$639,175,532
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Puerto Rico--5.2%
Puerto Rico Government Development Bank TECP Program (A-1+)
$13,000,000 2.90% 07/20/1999 $ 13,000,000
1,866,000 3.10 08/23/1999 1,866,000
4,443,000 3.05 09/03/1999 4,443,000
10,000,000 3.05 09/09/1999 10,000,000
5,000,000 3.00 10/07/1999 5,000,000
- ---------------------------------------------------------------------------------------------
$ 34,309,000
- ---------------------------------------------------------------------------------------------
Total Investments $673,484,532(c)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) Forward commitments.
(b) A portion of this security is segregated for forward commitments.
(c) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, 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.
18
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York--92.6%
City of Yonkers Civic Facility IDA RB for Consumers Series 1991 (Credit
Local de France) (VMIG1)
$ 2,500,000 3.40% 07/07/1999 $ 2,500,000
City of Yonkers Civic Facility IDA RB Series 1991 (Credit Local de France)
(VMIG1)
2,738,000 3.40 07/07/1999 2,738,000
City of Yonkers GO Serial Bonds Series 1996 C (AMBAC)(VMIG)
2,460,000 5.00 08/01/1999 2,464,189
Great Neck North Water Authority Water System RB Series 1993 A (FGIC)(A-
1+/VMIG1)
4,800,000 3.35 07/07/1999 4,800,000
Long Island Power Authority Electric System Subordinated RB Series 1
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale)
(A-1+/VMIG1)
6,700,000 3.50 07/07/1999 6,700,000
Long Island Power Authority Electric System Subordinated RB Series 4
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale)
(A-1+/VMIG1)
3,400,000 3.20 08/25/1999 3,400,000
2,000,000 3.15 08/26/1999 2,000,000
Long Island Power Authority Electric System Subordinated RB Series 5
(Morgan Guaranty Trust Company of New York/ABN/AMRO
Bank) (A-1+/VMIG1)
1,000,000 3.40 07/07/1999 1,000,000
Long Island Power Authority Electric System Subordinated RB Series 6
(Morgan Guaranty Trust Company of New York/ABN/AMRO
Bank) (A-1+/VMIG1)
1,400,000 3.85 07/07/1999 1,400,000
Municipal Assistance Corp. for the City of New York
Series G (AA/AA2)
3,000,000 5.00 07/01/1999 3,000,000
New York & New Jersey Port Authority Floating Rate Trust Receipts 108th
Series (Financial Security Assurance, Inc.) (A-1/VMIG1)
6,000,000 3.50 07/07/1999 6,000,000
New York City Escrowed to Maturity Series E (U.S. Treasury Bond) (AAA)
5,000,000 5.00 02/15/2000 5,059,738
New York City GO Bonds Series 1994 E (E-3) (Morgan Guaranty Trust Company
of New York) (A-1+/VMIG1)
1,200,000 3.50 07/01/1999 1,200,000
New York City GO Bonds Series 1994 E (E-5) (Morgan Guaranty Trust Company
of New York) (A-1+/VMIG1)
1,000,000 3.50 07/01/1999 1,000,000
New York City GO Refunded Bonds Series 1991 F
(U.S. Treasury Bond) (AAA)
2,835,000 8.10 11/15/1999 2,888,607
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York City GO Series 1992 D (FGIC) (A-1+/VMIG1)
$2,500,000 3.45% 07/07/1999 $ 2,500,000
New York City GO VRDN 1994 Series C
(Morgan Guaranty Trust Company of New York) (A-1+/VMIG1)
2,200,000 4.00 07/01/1999 2,200,000
New York City Health & Hospitals Corp. Health System Bonds Series 1997 A
(Morgan Guaranty Trust) (A-1+/VMIG1)
1,600,000 3.30 07/07/1999 1,600,000
New York City Health & Hospitals Corp. Health System Bonds Series 1997 B
(Canadian Imperial Bank of Commerce) (A-1+/VMIG1)
6,520,000 3.35 07/07/1999 6,520,000
New York City IDA Civic Facility RB for National Audubon Society, Inc.
Series 1989 (Credit Local de France) (A-1+)
3,700,000 3.35 07/01/1999 3,700,000
New York City Municipal Water Finance Authority CP Notes Series 5
(Bayerische Landesbank Girozentrale/Landesbank Hessen-Thueringen
Girozentrale) (A-1+/VMIG1)
4,000,000 3.30 11/10/1999 4,000,000
New York City Municipal Water Finance Authority CP Notes Series 5 Lot B
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank
Girozentrale/Landesbank Hessen-Thueringen Girozentrale) (A-1+/P-1)
6,000,000 3.25 08/19/1999 6,000,000
New York City Transitional Finance Authority Future Tax Secured Bonds
Series 1999 A, Subseries A-1 (A-1+/VMIG1)
9,800,000 3.50 07/07/1999 9,800,000
New York City Trust for Resources Multi-Mode Bonds for Solomon Guggenheim
Foundation Series 1990 B (Westdeutsche Landesbank Girozentrale) (A-
1+/VMIG1)
7,695,000 3.35 07/01/1999 7,695,000
New York Local Government Assistance Corp. Variable Rate Bond Series 1995
B (Bank of Nova Scotia) (A-1+/VMIG1)
7,700,000 3.25 07/07/1999 7,700,000
New York Local Government Assistance Corp. Variable Rate Bond Series 1995
C (Landesbank Hessen-Thueringen Girozentrale)
(A-1+/VMIG1)
5,700,000 3.25 07/07/1999 5,700,000
New York State Dormitory Authority RB Series for Cornell University
Series 1990 B (A-1+/VMIG1)
5,500,000 3.40 07/01/1999 5,500,000
New York State Energy Research & Development Authority PCRB for Central
Hudson Gas & Electric Series 1985 B
(Deutsche Bank AG) (P-1)
7,300,000 3.50 07/01/1999 7,300,000
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 3.35 07/07/1999 5,850,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York State Energy Research & Development Authority Gas Facility RB
Brooklyn Union Gas Series 1997 A-2 (MBIA) (A-1+/VMIG1)
$ 1,800,000 3.15% 07/07/1999 $ 1,800,000
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 12/01/1999 4,000,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series D-2
(First National Bank of Chicago) (VMIG1)
3,200,000 3.45 07/01/1999 3,200,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series 1994 B (Mellon Bank)
(A-1+/VMIG1)
3,050,000 3.75 07/01/1999 3,050,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series 1994 D-1
(First National Bank of Chicago) (VMIG1)
4,500,000 3.80 07/01/1999 4,500,000
New York State Energy Research & Development Authority PCRB for Rochester
Gas & Electric Corp. Series 1997 A (MBIA)
4,700,000 3.30 07/07/1999 4,700,000
New York State Energy Research & Development VRDN for Orange & Rockland
Utilities Series 1995 A (AMBAC) (A-1+/VMIG1)
2,400,000 3.10 07/07/1999 2,400,000
New York State Environmental Facility Corp. RB Eagle Tax-Exempt Trust
Series 1994 D, Class A COPS (A-1+)
8,050,000 3.65 07/01/1999 8,050,000
New York State Environmental Facilities Corp. State Water PCRB Series 1996
B (AAA/AAA)
1,000,000 3.90 02/15/2000 1,005,802
New York State Environmental Quality Variable Interest Rate GO Bonds
Series 1997 A (Bayerische Landesbank Girozentrale/Landesbank Hessen-
Thueringen Girozentrale) (A-1+/VMIG1)
4,000,000 3.15 08/16/1999 4,000,000
New York State Housing Finance Agency for Talleyrand Crescent Housing RB
Series 1999 A (Fleet National Bank) (VMIG1)
4,000,000 3.30 07/07/1999 4,000,000
New York State Housing Finance Agency RB for Liberty View Apartments
Housing Series 1997 A (FNMA) (A-1+)
6,000,000 3.20 07/07/1999 6,000,000
New York State Housing Finance Agency RB for Tribeca Park Housing Series
1997 A (Bayerische Hypotheken Vereinsbank AG) (VMIG1)
5,000,000 3.30 07/07/1999 5,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York State Local Government Assistance Corp. Series G VRDN (Bank of
Novia Scotia) (A-1+/VMIG1)
$ 3,600,000 3.00% 07/07/1999 $ 3,600,000
New York State Local Government Assistance Corp. VRDN Series 1995 F
(Toronto Dominion Bank LOC) (A-1+/VMIG1)
2,900,000 3.30 07/07/1999 2,900,000
Oswego County IDA PCRB Series 1992 for Philip Morris Companies
(A-1/P-1)
1,000,000 3.55 07/07/1999 1,000,000
Rensselaer County IDA RB for Rensselaer Polytechnic Institute Civic
Facility Series 1997 A (VMIG1)
4,365,000 3.40 07/01/1999 4,365,000
Syracuse University IDA RB for Syracuse University Eggers Hall Series
1993 (Morgan Guaranty Trust Co. of New York) (A-1+/VMIG1)
1,300,000 3.40 07/01/1999 1,300,000
Westchester County TANS Series 1999 (VMIG1)
5,000,000 2.83 12/30/1999 5,000,236
- ---------------------------------------------------------------------------------------------
$192,086,572
- ---------------------------------------------------------------------------------------------
Puerto Rico--6.9%
Puerto Rico Government Development Bank TECP Program (A-1+)
$1,600,000 3.20% 08/23/1999 $ 1,600,000
6,840,000 3.00 10/07/1999 6,840,000
Puerto Rico Government Development Bank VRDN Series 1985 (MBIA)(A-
1+/VMIG1)
5,800,000 3.00 07/07/1999 5,800,000
- ---------------------------------------------------------------------------------------------
$ 14,240,000
- ---------------------------------------------------------------------------------------------
Total Investments $206,326,572(a)
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, 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 preferred 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.
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
Investment Abbreviations:
<TABLE>
<C> <S>
AMBAC --Insured by American Municipal Bond Assurance Corp.
BANS --Bond Anticipation Notes
CFC --Insured by Cooperative Finance Corp.
COPS --Certificates of Participation
CP --Commercial Paper
FGIC --Insured by Financial Guaranty Insurance Co.
FHLMC --Federal Home Loan Mortgage Corp.
FNMA --Federal National Mortgage Association
FSA --Insured by Financial Security Assistance Co.
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.
21
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
-------------------------------
<S> <C> <C> <C>
Assets:
Investment in securities, at value
based on amortized cost $1,215,387,410 $1,746,067,972 $437,623,233
Cash 66,695 97,408 14,414
Receivables:
Interest 4,036,162 7,416,666 1,953,875
Reimbursement from adviser -- -- 62,863
Other assets 127,049 61,123 2,765
- -------------------------------------------------------------------------------
Total assets 1,219,617,316 1,753,643,169 439,657,150
- -------------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased -- 34,965,053 --
Income distribution 4,107,306 6,747,515 1,786,959
Amounts owed to affiliates 351,940 591,051 142,667
Accrued expenses and other liabil-
ities 110,020 144,000 81,884
- -------------------------------------------------------------------------------
Total liabilities 4,569,266 42,447,619 2,011,510
- -------------------------------------------------------------------------------
Net Assets:
Paid-in capital 1,215,046,884 1,711,195,550 437,626,725
Accumulated undistributed
(distributions in excess of) net
investment income (186) -- 18,915
Accumulated net realized gain
(loss) on investment transactions 1,352 -- --
- -------------------------------------------------------------------------------
Net assets $1,215,048,050 $1,711,195,550 $437,645,640
- -------------------------------------------------------------------------------
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 1,031,869,232 1,354,956,477 344,025,179
ILA Administration units 34,975,428 8,377,735 7,339,264
ILA Service units 125,584,919 347,859,764 86,223,993
ILA Class B units 16,425,872 -- --
ILA Class C units 6,189,859 -- --
Cash Management shares 1,574 1,574 1,571
- -------------------------------------------------------------------------------
Total units/shares of beneficial
interest outstanding, $.001 par
value (unlimited number of
units authorized) 1,215,046,884 1,711,195,550 437,590,007
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral part of these financial
statements.
22
<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>
$608,611,638 $661,402,698 $2,940,381,277 $1,534,021,134 $673,484,532 $206,326,572
82,674 353,867 158,685 591,388 25,892,877 733,396
3,250,909 10,277,109 18,355,565 10,995,975 4,131,916 977,337
-- -- -- -- -- --
344 2,786 20,692 141,444 40,744 457
- ----------------------------------------------------------------------------------------
611,945,565 672,036,460 2,958,916,219 1,545,749,941 703,550,069 208,037,762
- ----------------------------------------------------------------------------------------
4,133,134 -- -- 64,497,260 44,162,790 --
2,210,096 2,022,257 11,329,784 3,802,617 1,454,209 457,990
203,230 221,577 1,007,559 520,200 217,516 82,539
118,115 502,449 378,977 111,114 16,065 40,144
- ----------------------------------------------------------------------------------------
6,664,575 2,746,283 12,716,320 68,931,191 45,850,580 580,673
- ----------------------------------------------------------------------------------------
605,338,918 669,279,891 2,946,198,098 1,476,600,567 657,713,665 207,453,165
10,963 (518) 3,251 362,642 10,494 1,632
(68,891) 10,804 (1,450) (144,459) (24,670) 2,292
- ----------------------------------------------------------------------------------------
$605,280,990 $669,290,177 $2,946,199,899 $1,476,818,750 $657,699,489 $207,457,089
- ----------------------------------------------------------------------------------------
$1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ----------------------------------------------------------------------------------------
480,739,544 224,587,742 2,459,375,480 1,423,728,955 642,506,635 187,044,593
78,311,459 87,090,816 203,823,916 26,160,778 15,133,440 20,405,467
46,287,915 357,601,333 283,001,780 27,015,989 1,562 1,567
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- 1,540 1,536 1,538
- ----------------------------------------------------------------------------------------
605,338,918 669,279,891 2,946,201,176 1,476,907,262 657,643,173 207,453,165
- ----------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
23
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Operations
For the Six Months Ended June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
-------------------------------
<S> <C> <C> <C>
Investment Income:
Interest income $28,643,297 $47,730,911 $11,580,510
- ----------------------------------------------------------------------------
Expenses:
Management fees 1,992,758 3,322,751 827,470
Transfer agent fees(a) 227,744 379,743 94,568
Distribution and service fees(b) 108,672 -- --
Custodian fees 92,178 120,088 44,520
Registration fees 64,479 74,328 106,787
Professional fees 23,973 16,024 22,831
Trustee fees 5,212 5,308 5,212
Administration unit fees 28,474 47,629 6,821
Service unit fees 260,235 565,950 193,482
Other 22,346 14,080 13,889
- ----------------------------------------------------------------------------
Total expenses 2,826,071 4,545,901 1,315,580
Less--expenses reimbursed and fees
waived -- -- (89,212)
- ----------------------------------------------------------------------------
Net expenses 2,826,071 4,545,901 1,226,368
- ----------------------------------------------------------------------------
Net investment income 25,817,226 43,185,010 10,354,142
- ----------------------------------------------------------------------------
Net realized gain (loss) on investment
transactions 2,529 -- --
- ----------------------------------------------------------------------------
Net increase in net assets resulting
from operations $25,819,755 $43,185,010 $10,354,142
- ----------------------------------------------------------------------------
</TABLE>
(a)The following Portfolios had transfer agency fees of:
Prime Obligations -- $189,781, $7,593, $26,023, $2,855 and $1,492 for the
ILA units, ILA Administration units, ILA Service units, ILA Class B units
and ILA Class C units, respectively.
Money Market -- $310,447, $12,701 and $56,595 for the ILA units, ILA
Administration units and ILA Service units, respectively.
Government -- $73,400, $1,819 and $19,349 for the ILA units, ILA
Administration units and ILA Service units, respectively.
Treasury Obligations -- $127,708, $14,316 and $7,967 for the ILA units, ILA
Administration units and ILA Service units, respectively.
Treasury Instruments -- $54,193, $20,063 and $59,528 for the ILA units, ILA
Administration units and ILA Service units, respectively.
Federal -- $535,230, $54,149, $54,728 for the ILA units, ILA Administration
units and ILA Service units, respectively.
Tax-Exempt Diversified -- $331,445, $7,129 and $6,219 for the ILA units, ILA
Administration units and ILA Service units, respectively.
Tax-Exempt California -- $128,917 and $2,864 for the ILA units and ILA
Administration units, respectively.
Tax-Exempt New York -- $30,827 and $3,690 for the ILA units and ILA
Administration units, respectively.
(b)Class B Units and Class C Units for ILA Prime Obligations Portfolio had
distribution and service fees of $71,376 and $37,296, respectively.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
24
<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>
$17,883,787 $15,276,841 $79,228,580 $26,814,091 $9,572,939 $2,609,192
- -------------------------------------------------------------------------
1,312,425 1,170,606 5,635,932 3,016,940 1,153,082 302,028
149,991 133,784 644,107 344,793 131,781 34,517
-- -- -- -- -- --
66,380 55,218 215,887 54,568 63,027 18,443
31,095 28,308 49,255 51,078 20,028 --
27,418 23,595 21,290 17,944 14,519 24,794
5,211 5,212 13,593 8,085 2,451 5,212
53,703 75,237 203,067 26,733 10,738 13,844
79,697 595,281 547,265 62,184 -- --
13,397 19,328 29,329 23,156 8,348 5,397
- -------------------------------------------------------------------------
1,739,317 2,106,569 7,359,725 3,605,481 1,403,974 404,235
(4,576) (7,406) -- -- (35,143) (15,868)
- -------------------------------------------------------------------------
1,734,741 2,099,163 7,359,725 3,605,481 1,368,831 388,367
- -------------------------------------------------------------------------
16,149,046 13,177,678 71,868,855 23,208,610 8,204,108 2,220,825
- -------------------------------------------------------------------------
7,854 75,117 4,332 2,636 (24,670) 6,965
- -------------------------------------------------------------------------
$16,156,900 $13,252,795 $71,873,187 $23,211,246 $8,179,438 $2,227,790
- -------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
25
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Six Months Ended June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
---------------------------------
<S> <C> <C> <C>
From operations:
Net investment income $ 25,817,226 $ 43,185,010 $ 10,354,142
Net realized gain (loss) on
investment transactions 2,529 -- --
- -------------------------------------------------------------------------------
Net increase in net
assets resulting
from operations 25,819,755 43,185,010 10,354,142
- -------------------------------------------------------------------------------
Distributions to
unit/shareholders:
From net investment income
ILA units (21,801,971) (35,798,263) (8,197,386)
ILA Administration units (883,963) (1,464,904) (196,178)
ILA Service units (2,739,635) (5,921,811) (1,960,546)
ILA Class B units (258,229) -- --
ILA Class C units (134,758) -- --
ILA Cash Management shares (33) (32) (32)
- -------------------------------------------------------------------------------
Total distributions to
unit/shareholders (25,818,589) (43,185,010) (10,354,142)
- -------------------------------------------------------------------------------
From unit/share
transactions (at $1.00 per
unit/share):
Proceeds from sales of
units/shares 4,106,359,598 6,754,518,815 1,019,710,576
Reinvestment of dividends
and distributions 20,116,421 39,027,225 6,923,073
Cost of units/shares
repurchased (3,927,986,925) (6,779,345,281) (1,085,657,297)
- -------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from
unit/share transactions 198,489,094 14,200,759 (59,023,648)
- -------------------------------------------------------------------------------
Total increase (decrease) 198,490,260 14,200,759 (59,023,648)
Net assets:
Beginning of period 1,016,557,790 1,696,994,791 496,669,288
- -------------------------------------------------------------------------------
End of period $ 1,215,048,050 $ 1,711,195,550 $ 437,645,640
- -------------------------------------------------------------------------------
Accumulated undistributed
(distributions in excess
of) net investment income $ (186) $ -- $ 18,915
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax- Tax- Tax-
Treasury Treasury Exempt Exempt Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 16,149,046 $ 13,177,678 $ 71,868,855 $ 23,208,610 $ 8,204,108 $ 2,220,825
7,854 75,117 4,332 2,636 (24,670) 6,965
- ----------------------------------------------------------------------------------------------------
16,156,900 13,252,795 71,873,187 23,211,246 8,179,438 2,227,790
- ----------------------------------------------------------------------------------------------------
(13,823,015) (5,638,355) (60,344,888) (22,404,301) (8,036,298) (1,996,486)
(1,576,009) (2,011,631) (5,936,913) (448,812) (167,778) (224,306)
(815,804) (5,595,155) (5,592,804) (355,479) (17) (17)
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- (18) (16) (16)
- ----------------------------------------------------------------------------------------------------
(16,214,828) (13,245,141) (71,874,605) (23,208,610) (8,204,109) (2,220,825)
- ----------------------------------------------------------------------------------------------------
1,832,813,931 1,119,103,900 8,149,813,825 5,080,243,305 1,949,398,328 584,244,414
9,901,080 5,399,014 60,922,067 21,133,465 7,722,832 1,999,469
(2,087,824,792) (1,302,509,809) (8,452,530,613) (5,251,206,785) (1,884,528,194) (522,926,863)
- ----------------------------------------------------------------------------------------------------
(245,109,781) (178,006,895) (241,794,721) (149,830,015) 72,592,966 63,317,020
- ----------------------------------------------------------------------------------------------------
(245,167,709) (177,999,241) (241,796,139) (149,827,379) 72,568,295 63,323,985
850,448,699 847,289,418 3,187,996,038 1,626,646,129 585,131,194 144,133,104
- ----------------------------------------------------------------------------------------------------
$ 605,280,990 $ 669,290,177 $ 2,946,199,899 $ 1,476,818,750 $ 657,699,489 $ 207,457,089
- ----------------------------------------------------------------------------------------------------
$ 10,963 $ (518) $ 3,251 $ 362,642 $ 10,494 $ 1,632
- ----------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
27
<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.
28
<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>
- --------------------------------------- ---------------------------------------
29
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
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", or individually, a
"portfolio". 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 of units/shares:
<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
by investing exclusively in high quality money market instruments.
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. Actual results could
differ from those estimates.
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 recorded 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 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.
- --------------------------------------- ---------------------------------------
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
2. Significant Accounting Policies (continued)
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 $147,000 2001 to 2005
Tax-Exempt New York 5,000 1999 to 2004
</TABLE>
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
D. Expenses--
Expenses incurred by the Portfolios which do not specifically relate to an
individual Portfolio of ILA are generally allocated to the Portfolios on a
straight-line or pro rata basis depending upon the nature of the expense.
Unitholders of ILA Administration, ILA Service, ILA Class B, ILA Class C and
Cash Management share classes bear all expenses and fees paid to service
organizations. Each class of units/shares of the Portfolios 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. As compensation for the services
rendered pursuant to the Agreement and the assumption of the expenses related
thereto and administering the Portfolio's business affairs, including providing
facilities, 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.
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 $300 for the six
months ended June 30, 1999.
GSAM has 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.
The chart below outlines the expense reimbursements for the six months ended
June 30, 1999 (in thousands):
<TABLE>
<CAPTION>
Expense
Portfolio Reimbursements
<S> <C>
Government $89
- ------------------------------------------------------------------------------
Treasury Obligations 5
- ------------------------------------------------------------------------------
Treasury Instruments 7
- ------------------------------------------------------------------------------
Tax-Exempt New York 6
</TABLE>
In addition, the Tax-Exempt California and Tax-Exempt New York Portfolios have
entered into certain expense offset arrangements with the custodian resulting
in a reduction in each Portfolio's expenses. For the six months ended June 30,
1999, the Tax-Exempt California and Tax-Exempt New York Portfolios' custody
fees were reduced by approximately $35,000 and $10,000, respectively, under
such arrangements.
The Trust, on behalf of each Portfolio that offers Class B units, Class C
units, and Cash Management shares, has adopted 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. GSAM has voluntarily agreed to
waive a portion of the Distribution and Service fees equal to .43%, on an
annual basis, of the average daily net assets attributable to Cash Management
shares.
- --------------------------------------- ---------------------------------------
31
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
June 30, 1999
(Unaudited)
- --------------------------------------- ---------------------------------------
3. Agreements (continued)
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 Trust, on behalf of each Portfolio, has adopted Administration and Service
Plans. These plans allow for ILA Administration Units, ILA Service Units and
ILA
Cash Management Shares, respectively, to compensate service organizations for
providing varying levels of account administration and unitholder/shareholder
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.
At June 30, 1999, the amounts owed to affiliates were as follows (in
thousands):
<TABLE>
<CAPTION>
Distri- Over Reim-
bution bursement
and Transfer of "Other
Portfolio Management Service Agent Expenses" Total
<S> <C> <C> <C> <C> <C>
Prime
Obligations $311 $19 $ 22 $ -- $ 352
- --------------------------------------------------------------------------------------
Money
Market 530 -- 61 -- 591
- --------------------------------------------------------------------------------------
Government 128 -- 15 -- 143
- --------------------------------------------------------------------------------------
Treasury
Obligations 182 -- 21 -- 203
- --------------------------------------------------------------------------------------
Treasury
Instruments 181 -- 21 20 222
- --------------------------------------------------------------------------------------
Federal 904 -- 104 -- 1,008
- --------------------------------------------------------------------------------------
Tax-Exempt
Diversified 467 -- 53 -- 520
- --------------------------------------------------------------------------------------
Tax-Exempt
California 195 -- 23 -- 218
- --------------------------------------------------------------------------------------
Tax-Exempt
New York 60 -- 7 16 83
</TABLE>
4. Line of Credit Facility
The Portfolios participated in a $250,000,000 uncommitted, unsecured revolving
line of credit facility. Under the most restrictive arrangement, each Portfolio
must have owned securities having a market value in excess of 300% of the total
bank borrowings. Effective April 30, 1999, the Portfolios now participate in a
$250,000,000 uncommitted unsecured revolving line of credit facility. Under the
most restrictive arrangement, each Portfolio must own securities having a
market value in excess of 400% of the total bank borrowings. These facilities
are to be used solely for temporary or emergency purposes. The interest rate on
borrowings is based on the Federal Funds rate. During the six months ended June
30, 1999, the Portfolios did not have any borrowings under any of these
facilities.
5. 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 at the Portfolio's custodian.
6. 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 June 30, 1999, the Prime Obligations, Money Market, Government and Treasury
Obligations Portfolios had undivided interests in the following joint
repurchase agreement account, which equaled $227,600,000, $106,600,000,
$117,900,000 and $215,500,000 in principal amount, respectively. At June 30,
1999, the repurchase agreements held in this joint account were fully
collateralized by U.S. Treasury obligations.
- --------------------------------------- ---------------------------------------
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
6. Joint Repurchase Agreement Accounts (continued)
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Barclays Bank
$ 500,000,000 4.85% 07/01/1999 $ 500,000,000
Donaldson, Lufkin & Jenrette, Inc.
1,090,000,000 4.85 07/01/1999 1,090,000,000
SBC Warburg Dillon Read Corp.
1,573,800,000 4.85 07/01/1999 1,573,800,000
- ----------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $3,163,800,000
- ----------------------------------------------------------------------------------------------
</TABLE>
At June 30, 1999, the Prime Obligations and Money Market Portfolios had
undivided interests in the following joint repurchase agreement account II,
which equaled $130,000,000 and $100,000,000 in principal amount, respectively.
At June 30, 1999, the repurchase agreements held in this joint account II were
fully collateralized by Federal Agency obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ABN/AMRO, Inc.
$412,400,000 5.30% 07/01/1999 $ 412,400,000
Banc of America Securities
500,000,000 5.05 07/01/1999 500,000,000
Bear Stearns Companies, Inc.
200,000,000 5.00 07/01/1999 200,000,000
- ---------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account II $1,112,400,000
- ---------------------------------------------------------------------------------------------
</TABLE>
7. 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 as follows: 25% of eligible
security transactions, as defined, and 10% of repurchase agreement
transactions.
- --------------------------------------- ---------------------------------------
33
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
8. Summary of Unit Transactions (at $1.00 per unit/share)
Unit/share activity for the six months ended June 30, 1999 is as follows:
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
ILA units:
Units sold 2,880,836,229 4,729,703,010 844,659,792
Reinvestment of dividends and
distributions 16,913,572 31,799,589 5,093,445
Units repurchased (2,703,065,977) (4,756,862,478) (888,937,438)
-----------------------------------
194,683,824 4,640,121 (39,184,201)
- ----------------------------------------------------------------------------
ILA Administration units:
Units sold 231,581,193 310,971,323 12,816,285
Reinvestment of dividends and
distributions 723,260 2,783,850 128,664
Units repurchased (236,164,561) (619,704,880) (13,287,692)
-----------------------------------
(3,860,108) (305,949,707) (342,743)
- ----------------------------------------------------------------------------
ILA Service units:
Units sold 918,324,359 1,713,844,482 162,234,499
Reinvestment of dividends and
distributions 2,145,698 4,443,755 1,700,934
Units repurchased (914,194,060) (1,402,777,923) (183,432,167)
-----------------------------------
6,275,997 315,510,314 (19,496,734)
- ----------------------------------------------------------------------------
ILA Class B units:
Units sold 15,995,192 -- --
Reinvestment of dividends and
distributions 226,658 -- --
Units repurchased (14,207,946) -- --
-----------------------------------
2,013,904 -- --
- ----------------------------------------------------------------------------
ILA Class C units:
Units sold 59,622,625 -- --
Reinvestment of dividends and
distributions 107,202 -- --
Units repurchased (60,354,381) -- --
-----------------------------------
(624,554) -- --
- ----------------------------------------------------------------------------
Cash Management shares:
Shares sold -- -- --
Reinvestment of dividends and
distributions 31 31 30
Shares repurchased -- -- --
-----------------------------------
31 31 30
- ----------------------------------------------------------------------------
Net increase (decrease) in
units/shares 198,489,094 14,200,759 (59,023,648)
- ----------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
34
<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>
1,548,088,264 611,942,224 6,250,935,435 4,956,820,099 1,868,166,671 435,792,338
9,635,471 4,686,600 54,593,637 20,824,590 7,699,053 1,772,012
(1,811,440,816) (733,511,769) (6,471,835,773) (5,116,294,146) (1,817,894,031) (373,070,851)
- ----------------------------------------------------------------------------------------------
(253,717,081) (116,882,945) (166,306,701) (138,649,457) 57,971,693 64,493,499
- ----------------------------------------------------------------------------------------------
209,697,728 188,361,404 381,712,333 79,090,822 81,231,657 148,452,076
250,409 702,362 2,309,973 28,411 23,748 227,425
(212,169,232) (233,654,110) (688,521,421) (79,468,468) (66,634,163) (149,856,012)
- ----------------------------------------------------------------------------------------------
(2,221,095) (44,590,344) (304,499,115) (349,235) 14,621,242 (1,176,511)
- ----------------------------------------------------------------------------------------------
75,027,939 318,800,272 1,517,166,057 44,332,384 -- --
15,200 10,052 4,018,457 280,448 16 17
(64,214,744) (335,343,930) (1,292,173,419) (55,444,171) -- --
- ----------------------------------------------------------------------------------------------
10,828,395 (16,533,606) 229,011,095 (10,831,339) 16 17
- ----------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
-- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
-- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- 16 15 15
-- -- -- -- -- --
- ----------------------------------------------------------------------------------------------
-- -- -- 16 15 15
- ----------------------------------------------------------------------------------------------
(245,109,781) (178,006,895) (241,794,721) (149,830,015) 72,592,966 63,317,020
- ----------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
35
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
June 30, 1999
- --------------------------------------------------------------------------------
8. Summary of Unit/Share Transactions (at $1.00 per unit/share)
Unit/share 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.
- --------------------------------------- ---------------------------------------
36
<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>
- --------------------------------------- ---------------------------------------
37
<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 Six Months Ended June 30,
(Unaudited)
- ---------------------------------
1999-ILA units.. $1.00 $0.02 $(0.02) $1.00 4.70%(c) $1,031,911 0.43%(c) 4.60%(c)
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 4.55(c) 34,938 0.58(c) 4.46(c)
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 4.29(c) 125,581 0.83(c) 4.21(c)
1999-ILA B
units........... 1.00 0.02 (0.02) 1.00 3.66(c) 16,426 1.43(c) 3.62(c)
1999-ILA C
units........... 1.00 0.02 (0.02) 1.00 3.66(c) 6,190 1.43(c) 3.62(c)
1999-Cash
Management
shares.......... 1.00 0.02 (0.02) 1.00 4.11(c) 2 1.00(c) 4.26(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 Six Months Ended June 30,
(Unaudited)
- ---------------------------------
1999-ILA units.. 0.43%(c) 4.60%(c)
1999-ILA
Administration
units........... 0.58(c) 4.46(c)
1999-ILA Service
units........... 0.83(c) 4.21(c)
1999-ILA B
units........... 1.43(c) 3.62(c)
1999-ILA C
units........... 1.43(c) 3.62(c)
1999-Cash
Management
shares.......... 1.43(c) 3.83(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.
- -------------------------------------------------------------------------------
38
<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 Six Months Ended June 30,
(Unaudited)
- ---------------------------------
1999-ILA units.. $1.00 $0.02 $(0.02) $1.00 4.72%(c) $1,354,957 0.41%(c) 4.61%(c)
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 4.56(c) 8,377 0.56(c) 4.61(c)
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 4.30(c) 347,860 0.81(c) 4.19(c)
1999-Cash
Management
shares.......... 1.00 0.02 (0.02) 1.00 4.13(c) 2 0.98(c) 4.26(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 Six Months Ended June 30,
(Unaudited)
- ---------------------------------
1999-ILA units.. 0.41%(c) 4.61%(c)
1999-ILA
Administration
units........... 0.56(c) 4.61(c)
1999-ILA Service
units........... 0.81(c) 4.19(c)
1999-Cash
Management
shares.......... 1.41(c) 3.83(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.
- -------------------------------------------------------------------------------
39
<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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. $1.00 $0.02 $(0.02) $1.00 4.56%(c) $344,059 0.43%(c) 4.47%(c)
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 4.40(c) 7,349 0.58(c) 4.31(c)
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 4.14(c) 86,236 0.83(c) 4.05(c)
1999-Cash
Management
shares.......... 1.00 0.02 (0.02) 1.00 3.97(c) 2 1.00(c) 4.14(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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. 0.47%(c) 4.43%(c)
1999-ILA
Administration
units........... 0.62(c) 4.27(c)
1999-ILA Service
units........... 0.87(c) 4.01(c)
1999-Cash
Management
shares.......... 1.47(c) 3.67(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.
- -------------------------------------------------------------------------------
40
<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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. $1.00 $0.02 $(0.02) $1.00 4.45%(c) $ 480,787 0.43%(c) 4.34%(c)
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 4.29(c) 78,237 0.58(c) 4.20(c)
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 4.03(c) 46,257 0.83(c) 3.94(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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. 0.43%(c) 4.34%(c)
1999-ILA
Administration
units........... 0.58(c) 4.20(c)
1999-ILA Service
units........... 0.83(c) 3.94(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.
(c) Annualized.
- -------------------------------------------------------------------------------
41
<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 Six
Months Ended
June 30,
(Unaudited)
- ------------
1999-ILA units.. $1.00 $0.02 $(0.02) $1.00 4.24%(c) $224,596 0.43%(c) 4.14%(c)
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 4.09(c) 87,096 0.58(c) 3.99(c)
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 3.83(c) 357,598 0.83(c) 3.74(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 Six
Months Ended
June 30,
(Unaudited)
- ------------
1999-ILA units.. 0.43%(c) 4.14%(c)
1999-ILA
Administration
units........... 0.58(c) 3.99(c)
1999-ILA Service
units........... 0.83(c) 3.74(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.
(c) Annualized.
- -------------------------------------------------------------------------------
42
<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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. $1.00 $0.02 $(0.02) $1.00 4.61%(c) $2,459,398 0.41%(c) 4.51%(c)
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 4.45(c) 203,798 0.56(c) 4.39(c)
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 4.19(c) 283,004 0.81(c) 4.09(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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. 0.41%(c) 4.51%(c)
1999-ILA
Administration
units........... 0.56(c) 4.39(c)
1999-ILA Service
units........... 0.81(c) 4.09(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.
(c) Annualized.
- -------------------------------------------------------------------------------
43
<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 Six Months Ended June 30,
(Unaudited)
- ---------------------------------
1999-ILA units.. $1.00 $0.01 $(0.01) $1.00 2.74%(c) $1,423,638 0.41%(c) 2.70%(c)
1999-ILA
Administration
units........... 1.00 0.01 (0.01) 1.00 2.59(c) 26,161 0.56(c) 2.52(c)
1999-ILA Service
units........... 1.00 0.01 (0.01) 1.00 2.34(c) 27,019 0.81(c) 2.29(c)
1999-Cash
Management
shares.......... 1.00 0.01 (0.01) 1.00 2.16(c) 1 0.98(c) 2.50(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> <C> <C>
For the Six Months Ended June 30,
(Unaudited)
- ---------------------------------
1999-ILA units.. 0.41%(c) 2.70%(c)
1999-ILA
Administration
units........... 0.56(c) 2.52(c)
1999-ILA Service
units........... 0.81(c) 2.29(c)
1999-Cash
Management
shares.......... 1.41(c) 2.07(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.
- -------------------------------------------------------------------------------
44
<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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. $1.00 $0.01 $(0.01) $1.00 2.53%(c) $642,563 0.41%(c) 2.49%(c)
1999-ILA
Administration
units........... 1.00 0.01 (0.01) 1.00 2.37(c) 15,133 0.56(c) 2.34(c)
1999-ILA Service
units........... 1.00 0.01 (0.01) 1.00 2.12(c) 2 0.81(c) 2.21(c)
1999-Cash
Management
shares.......... 1.00 0.01 (0.01) 1.00 1.95(c) 1 0.98(c) 2.11(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 Six Months Ended June 30, (Unaudited)
- ---------------------------------------------
1999-ILA units.. 0.42%(c) 2.48%(c)
1999-ILA
Administration
units........... 0.57(c) 2.33(c)
1999-ILA Service
units........... 0.82(c) 2.20(c)
1999-Cash
Management
shares.......... 1.42(c) 1.67(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.
- -------------------------------------------------------------------------------
45
<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 Six
Months Ended
June 30, (Unau-
dited)
- ---------------
1999-ILA units.. $1.00 $0.01 $(0.01) $1.00 2.60%(c) $187,049 0.43%(c) 2.59%(c)
1999-ILA
Administration
units........... 1.00 0.01 (0.01) 1.00 2.45(c) 20,404 0.58(c) 2.43(c)
1999-ILA Service
units........... 1.00 0.01 (0.01) 1.00 2.19(c) 2 0.83(c) 2.33(c)
1999-Cash
Management
shares.......... 1.00 0.01 (0.01) 1.00 2.02(c) 2 1.00(c) 2.24(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 Six
Months Ended
June 30, (Unau-
dited)
- ---------------
1999-ILA units.. 0.45%(c) 2.57%(c)
1999-ILA
Administration
units........... 0.60(c) 2.41(c)
1999-ILA Service
units........... 0.85(c) 2.31(c)
1999-Cash
Management
shares.......... 1.45(c) 1.79(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.
- -------------------------------------------------------------------------------
46
<PAGE>
- --------------------------------------- ---------------------------------------
[This page intentionally left blank]
- --------------------------------------- ---------------------------------------
47
<PAGE>
- --------------------------------------- ---------------------------------------
[This page intentionally left blank]
- --------------------------------------- ---------------------------------------
48
<PAGE>
- --------------------------------------------------------------------------------
This Semiannual Report is authorized for distribution to prospective investors
only when preceded or accompanied by a Goldman Sachs Trust Institutional Liquid
Assets Prospectus which contains facts concerning each Portfolio's objectives
and policies, management, expenses and other information.
- --------------------------------------------------------------------------------
<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
John M. Perlowski, Treasurer
Adrien E. Deberghes, Jr., Assistant 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
32 Old Slip, 24th Floor [LOGO]Goldman
ILA/SAR 06/99 New York, NY 10005 Sachs
