<PAGE>
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[LOGO OF GOLDMAN SACHS]
ANNUAL REPORT
December 31, 1999
<PAGE>
This Annual Report is authorized for distribution to prospective investors only
when precede 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>
- -------------------------------------------------------------------------------
Letter to Unit/Shareholders
Dear Shareholders:
We welcome this opportunity to provide you with a summary of the trends and
key events that affected the economy and the Goldman Sachs Institutional
Liquid Assets (ILA) Portfolios in 1999. It was another strong year for the
funds, during which all of the portfolios outperformed or performed in line
with their respective IBC Financial Data, Inc. averages. Assets in the ILA
Portfolios totaled $11 billion as of December 31, 1999.
The Economy In Review
Early in the year, economic data pointed to a stable U.S. economy. As a
result, market pundits assumed the view that any easing by the Federal Reserve
Board would come later rather than sooner. Consensus opinion was confirmed
when the Fed decided to leave rates unchanged at its February 2 meeting.
Consistently benign reports in the ensuing months prompted the Fed to
maintain a neutral stance. By May, though, economic indicators that are
critical in determining the Federal Open Market Committee's position on
monetary policy came in higher than expected. The Fed officially assumed a
tightening bias in their May Federal Open Market Committee meeting. On June
30, interest rates were raised by 25 basis points, to 5.00%. Because the move
was expected, it had little impact on the bond market as a whole. Rather, the
Fed's adoption of a post-rate hike neutral stance prompted a market rally.
Prior to Chairman Alan Greenspan's July 22nd Humphrey Hawkins testimony, the
market had come to assume that upcoming economic data would remain fairly
benign and forestall any future tightening. However, Chairman Greenspan's
bearish tone triggered a market sell-off which left investors on alert for
signs of continued growth in the U.S. economy. In fact, the July non-farm
payroll number indicated that the U.S. growth trend had not weakened
materially, and instead suggested that prices could accelerate. A 25 basis
point tightening followed in August when signs continued to suggest that the
U.S. economy was growing.
Following August's tightening, a measure of economic stability followed that
was interpreted by the market to mean that the Fed would maintain rates in the
near term. However, signals to this effect sparked a powerful rally in U.S.
financial markets which, in turn, undid some of the restraint on which
expectations of slower growth were based. Thus, the Fed, for the third and
final time in 1999, raised short-term interest rates by 25 basis points.
Despite continued signs of very strong GDP growth following this tightening,
the Fed left rates unchanged at its December meeting, while maintaining a
neutral bias going forward. The decision not to tighten further was due in
part to a desire to avoid pre-Y2K market disruptions. However, the committee's
neutral bias indicates a willingness to consider tightening at the February 2
FOMC meeting.
Credit Year 1999: A Run for the Money
The U.S. remained in robust health in 1999, this time without the
distraction of the Asian crisis. Corporates and financial institutions rode
bullish markets to strong profitability for the year. Fears about the possible
fragility of the U.S. expansion were put to rest as the economy digested
without incident the Fed's modest rate hikes, which restored interest rates to
their pre-Asian-crisis levels. Meanwhile, merger and acquisition activity and
IPOs continued to set new records, with the technology sector in particular
providing enormous returns.
The international environment benefited from the strong American performance
and an accelerating recovery in Asia. The decidedly positive note on which
1998 closed set the stage for a notable upturn around the globe. Euroland
began to recover from what turned out to be a shallow recession, although the
euro disappointed optimists by its steady weakening, finally reaching parity
with the U.S. dollar. Financial markets in Europe continued their post-euro
flurry of activity, with M&A and bond and equity issuance expanding
significantly.
- ------------------------------------ ------------------------------------
1
<PAGE>
- --------------------------------------------------------------------------------
Letter to Unit/Shareholders (continued)
- --------------------------------------- ---------------------------------------
Asia contributed its share to the global upswing, posting an impressive
performance as growth and exports turned around smartly. Debt and equity
markets returned to, or even exceeded, pre-crisis levels. Sentiment was further
strengthened by the landmark deal between the U.S. and China late in the year
for China's accession to the WTO. Even Japan started to look somewhat better--a
stabilized economy and banking sector prompted investors to turn bullish on the
yen and equities, while interest rates remained at historic lows.
The outlook for 2000 remains bullish, though investors are increasingly
nervous about possible further interest rate hikes in the U.S. and the
potential consequences for both the equity markets and corporate earnings. The
Goldman Sachs Credit Department, with analysts based in London, Tokyo,
Frankfurt and New York, will continue to anticipate and monitor global
developments and apply its conservative credit standards to the money market
portfolios.
Strategy
Taxable--Early in the period, we took advantage of a steepening yield curve
as the Fed shifted towards its neutral bias. Mid period, when the yield curve
flattened, we extended the Funds as the highly technical April-May period
approached. We managed liquidity throughout the volatile tax season. When a Fed
tightening became imminent, we shortened the Funds' Weighted Average Maturities
("WAMS"), then extended them following the tightening to take advantage of any
steepening in the yield curve. As the period drew to a close, we maintained
neutral WAMs. This left us well positioned for liquidity management and allowed
us to take advantage of technical pressure priced over year end.
Throughout the period, we maintained a barbelled structure.
Tax-Exempt--Early in the period, inflows of cash into tax-exempt funds--the
result of seasonal reinvestment of maturity proceeds coupled with a scarcity of
issuance--caused a drop in yields. We anticipated this, and had already
extended the Funds' WAMs to a neutral range. In March, we shortened the Funds'
WAM's to the 30- to 35-day range, seeking to build liquidity as the April 15th
tax deadline approached. This helped us to fund tax-time redemptions. In May,
tax-exempt money market supply picked up. However, the steepening that occurred
in the Treasury yield curve in anticipation of a Fed tightening was not seen in
the tax-exempt market. Since we believed that yields in the municipal market
did not adequately reflect this tightening risk, we shortened the Funds' WAMs.
During the month of August, the tax-exempt market saw considerable new
issuance come to market. This supply, coupled with Fed tightening, resulted in
an increase in municipal rates not experienced in over a year. We took
advantage of these higher rates by extending the Funds' WAMs. Shortly
thereafter, the tax-exempt market experienced large inflows, which prompted us
to maintain WAMs in the neutral range. We also focused on building additional
liquidity in the Funds in anticipation of year end.
- --------------------------------------- ---------------------------------------
2
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
Summary for ILA Portfolios Institutional Units/Shares* as of 12/31/99
<TABLE>
<CAPTION>
SEC 1-Month
7-Day SEC 7-Day Simple Weighted Avg.
Current Effective Average Maturity
ILA Portfolios Yield Yield Yield (days)
-------------- ------- --------- ------- -------------
<S> <C> <C> <C> <C>
Money Market.... 5.36% 5.50% 5.39% 32
Prime
Obligations.... 5.14 5.27 5.32 25
Treasury
Instruments.... 4.87 4.99 4.88 53
Government...... 5.33 5.47 5.25 34
Treasury
Obligations.... 4.50 4.60 4.89 25
Federal......... 5.29 5.43 5.25 33
Tax-Exempt
California..... 3.67 3.74 2.98 43
Tax-Exempt
Diversified.... 4.13 4.22 3.36 48
Tax-Exempt New
York........... 4.08 4.16 3.33 40
</TABLE>
*ILA offers three separate classes of units (Institutional, Administration,
Service) and one class of shares (Cash Management), each of which is subject to
different fees and expenses that affect performance and entitle
unitholders/shareholders to different services. The Administration and Service
units offer financial institutions the opportunity to receive a fee for
providing administrative support services. The Administration units pay 0.15%
plus 0.10% from the adviser for a total of 0.25%. The Service units pay 0.40%
plus 0.10% from the adviser for a total of 0.50%. The Cash Management shares
pay 0.50% plus 0.30% from the adviser for a total of up to 0.80%. Furthermore,
in addition to these classes, Prime Obligations offers Class B and Class C
units, which may be subject to contingent deferred sales charges. If these fees
and/or sub-charges were reflected in the above performance, performance would
be reduced. Past performance is no guarantee of future results. Yields will
vary. An investment in any one of the ILA Portfolios is neither insured nor
guaranteed by the U.S. government nor is there any assurance that the
Portfolios will be able to maintain a stable net asset value of $1.00 per unit.
More complete information, including management fees and expenses, is included
in the ILA Portfolios' prospectuses or may be obtained by calling Goldman Sachs
Funds at 1-800-621-2550.
Outlook and Strategies for 2000
Looking ahead, as consumer sentiment and economic growth remain exceptionally
strong, we are watchful for signs of inflationary pressure which will most
likely trigger a series of Federal Reserve Board ("Fed") tightenings. Economic
indicators such as the December PPI and CPI reports, released on January 13 and
14, respectively, provided further justification for the Fed to raise short-
term interest rates at the February 2 FOMC meeting.
In closing, we thank you for your support and for making 1999 a year of
record assets for the ILA money market portfolios. As in the past, we will
continue to look for additional ways to improve our services, while seeking to
provide you with competitive performance. We welcome your suggestions and
questions, and look forward to another productive year in 2000.
Goldman Sachs Money Market Management Team
January 29, 2000
- --------------------------------------- ---------------------------------------
3
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Prime Obligations Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--28.6%
Agriculture Services
Cargill, Inc.
$ 30,000,000 5.42% 01/18/2000 $ 29,923,217
Asset Backed
Delaware Funding Corp.
20,000,000 5.77 02/14/2000 19,858,956
Edison Asset Securitization Corp.
15,931,000 5.43 01/19/2000 15,887,747
Enterprise Funding Corp.
18,217,000 6.15 01/20/2000 18,157,871
Falcon Asset Securitization Corp.
25,000,000 5.94 02/24/2000 24,777,250
Forrestal Funding
35,000,000 6.10 02/04/2000 34,798,361
International Securitization Corp.
14,905,000 5.45 01/19/2000 14,864,384
Intrepid Funding Notes
10,000,000 5.81 02/09/2000 9,937,058
Preferred Receivables Funding
20,000,000 6.45 01/18/2000 19,939,083
20,000,000 5.93 02/18/2000 19,841,867
Three River Funding Corp.
17,297,000 6.15 01/20/2000 17,240,857
WCP Funding Corp.
25,000,000 5.90 02/29/2000 24,758,264
Business Credit Institutions
CIT Group, Inc.
20,000,000 5.95 03/15/2000 19,755,389
General Electric Capital Corp.
20,000,000 5.43 01/24/2000 19,930,616
Commercial Banks
J.P. Morgan & Co., Inc.
25,000,000 5.41 01/20/2000 24,928,618
10,000,000 5.69 02/14/2000 9,930,456
Financial Services
General Electric International Funding
10,000,000 5.83 02/24/2000 9,912,550
Transportation Equipment
Ford Motor Credit Co.
25,000,000 5.94 03/02/2000 24,748,375
- ----------------------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $ 359,190,919
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bank and Medium-Term Notes--5.9%
CIT Group, Inc.
$ 5,000,000 6.40% 01/28/2000 $ 5,004,648
Comerica Bank Detroit
14,080,000 6.65 06/01/2000 14,128,498
First National Bank of Maryland
10,000,000 5.09 01/13/2000 9,999,937
Huntington National Bank
10,000,000 4.98 01/11/2000 9,999,947
5,000,000 5.05 02/09/2000 4,999,794
J.P. Morgan & Co., Inc.
5,000,000 5.03 02/07/2000 5,000,000
Key Bank, N.A.
10,000,000 5.60 06/16/2000 9,996,491
National City Bank
15,000,000 5.08 02/11/2000 14,999,353
- ---------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 74,128,668
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--2.4%
First National Bank of Maryland
$ 15,000,000 4.99% 01/25/2000 $ 14,999,715
10,000,000 5.11 02/23/2000 9,999,510
Regions Bank
5,000,000 5.15 02/18/2000 5,000,000
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 29,999,225
- ---------------------------------------------------------------------------------------------
Variable Rate Obligations#--30.7%
AT&T Corp.
$ 20,000,000 6.53% 01/06/2000 $ 20,000,000
Bank One Corp.
10,000,000 6.18 03/13/2000 9,997,175
Chase Manhattan Bank, N.A.
10,000,000 6.39 01/25/2000 9,997,453
Citicorp
25,000,000 6.33 02/23/2000 25,020,536
Comerica Bank Detroit
15,000,000 6.41 01/03/2000 14,996,073
10,000,000 6.50 01/10/2000 9,996,587
CP Trust Certificate Series 1996-1
29,750,000 5.06 03/30/2000 29,750,000
First Union National Bank
10,000,000 6.45 01/03/2000 10,000,000
15,000,000 6.02 02/16/2000 15,000,000
10,000,000 6.14 02/16/2000 10,000,000
Fleet National Bank
25,000,000 5.04 01/03/2000 24,996,966
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations (continued)
IBM Corp.
$ 16,000,000 6.10% 01/28/2000 $ 15,991,018
Merrill Lynch & Co., Inc.
5,000,000 6.51 01/03/2000 5,000,000
Monumental Life Insurance Co.
20,000,000 6.65 02/01/2000 20,000,000
Morgan Stanley Dean Witter & Co.
15,000,000 6.11 02/18/2000 15,001,588
New York Life Insurance Co.
10,000,000 6.14 03/01/2000 10,000,000
Old Kent Bank
25,000,000 5.70 01/03/2000 24,995,380
Pacific Mutual Life Insurance Co.
25,000,000 6.48 02/01/2000 25,000,000
PNC Bank, N.A.
25,000,000 6.41 01/12/2000 24,994,791
Southtrust Bank of Alabama, N.A.
15,000,000 6.39 01/10/2000 14,998,886
15,000,000 6.43 01/24/2000 14,996,230
U.S. Central Credit Union
20,000,000 6.41 01/14/2000 20,000,000
Wells Fargo Co.
15,000,000 6.01 03/10/2000 14,998,472
- ---------------------------------------------------------------------------------------------
Total Variable Rate Obligations $385,731,155
- ---------------------------------------------------------------------------------------------
Repurchase Agreements--32.0%
Joint Repurchase Agreement Account
$351,400,000 2.59% 01/03/2000 $ 351,400,000
Joint Repurchase Agreement Account II
50,000,000 3.16 01/03/2000 50,000,000
- ---------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 401,400,000
- ---------------------------------------------------------------------------------------------
Total Investments $1,250,449,967
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Interest Rate Maturity Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
</TABLE>
# Variable rate security-based index is either LIBOR, one month Commercial
Paper, Federal Funds, or Prime Lending rate.
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, or the next
interest reset date for floating rate securities.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Money Market Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--35.8%
Agriculture Services
Cargill Global Funding PLC
$ 15,000,000 5.42% 01/20/2000 $ 14,957,092
Asset Backed
Asset Portfolio Funding Corp.
10,000,000 5.50 01/20/2000 9,970,972
Atlantis One Funding Corp.
10,000,000 5.43 01/18/2000 9,974,358
25,000,000 5.75 02/10/2000 24,840,278
Bavaria TRR Corp.
9,000,000 5.45 01/24/2000 8,968,662
Delaware Funding Corp.
20,000,000 5.77 02/14/2000 19,858,956
Edison Asset Securitization Corp.
19,824,000 5.80 02/28/2000 19,638,756
Eureka Securities PLC
25,000,000 5.90 02/29/2000 24,758,264
Falcon Asset Securitization Corp.
27,700,000 5.94 02/24/2000 27,453,193
Forrestal Funding
25,000,000 5.90 02/23/2000 24,782,847
Grand Funding Corp.
25,000,000 5.55 01/31/2000 24,884,375
Intrepid Funding Notes
15,000,000 5.81 02/09/2000 14,905,587
24,770,000 6.00 02/18/2000 24,571,840
Preferred Receivables Funding
35,000,000 5.93 02/18/2000 34,723,267
Rose One Plus
25,000,000 5.92 02/28/2000 24,761,556
Three River Funding Corp.
20,561,000 6.15 01/21/2000 20,490,750
Business Credit Institutions
CIT Group, Inc.
20,000,000 5.95 03/15/2000 19,755,389
Commercial Banks
BCI Funding Corp.
25,000,000 5.94 03/06/2000 24,731,875
Electronics, Electrical Equipment Company
Alcatel Alsthom, Inc.
30,000,000 5.69 02/22/2000 29,753,433
Financial Services
General Electric Capital International Funding
25,000,000 5.83 02/24/2000 24,781,375
15,000,000 5.94 02/28/2000 14,856,450
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations (continued)
Mortgage Bank
Halifax PLC
$ 25,000,000 5.98% 02/04/2000 $ 24,858,805
Nationwide Building Society
25,000,000 5.90 03/01/2000 24,754,167
Security and Commodity Brokers, Dealers and Services
Merrill Lynch & Co., Inc.
25,000,000 5.90 03/15/2000 24,696,806
Morgan Stanley Dean Witter & Co.
20,000,000 5.43 01/26/2000 19,924,583
Salomon Smith Barney Holdings, Inc.
20,000,000 5.68 02/07/2000 19,883,244
Transportation Equipment
DaimlerChrysler, N.A. Corp.
15,000,000 5.91 02/29/2000 14,854,713
Ford Motor Credit Co.
50,000,000 5.94 03/02/2000 49,496,750
- ---------------------------------------------------------------------------------------------
Total Commercial Paper and Corporate Obligations $ 621,888,343
- ---------------------------------------------------------------------------------------------
Bank and Medium-Term Notes--2.0%
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 14,994,737
- ---------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 34,994,737
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--1.4%
First National Bank of Maryland
$ 10,000,000 4.99% 01/25/2000 $ 9,999,809
15,000,000 5.11 02/23/2000 14,999,266
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 24,999,075
- ---------------------------------------------------------------------------------------------
Certificates of Deposit-Yankeedollar--5.7%
Commerzbank, New York
$ 20,000,000 5.01% 01/10/2000 $ 19,999,715
15,000,000 5.00 02/02/2000 14,999,746
15,000,000 5.07 02/09/2000 14,999,537
Deutsche Bank, New York
25,000,000 5.02 01/12/2000 24,999,782
15,000,000 5.25 05/18/2000 14,997,272
Royal Bank of Canada, New York
10,000,000 5.70 07/03/2000 9,997,586
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit-Yankeedollar $ 99,993,638
- ---------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
6
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations#-- 36.5%
American Express Centurion Bank
$ 15,000,000 6.43% 01/12/2000 $ 14,999,781
AT&T Corp.
30,000,000 6.53 01/06/2000 30,000,000
Bayerische Hypo-Vereins
50,000,000 6.38 01/13/2000 49,993,753
Bayerische Landesbank
15,000,000 6.36 01/10/2000 14,997,139
Chase Manhattan Bank, N.A.
15,000,000 6.39 01/25/2000 14,996,179
Citicorp
15,000,000 6.51 01/03/2000 15,000,000
Comerica Bank Detroit
20,000,000 6.42 01/03/2000 19,999,484
25,000,000 6.41 01/13/2000 24,993,455
CP Trust Certificate Series 1996-1
17,000,000 5.06 03/30/2000 17,000,000
DaimlerChrysler, N.A. Corp.
25,000,000 6.36 01/06/2000 24,984,611
Den Danske Bank Corp.
15,000,000 6.41 01/21/2000 14,995,916
Eureka Securities PLC
25,000,000 6.55 01/24/2000 24,999,646
First Union National Bank
15,000,000 6.45 01/03/2000 15,000,000
30,000,000 6.02 02/16/2000 29,999,829
Fleet National Bank
15,000,000 5.04 01/03/2000 14,998,180
10,000,000 5.05 01/03/2000 9,999,406
General Electric Capital Corp.
20,000,000 6.13 01/12/2000 20,000,000
IBM Corp.
17,000,000 6.10 01/28/2000 16,990,456
J.P. Morgan & Co., Inc.
10,000,000 6.03 01/03/2000 10,000,079
Keybank, N.A.
15,000,000 5.70 01/03/2000 14,994,800
Merrill Lynch & Co., Inc.
5,000,000 6.51 01/03/2000 5,000,218
Monumental Life Insurance
25,000,000 6.65 02/01/2000 25,000,000
Morgan Stanley Dean Witter & Co.
10,000,000 6.10 02/15/2000 10,001,514
National Rural Utilities Corp.
15,000,000 6.48 01/03/2000 14,998,246
New York Life Insurance Co.
10,000,000 6.14 03/01/2000 10,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Rate Obligations (continued)
Northern Rock PLC
$ 25,000,000 6.45% 03/14/2000 $ 25,000,000
PNC Bank, N.A.
25,000,000 6.41 01/12/2000 24,994,791
Societe Generale, New York
25,000,000 6.41 01/03/2000 24,997,070
Southtrust Bank of Alabama, N.A.
10,000,000 6.39 01/10/2000 9,998,954
20,000,000 6.43 01/24/2000 19,994,973
U.S. Bank, N.A.
20,000,000 6.34 01/19/2000 19,995,286
10,000,000 6.51 01/19/2000 10,002,639
Wells Fargo Co.
35,000,000 6.01 03/10/2000 34,996,436
- ---------------------------------------------------------------------------------------------
Total Variable Rate Obligations $ 633,922,841
- ---------------------------------------------------------------------------------------------
Repurchase Agreements--18.1%
Joint Repurchase Agreement Account
$263,900,000 2.59% 01/03/2000 $ 263,900,000
Joint Repurchase Agreement Account II
50,000,000 3.16 01/03/2000 50,000,000
- ---------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 313,900,000
- ---------------------------------------------------------------------------------------------
Total Investments $1,729,698,634
- ---------------------------------------------------------------------------------------------
</TABLE>
# Variable rate security-based index is LIBOR, one month commercial paper,
Federal Funds, or Prime lending rate.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, or the next
reset date for floating rate 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.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Government Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--87.0%
Federal Farm Credit Bank
$25,000,000 6.28%# 01/10/2000 $ 24,997,691
30,000,000 6.30# 01/11/2000 29,999,339
7,000,000 4.76 01/18/2000 6,999,427
Federal Home Loan Bank
25,000,000 6.31# 01/01/2000 24,999,584
5,000,000 4.93# 01/03/2000 4,999,290
5,000,000 4.90 01/14/2000 4,999,972
5,600,000 4.80 01/26/2000 5,599,605
12,000,000 4.79 02/04/2000 11,998,742
35,000,000 5.54 02/16/2000 34,752,239
3,000,000 5.04 02/25/2000 2,999,715
25,000,000 5.63 03/01/2000 24,765,417
8,000,000 5.52 08/02/2000 7,995,064
Federal Home Loan Mortgage Corp.
5,000,000 5.48 02/07/2000 4,971,839
10,000,000 5.54 02/25/2000 9,915,361
Federal National Mortgage Association
25,000,000 6.28# 01/15/2000 24,997,119
8,000,000 5.51 02/03/2000 7,959,593
3,000,000 5.00 05/05/2000 2,998,811
5,000,000 5.56 07/24/2000 4,998,991
Student Loan Marketing Association
10,000,000 4.91# 01/03/2000 9,998,853
- -----------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $250,946,652
- -----------------------------------------------------------------------------------------------
Repurchase Agreements--12.6%
ABN/AMRO, Inc.+
$15,000,000 5.70% 01/10/2000 $ 15,000,000
Joint Repurchase Agreement Account
21,400,000 2.59 01/03/2000 21,400,000
- -----------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 36,400,000
- -----------------------------------------------------------------------------------------------
Total Investments $287,346,652
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Interest Rate Maturity Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
</TABLE>
+ At December 31, 1999, this agreement was fully collateralized by Federal
Agency obligations and U.S. Treasury obligations.
# Variable rate security-based index is either U.S. Treasury Bill, LIBOR,
Federal Funds, or Prime lending rate.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, or the next
reset date for floating rate 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 Treasury Obligations Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--28.4%
United States Treasury Bills
$ 25,000,000 5.44% 01/13/2000 $ 24,954,708
50,000,000 5.45 01/13/2000 49,909,167
United States Treasury Notes
39,000,000 6.38 01/15/2000 39,024,368
10,000,000 5.38 01/31/2000 10,005,079
18,000,000 7.75 01/31/2000 18,043,121
7,000,000 5.88 02/15/2000 7,008,474
10,000,000 8.50 02/15/2000 10,045,960
10,000,000 7.13 02/29/2000 10,035,917
5,000,000 5.50 05/31/2000 5,010,738
8,000,000 6.13 07/31/2000 8,031,490
5,000,000 6.25 08/31/2000 5,021,886
5,000,000 4.50 09/30/2000 4,961,655
5,000,000 4.00 10/31/2000 4,931,921
5,000,000 5.75 11/15/2000 5,000,000
- ------------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $201,984,484
- ------------------------------------------------------------------------------------------------
Repurchase Agreements+--71.2%
ABN/AMRO, Inc.
$ 32,000,000 2.70% 01/03/2000 $ 32,000,000
Barclays Bank
8,000,000 5.33 01/19/2000 8,000,000
15,000,000 5.33 01/25/2000 15,000,000
Bear Stearns Companies, Inc.
22,000,000 2.70 01/03/2000 22,000,000
10,000,000 5.48 01/24/2000 10,000,000
C.S. First Boston Corp.
25,000,000 5.30 01/31/2000 25,000,000
Chase Manhattan Corp.
32,000,000 2.00% 01/03/2000 32,000,000
Donaldson, Lufkin & Jenrette, Inc.
20,000,000 5.47 01/31/2000 20,000,000
Goldman, Sachs & Co.
25,000,000 5.32 01/10/2000 25,000,000
J.P. Morgan Securities, Inc.
32,000,000 1.00 01/03/2000 32,000,000
Joint Repurchase Agreement Account
197,700,000 2.59 01/03/2000 197,700,000
Merrill Lynch & Co., Inc.
32,000,000 2.75 01/03/2000 32,000,000
Morgan Stanley Dean Witter & Co.
24,000,000 5.20 01/03/2000 24,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements (continued)
Salomon Smith Barney, Inc.
$ 32,000,000 2.00% 01/03/2000 $ 32,000,000
- ------------------------------------------------------------------------------------------------
Total Repurchase Agreements $506,700,000
- ------------------------------------------------------------------------------------------------
Total Investments $708,684,484
- ------------------------------------------------------------------------------------------------
</TABLE>
+At December 31, 1999, these agreements were fully collateralized by U.S.
Treasury obligations.
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 Treasury Instruments Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--99.1%
United States Treasury Bills
$ 900,000 4.50% 01/13/2000 $ 898,650
1,600,000 4.99 01/13/2000 1,597,341
9,000,000 5.14 01/20/2000 8,975,585
44,600,000 5.16 01/20/2000 44,478,539
30,900,000 5.17 01/20/2000 30,815,686
26,900,000 5.18 01/20/2000 26,826,530
50,000,000 4.89 02/17/2000 49,680,792
60,000,000 5.15 03/30/2000 59,236,825
United States Treasury Notes
140,000,000 5.38 01/31/2000 139,992,061
50,000,000 5.50 02/29/2000 50,006,402
50,000,000 7.13 02/29/2000 50,140,842
95,000,000 6.88 03/31/2000 95,323,553
- ------------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $557,972,806
- ------------------------------------------------------------------------------------------------
Total Investments $557,972,806
- ------------------------------------------------------------------------------------------------
</TABLE>
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
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.
10
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Federal Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--99.4%
Federal Farm Credit Bank
$ 35,000,000 4.90%# 01/03/2000 $ 34,996,097
25,000,000 6.28# 01/10/2000 24,997,691
5,000,000 5.58 01/13/2000 4,990,700
39,100,000 5.77 01/13/2000 39,024,798
62,000,000 4.76 01/18/2000 61,997,420
12,600,000 5.55 01/20/2000 12,563,092
35,500,000 6.55# 01/23/2000 35,495,297
12,000,000 5.47 01/27/2000 11,952,593
10,000,000 5.56 01/27/2000 9,959,845
5,000,000 5.48 02/01/2000 4,976,405
597,700,000 5.50 02/01/2000 597,700,000
13,510,000 5.60 02/01/2000 13,444,852
35,000,000 5.81# 02/01/2000 34,995,666
30,000,000 6.29# 02/01/2000 29,997,590
100,000,000 6.30# 02/01/2000 99,965,553
75,000,000 6.31# 02/01/2000 74,972,226
20,000,000 5.70 02/10/2000 19,873,333
30,000,000 5.69 02/15/2000 29,786,625
29,400,000 5.54 02/25/2000 29,151,162
20,000,000 5.59 03/03/2000 19,807,456
12,000,000 5.72 03/15/2000 11,858,907
9,500,000 5.76 03/27/2000 9,369,280
5,000,000 5.77 04/20/2000 4,911,847
2,200,000 5.80 04/20/2000 2,161,011
7,429,000 5.80 06/02/2000 7,245,875
Federal Home Loan Bank
50,000,000 4.93# 01/03/2000 49,992,896
35,000,000 5.62# 01/03/2000 34,991,776
125,000,000 5.92# 01/03/2000 124,987,080
100,000,000 5.92# 01/04/2000 99,947,953
125,000,000 5.96# 01/11/2000 124,997,637
25,000,000 6.31# 01/12/2000 24,993,937
25,000,000 4.90 01/14/2000 24,999,861
75,000,000 6.26# 01/15/2000 74,927,759
40,000,000 5.50 01/20/2000 39,883,889
75,000,000 5.53 01/21/2000 74,769,584
50,000,000 6.32# 01/21/2000 49,989,346
50,000,000 4.80 01/26/2000 49,996,473
20,000,000 5.30 01/28/2000 19,920,500
25,750,000 5.52 02/02/2000 25,623,654
10,700,000 5.74 02/02/2000 10,645,406
50,000,000 4.79 02/04/2000 49,994,760
38,479,000 5.48 02/04/2000 38,279,850
50,000,000 5.48 02/09/2000 49,703,167
14,800,000 5.51 02/09/2000 14,711,656
900,000 5.61 02/11/2000 894,255
11,400,000 5.65 02/11/2000 11,326,644
4,000,000 5.68 02/11/2000 3,974,125
48,200,000 5.74 02/16/2000 47,846,480
10,088,000 5.71 02/22/2000 10,004,796
50,000,000 5.53 02/23/2000 49,592,930
30,000,000 5.60 02/23/2000 29,752,667
30,000,000 4.95 02/24/2000 29,996,361
</TABLE>
<TABLE>
<CAPTION>
Principal Interest
Amount Rate Maturity Date Amortized Cost
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
$ 15,000,000 5.04% 02/25/2000 $ 14,998,576
20,000,000 5.55 02/25/2000 19,830,569
25,000,000 5.56 02/25/2000 24,787,639
80,341,000 5.53 03/01/2000 79,600,524
40,000,000 5.63 03/01/2000 39,624,666
32,979,000 5.53 03/03/2000 32,664,912
68,400,000 5.61 03/03/2000 67,739,142
30,000,000 5.62 03/03/2000 29,709,633
20,000,000 5.64 03/03/2000 19,805,733
25,000,000 5.15 03/08/2000 24,998,238
18,952,000 5.53 03/08/2000 18,756,955
16,900,000 5.60 03/17/2000 16,700,204
17,700,000 5.58 04/07/2000 17,433,881
45,000,000 5.10 05/17/2000 44,988,651
1,600,000 5.60 05/17/2000 1,565,902
600,000 5.62 05/17/2000 587,168
25,000,000 5.26 05/26/2000 24,998,075
25,000,000 5.56 07/14/2000 24,998,002
20,000,000 5.50 07/19/2000 19,993,224
20,000,000 5.52 08/02/2000 19,987,659
35,000,000 6.05 11/03/2000 34,985,321
Student Loan Marketing Association
60,000,000 4.91# 01/03/2000 59,993,118
25,000,000 6.05# 01/04/2000 24,985,682
37,000,000 6.05# 01/04/2000 37,001,854
10,000,000 6.06# 01/04/2000 10,002,635
60,000,000 6.11# 01/04/2000 59,999,194
40,000,000 5.46 02/11/2000 39,751,267
Tennessee Valley Authority
25,000,000 5.52 01/19/2000 24,931,000
35,000,000 5.67 01/24/2000 34,873,213
12,800,000 5.51 01/27/2000 12,749,063
30,000,000 5.46 01/28/2000 29,877,150
65,000,000 5.51 02/01/2000 64,691,593
51,000,000 5.53 02/03/2000 50,741,472
900,000 5.57 02/18/2000 893,316
15,000,000 5.63 02/28/2000 14,863,942
- --------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $3,437,049,936
- --------------------------------------------------------------------------------------
Total Investments $3,437,049,936
- --------------------------------------------------------------------------------------
</TABLE>
# Variable rate security-based index is either U.S. Treasury Bill, LIBOR,
Federal Funds, or Prime lending rate.
Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes, or for floating rate securities, the
current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the stated date on the security, or the next
reset date for floating rate 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.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama--3.0%
Columbia IDRB for Alabama Power Co. Series 1999 B (A-1/VMIG1)
$10,000,000 4.80% 01/03/2000 $ 10,000,000
Columbia IDRB VRDN PCRB Refunding for Alabama Power Co. Series 1995 B
(A-1/VMIG1)
19,100,000 4.80 01/03/2000 19,100,000
Gadsden IDRB for Alabama Power Co. Series 1994 (A-1/VMIG1)
6,150,000 4.80 01/03/2000 6,150,000
Mobile City IDRB VRDN PCRB for Alabama Power Co. Series 1993 A (A-1/VMIG1)
7,000,000 4.85 01/06/2000 7,000,000
Montgomery City Special Care Facilities VRDN RB for Baptist Medical Centre
Series 1994 A (Amsouth Bank) (VMIG1)
12,205,000 5.50 01/06/2000 12,205,000
- -------------------------------------------------------------------------------------------------
$ 54,455,000
- -------------------------------------------------------------------------------------------------
Alaska--0.8%
Valdez Marine Term RB for Exxon Pipeline Series 1993 C (A-1+/VMIG1)
$ 7,450,000 4.75% 01/03/2000 $ 7,450,000
Valdez Marine Terminal VRDN RB Refunding for Arco Transportation Alaska,
Inc. Series 1994 B (A/VMIG1)
7,700,000 5.65 01/05/2000 7,700,000
- -------------------------------------------------------------------------------------------------
$ 15,150,000
- -------------------------------------------------------------------------------------------------
Arizona--0.4%
Maricopa County VRDN PCRB Refunding for Arizona Public Service Co. Series
1994 A (Morgan Guaranty Trust LOC) (A-1+/P1)
$ 2,900,000 4.75% 01/03/2000 $ 2,900,000
Mesa IDA VRDN RB for Discovery Health Systems Series 1999 B (MBIA) (A-
1+/VMIG1)
3,500,000 5.60 01/05/2000 3,500,000
- -------------------------------------------------------------------------------------------------
$ 6,400,000
- -------------------------------------------------------------------------------------------------
California--3.5%
California School Cash Reserve Program Authority Pool Bonds Series 1999 A
(AMBAC) (SP-1+/MIG1)
$10,000,000 4.00% 07/03/2000 $ 10,023,673
California Statewide Communities Development Authority TRANS Series 1999 C-1
(FSA) (SP-1+/MIG1)
20,000,000 4.00 06/30/2000 20,054,572
California Statewide Development Authority TRANS Series 1999 C-2 (SP-
1+/MIG1)
15,350,000 4.00 09/29/2000 15,364,719
Los Angeles County TRANS Series 1999-2000 A (SP-1+/MIG1)
5,000,000 4.00 06/30/2000 5,016,265
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Los Angeles County Schools for Pooled Transportation Series 1999-2000 A COPS
(FSA) (SP-1+)
$ 6,745,000 4.00% 06/30/2000 $ 6,759,943
Los Angeles County Schools TRANS Series 1999 B (FSA)(SP-1+)
5,000,000 4.00 09/29/2000 5,004,057
Southern California Public Power Authority VRDN Refunding RB for Southern
Transmission Project Series 1991 (AMBAC) (A-1+/VMIG1)
300,000 4.85 01/05/2000 300,000
- -------------------------------------------------------------------------------------------------
$ 62,523,229
- -------------------------------------------------------------------------------------------------
Colorado--1.8%
Jefferson County School District TANS for School District No. R-001 Series
1999 (SP-1+/MIG1)
$32,500,000 4.50% 06/30/2000 $ 32,603,209
- -------------------------------------------------------------------------------------------------
Florida--2.6%
Collier County Health Facilities Authority Hospital Revenue VRDN for
Cleveland Clinic Health Systems Series 1999 (A-1+/VMIG1)
$10,700,000 4.70% 01/03/2000 $ 10,700,000
Florida Local Government Financing Commission Pooled CP Notes Series A
(First Union National Bank) (A-1/P-1)
4,890,000 3.80 04/06/2000 4,890,000
21,230,000 3.80 05/04/2000 21,230,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
H-1 (NRU LOC) (A-1+/P-1)
3,850,000 5.55 01/05/2000 3,850,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
H-2 (NRU LOC) (A-1+/P-1)
6,635,000 5.55 01/05/2000 6,635,000
- -------------------------------------------------------------------------------------------------
$ 47,305,000
- -------------------------------------------------------------------------------------------------
Georgia--9.6%
Albany Dougherty Georgia Payroll PCRB for Philip Morris Companies, Inc.
Series 1992 (A-1/P-1)
$17,000,000 5.55% 01/05/2000 $ 17,000,000
Atlanta Water & Sewer RB Eagle Tax-Exempt Trust Series 971003 Class A COPS
(A-1+(c))
10,500,000 5.56 01/06/2000 10,500,000
Bartow County IDA VRDN PCRB for Georgia Power Co. First Series 1997 (A-
1/VMIG1)
6,200,000 4.80 01/03/2000 6,200,000
Burke County IDA PCRB for Georgia Power Co. Fifth Series 1995 (A-1/VMIG1)
4,700,000 5.05 01/03/2000 4,700,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Georgia--(Continued)
Burke County IDA PCRB for Georgia Power Co. Ninth Series 1994 (A-1/VMIG1)
$14,400,000 5.05% 01/03/2000 $ 14,400,000
Columbus Hospital Authority Adjustable Rate Revenue Certificates for St.
Frances Hospital, Inc. Series 1994 (VMIG1)
6,450,000 5.55 01/05/2000 6,450,000
DeKalb County IDRB for Siemens Energy & Automation, Inc., Series 1994
(VMIG1)
3,750,000 5.55 01/06/2000 3,750,000
Dekalb County Hospital Authority Anticipation Certificates for Dekalb
Medical Center, Inc., Series 1993 B (Suntrust Bank LOC) (VMIG1)
4,535,000 5.55 01/05/2000 4,535,000
Effingham County Savannah Electric & Power Co. Series 1997 (A-1/VMIG1)
13,870,000 3.65 04/24/2000 13,870,000
Floyd County PCRB for Georgia Power Co. Series 1996 (A-1/VMIG1)
7,650,000 5.05 01/03/2000 7,650,000
Fulco Hospital Authority VRDN RAN for Peidmont Hospital Project Series 1999
(Suntrust Bank LOC) (A-1+/VMIG1)
12,500,000 5.50 01/05/2000 12,500,000
Georgia State Series 1991 C Series PA-246 (A-1+(c))
2,680,000 5.56 01/06/2000 2,680,000
Monroe County IDA PCRB for Georgia Power Co. First Series 1997 (A-1/VMIG1)
5,800,000 5.05 01/03/2000 5,800,000
Municipal Electric Authority of Georgia VRDN RB General Series 1985 C (A-
1+/VMIG1)
26,000,000 5.80 01/05/2000 26,000,000
Municipal Electric Authority of Georgia VRDN RB Project One Series 1994 D
(A-1+/VMIG1)
19,450,000 5.65 01/05/2000 19,450,000
Municipal Electric Authority RB Series 1994 E (A-1+/VMIG1)
15,510,000 5.55 01/05/2000 15,510,000
- -------------------------------------------------------------------------------------------------
$ 170,995,000
- -------------------------------------------------------------------------------------------------
Idaho--1.9%
State of Idaho TANS Series 1999 (SP-1+/MIG1)
$33,250,000 4.25% 06/30/2000 $ 33,308,846
- -------------------------------------------------------------------------------------------------
$ 33,308,846
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Illinois--9.7%
Chicago City RB for Chicago Midway Airport Series 1997 Societe Generale
Trustee Floating Rate Receipts (MBIA) (A-1+(C))
$12,000,000 5.56% 01/06/2000 $ 12,000,000
Chicago Park District Tax Anticipation Warrants Series 1999 (SP-1/MIG1)
5,500,000 4.38 09/15/2000 5,528,123
City of Belleville IDRB for Weyerhaeuser Co. Series 1993 (A-1)
1,800,000 5.40 01/06/2000 1,800,000
Cook County GO VRDN Series 1996 (A-1+/VMIG1)
30,200,000 5.80 01/05/2000 30,200,000
Illinois Health Facilities Authority VRDN RB for Evanston Northwestern Corp.
Series 1998 (A-1+/VMIG1)
15,000,000 3.25 05/31/2000 15,000,000
Illinois Health Facilities Authority VRDN RB for Northwest Community
Hospital Series 1995 (A-1+/VMIG1)
1,700,000 5.50 01/06/2000 1,700,000
Illinois Health Facilities Authority VRDN for Central Dupage Healthcorp
Project Series 1990 (Bank One, N.A.) (VMIG1)
9,000,000 4.75 01/03/2000 9,000,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Health
Series 1998 A (VMIG1)
18,700,000 4.80 01/03/2000 18,700,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Hospital
Series 1993 B (VMIG1)
9,400,000 4.80 01/03/2000 9,400,000
Illinois Health Facilities Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 C (Bank One Illinois N.A. LOC) (A-1+/VMIG1)
16,575,000 5.30 01/05/2000 16,575,000
Illinios Health Facilities Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 D (Bank One, N.A. LOC) (A-1+/VMIG1)
25,700,000 5.30 01/05/2000 25,700,000
Illinois State Toll Highway Authority VRDN RB Series 1998 B (VMIG1/P-1+)
7,200,000 5.45 01/06/2000 7,200,000
Illinios State Toll Highway Priority Series 1993 B (Societe Generale LOC)
(MBIA) (A-1+/VMIG1)>
9,000,000 5.15 01/05/2000 9,000,000
Illinios Water VRDN Series 2000 (Bank One, N.A. LOC) (VMIG1/F-1+)
7,300,000 5.40 01/05/2000 7,300,000
Village of Sauget VRDN PCRB for Monsanto Co. Project Series 1992 (P-1)
3,300,000 5.65 01/05/2000 3,300,000
- -------------------------------------------------------------------------------------------------
$ 172,403,123
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Indiana--0.8%
Fort Wayne Hospital Authority VRDN for Parkview Memorial Hospital Series
1985 C (Bank of America LOC) (VMIG1)
$ 7,655,000 5.55% 01/05/2000 $ 7,655,000
Fort Wayne Hospital Authority VRDN for Parkview Memorial Hospital Series
1985 D (Bank of America) (VMIG1)
1,180,000 5.55 01/05/2000 1,180,000
Warwick County VRDN PCRB for ALCOA Project Series 1992 (A-1)
5,000,000 5.60 01/06/2000 5,000,000
- -------------------------------------------------------------------------------------------------
$ 13,835,000
- -------------------------------------------------------------------------------------------------
Iowa--0.7%
Chillcothe City VRDN PCRB for Midamerican Energy Co./Midwest Power Systems
Series 1993 A (A-1/VMIG1)
$ 900,000 5.45% 01/05/2000 $ 900,000
Muscatine County PCRB Monsanto Co. Series 1992 (P-1)
1,000,000 5.65 01/05/2000 1,000,000
Salix City VRDN PCRB for Midwest Power Systems, Inc. Project Series 1993 (A-
1/VMIG1)
10,895,000 5.45 01/05/2000 10,895,000
- -------------------------------------------------------------------------------------------------
$ 12,795,000
- -------------------------------------------------------------------------------------------------
Kentucky--2.0%
Kentucky Asset/Liability Commission TRAN Series 1999 A (SP-1+/MIG1)
$25,000,000 4.25% 06/28/2000 $ 25,103,430
Kentucky Economic Development Financing Authority Hospital Facilities VRDN
RB for The Heath Alliance of Greater Cincinnati Series 1997 D (MBIA) (A-
1+/VMIG1)
4,832,000 5.35 01/05/2000 4,832,000
Trimble County VRDN PCRB for Louisville Gas and Electric Co. Series 1996 A
(A-1/VMIG1)
6,000,000 3.80 05/04/2000 6,000,000
- -------------------------------------------------------------------------------------------------
$ 35,935,430
- -------------------------------------------------------------------------------------------------
Louisiana--2.4%
Ascension Parish Louisiana PCRB for Vulcan Materials Co. Series 1996 (A-
1/VMIG1)
$ 8,200,000 5.75% 01/05/2000 $ 8,200,000
New Orleans Aviation Board RB Refunding Series 1993 B (MBIA) (A-1+/VMIG1)
17,135,000 5.40 01/05/2000 17,135,000
Saint James Parish Louisiana VRDN PCRB Refunding for Occidental Petroleum
Series 1996 (Wachovia Bank of Georgia LOC) (P-1)
5,500,000 5.55 01/05/2000 5,500,000
South Louisiana Port Commission Port RB for Occidental Chemical Corp. Series
1996 (P1)
11,800,000 5.55 01/05/2000 11,800,000
- -------------------------------------------------------------------------------------------------
$ 42,635,000
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Maryland--0.7%
Washington Suburban Sanitary District GO VRDN BANS Series 1998 (A-1+/VMIG1)
$12,100,000 5.35% 01/05/2000 $ 12,100,000
- -------------------------------------------------------------------------------------------------
Massachusetts--7.0%
Commonwealth of Massachusetts Eagle Tax-Exempt Trust Series 97 C2101 (A-
1+(c))
$10,195,000 5.56% 01/06/2000 $ 10,195,000
Commonwealth of Massachusetts GO VRDN Refunding Bonds Series 1998 A
(A-1+/VMIGI)
30,500,000 5.50 01/06/2000 30,500,000
Massachusetts VDRN Series 1998 B (A-1+/VMIGI)
20,000,000 5.50 01/06/2000 20,000,000
Massachusetts Health & Education Facility Authority for Harvard University
Series A Eagle Tax-Exempt Trust Series 972104 Class A COPs (A-1+(c))
12,500,000 5.56 01/06/2000 12,500,000
Massachusetts Health & Education Facility Authority VRDN RB for Capital
Asset Program Series 1985 E (Bank One, N.A. LOC) (VMIGI)
3,700,000 4.75 01/03/2000 3,700,000
Massachusetts Health & Education Facility Authority VRDN RB Options for
Harvard University Series 1985 (A-1+/VMIG)
32,500,000 5.40 01/06/2000 32,500,000
7,000,000 5.40 01/06/2000 7,000,000
Massachusetts Water Resources Authority RB Refunding for Multi-Modal General
Series 1998 D (FGIC) (A-1+/VMIGI)
8,400,000 5.50 01/05/2000 8,400,000
- -------------------------------------------------------------------------------------------------
$ 124,795,000
- -------------------------------------------------------------------------------------------------
Michigan--1.0%
Michigan State Trunk Line Fund Series 1998 A-Eagle Tax-Exempt Trust Series
982202 Class A Certificates (A-1+(C))
$18,000,000 5.56% 01/06/2000 $ 18,000,000
- -------------------------------------------------------------------------------------------------
Minnesota--1.9%
Becker VRDN PCRB For Northern State Power Co. Series 1992 A (A-1+/P-1)
$ 4,600,000 3.75% 04/11/2000 $ 4,600,000
Becker VRDN PCRB for Northern State Power Co. Series 1993 A (A-1+/VMIG2)
4,900,000 3.80 04/13/2000 4,900,000
Minnesota Higher Education Facilities Authority VRDN for Carlton Collede
Series 1992 3-L2 (VMIGI)
4,175,000 5.40 01/06/2000 4,175,000
Minnesota State GO Series 1998 (AAA/Aaa)
5,500,000 4.50 06/01/2000 5,516,611
</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>
Minnesota (continued)
University of Minnesota VRDN Series 1999 A (A-1+/MIG)
$ 7,500,000 5.50% 01/05/2000 $ 7,500,000
White Bear Lake IDRB for Weyerhaeuser Project Series 1993 (A-1)
6,800,000 5.40 01/06/2000 6,800,000
- -------------------------------------------------------------------------------------------------
$ 33,491,611
- -------------------------------------------------------------------------------------------------
Missouri--0.7%
Belton City H.E. Butt Grocery Series 1993 (P1)
$ 2,300,000 5.35% 01/05/2000 $ 2,300,000
Missouri Environmental Improvement & Energy VRDN PCRB Refunding for Monsanto
Co. Series 1993 (P-1)
5,000,000 5.50 01/05/2000 5,000,000
Missouri Health & Educational Facility Authority RB for Washington
University Series 1984 (A-1+/VMIG1)
4,600,000 5.65 01/05/2000 4,600,000
- -------------------------------------------------------------------------------------------------
$ 11,900,000
- -------------------------------------------------------------------------------------------------
Nevada--1.4%
Clark County VRDN RB for Nevada Airport Improvement Series 1993 A (MBIA)
(A-1+/VMIG1)
$24,700,000 5.20% 01/05/2000 $ 24,770,000
- -------------------------------------------------------------------------------------------------
New Mexico--2.1%
Farmington VRDN PCRB Refunding for Arizona Public Service Co. Series 1994 A
(Bank of America LOC) (A-1+/P1)
$ 5,700,000 4.70% 01/03/2000 $ 5,700,000
New Mexico Highway Commission VRDN RB Series 1996 (A-1+/VMIG1)
15,000,000 5.35 01/05/2000 15,000,000
New Mexico TRANS 1999-2000 Series 1999 (SP-1+/MIG1)
17,500,000 4.00 06/30/2000 17,551,507
- -------------------------------------------------------------------------------------------------
$ 38,251,507
- -------------------------------------------------------------------------------------------------
New York--6.8%
Long Island Power Authority Electric System VRDN RB Series 1 (A-1+/VMIG1)
$39,100,000 5.75% 01/05/2000 $ 39,100,000
Long Island Power Authority Electric System VRDN RB Series 3 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
10,000,000 3.70 03/06/2000 10,000,000
Long Island Power Authority Electric System VRDN RB Series 4 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
15,800,000 3.75 04/11/2000 15,800,000
4,300,000 3.80 04/12/2000 4,300,000
4,000,000 3.80 04/13/2000 4,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
Nassau County IDA Civic Facility & Improvement RB for Cold Spring Harbor
Laboratory Series 1999 (A-1+)
$ 8,900,000 4.75% 01/03/2000 $ 8,900,000
New York City GO VRDN Adjustable Series 1994 E-3 (Morgan Guaranty Trust
Company of New York LOC) (A-1+/VMIG1)
2,400,000 4.75 01/03/2000 2,400,000
New York City GO VRDN Series 1994 C (Morgan Guaranty Trust Company of New
York LOC) (A-1+/VMIG1)
2,100,000 4.50 01/03/2000 2,100,000
New York City GO VRDN Series 1995 B (MBIA) (A-1+/VMIG1)
2,600,000 4.75 01/03/2000 2,600,000
New York City Transitional Finance Authority Future Tax Secured Bonds
Series 1999 A-1 (A-1+/VMIG1)
2,400,000 5.50 01/05/2000 2,400,000
New York City Trust for Resources for American Museum of National History
Series 1999 B (AMBAC) (Aaa)
10,000,000 3.70 07/01/2000 10,000,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series 1994 C (Morgan Guaranty Trust) (A-
1+/VMIG1)(a)
1,700,000 4.65 01/03/2000 1,700,000
New York State Local Government Assistance Corp. RB VRDN Series 1995 B
(Bank of Nova Scotia) (A-1+/VMIG1)
6,000,000 5.40 01/05/2000 6,000,000
New York State Local Government Assistance Corp. RB VRDN Series 1995 C
(Landesbank Hessen-Thueringen Girozentrale) (A-1+/VMIG1)
12,000,000 5.40 01/05/2000 12,000,000
- -----------------------------------------------------------------------------------------------
$121,300,000
- -----------------------------------------------------------------------------------------------
North Carolina--1.5%
Charlotte Airport VRDN RB Refunding Series 1993 A (MBIA) (A-1+/VMIG1)
$11,250,000 5.15% 01/05/2000 $ 11,250,000
North Carolina Health Care Facilities VRDN RB Series 1999 (Wachovia Bank
N.A. LOC) (A-1+)
11,700,000 5.45 01/06/2000 11,700,000
Rockingham County Adjustable VRDN PCRB Refunding for Philip Morris, Inc.
Series 1992 (A-1/P1)
3,960,000 5.65 01/05/2000 3,960,000
- -----------------------------------------------------------------------------------------------
$ 26,910,000
- -----------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt Diversified Portfolio (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Ohio--2.6%
Cuyahoga County Hospital VRDN RB for University Hospitals Health Systems,
Inc. Series 1999 C (AMBAC) (A-1+/VMIG1)
$13,600,000 5.65% 01/06/2000 $ 13,600,000
Hamilton County Hospital Facilities RB for The Health Alliance of Greater
Cincinnati Series 1997 F (MBIA) (A-1+/VMIG1)
6,300,000 5.35 01/05/2000 6,300,000
Hamilton County Hospital Facilities RB for The Drake Center, Inc. Series
1999 A (FIRSTAR Bank N.A. LOC) (MIG1)
5,000,000 5.50 01/06/2000 5,000,000
Hamilton County Hospital Facilities RB for The Health Alliance of Greater
Cincinnati Series 1997 B (MBIA) (A-1+/VMIG1)
21,075,000 5.35 01/05/2000 21,075,000
- -------------------------------------------------------------------------------------------------
$ 45,975,000
- -------------------------------------------------------------------------------------------------
Oklahoma--2.9%
Muskogee Industrial Trust PCRB for Oklahoma Gas & Electric Co. Series 1997 A
(A-1+/VMIG1)
$33,500,000 5.50% 01/05/2000 $ 33,500,000
Southeastern Oklahoma IDA Solid Waste Disposal RB for Weyerhaeuser Co.
Series 1993 PJ (A-1)
17,700,000 5.40 01/06/2000 17,700,000
- -------------------------------------------------------------------------------------------------
$ 51,200,000
- -------------------------------------------------------------------------------------------------
Oregon--1.5%
Lane County PCRB for Weyerhaeuser Co. Series 1994 (A-1)
$ 6,500,000 5.40% 01/06/2000 $ 6,500,000
Oregon St. Veterans Welfare VRDN Bonds Series 1985 73-H (A-1+/VMIG1)
8,000,000 5.80 01/05/2000 8,000,000
Oregon St. Veterans Welfare VRDN Bonds Series 1985 73-G (A-1+/VMIG1)
13,300,000 5.80 01/05/2000 13,300,000
- -------------------------------------------------------------------------------------------------
$ 27,800,000
- -------------------------------------------------------------------------------------------------
Pennsylvania--2.3%
Commonwealth of Pennsylvania GO Bonds First Series 1994 Eagle Tax-Exempt
Trust 943804 Class A COPS (AMBAC) (A-1(c))
$14,400,000 5.56% 01/06/2000 $ 14,400,000
Lancaster County Hospital Authority VRDN RB for Health Center Masonic Homes
Series 1999 (A-1/VMIG1)
4,000,000 5.35 01/05/2000 4,000,000
Philadelphia GO TRANS Series 1999-2000 A (SP-1+/MIG1)
22,000,000 4.25 06/30/2000 22,059,470
- -------------------------------------------------------------------------------------------------
$ 40,459,470
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
South Carolina--0.5%
York County PCRB for North Carolina Electric Project Series 1984 N-2 (NRU
LOC) (A-1+/VMIG1)
$ 8,325,000 5.55% 01/05/2000 $ 8,325,000
York County PCRB for North Carolina Electric Series 1984 N (NRU LOC) (A-
1+/VMIG1)
1,050,000 5.55 01/05/2000 1,050,000
- ------------------------------------------------------------------------------------------------
$ 9,375,000
- ------------------------------------------------------------------------------------------------
Tennessee--0.8%
Sevier County Public Building Authority RB for Local Government Improvement
Series III-F (AMBAC) (VMIG1)
$15,200,000 5.50% 01/06/2000 $ 15,200,000
- ------------------------------------------------------------------------------------------------
Texas--15.4%
Brazos River Authority PCRB for Monsanto Co. Series 1990 (P-1)
$ 5,300,000 5.65% 01/05/2000 $ 5,300,000
Brazos River Authority PCRB for Monsanto Co. Series 1994 (P-1)
5,100,000 5.65 01/05/2000 5,100,000
Brazos Texas Harbor IDA for Monsanto Co. Series 1991 (P-1)
3,500,000 5.65 01/05/2000 3,500,000
City of San Antonio Electric & Gas System Series 1997 SG105 (A-1+(C))
36,800,000 5.56 01/06/2000 36,800,000
Coastal Bend Health Facilities Development Corp. Incarnate Word Health
System RB Series 1998 B (AMBAC) (F1/VMIG1)
10,000,000 5.60 01/05/2000 10,000,000
Harris County GO RB Toll Road Series 1994 D (A-1+/VMIG1)
3,130,000 5.00 01/05/2000 3,130,000
Harris County GO RB Toll Road Series 1994 G (A-1+/VMIG1)
20,000,000 5.65 01/05/2000 20,000,000
Harris County GO RB Toll Road Series 1994 H (A-1+/VMIG1)
10,400,000 5.65 01/05/2000 10,400,000
Harris County GO VRDN RB Toll Road Series 1994 C (A-1+/VMIG1)
14,100,000 5.00 01/05/2000 14,100,000
Harris County GO VRDN RB Toll Road Series 1994 E (A-1+/VMIG1)
4,400,000 5.00 01/05/2000 4,400,000
Harris County Health Facilities Development Corp. RB for Memorial Hospital
System Series 1997 B (A-1+)
8,400,000 3.70 03/01/2000 8,400,000
Harris County Health Facilities Development Corp. RB for Methodist Hospital
Series 1994 (A-1+)
26,400,000 4.80 01/03/2000 26,400,000
Harris County Health Facilities Development Corp. RB for St. Luke's
Episcopal Hospital Series 1997 A (A-1+)
23,200,000 4.80 01/03/2000 23,200,000
Harris County Health Facilities Development Corp. RB for St. Luke's
Episcopal Hospital Series 1997 B (A-1+)
11,500,000 4.80 01/03/2000 11,500,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Texas (continued)
Harris County IDRB Adjustable Refunding for Shell Oil Project Series 1997
(A-1+/VMIG1)
$13,100,000 4.70% 01/03/2000 $ 13,100,000
San Antonio Electric & Gas System CP Notes Series (A-1+/P-1)
8,600,000 3.80 04/13/2000 8,600,000
State of Texas TRANS Series 1999 A (SP-1+/MIG1)
58,500,00 4.50 08/31/2000 58,769,230
Texas Public Finance Authority Series 1993 A (A-1+/P-1)
11,650,000 3.80 04/10/2000 11,650,000
- -------------------------------------------------------------------------------------------------
$ 274,349,230
- -------------------------------------------------------------------------------------------------
Utah--3.3%
Central Water Conservancy District GO VRDN Refunding for Tender Option
Series 1998 E (AMBAC) (A-1+/VMIG1)
$ 7,000,000 5.50% 01/05/2000 $ 7,000,000
Central Water Conservancy District GO VRDN Tender Option Bonds Series 1998 F
(A-1+/VMIG1)
7,490,000 5.50 01/05/2000 7,490,000
Intermountain Power Agency Power Supply Refunding VRDN RB Series 1985 E
(AMBAC) (A-1+/VMIG1)
10,000,000 3.45 01/28/2000 10,000,000
7,500,000 3.80 04/06/2000 7,500,000
6,800,000 3.80 04/10/2000 6,800,000
State of Utah GO Highway Bonds Series 1999 D (A-1+/VMIG1)
11,000,000 5.35 01/06/2000 11,000,000
Utah State Series 1999 C (SPA) (A-1+/VMIG1)
9,500,000 5.35 01/06/2000 9,500,000
- -------------------------------------------------------------------------------------------------
$ 59,290,000
- -------------------------------------------------------------------------------------------------
Virginia--0.2%
Virginia College Building Authority Educational Facilities VRDN RB for The
University of Richmond Project Series 1999 (VMIG1)
$ 2,900,000 5.35% 01/05/2000 $ 2,900,000
- -------------------------------------------------------------------------------------------------
Washington--3.4%
King County Limited Tax GO Bonds Series 1994 A Eagle Tax-Exempt Trust Series
1997 C 470 (A-1+(C))
$10,000,000 5.56% 01/06/2000 $ 10,000,000
King County Sewer RB CP Series A (A-1/P-1)
11,900,000 3.75 04/11/2000 11,900,000
11,200,000 3.75 04/12/2000 11,200,000
Port of Grays Harbor Industrial Development Corp. for Weyerhaeuser Project
Series 1992 (A-1)
1,000,000 5.40 01/06/2000 1,000,000
Port of Grays Harbor Refunding IDA for Weyerhaeuser Project Series 1993 (A-
1)
5,850,000 5.40 01/06/2000 5,850,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Washington (continued)
Union Gap Public Corp. IDRB for Weyerhaeuser Co. Project Series 1992 (A-1)
$ 1,600,000 5.40% 01/06/2000 $ 1,600,000
Washington Public Power Supply System Nuclear Project No. 1 Series 1993 1A-2
(Bank of America LOC) (A-1+/VMIG1)
10,000,000 5.20 01/05/2000 10,000,000
Washington State Health Care Facilities Authority RB for Fred Hutchinson
Cancer Center Series 1996 (VMIG1)
9,500,000 4.50 01/03/2000 9,500,000
Washington State Health Care Facilities VRDN RB for Fred Hutchinson Cancer
Series 1991 A (Morgan Guaranty Trust LOC)(VMIG1)
100,000 4.50 01/03/2000 100,000
- -------------------------------------------------------------------------------------------------
$ 61,150,000
- -------------------------------------------------------------------------------------------------
Wisconsin--2.0%
Milwaukee Metropolitan Sewage District GO Capital Purpose Bonds Series 1992
A Eagle Tax-Exempt Trust Series 944905 (A-1+(C))
$15,085,000 5.56% 01/06/2000 $ 15,085,000
Wisconsin Health & Educational Facilities Authority VRDN RB for Wheaton
Franciscan Services Series 1997 (Toronto Dominion Bank LOC) (A-1+/VMIG1)
16,600,000 5.50 01/06/2000 16,600,000
Wisconsin State Health Facilities Authority RB for Franciscan Health Care,
Inc. Series 1985 A-2 (Toronto Dominion Bank) (A-1+/VMIG1)
3,400,000 5.55 01/05/2000 3,400,000
- -------------------------------------------------------------------------------------------------
$ 35,085,000
- -------------------------------------------------------------------------------------------------
Wyoming--0.8%
Lincoln County PCRB Floating Rate Dates for Exxon Corp. Project Series 1984
C (A-1+/P1)
$ 4,500,000 4.70% 01/03/2000 $ 4,500,000
Sweetwater County PCRB for Pacificorp Project Series 1990 A (CSFB LOC)
(VMIG1)
9,400,000 5.15 01/05/2000 9,400,000
- -------------------------------------------------------------------------------------------------
$ 13,900,000
- -------------------------------------------------------------------------------------------------
Total Investments $1,748,545,655
- -------------------------------------------------------------------------------------------------
</TABLE>
+Forward commitments.
Interest rates represent either the stated coupon rate, or for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those type of securities.
Security ratings are unaudited.
The 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.
17
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California--93.4%
Alameda County TRANS Series 2000 (SP-1+/MIG1)
$ 4,000,000 4.00% 07/07/2000 $ 4,013,515
Alameda-Contra Costa Schools Financing Authority VRDN for Capital
Improvement Financing Project Series F (A-1)
5,355,000 4.70 01/06/2000 5,355,000
California Community College Financing Authority TRANS
Series 1999 C (FSA) (SP-1+)
8,695,000 4.00 09/29/2000 8,728,295
California Community College Financing Authority TRANS
Series 2000 A (FSA) (SP-1+)
8,115,000 4.00 06/30/2000 8,127,115
California Health Facilities Financing Authority Insured Variable Rate
Hospital RB for Adventist Health System/West Series 1998 A (MBIA) (A-
1+/VMIG1)
7,200,000 4.25 01/03/2000 7,200,000
California Pollution Control Financing Authority Adjustable PCRB for
Pacific Gas & Electric Company Series 1997 A (A-1+)
22,300,000 4.25 01/03/2000 22,300,000
California Pollution Control Financing Authority Adjustable PCRB for
Southern California Edison Co. Series 1986 A (A-1/VMIG1)
32,500,000 4.10 01/03/2000 32,500,000
California Pollution Control Financing Authority Adjustable PCRB for
Southern California Edison Co. Series 1986 D (A-1/VMIG1)
1,900,000 4.10 01/03/2000 1,900,000
California Pollution Control Financing Authority Adjustable TRB for
Southern California Edison Co. Series 1986 C (A-1/VMIG1)
2,200,000 4.10 01/03/2000 2,200,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1996 F (Banque Nationale de Paris SA LOC) (A-1+)
14,875,000 4.25 01/03/2000 14,875,000
California Pollution Control Financing Authority RB for Shell Oil
Series 1991 A (A-1+/VMIG1)
2,400,000 4.20 01/03/2000 2,400,000
1,600,000 4.20 01/03/2000 1,600,000
2,400,000 4.20 01/03/2000 2,400,000
California Pollution Control Financing Authority RB for Shell Oil
Series 1991 B (A-1+/VMIG1)
6,750,000 4.20 01/03/2000 6,750,000
California Pollution Control Financing Authority RB for Shell Oil
Series 1991 C (A-1+/VMIG1)
2,650,000 4.20 01/03/2000 2,650,000
California Pollution Control Financing Authority PCRB for Pacific Gas &
Electric Company Series 1996 E (Morgan Guaranty Trust Company of New York
LOC) (A-1+/VMIG1)
47,850,000 4.05 01/03/2000 47,850,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
California Pollution Control Financing Authority PCRB for Southern
California Edison Co. Series 1986 B (A-1/VMIG1)
$ 1,000,000 4.10% 01/03/2000 $ 1,000,000
California School Cash Reserve Program Authority Pool Bonds Series 1999 A
(AMBAC) (SP-1+/MIG1)
25,000,000 4.00 07/03/2000 25,055,404
California State Series 1997 (A-1+(C))
18,870,000 5.15 01/06/2000 18,870,000
California State Series 1997 (FGIC) (A-1+)
22,000,000 5.38 01/05/2000 22,000,000
California Statewide Communities Development Authority TRANS Series 1999
C-1 (FSA) (SP-1+/MIG1)
18,145,000 4.00 06/30/2000 18,200,505
3,400,000 4.00 09/29/2000 3,412,734
California Statewide Development Authority Series 1999 C-2
(SP-1+/MIG1)
12,000,000 4.00 09/29/2000 12,027,369
Chula Vista IDRB for San Diego Gas & Electric Company Series 1996 A (A-
1/MIG1)
22,650,000 4.30 01/03/2000 22,650,000
East Bay Municipal Utility District Water & Waste Water CP Notes
(A-1+/P-1)
7,800,000 3.35 03/20/2000 7,800,000
5,000,000 3.55 04/10/2000 5,000,000
Fremont VRDN COP for Family Resources Center Financing Project Series 1998
(A-1+)
4,000,000 4.70 01/06/2000 4,000,000
Fremont VRDN MF Hsg. RB for Creekside Village Apartments Series 1985 D
(KBC Bank LOC) (VMIG1)
14,400,000 4.90 01/06/2000 14,400,000
Fresno GO TRANS Series 1999-2000 (SP-1+/MIG1)
15,000,000 4.00 06/30/2000 15,046,116
Fresno VRDN MF Hsg. Refunding RB for Heron Pointe Apartments Series 1996 A
(Wells Fargo Bank LOC) (VMIG1)
3,315,000 4.90 01/05/2000 3,315,000
Huntington Beach MF Hsg. RB for Essex Huntington Breakers Series 1996 A
(FHLMC) (VMIG1)
13,000,000 4.90 01/05/2000 13,000,000
Huntington Beach MF Hsg. RB for Seabridge Villas Series 1985 A (VMIG1)
7,200,000 4.00 01/03/2000 7,200,000
Irvine Ranch District Consolidated Refunding GO RB Series 1985 B
(Landesbank Hessen--Thueringen Girozentrale) (A-1+)
11,300,000 4.00 01/03/2000 11,300,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Irvine Ranch Water District VRDN Consolidated Refunding GO Series 1989
(Toronto Dominion Bank LOC) (A-1+/VMIG1)
$11,225,000 4.00% 01/03/2000 $ 11,225,000
Kings County Housing Authority VRDN MF Hsg. Refunding for Edgewater Series
1996 A (Wells Fargo Bank LOC) (VMIG1)
6,555,000 4.90 01/05/2000 6,555,000
Long Beach City Housing Authority VRDN MF Hsg. RB for Channel Point
Apartment Series 1998 A (FNMA) (A-1)
6,250,000 4.90 01/06/2000 6,250,000
Los Angeles City TRANS GO Series 1999 (SP-1+/MIG1)
5,000,000 4.00 06/30/2000 5,015,546
Los Angeles County TRANS GO Series 1999-2000 A (SP-1+/MIG1)
10,000,000 4.00 06/30/2000 10,032,530
Los Angeles County Housing Authority Variable Rate MF Hsg. Refunding RB
for Malibu Meadows Project Series 1998 B (FNMA)
(A-1+)
6,400,000 4.90 01/06/2000 6,400,000
Los Angeles County Housing Authority Variable Rate MF Hsg. Refunding RB
for Malibu Project II Series 1998 C (FNMA) (A-1+)
14,349,000 4.90 01/06/2000 14,349,000
Los Angeles County Metro TRANS Sales Tax Revenue RB Series 1993 A (MBIA)
(A-1/VMIG1)
45,555,000 4.90 01/06/2000 45,555,000
Los Angeles County Pension Obligation Adjustable Refunding RB Series 1996
A (AMBAC) (A-1+/VMIG1)
13,300,000 4.85 01/05/2000 13,300,000
Los Angeles County Pension Obligation Adjustable Refunding RB Series 1996
B (AMBAC) (A-1+/VMIG1)
15,700,000 4.85 01/05/2000 15,700,000
Los Angeles County Pension Obligation Adjustable Refunding RB Series 1996
C (AMBAC) (A-1+/VMIG1)
14,700,000 4.85 01/05/2000 14,700,000
Los Angeles County Schools TRANS Series 1999 B (FSA) (SP-1+)
15,000,000 4.00 09/29/2000 15,064,588
Los Angeles Waste Water Systems Revenue (Morgan Guaranty Trust/UBS) (A-
1+/P-1)
7,000,000 3.50 04/05/2000 7,000,000
4,000,000 3.55 04/10/2000 4,000,000
Metropolitan Water District Southern California Adjustable Authorization
RB Series 1997 B (A-1+/VMIG1)
13,500,000 4.80 01/06/2000 13,500,000
Metropolitan Water District Southern California Adjustable Authorization
RB Series 1997 C (A-1+/VMIG1)
10,000,000 4.25 01/06/2000 10,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Metropolitan Water District Southern California Adjustment Adjusted RB
Series 1999 B (A-1+/VMIG1)
$ 2,000,000 3.65% 06/01/2000 $ 2,000,000
Metropolitan Water District Southern California Series A (A-1+/P-1)
9,400,000 3.25 03/03/2000 9,400,000
MSR Public Power Agency Subordinate Lien RB for San Juan Project Series
1997 D (MBIA) (A-1+/VMIG1)
19,000,000 5.10 01/06/2000 19,000,000
MSR Public Power Agency Subordinate Lien RB for San Juan Project Series
1997 E (MBIA) (A-1+/VMIG1)
6,000,000 4.80 01/06/2000 6,000,000
Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital Series 1992
(A-1+/VMIG1)
8,890,000 4.40 01/03/2000 8,890,000
Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital Series 1996
A (A-1+/VMIG1)
4,500,000 4.40 01/03/2000 4,500,000
Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital Series 1996
B (A-1+/VMIG1)
6,000,000 4.40 01/03/2000 6,000,000
Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital Series 1996
C (A-1+/VMIG1)
5,900,000 4.40 01/03/2000 5,900,000
Newport Beach VRDN RB for Hoag Memorial Presbyterian Hospital Series 1999
B (A-1+/VMIG1)
15,000,000 4.95 01/05/2000 15,000,000
Oakland Joint Powers Financing Authority Lease VRDN RB Series 1998 A2
(FSA) (A-1+/VMIG1)
2,000,000 4.70 01/01/2000 2,000,000
Orange County VRDN Apartment Development RB for Hidden Hills Development
Corporation Series 1985 C (FHLMC) (VMIG1)
5,000,000 4.50 01/04/2000 5,000,000
Orange County VRDN Apartment Development RB for Niguel Summit Series 1985
A (FNMA) (VMIG1)
9,000,000 4.50 01/04/2000 9,000,000
Orange County VRDN Apartment Development RB for Seaside Meadow Series 1984
C (KBC Bank N.V. LOC) (VMIG1)
24,000,000 4.90 01/06/2000 24,000,000
Orange County VRDN Apartment Development RB Refunding for Larkspur Canyon
Apartment Series 1997 A (FNMA) (A-1+)
7,635,000 4.90 01/05/2000 7,635,000
Orange County VRDN Apartment Development RB Refunding for Park Ridge
Villas Series 1998 (FNMA) (A-1+/VMIG1)
9,000,000 4.90 01/06/2000 9,000,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt California Portfolio (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California (continued)
Palo Alto Unified School District Series 1997 SGA 53 (A-1+)
$ 9,830,000 5.35% 01/05/2000 $ 9,830,000
Sacramento County COPS for Administration Center and Courthouse Project
Series 1990 (UBS AG) (A-1+/VMIG1)
23,965,000 4.70 01/06/2000 23,965,000
Sacramento County Housing Authority VRDN MF Hsg. Refunding RB for Stone
Creek Apartments Series 1997 (FNMA) (A-1+)
8,450,000 4.90 01/06/2000 8,450,000
San Bernardino County VRDN MF Hsg. Refunding RB for Evergreen Apartments
Series 1999 A (FNMA) (A-1+)
9,400,000 4.90 01/06/2000 9,400,000
San Diego Certificates of Undivided Interest Series 1998 (A-1+)
15,685,000 5.15 01/06/2000 15,685,000
San Diego County VRDN MF Hsg. Country Hills Series 1985 C (A-1+)
9,700,000 5.00 01/05/2000 9,700,000
San Diego County Water Authority Series 1 (A-1/P-1)
5,000,000 3.50 04/11/2000 5,000,000
6,800,000 3.50 04/13/2000 6,800,000
San Francisco City & County Housing Authority VRDN MF Hsg. RB Series 1985
D (Banque Nationale Paris LOC) (A-1+)
7,000,000 4.95 01/05/2000 7,000,000
Southern California Public Power Authority Power Project Subordinate
Refunding RB for Palo Verde Series 1996 B (AMBAC) (A-1+/VMIG1)
8,000,000 4.85 01/05/2000 8,000,000
Southern California Public Power Authority VRDN Refunding RB for Southern
Transmission Project Series 1991 (AMBAC) (A-1+/VMIG1)
29,300,000 4.85 01/05/2000 29,300,000
Southern Public Power Authority Refunding RB for Palo Verde Project Series
1996 C (AMBAC) (A-1+/VMIG1)
7,000,000 4.85 01/05/2000 7,000,000
University California Revenues Series A (A-1+/P-1)
6,500,000 3.25 03/08/2000 6,500,000
10,300,000 3.35 04/07/2000 10,300,000
5,500,000 3.50 04/12/2000 5,500,000
- -----------------------------------------------------------------------------------------------
$869,527,717
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Puerto Rico--5.1%
Puerto Rico Government Development Bank (CP Program) (A-1+)
$ 2,200,000 3.35% 01/26/2000 $ 2,200,000
10,000,000 3.25 01/27/2000 10,000,000
4,443,000 3.35 01/28/2000 4,443,000
5,000,000 3.35 03/06/2000 5,000,000
3,000,000 3.55 04/11/2000 3,000,000
5,000,000 3.70 04/11/2000 5,000,000
10,000,000 3.40 04/14/2000 10,000,000
Puerto Rico Government Development Bank VRDN Series 1995 (MBIA) (A-
1+/VMIG1)
8,200,000 4.95 01/05/2000 8,200,000
- -----------------------------------------------------------------------------------------------
$ 47,843,000
- -----------------------------------------------------------------------------------------------
Total Investments $917,370,717
- -----------------------------------------------------------------------------------------------
</TABLE>
Interest rates represent either the stated coupon rate, or for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
20
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York--94.6%
Baldwin Union Free School District GO TANS Series 1999 (MIG1)
$1,200,000 4.00% 06/30/2000 $ 1,202,003
City of Yonkers Civic Facility IDA RB Adjustment for Consumers Union
Facility Series 1991 (Credit Local de France LOC) (VMIG1)
2,500,000 5.65 01/05/2000 2,500,000
City of Yonkers Civic Facility IDA RB for Consumers Union Facility Series
1989 (Credit Local de France LOC) (VMIG1)
2,638,000 5.65 01/05/2000 2,638,000
Great Neck North Water Authority Water System VRDN RB Series 1993 A
(FGIC) (A-1+/VMIG1)
4,800,000 5.45 01/05/2000 4,800,000
Long Island Power Authority Electric System VRDN RB Series 1 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-
1+/VMIG1)
8,100,000 5.75 01/05/2000 8,100,000
Long Island Power Authority Electric System VRDN RB Series 1998 2
(Bayerische Landesbank Girozentrale/Westdeutsche Landesbank
Girozentrale) (A-1+/VMIG1)
3,000,000 5.50 01/05/2000 3,000,000
Long Island Power Authority Electric System VRDN RB Series 4 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-
1+/VMIG1)
3,500,000 3.65 01/27/2000 3,500,000
2,000,000 3.75 04/11/2000 2,000,000
Municipal Assistance Corp. RB for the City of New York Series 1996 E (AA-
/Aa2)
4,550,000 5.50 07/01/2000 4,593,417
Municipal Assistance Corp. RB for the City of New York Series 1998 M
(AA/Aa2)
3,000,000 5.00 07/01/2000 3,023,254
Nassau County IDA Civic Facility & Improvement RB for Cold Spring Harbor
Laboratory Series 1999 (A-1+)
9,150,000 4.75 01/03/2000 9,150,000
New York City Adjustment GO VRDN Series 1992 D (FGIC) (A-1+/VMIG1)
2,500,000 5.70 01/05/2000 2,500,000
New York City GO Escrowed to Maturity Series 1994 E (U.S. Treasury Bond)
(A-/Aaa)
4,905,000 6.10 08/01/2000 4,971,595
New York City GO Escrowed to Maturity Series 1995 E (U.S. Treasury Bond)
(A-/Aaa)
5,000,000 5.00 02/15/2000 5,011,739
New York City GO Series 1993 B (FGIC) (A-1+/VMIG1)
1,400,000 4.50 01/03/2000 1,400,000
New York City GO Series 1994 A-10 (Morgan Guaranty Trust Company of New
York LOC) (A-1+/VMIG1)
200,000 4.50 01/03/2000 200,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York City GO VRDN Adjustable Series 1994 E-3 (Morgan Guaranty Trust
Company of New York LOC) (A-1+/VMIG1)
$1,600,000 4.75% 01/03/2000 $ 1,600,000
New York City GO VRDN Series 1993 B (FGIC) (AAA/Aaa)
600,000 4.50 01/03/2000 600,000
New York City GO VRDN Series 1994 C (Morgan Guaranty Trust Company of New
York LOC) (A-1+/VMIG1)
750,000 4.50 01/03/2000 750,000
New York City Health & Hospital Corp. Health System Bonds RB Series 1997
C (A-1+/VMIG1)
900,000 5.40 01/05/2000 900,000
New York City Health & Hospital Corp. Health System Bonds RB Series 1997
D (A-1+/VMIG1)
1,500,000 5.50 01/05/2000 1,500,000
New York City Health & Hospital Corp. VRDN Health Metropolitan Museum of
Art Series 1993 A System Bonds Series 1997 B (Canadian Imperial Bank of
Commerce LOC) (A-1+/VMIG1)
7,120,000 5.40 01/05/2000 7,120,000
New York City Municipal Water Finance Authority Water & Sewer System
Adjustable Series 1995 A (FGIC) (A-1+/VMIG1)
1,200,000 4.50 01/03/2000 1,200,000
New York City Municipal Water Finance Authority Water & Sewer System VRDN
Series 1993 C (FGIC) (A-1+/VMIG1)
200,000 5.00 01/03/2000 200,000
New York City Transitional Finance Authority Future Tax Secured Bonds
Series 1999 A-1 (A-1+/VMIG1)
8,595,000 5.50 01/05/2000 8,595,000
New York City Trust for Resources for American Museum of National History
Series 1999 B (AMBAC) (Aaa)
3,000,000 3.70 07/01/2000 3,000,000
New York City Trust for Resources Multi-Mode Bonds for Solomon Guggenheim
Foundation VRDN Series 1990 B (Westdeutsche Landesbank Girozentrale) (A-
1+/VMIG1)
2,155,000 4.75 01/03/2000 2,155,000
New York State Dormitory Authority Cornell University (A-1+/P-1)
2,000,000 3.75 04/06/2000 2,000,000
New York State Dormitory Authority RB VRDN for Cornell University Series
1990 B (Morgan Guaranty Trust SPA) (A-1+/VMIG1)
3,200,000 4.75 01/03/2000 3,200,000
New York State Dormitory Authority RB VRDN for the (A-1+/VMIG1)
5,415,000 5.35 01/05/2000 5,415,000
New York State Energy Research & Development Authority Gas Facilities RB
VRDN for Brooklyn Union Gas Series 1997 A-1 (MBIA) (A-1+/VMIG1)
6,765,000 5.45 01/05/2000 6,765,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
21
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
ILA Tax-Exempt New York Portfolio (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<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 Facilities RB
VRDN for Brooklyn Union Gas Series 1997 A-2 (MBIA) (A-1+/VMIG1)
$1,800,000 5.35% 01/05/2000 $ 1,800,000
New York State Energy Research & Development Authority PCRB for New York
State Electric & Gas Corp. Series 1994 C (Morgan Guaranty Trust) (A-
1+/VMIG1)
4,515,000 4.65 01/03/2000 4,515,000
New York State Energy Research & Development Authority PCRB for Rochester
Gas & Electric Corp. Series 1997 A (MBIA) (A-1+/VMIG1)
4,700,000 5.40 01/05/2000 4,700,000
New York State Energy Research & Development Authority PCRB VRDN for
Orange & Rockland Utilities Series 1995 A (AMBAC)
(A-1+/VMIG1)
2,400,000 5.05 01/05/2000 2,400,000
New York State Energy Research & Development Authority Facilities RB VRDN
for Consolidated Edison Corp. Series 1999 A-2 (A-1/F1+)
2,000,000 5.45 01/05/2000 2,000,000
New York State Energy Research & Development Authority Facilities RB VRDN
for Consolidated Edison Corp. Series 1999 A-3 (A-1/F1+)
2,000,000 5.35 01/05/2000 2,000,000
New York State Energy Research & Development Authority PCRB CP for New
York State Electric & Gas Corp. Series 1994 B (Mellon Bank) (A-1+/VMIG1)
2,600,000 5.05 01/03/2000 2,600,000
New York State Energy Research & Development Authority PCRB CP for New
York State Electric & Gas Corp. Series 1994 D (Bank One, NA LOC) (A-
1+/VMIG1)
1,600,000 4.65 01/03/2000 1,600,000
New York State Environmental Facilities Corp. State Water PCRB Series
1996 B (AAA/Aaa)
1,000,000 3.90 02/15/2000 1,001,140
New York State Environmental Facilities Corp. RB Eagle Tax-Exempt Trust
Series 1996 C3204 COPS (A-1+(C))
6,650,000 5.53 01/06/2000 6,650,000
New York State Environmental GO Series 1998 G (VMIG1)
5,000,000 3.90 10/05/2000 5,000,000
New York State Housing Finance Agency RB for State University
Construction Series 1973 A (U.S. Treasury Bond) (AAA/Aaa)
1,800,000 5.80 11/01/2000 1,830,821
New York State Housing Finance Agency RB VRDN for Liberty View Apartments
Housing Series 1997 A (FNMA) (A-1+)
6,000,000 5.50 01/05/2000 6,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
New York (continued)
New York State Housing Finance Agency RB VRDN for Talleyrand Crescent
Housing Series 1999 A (Fleet National Bank LOC) (VMIG1)
$8,000,000 5.60% 01/05/2000 $ 8,000,000
New York State Housing Finance Agency RB VRDN for Tribeca Park Housing
Series 1997 A (Bayerische Hypotheken Vereinsbank AG LOC) (VMIG1)
5,000,000 5.60 01/05/2000 5,000,000
New York State Local Government Assistance Corp. RB VRDN Series 1995 B
(Bank of Nova Scotia LOC) (A-1+/VMIG1)
7,700,000 5.40 01/05/2000 7,700,000
New York State Local Government Assistance Corp. RB VRDN Series 1995 C
(Landesbank Hessen-Thueringen Girozentrale) (A-1+/VMIG1)
3,700,000 5.40 01/05/2000 3,700,000
New York State Local Government Assistance Corp. RB VRDN Series 1995 F
(Toronto Dominion Bank LOC) (A-1+/VMIG1)
2,900,000 5.40 01/05/2000 2,900,000
New York State Local Government Assistance Corp. RB VRDN Series 1995 G
(Bank of Nova Scotia LOC) (A-1+/VMIG1)
3,600,000 5.00 01/05/2000 3,600,000
Oswego County IDA PCRB Series 1992 for Phillip Morris Companies (A-1/P-1)
1,000,000 5.45 01/05/2000 1,000,000
Rensselaer County IDA RB for Rensselaer Polytechnic Institute Civic
Facilities Series 1997 A (VMIG1)
4,365,000 5.40 01/06/2000 4,365,000
Scarsdale Union Free School District TANS 1999-2000
3,600,000 4.25 06/29/2000 3,614,552
Triborough Bridge & Tunnel Authority Series 1999 C (AMBAC) (A-1+/VMIG1)
2,000,000 5.40 01/06/2000 2,000,000
- -----------------------------------------------------------------------------------------------
$187,566,521
- -----------------------------------------------------------------------------------------------
Puerto Rico--4.8%
Puerto Rico Government Development Bank (A-1+)
$6,840,000 3.35% 03/08/2000 $ 6,840,000
Puerto Rico Government Development Bank VRDN Series 1985 (MBIA) (A-
1+/VMIG1)
2,600,000 4.95 01/05/2000 2,600,000
- -----------------------------------------------------------------------------------------------
$ 9,440,000
- -----------------------------------------------------------------------------------------------
Total Investments $197,006,521
- -----------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
Interest rates represent either the stated coupon rate, or for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
The percentage shown for each category reflects the value of investments in
that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
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.
23
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
<S> <C> <C> <C>
------------------------------------------
Assets:
Investment in securities, at value
based on amortized cost $1,250,449,967 $1,729,698,634 $287,346,652
Cash 43,483 65,449 93,337
Receivables:
Interest 5,964,555 10,058,504 1,637,932
Fund shares sold 462,702 -- --
Reimbursement from adviser 41,962 -- 4,428
Other assets 1,352 340 128
- ------------------------------------------------------------------------------
Total assets 1,256,964,021 1,739,822,927 289,082,477
- ------------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased -- -- --
Income distribution 623,725 571,301 399,011
Fund shares repurchased 52,653 794,185 16,721
Amounts owed to affiliates 375,257 595,985 110,880
Accrued expenses and other
liabilities 96,986 201,345 46,967
- ------------------------------------------------------------------------------
Total liabilities 1,148,621 2,162,816 573,579
- ------------------------------------------------------------------------------
Net Assets:
Paid-in capital 1,255,815,400 1,737,660,111 288,508,898
Accumulated undistributed net
investment income -- -- --
Accumulated net realized loss on
investment transactions -- -- --
- ------------------------------------------------------------------------------
Net Assets $1,255,815,400 $1,737,660,111 $288,508,898
- ------------------------------------------------------------------------------
Net asset value, offering and
redemption price per unit/share
(net assets/units or shares
outstanding) $1.00 $1.00 $1.00
- ------------------------------------------------------------------------------
Units/Shares outstanding:
ILA units 1,095,108,712 1,346,764,687 205,201,522
ILA Administration units 40,850,060 6,961,404 3,264,963
ILA Service units 92,975,299 383,932,405 79,834,246
ILA Class B units 19,443,805 -- --
ILA Class C units 7,435,909 -- --
Cash Management shares 1,615 1,615 152,533
- ------------------------------------------------------------------------------
Total units/shares of beneficial
interest outstanding, $.001 par
value (unlimited number of
shares authorized) 1,255,815,400 1,737,660,111 288,453,264
- ------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
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>
$708,684,484 $557,972,806 $3,437,049,936 $1,748,545,655 $917,370,717 $197,006,521
13,087 70,760 73,237 32,849,743 8,413,017 55,612
4,026,044 6,941,698 20,104,978 12,354,062 6,307,008 1,173,816
-- -- 1,750,000 3,690 -- --
-- -- -- -- -- 10,904
877 111 16,817 7,338 9,279 20
- --------------------------------------------------------------------------------------
712,724,492 564,985,375 3,458,994,968 1,793,760,488 932,100,021 198,246,873
- --------------------------------------------------------------------------------------
-- -- -- 9,000,000 -- --
1,050,618 1,330,787 1,115,572 424,875 144,969 23,205
-- -- -- -- -- --
180,396 199,406 1,118,052 584,958 297,481 61,501
73,055 201,652 213,078 51,039 48,606 20,735
- --------------------------------------------------------------------------------------
1,304,069 1,731,845 2,446,702 10,060,872 491,056 105,441
- --------------------------------------------------------------------------------------
711,420,423 563,253,530 3,456,548,266 1,783,845,571 931,639,614 198,144,359
-- -- -- -- -- --
-- -- -- (145,955) (30,649) (2,927)
- --------------------------------------------------------------------------------------
$711,420,423 $563,253,530 $3,456,548,266 $1,783,699,616 $931,608,965 $198,141,432
- --------------------------------------------------------------------------------------
$ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------------
404,299,123 224,609,321 3,171,330,484 1,734,715,414 895,417,731 160,302,596
42,333,992 32,161,610 836,258 28,084,416 8,910,562 37,838,614
264,787,308 306,482,599 284,381,524 20,988,232 27,228,779 1,590
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- 1,562 1,555 1,559
- --------------------------------------------------------------------------------------
711,420,423 563,253,530 3,456,548,266 1,783,789,624 931,558,627 198,144,359
- --------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
25
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Operations
For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
------------------------------------
<S> <C> <C> <C>
Investment income:
Interest income $58,088,705 $93,239,049 $22,046,419
- -----------------------------------------------------------------------------
Expenses:
Management fees 3,897,948 6,253,719 1,521,689
Transfer agent fees(a) 445,314 714,161 173,909
Distribution and service fees(b) 229,135 -- --
Custodian fees 187,273 270,380 87,048
Registration fees 264,390 179,740 120,161
Professional fees 54,783 55,684 50,976
Trustee fees 9,833 10,754 9,834
Administration share fees 57,419 53,223 9,844
Service share fees 417,319 1,290,742 366,922
Other 15,831 40,996 14,052
- -----------------------------------------------------------------------------
Total expenses 5,579,245 8,869,399 2,354,435
Less--expenses reimbursed and fees
waived (41,962) -- (90,702)
- -----------------------------------------------------------------------------
Net Expenses 5,537,283 8,869,399 2,263,733
- -----------------------------------------------------------------------------
Net investment income 52,551,422 84,369,650 19,782,686
- -----------------------------------------------------------------------------
Net realized gain (loss) on investment
transactions 2,529 -- (326)
- -----------------------------------------------------------------------------
Net increase in net assets resulting
from operations $52,553,951 $84,369,650 $19,782,360
- -----------------------------------------------------------------------------
</TABLE>
(a) The following Portfolios had transfer agency fees of:
<TABLE>
<CAPTION>
ILA Administration Service Class B Class C CMS
Portfolio units units units units units shares
<S> <C> <C> <C> <C> <C> <C>
Prime Obligation $ 379,114 $15,307 $ 41,726 $6,522 $2,644 $ 1
Money Market 570,902 14,193 129,066 -- -- --
Government 134,585 2,626 36,693 -- -- 5
Treasury Obligations 218,686 24,160 23,428 -- -- --
Treasury Instruments 107,404 33,874 129,298 -- -- --
Federal 1,099,877 78,223 111,024 -- -- --
Tax-Exempt Diversified 638,415 12,840 11,136 -- -- --
Tax-Exempt California 281,283 5,317 3,384 -- -- 1
Tax-Exempt New York 64,405 8,198 -- -- -- --
</TABLE>
(b) Class B and Class C units for ILA Prime Obligations Portfolio had
distribution and service fees of $163,044 and $66,091, respectively.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$32,812,334 $31,800,182 $165,003,694 $54,068,619 $21,788,292 $5,744,249
- --------------------------------------------------------------------------
2,329,913 2,367,541 11,279,837 5,795,921 2,537,365 635,270
266,274 270,576 1,289,124 662,391 289,985 72,603
-- -- -- -- -- --
127,774 126,908 420,591 139,719 125,588 23,539
2,152 51,164 92,395 210,344 73,949 5,092
54,188 51,738 50,521 59,172 54,036 51,428
9,834 9,834 11,026 10,845 10,660 9,834
90,628 127,026 293,344 48,148 19,940 30,750
234,094 1,292,984 1,110,241 111,352 33,838 --
19,297 24,944 70,840 90,387 30,568 7,270
- --------------------------------------------------------------------------
3,134,154 4,322,715 14,617,919 7,128,279 3,175,929 835,786
-- -- -- -- (77,882) (17,287)
- --------------------------------------------------------------------------
3,134,154 4,322,715 14,617,919 7,128,279 3,098,047 818,499
- --------------------------------------------------------------------------
29,678,180 27,477,467 150,385,775 46,940,340 18,690,245 4,925,750
- --------------------------------------------------------------------------
8,167 99,896 5,411 1,140 (30,649) 114
- --------------------------------------------------------------------------
$29,686,347 $27,577,363 $150,391,186 $46,941,480 $18,659,596 $4,925,864
- --------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
27
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio Portfolio Portfolio
<S> <C> <C> <C>
--------------------------------------------------
From operations:
Net investment income $ 52,551,422 $ 84,369,650 $ 19,782,686
Net realized gain (loss) on
investment transactions 2,529 -- (326)
- --------------------------------------------------------------------------------
Net increase in net
assets resulting from
operations 52,553,951 84,369,650 19,782,360
- --------------------------------------------------------------------------------
Distributions to
shareholders:
From net investment income
ILA units (45,384,123) (68,460,223) (15,599,484)
ILA Administration units (1,780,071) (1,645,299) (290,075)
ILA Service units (4,517,300) (14,264,059) (3,892,170)
ILA Class B units (623,673) -- --
ILA Class C units (248,714) -- --
Cash Management shares (70) (69) (630)
- --------------------------------------------------------------------------------
Total distributions to
unit/shareholders (52,553,951) (84,369,650) (19,782,359)
- --------------------------------------------------------------------------------
From share transactions:
Proceeds from sales of
unit/shares 7,836,070,067 12,281,385,755 1,811,769,575
Reinvestment of dividends
and distributions 45,571,600 84,608,022 15,023,063
Cost of unit/shares
repurchased (7,642,384,057) (12,325,328,457) (2,034,953,029)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from share transactions 239,257,610 40,665,320 (208,160,391)
- --------------------------------------------------------------------------------
Total increase (decrease) 239,257,610 40,665,320 (208,160,390)
Net assets:
Beginning of year 1,016,557,790 1,696,994,791 496,669,288
- --------------------------------------------------------------------------------
End of year $1,255,815,400 $1,737,660,111 $288,508,898
- --------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- --
- --------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California Tax-Exempt New
Portfolio Portfolio Portfolio Portfolio Portfolio York Portfolio
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 29,678,180 $ 27,477,467 $ 150,385,775 $ 46,940,340 $ 18,690,245 $ 4,925,750
8,167 99,896 5,411 1,140 (30,649) 114
- -------------------------------------------------------------------------------------------------------
29,686,347 27,577,363 150,391,186 46,941,480 18,659,596 4,925,864
- -------------------------------------------------------------------------------------------------------
(24,606,852) (11,518,920) (129,728,192) (45,416,285) (18,171,355) (4,390,985)
(2,625,955) (3,465,849) (8,725,681) (854,367) (316,939) (534,693)
(2,453,540) (12,595,226) (11,937,454) (669,649) (201,917) (36)
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- (39) (34) (36)
- -------------------------------------------------------------------------------------------------------
(29,686,347) (27,579,995) (150,391,327) (46,940,340) (18,690,245) (4,925,750)
- -------------------------------------------------------------------------------------------------------
3,719,606,593 2,554,504,387 17,348,923,131 9,977,368,160 4,442,494,150 1,075,546,032
18,136,217 11,896,253 139,921,416 46,434,419 18,936,186 5,033,322
(3,876,771,086) (2,850,433,896) (17,220,292,178) (9,866,750,232) (4,114,921,916) (1,026,571,140)
- -------------------------------------------------------------------------------------------------------
(139,028,276) (284,033,256) 268,552,369 157,052,347 346,508,420 54,008,214
- -------------------------------------------------------------------------------------------------------
(139,028,276) (284,035,888) 268,552,228 157,053,487 346,477,771 54,008,328
850,448,699 847,289,418 3,187,996,038 1,626,646,129 585,131,194 144,133,104
- -------------------------------------------------------------------------------------------------------
$711,420,423 $563,253,530 $3,456,548,266 $1,783,699,616 $931,608,965 $198,141,432
- -------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
29
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money
Obligations Market Government
Portfolio(a) Portfolio(a) Portfolio(a)
------------------------------------------
<S> <C> <C> <C>
From operations:
Net investment income $ 53,703,342 $ 78,102,208 $ 24,352,402
Net realized gain on
investment transactions 27,766 6,924 --
- --------------------------------------------------------------------------------
Net increase in net
assets resulting from
operations 53,731,108 78,109,132 24,352,402
- --------------------------------------------------------------------------------
Distributions to
unit/shareholders:
From net investment income
ILA units (46,200,440) (60,149,271) (19,247,644)
ILA Administration units (1,890,467) (16,225,977) (483,492)
ILA Service units (5,216,323) (1,733,835) (4,621,219)
ILA B units (243,815) -- --
ILA C units (178,389) -- --
ILA Cash Management shares (49) (49) (47)
- --------------------------------------------------------------------------------
Total distributions to
unit/shareholders (53,729,483) (78,109,132) (24,352,402)
- --------------------------------------------------------------------------------
From unit/share
transactions (at $1.00 per
unit/share):
Proceeds from sales of
units/shares 8,542,913,228 11,101,396,894 2,593,217,390
Reinvestment of dividends
and distributions 39,783,380 67,128,955 15,532,324
Cost of units/shares
repurchased (8,542,482,500) (10,605,623,755) (2,666,528,542)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from unit/share
transactions 40,214,108 562,902,094 (57,778,828)
- --------------------------------------------------------------------------------
Total increase (decrease) 40,215,733 562,902,094 (57,778,828)
Net assets:
Beginning of year 976,342,057 1,134,092,697 554,448,116
- --------------------------------------------------------------------------------
End of year $ 1,016,557,790 $ 1,696,994,791 $ 496,669,288
- --------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- $ 18,915
- --------------------------------------------------------------------------------
</TABLE>
(a) Cash Management share activity commenced May 1, 1998.
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio(a) Portfolio(a) Portfolio(a)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 37,394,023 $ 32,887,361 $ 141,739,197 $ 53,198,631 $ 18,309,330 $ 4,031,415
242,821 324,555 15,167 2,502 99,181 1,846
- ------------------------------------------------------------------------------------------------------
37,636,844 33,211,916 141,754,364 53,201,133 18,408,511 4,033,261
- ------------------------------------------------------------------------------------------------------
(29,331,672) (16,191,465) (114,206,301) (51,660,082) (18,277,052) (3,371,684)
(4,475,011) (4,556,321) (25,838,728) (689,810) (32,215) (659,667)
(3,830,207) (12,465,963) (1,709,577) (848,712) (38) (40)
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- (27) (25) (26)
- ------------------------------------------------------------------------------------------------------
(37,636,890) (33,213,749) (141,754,606) (53,198,631) (18,309,330) (4,031,417)
- ------------------------------------------------------------------------------------------------------
5,414,225,682 3,212,265,317 15,359,171,878 11,082,316,241 3,338,558,136 947,508,619
17,325,155 14,415,252 114,243,618 47,224,255 17,860,837 3,885,716
(5,399,775,367) (3,103,700,860) (14,900,519,079) (11,040,862,707) (3,362,752,135) (942,145,315)
- ------------------------------------------------------------------------------------------------------
31,775,470 122,979,709 572,896,417 88,677,789 (6,333,162) 9,249,020
- ------------------------------------------------------------------------------------------------------
31,775,424 122,977,876 572,896,175 88,680,291 (6,233,981) 9,250,864
818,673,275 724,311,542 2,615,099,863 1,537,965,838 591,365,175 134,882,240
- ------------------------------------------------------------------------------------------------------
$ 850,448,699 $ 847,289,418 $ 3,187,996,038 $ 1,626,646,129 $ 585,131,194 $ 144,133,104
- ------------------------------------------------------------------------------------------------------
-- -- $ 3,219 $ 362,642 $ 10,495 $ 1,632
- ------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
31
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1999
- --------------------------------------- ---------------------------------------
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 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. Tax-Exempt
portfolios seek to provide shareholders, to the extent consistent with the
preservation of capital and prescribed portfolio standards, with a high level
of income exempt from federal income tax by investing primarily in municipal
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 unit/shareholders. 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.
- --------------------------------------- ---------------------------------------
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
2. Significant Accounting Policies (continued)
At December 31, 1999 (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 $146,000 2001 to 2005
Tax-Exempt California 31,000 2007
</TABLE>
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
The amortized cost for each Portfolio stated in the accompanying Statements of
Assets and Liabilities also represents aggregate cost for federal income tax
purposes.
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.
E. Segregation Transactions--
The Portfolios may enter into forward commitments. These transactions involve a
commitment by the Fund to purchase or sell securities for a predetermined price
or yield, with payment and delivery taking place beyond the customary
settlement. As a result of entering into these transactions the Portfolios are
required to segregate liquid assets on the accounting records equal to or
greater than the market value of the corresponding transactions.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a unit of the Investment Management
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 $800 for the
year ended December 31, 1999.
GSAM has voluntarily agreed to reduce or limit the total operating expenses of
each Portfolio (excluding distribution and service fees, administration, cash
management 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 year ended
December 31, 1999 (in thousands):
<TABLE>
<CAPTION>
Expense
Portfolio Reimbursements
<S> <C>
Prime Obligations $42
- ------------------------------------------------------------------------------
Government 91
- ------------------------------------------------------------------------------
Tax-Exempt New York 17
</TABLE>
In addition, the Tax-Exempt California Portfolio has entered into certain
expense offset arrangements with the custodian resulting in a reduction in the
Portfolio's expenses, for the year ended December 31, 1999, the Tax-Exempt
California Portfolio's custody fees were reduced by approximately $77,882
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
- --------------------------------------- ---------------------------------------
33
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
3. Agreements (continued)
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.
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 December 31, 1999, the amounts owed to affiliates were as follows (in
thousands):
<TABLE>
<CAPTION>
Distribution Transfer
Portfolio Management and Service Agent Total
<S> <C> <C> <C> <C>
Prime
Obligations $339 $21 $15 $375
- -----------------------------------------------------------------------------------------------
Money
Market 535 -- 61 596
- -----------------------------------------------------------------------------------------------
Government 100 -- 11 111
- -----------------------------------------------------------------------------------------------
Treasury
Obligations 161 -- 19 180
- -----------------------------------------------------------------------------------------------
Treasury
Instruments 179 -- 20 199
- -----------------------------------------------------------------------------------------------
Federal 1,003 -- 115 1,118
- -----------------------------------------------------------------------------------------------
Tax-Exempt
Diversified 525 -- 60 585
- -----------------------------------------------------------------------------------------------
Tax-Exempt
California 266 -- 31 297
- -----------------------------------------------------------------------------------------------
Tax-Exempt
New York 56 -- 6 62
</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, under the most restrictive
arrangement, each Portfolio must own securities having a market value in excess
of 400% of the total bank borrowings. Effective November 30, 1999, the
Portfolios also participate in a $250,000,000 committed facility. These
facilities are to be used solely for temporary or emergency purposes. The
interest rate on borrowings is based on the Federal Funds rate. The committed
facility also requires a fee to be paid by the Portfolios based on the amount
of commitment which has not been utilized. During the year ended December 31,
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 December 31, 1999, the Prime Obligations, Money Market, Government and
Treasury Obligations Portfolios had undivided interests in the following joint
repurchase agreement account, which equaled $351,400,000, $263,900,000,
$21,400,000 and $197,700,000 in principal amount, respectively. At December 31,
1999, the
- --------------------------------------- ---------------------------------------
34
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
6. Joint Repurchase Agreement Accounts (continued)
repurchase agreements held in this joint account were fully collateralized by
U.S. Treasury obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Barclays Bank
$ 150,000,000 5.50% 01/03/2000 $ 150,000,000
Barclays Bank
713,200,000 2.75 01/03/2000 713,200,000
Donaldson, Lufkin & Jenrette, Inc.
1,500,000,000 2.50 01/03/2000 1,500,000,000
Goldman, Sachs & Co.
500,000,000 2.00 01/03/2000 500,000,000
SBC Warburg Dillon Read Corp.
1,275,000,000 2.50 01/03/2000 1,275,000,000
- ----------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $4,138,200,000
- ----------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1999, the Prime Obligations and Money Market Portfolios had
undivided interests in the following joint repurchase agreement account II,
which equaled $50,000,000 and $50,000,000 in principal amount, respectively. At
December 31, 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>
Banc of America Securities
$700,000,000 3.10% 01/03/2000 $ 700,000,000
Chase Manhattan Bank
340,000,000 3.15 01/03/2000 340,000,000
Morgan Stanley & Co.
501,500,000 3.25 01/03/2000 501,500,000
- ---------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account II $1,541,500,000
- ---------------------------------------------------------------------------------------------
</TABLE>
7. Other Matters
Pursuant to a Securities and Exchange Commission exemptive order, certain of
the Portfolios may enter into certain principal transactions, including
repurchase agreements, with Goldman Sachs subject to certain annual limitations
as follows: 25% of eligible security transactions, as defined, and 10% of
repurchase agreement transactions.
8. Certain Reclassifications
In accordance with Statement of Positions 93-2, the Government Portfolio has
reclassified $18,916 from accumulated undistributed net investment income to
paid-in capital. The Federal Portfolio has reclassified $3,078 and $141 to
paid-in-capital and accumulated net realized gain, respectively from
accumulated undistributed net investment income. The Tax-Exempt Diversified
Portfolio has reclassified $362,642 from accumulated undistributed net
investment income to paid-in capital. The Tax-Exempt California Portfolio has
reclassified $10,495 from accumulated undistributed net investment income to
paid in capital. The Tax-Exempt New York Portfolio has reclassified $1,632 from
accumulated undistributed net investment income to accumulated net realized
loss. These reclassifications have no impact on the net asset value of the
Portfolio and are designed to present the Portfolio's capital accounts on a tax
basis.
9. Change In Independent Auditor
On October 26, 1999, the Board of Trustees of the Portfolios, upon the
recommendation of the Board's audit committee, determined not to retain Arthur
Andersen LLP and approved a change of the Portfolio independent accountants to
PricewaterhouseCoopers LLP. For the fiscal years ended December 31, 1999 and
December 31, 1998, Arthur Andersen LLP audit reports contained no adverse
opinion or disclaimer of opinion; nor were their reports qualified or modified
as to uncertainty, audit scope, or accounting principles. Further, there were
no disagreements between the Fund and Arthur Andersen LLP on accounting
principles or practices, financial statement disclosure or audit scope or
procedure, which if not resolved to the satisfaction of Arthur Andersen LLP
would have caused them to make reference to the disagreement in their reports.
- --------------------------------------- ---------------------------------------
35
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------------------------------------------------
10. Summary of Unit Transactions (at $1.00 per unit/share)
Unit/share activity for the year ended December 31, 1999 is as follows:
<TABLE>
<CAPTION>
Prime
Obligations Money Market Government
Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
ILA units:
Units sold 6,187,318,969 8,475,508,367 1,555,372,030
Reinvestment of dividends and
distributions 38,954,021 68,634,390 10,825,271
Units repurchased (5,968,349,686) (8,547,694,426) (1,744,205,159)
----------------------------------------------
257,923,304 (3,551,669) (178,007,858)
- ------------------------------------------------------------------------------
ILA Administration units:
Units sold 341,083,548 316,803,676 14,714,311
Reinvestment of dividends and
distributions 1,643,764 2,932,445 225,705
Units repurchased (340,712,788) (627,102,159) (19,357,060)
----------------------------------------------
2,014,524 (307,366,038) (4,417,044)
- ------------------------------------------------------------------------------
ILA Service units:
Units sold 1,193,649,187 3,489,073,712 241,083,651
Reinvestment of dividends and
distributions 4,150,597 13,041,115 3,971,441
Units repurchased (1,224,133,407) (3,150,531,872) (270,941,573)
----------------------------------------------
(26,333,623) 351,582,955 (25,886,481)
- ------------------------------------------------------------------------------
ILA Class B units:
Units sold 33,484,399 -- --
Reinvestment of dividends and
distributions 599,021 -- --
Units repurchased (29,051,583) -- --
----------------------------------------------
5,031,837 -- --
- ------------------------------------------------------------------------------
ILA Class C units:
Units sold 80,533,964 -- --
Reinvestment of dividends and
distributions 224,125 -- --
Units repurchased (80,136,593) -- --
----------------------------------------------
621,496 -- --
- ------------------------------------------------------------------------------
Cash Management shares:
Shares sold -- -- 599,583
Reinvestment of dividends and
distributions 72 72 646
Shares repurchased -- -- (449,237)
----------------------------------------------
72 72 150,992
- ------------------------------------------------------------------------------
Net increase (decrease) in
units/shares 239,257,610 40,665,320 (208,160,391)
- ------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
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>
2,851,391,276 1,369,486,465 14,102,514,033 9,797,647,273 4,216,788,421 786,706,635
17,509,450 10,298,349 127,217,288 45,733,373 18,866,994 4,455,370
(3,199,058,228) (1,496,646,180) (13,684,083,018) (9,671,043,644) (3,924,772,626) (753,410,503)
- -------------------------------------------------------------------------------------------------
(330,157,502) (116,861,366) 545,648,303 172,337,002 310,882,789 37,751,502
- -------------------------------------------------------------------------------------------------
447,866,712 329,112,577 439,630,230 118,571,986 103,554,699 288,839,397
591,471 1,575,091 2,314,512 69,283 69,121 577,876
(486,656,745) (430,207,218) (949,431,515) (117,066,866) (95,225,456) (273,160,637)
- -------------------------------------------------------------------------------------------------
(38,198,562) (99,519,550) (507,486,773) 1,574,403 8,398,364 16,256,636
- -------------------------------------------------------------------------------------------------
420,348,605 855,905,345 2,806,778,868 61,148,901 122,151,030 --
35,296 22,813 10,389,616 631,725 37 40
(191,056,113) (923,580,498) (2,586,777,645) (78,639,722) (94,923,834) --
- -------------------------------------------------------------------------------------------------
229,327,788 (67,652,340) 230,390,839 (16,859,096) 27,227,233 40
- -------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- 38 34 36
-- -- -- -- -- --
- -------------------------------------------------------------------------------------------------
-- -- -- 38 34 36
- -------------------------------------------------------------------------------------------------
(139,028,276) (284,033,256) 268,552,369 157,052,347 346,508,420 54,008,214
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
37
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------------------------------------------------
10. Summary of Unit/Share Transactions (at $1.00 per unit/share) (continued)
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.
- --------------------------------------- ---------------------------------------
38
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Exempt Tax-Exempt Tax-Exempt
Obligations Instruments Federal Diversified California New York
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4,007,287,255 1,803,189,385 11,530,501,990 10,877,493,043 3,322,147,594 649,511,937
16,031,743 13,367,625 98,365,419 46,502,366 17,860,780 3,220,163
(3,879,141,368) (1,805,323,856) (11,053,721,006) (10,841,198,835) (3,346,494,972) (633,071,531)
- --------------------------------------------------------------------------------------------------
144,177,630 11,233,154 575,146,403 82,796,574 (6,486,598) 19,660,569
- --------------------------------------------------------------------------------------------------
734,426,070 445,049,864 3,555,390,187 119,262,415 16,409,041 297,995,181
560,922 997,460 15,683,011 98,573 -- 665,491
(778,684,770) (413,030,451) (3,592,776,813) (120,818,081) (16,257,163) (309,073,784)
- --------------------------------------------------------------------------------------------------
(43,697,778) 33,016,873 (21,703,615) (1,457,093) 151,878 (10,413,112)
- --------------------------------------------------------------------------------------------------
672,512,357 964,026,068 273,279,701 85,559,282 -- --
732,490 50,167 195,188 623,293 37 40
(741,949,229) (885,346,553) (254,021,260) (78,845,791) -- --
- --------------------------------------------------------------------------------------------------
(68,704,382) 78,729,682 19,453,629 7,336,784 37 40
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- 1,501 1,501 1,501
-- -- -- 23 20 22
-- -- -- -- -- --
- --------------------------------------------------------------------------------------------------
-- -- -- 1,524 1,521 1,523
- --------------------------------------------------------------------------------------------------
31,775,470 122,979,709 572,896,417 88,677,789 (6,333,162) 9,249,020
- --------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
39
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights
Selected Data for a Unit/Share Outstanding Throughout Each Period
Prime Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end of expenses to income to
beginning investment to unit/ end Total period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.05 $(0.05) $1.00 4.90% $1,095,109 0.43% 4.79%
1999-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.74 40,850 0.58 4.65
1999-ILA Service
units........... 1.00 0.04 (0.04) 1.00 4.48 92,975 0.83 4.33
1999-ILA B
units........... 1.00 0.04 (0.04) 1.00 3.86 19,444 1.43 3.83
1999-ILA C
units........... 1.00 0.04 (0.04) 1.00 3.86 7,436 1.43 3.76
1999-Cash
Management
shares.......... 1.00 0.04 (0.04) 1.00 4.30 1 1.00 4.44
- --------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.43% 4.79%
1999-ILA
Administration
units........... 0.58 4.65
1999-ILA Service
units........... 0.83 4.33
1999-ILA B
units........... 1.43 3.83
1999-ILA C
units........... 1.43 3.76
1999-Cash
Management
shares.......... 1.43 4.01
- --------------------------------------------------------------------------------------------------------------
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
</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/Share Outstanding Throughout Each Period
Money Market Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to unit/ end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.05 $(0.05) $1.00 4.92% $1,346,765 0.41% 4.80%
1999-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.76 6,961 0.56 4.64
1999-ILA Service
units........... 1.00 0.04 (0.04) 1.00 4.50 383,932 0.81 4.42
1999-Cash
Management
shares.......... 1.00 0.04 (0.04) 1.00 4.32 2 0.98 4.37
- -----------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
-------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.41% 4.80%
1999-ILA
Administration
units........... 0.56 4.64
1999-ILA Service
units........... 0.81 4.42
1999-Cash
Management
shares.......... 1.41 3.94
- -----------------------------------------------------------------------------------------------------------------
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
</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/Share Outstanding Throughout Each Period
Government Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to unit/ end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.05 $(0.05) $1.00 4.77% $205,244 0.43% 4.64%
1999-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.61 3,265 0.58 4.42
1999-ILA Service
units........... 1.00 0.04 (0.04) 1.00 4.35 79,847 0.83 4.24
1999-Cash
Management
shares.......... 1.00 0.04 (0.04) 1.00 4.18 153 1.00 4.68
- --------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.45% 4.62%
1999-ILA
Administration
units........... 0.60 4.40
1999-ILA Service
units........... 0.85 4.22
1999-Cash
Management
shares.......... 1.45 4.23
- --------------------------------------------------------------------------------------------------------------
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
</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
Treasury Obligations Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) unitholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.05 $(0.05) $1.00 4.63% $404,299 0.42% 4.50%
1999-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 4.48 42,334 0.57 4.35
1999-ILA Service
units........... 1.00 0.04 (0.04) 1.00 4.22 264,787 0.82 4.19
- -------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.42% 4.50%
1999-ILA
Administration
units........... 0.57 4.35
1999-ILA Service
units........... 0.82 4.19
- -------------------------------------------------------------------------------------------------------------
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
</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.
- -------------------------------------------------------------------------------
43
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Treasury Instruments Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) unitholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years
Ended December
31,
- --------------
1999-ILA units.. $1.00 $0.04 $(0.04) $1.00 4.38% $224,609 0.43% 4.29%
1999-ILA
Administration
units........... 1.00 0.04 (0.04) 1.00 4.22 32,162 0.58 4.09
1999-ILA Service
units........... 1.00 0.04 (0.04) 1.00 3.96 306,483 0.83 3.90
- -------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years
Ended December
31,
- --------------
1999-ILA units.. 0.43% 4.29%
1999-ILA
Administration
units........... 0.58 4.09
1999-ILA Service
units........... 0.83 3.90
- -------------------------------------------------------------------------------------------------------------
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
</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.
- -------------------------------------------------------------------------------
44
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit Outstanding Throughout Each Period
Federal Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) unitholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.05 $(0.05) $1.00 4.81% $3,171,330 0.41% 4.72%
1999-ILA
Administration
units........... 1.00 0.05 (0.05) 1.00 4.66 836 0.56 4.46
1999-ILA Service
units........... 1.00 0.04 (0.04) 1.00 4.39 284,382 0.81 4.30
- -------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
-------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.41% 4.72%
1999-ILA
Administration
units........... 0.56 4.46
1999-ILA Service
units........... 0.81 4.30
- -------------------------------------------------------------------------------------------------------------
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
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
- -------------------------------------------------------------------------------
45
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Tax-Exempt Diversified Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end of expenses to income to
beginning investment to unit/ end Total period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.03 $(0.03) $1.00 2.89% $1,734,623 0.42% 2.85%
1999-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.73 28,084 0.57 2.66
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 2.48 20,991 0.82 2.41
1999-Cash
Management
shares.......... 1.00 0.02 (0.02) 1.00 2.30 2 0.99 2.51
- --------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.42% 2.85%
1999-ILA
Administration
units........... 0.57 2.66
1999-ILA Service
units........... 0.82 2.41
1999-Cash
Management
shares.......... 1.42 2.08
- --------------------------------------------------------------------------------------------------------------
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
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
- -------------------------------------------------------------------------------
46
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Tax-Exempt California Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distribution value at end of expenses to income to
beginning investment to unit/ end Total period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.03 $(0.03) $1.00 2.60% $895,469 0.42% 2.58%
1999-ILA
Administration
units........... 1.00 0.02 (0.02) 1.00 2.45 8,910 0.57 2.38
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 2.19 27,229 0.82 2.39
1999-Cash
Management
shares.......... 1.00 0.02 (0.02) 1.00 2.02 1 0.99 2.15
- -------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.42% 2.58%
1999-ILA
Administration
units........... 0.57 2.38
1999-ILA Service
units........... 0.82 2.39
1999-Cash
Management
shares.......... 1.42 1.72
- -------------------------------------------------------------------------------------------------------------
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
</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.
- -------------------------------------------------------------------------------
47
<PAGE>
Goldman Sachs Trust--Institutional Liquid Assets Portfolios
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Unit/Share Outstanding Throughout Each Period
Tax-Exempt New York Portfolio
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to unit/ end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. $1.00 $0.03 $(0.03) $1.00 2.76% $160,301 0.43% 2.73%
1999-ILA
Administration
units........... 1.00 0.03 (0.03) 1.00 2.60 37,836 0.58 2.61
1999-ILA Service
units........... 1.00 0.02 (0.02) 1.00 2.35 2 0.83 2.29
1999-Cash
Management
shares.......... 1.00 0.02 (0.02) 1.00 2.17 2 1.00 2.34
- ------------------------------------------------------------------------------------------------------------------------------
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
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
----------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-ILA units.. 0.44% 2.72%
1999-ILA
Administration
units........... 0.59 2.60
1999-ILA Service
units........... 0.84 2.28
1999-Cash
Management
shares.......... 1.44 1.90
- ------------------------------------------------------------------------------------------------------------------------------
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
</TABLE>
- ----
(a) Calculated based on the average units outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
(c) Annualized.
- -------------------------------------------------------------------------------
48
<PAGE>
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------- ---------------------------------------
To the Unit/Shareholders and Board of Trustees of the Goldman Sachs Trust--
Institutional Liquid Assets Portfolios:
We have audited the accompanying statements of assets and liabilities of
Goldman Sachs Trust--Institutional Liquid Assets (a Delaware Business Trust
comprising the Prime Obligations, Money Market, Government, Treasury
Obligations, Treasury Instruments, Federal, Tax-Exempt Diversified, Tax-Exempt
California and Tax-Exempt New York Portfolios), including the statements of
investments as of December 31, 1999, and the related statements of operations
for the year then ended, and the statements of changes in net assets and the
financial highlights for the periods presented. These financial statements and
the financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An raudit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1999 by correspondence with the custodian
and brokers. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and the financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting Goldman Sachs Trust--
Institutional Liquid Assets as of December 31, 1999, the results of their
operations for the year then ended, the changes in their net assets and the
financial highlights for the periods presented, in conformity with generally
accepted accounting principles.
Arthur Andersen LLP
Boston, Massachusetts
February 14, 2000
49
<PAGE>
- --------------------------------------- ---------------------------------------
[This page intentionally left blank]
- --------------------------------------- ---------------------------------------
50
<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
Nancy L. Mucker, Vice President
John M. Perlowski, Treasurer
Adrien E. Deberghes, Jr., Assistant Treasurer
Philip V. Giuca, Jr., Assistant Treasurer
Michael J. Richman, Secretary
Amy E. Belanger, Assistant Secretary
Howard B. Surloff, Assistant Secretary
Kaysie P. Uniacke, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT
Investment Advisor
[LOGO OF GOLDMAN SACHS]
Goldman Sachs Funds
32 Old Slip
New York, NY 10005
