<PAGE>
OCC CASH RESERVES
July 14, 1997
Dear Shareholder:
As in the past, during the six months ended May 31, 1997, OCC Cash Reserves
continued to meet its objective of providing safety of principal, liquidity and
maximum current income through investment in money market securities.
Investors in each of the five Portfolios have benefited to the extent that
inflation continues to be relatively benign while the Federal Reserve raised
short-term rates in an attempt to dampen economic growth and pre-empt potential
increases in the rate of inflation. For the six months ended May 31, the rate of
inflation, as measured by the Consumer Price Index, grew at an annualized rate
of only 1.6%, while in March the Fed set the Federal Funds rate at 5.5%. This
has resulted in historically high real yields; i.e., the spread between interest
rates and the rate of inflation. Based on past history, the Fed has usually
raised rates more than once. If that continues to be the case this year as well,
short-term interest rates could go even higher, possibly resulting in even
greater real yields.
As you may be aware, there are certain changes pending in the ownership of the
adviser to OCC Cash Reserves, OpCap Advisors and its parent, Oppenheimer
Capital. On February 13th, PIMCO Advisors L.P., a registered investment adviser
with approximately $110 billion in assets under management, signed an Agreement
and Plan of Merger pursuant to which it and an affiliate will acquire, among
other things, the one-third managing general partner interest in Oppenheimer
Capital and the 1.0% general partnership interest in OpCap Advisors. The
transaction is subject to certain conditions being satisfied prior to closing.
If the transaction is consummated, the change in control of OpCap Advisors will
result in the termination of its existing investment advisory agreement with the
Fund. At a meeting held on February 28, 1997, the Fund's Board of Directors
approved a new investment advisory agreement with OpCap Advisors upon the same
terms and conditions as the existing one. More detailed information about PIMCO
Advisers and the transaction will be found in proxy materials seeking approval
of that new agreement which will soon be sent to you.
We at OCC Cash Reserves and OpCap Advisors want to thank you for your continued
support and look forward to the opportunity to continue to serve your money
market fund needs.
Sincerely,
/s/Joseph M. La Motta
Joseph M. La Motta
President
OCC Cash Reserves
One World Financial
Center
New York, NY 10281
Taxable
Primary Portfolio
Government Portfolio
Tax-Exempt
General Municipal Portfolio
California Municipal Portfolio
New York Municipal Portfolio
For more information or
assistance with your account
please call:
1-800-401-6672
<PAGE>
================================================================================
INVESTMENT REVIEW
================================================================================
Primary Portfolio
Objective
Seeks safety of principal, liquidity and maximum current income from investments
in a diversified portfolio of high-quality money market securities. The Primary
Portfolio invests in a range of high-quality securities: marketable obligations
of, or guaranteed by, the United States Government, its agencies or
instrumentalities; U.S. dollar-denominated certificates of deposit and bankers'
acceptances; interest-bearing time deposits; domestic or foreign commercial
paper of prime quality and participation interests in loans of equivalent
quality extended by banks to such companies; and repurchase agreements that are
collateralized in full each day by U.S. Government securities.
Semi-Annual Review
During the six months ended May 31, 1997, the daily dividends of the Primary
Portfolio averaged 4.65% on an annual basis or 4.75% compounded monthly. At May
31 the Portfolio had a seven-day compounded yield of 4.95%, up from 4.94% at the
beginning of the year. The average maturity of the Portfolio during the six
months ranged from a low of 42 days to a high of 69 days and on May 31 was 52
days.
Government Portfolio
Objective
Seeks safety of principal, liquidity and maximum current income from investments
in a diversified portfolio of high-quality money market securities. The
Government Portfolio invests in: marketable obligations of, or guaranteed by,
the United States Government, its agencies or instrumentalities; and repurchase
agreements that are collateralized in full each day by such securities.
Semi-Annual Review
The Government Portfolio's daily dividend averaged 4.43% on an annual basis or
4.53% compounded monthly for the six months ended May 31, 1997. On May 31 the
seven-day compounded yield of the Portfolio was 4.68%, up from 4.47% at November
30. The average maturity of the Portfolio during the six months ranged from 43
days to 67 days. On May 31, it was 48 days.
General Municipal Portfolio
Objective
Seeks safety of principal, liquidity and maximum current income that is exempt
from Federal income taxes, from investments in a diversified portfolio of
high-grade municipal money market securities. Types of investments include
municipal notes, short-term municipal bonds, short-term discount notes and
participation interests in any of the foregoing.
Semi-Annual Review
Daily dividends of the General Municipal Portfolio averaged 2.62% on an annual
basis and 2.65% compounded monthly during the six months ended May 31. For an
investor not subject to the alternative minimum tax in the top Federal income
tax bracket of 39.6%, the effective compounded monthly yield was equivalent to a
taxable return of 4.39%. The seven-day compounded yield on May 31 was 2.88%
compared with the beginning of the fiscal year when it was 2.71%. Average
maturity of the Portfolio ranged from 41 days to 57 days and on May 31 was 47
days.
California Municipal Portfolio
Objective
Seeks safety of principal, liquidity and maximum current income that is exempt
from Federal and California personal income taxes, from investments in a
portfolio of high-grade municipal money market securities. The California
municipal securities in which the Portfolio invests include municipal notes,
short-term municipal bonds, short-term discounts notes and participation
interest in the foregoing.
Semi-Annual Review
For the six months ended May 31, 1997, the daily dividend averaged 2.61% on an
annual basis and 2.64% compounded monthly. For a person not subject to the
alternative minimum tax in the top Federal and California income tax brackets of
39.6% and 11% respectively, the monthly compounded return would be equivalent to
a taxable return of 4.91%. Between the end of the last fiscal year and May 31,
1997, the seven-day compounded yield fell from 3.04% to 2.80%. The average
maturity of the securities in the Portfolio ranged from 39 days to 57 days and
was 43 days on May 31.
2
<PAGE>
================================================================================
================================================================================
New York Municipal Portfolio
Objective
Seeks safety of principal, liquidity and maximum current income that is exempt
from Federal, New York State and New York City income taxes, from investments in
a portfolio of high-grade municipal money market securities. The New York
municipal securities in which the Portfolio invests include municipal notes,
short-term municipal bonds, short-term discount notes and participation
interests in any of the foregoing.
Semi-Annual Review
In the six months ended May 31, 1997, the daily dividends of the Portfolio
averaged 2.58% on an annual basis and 2.61% compounded monthly. This was
equivalent to an effective taxable yield of 4.88% for a person not subject to
the alternative minimum tax in the top Federal, New York State and New York City
tax brackets of 39.6%, 7.50% and 3.91% respectively. The seven-day compounded
yield rose from 2.70% to 2.87% between the 1996 fiscal year-end and May 31,
1997. The average maturity of the Portfolio ranged between 35 days and 65 days.
On May 31, 1997 it was 38 days.
3
<PAGE>
May 31, 1997
================================================================================
SCHEDULES OF INVESTMENTS (unaudited)
================================================================================
- --------------------------------------------------------------------------------
PRIMARY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
U.S. Government Agencies--2.6%
$ 25,000 Federal Farm Credit Bank,
5.59%, 5/1/98 .................................... $ 24,993,366
25,000 Federal National Mortgage Association,
5.35%-5.58%,
6/11/97-9/29/97 .................................. 24,998,493
------------
Total U.S. Government Agencies
(amortized cost--$49,991,859) ............................. $ 49,991,859
------------
Certificates of Deposit--20.9%
$ 15,000 BankAmerica NTSA,
5.66%, 10/7/97 ................................... $ 15,000,000
75,000 Bank of Nova Scotia,
5.43%-6.10%,
6/16/97-5/27/98 .................................. 75,000,000
25,000 Barclays Bank PLC,
5.65%, 4/16/98 ................................... 24,989,316
55,000 Canadian Imperial Bank of Commerce,
5.66%-5.72%,
7/7/97-8/6/97 .................................... 55,000,000
45,000 Deutsche Bank,
5.51%-5.70%,
7/15/97-11/24/97 ................................. 44,995,674
10,000 Dresdner U.S. Finance Inc.,
5.60%, 7/7/97 .................................... 10,000,000
25,000 National Westminster Bank PLC,
5.89%, 10/1/97 ................................... 25,000,000
50,000 NationsBank NA,
5.61%, 7/14/97 ................................... 49,664,958
25,000 Royal Bank of Canada,
5.58%, 12/11/97 .................................. 24,997,463
75,000 Societe Generale Bank,
5.40%-6.10%,
6/9/97-5/18/98 ................................... 75,000,000
------------
Total Certificates of Deposit
(amortized cost--$399,647,411)............................. $399,647,411
------------
Commercial Paper--75.0%
$ 70,000 Abbey National North America,
5.30%-5.61%,
7/8/97-8/11/97 .................................. $ 69,474,979
40,000 ABN-Amro North America Finance Inc.,
5.35%-5.37%,
6/5/97-7/8/97 ................................... 39,877,728
65,000 Aetna Services Inc.,
5.55%-5.60%,
6/2/97-7/14/97 ................................... 64,769,358
80,000 American Express Credit Corp.,
5.51%-5.55%,
6/12/97-6/30/97 .................................. 79,749,797
75,000 American Home Products Corp.,
5.58%-5.60%,
6/17/97-7/28/97 .................................. 74,564,458
40,000 Associates Corporation of
North America,
5.61%, 6/9/97 .................................... 39,950,133
15,000 Beneficial Corp.,
5.55%, 7/30/97 ................................... 14,863,563
25,000 Cheltenham & Gloucester
Building Society,
5.36%, 7/7/97 .................................... 24,866,000
19,300 CIT Group Holdings Inc.,
5.50%, 6/30/97 ................................... 19,214,490
45,900 Daimler Benz North America Corp.,
5.32%-5.50%,
6/3/97-6/4/97 .................................... 45,882,853
18,000 Deere (John) Capital Corp.,
5.51%, 6/2/97 .................................... 17,997,245
35,000 Dover Corp.,
5.53%-5.54%,
6/2/97-6/16/97 ................................... 34,962,303
20,000 Dresdner U.S. Finance Inc.,
5.54%, 6/4/97 .................................... 19,990,767
61,879 Eksportfinans A/S,
5.54%-5.61%,
6/16/97-7/10/97 .................................. 61,674,487
65,000 Ford Credit Europe PLC,
5.57%-5.59%,
7/7/97-7/21/97 ................................... 64,572,267
30,000 General Electric Capital Services Inc.,
5.70%, 11/3/97 ................................... 29,263,750
30,000 General Electric Co.,
5.58%, 6/16/97 ................................... 29,930,250
55,000 General Motors Acceptance Corp.,
5.32%-5.325%,
8/11/97-8/21/97 .................................. 54,400,592
75,000 Generale Bank,
5.57%-5.625%,
6/16/97-8/7/97 ................................... 74,588,076
50,000 Goldman Sachs Group L.P.
5.62%, 9/2/97 .................................... 49,274,083
</TABLE>
4
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Commercial Paper--75.0% (cont'd)
$ 47,100 IBM Credit Corp.,
5.51%-5.52%,
6/2/97-6/24/97 ................................... $ 47,052,038
75,000 Merrill Lynch & Co. Inc.,
5.35%-5.60%,
6/2/97-7/28/97 ................................... 74,733,786
70,000 Morgan Stanley Group Inc.,
5.54%-5.55%,
6/23/97-6/25/97 .................................. 69,756,550
40,000 Norwest Financial Inc.,
5.55%, 7/21/97-7/23/97 ........................... 39,687,042
25,000 Novartis Finance Corp.,
5.54%, 6/9/97 .................................... 24,969,222
25,000 Queensland Treasury Corp.,
5.35%, 6/10/97 ................................... 24,966,563
65,000 Skandinaviska Enskilda Banken
Funding Inc.,
5.56%-5.57%,
6/9/97-6/24/97 ................................... 64,861,683
55,000 Svenska Handelsbanken Inc.,
5.38%-5.61%,
6/11/97-9/2/97 ................................... 54,556,599
40,000 Sweden (Kingdom of),
5.27%-5.28%,
6/27/97-9/15/97 .................................. 39,554,869
50,000 Toronto-Dominion Holdings USA Inc.,
5.37%, 9/30/97 ................................... 49,097,542
7,000 UBS Finance Inc.,
5.52%, 6/23/97 ................................... 6,976,387
25,500 U.S. Borax & Chemical Corp.,
5.57%-5.63%,
6/30/97-8/1/97 ................................... 25,332,529
--------------
Total Commercial Paper
(amortized cost--$1,431,411,989) .......................... $1,431,411,989
--------------
Corporate Note--.8%
$ 15,000 CIT Group Holdings Inc., VRDN*,
5.58%, 11/20/97
(amortized cost--$14,995,193) ................... $ 14,995,193
--------------
Repurchase Agreement--.6%
$ 11,890 J.P. Morgan Securities Inc.,
dtd. 5/30/97, 5.53%, 6/2/97
(proceeds at maturity $11,895,479,
collateralized by $12,100,000 par,
$12,190,750 value, Federal Home
Loan Bank Corp., 5.875%, 3/24/98)
(amortized cost--$11,890,000) ................... $ 11,890,000
--------------
Total Investments
(amortized cost--$1,907,936,452+) ......... 99.9% $1,907,936,452
Other Assets in Excess
of Liabilities ............................ 0.1 1,060,022
----- --------------
Total Net Assets ............................. 100.0% $1,908,996,474
===== ==============
</TABLE>
<TABLE>
<CAPTION>
================================================================================
GOVERNMENT PORTFOLIO
================================================================================
<S> <C> <C>
U.S. Government Agencies--99.9%
$ 11,300 Federal Farm Credit Bank,
5.34%-5.59%,
7/23/97-5/1/98 ................................... $ 11,184,377
18,585 Federal Home Loan Bank,
5.26%-5.54%,
6/5/97-10/31/97 .................................. 18,429,629
40,449 Federal Home Loan Mortgage Corp.,
5.22%-5.53%,
6/2/97-8/18/97 ................................... 40,282,597
31,035 Federal National Mortgage Association,
5.23%-5.65%,
6/2/97-12/8/97 ................................... 30,783,383
-----------
Total Investments
(amortized cost--$100,679,986+) ............. 99.9% $100,679,986
Other Assets in Excess
of Liabilities .............................. 0.1 128,051
----- ------------
Total Net Assets ............................... 100.0% $100,808,037
===== ============
</TABLE>
5
<PAGE>
May 31, 1997
================================================================================
SCHEDULES OF INVESTMENTS (unaudited) (continued)
================================================================================
- --------------------------------------------------------------------------------
GENERAL MUNICIPAL PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Alabama--1.0%
$ 575 Huntsville GO, Ser. A,
7.75%, 8/1/97 (A) ................................ $ 590,377
700 Phenix Cnty. IDB, EIR,
Ser. A, VRDN*
(LC; Toronto-Dominion Bank),
4.10%, 6/2/97 .................................... 700,000
-----------
1,290,377
-----------
Alaska--8.4%
3,600 Alaska St. HF Corp.,
Ser. A, VRDN*
3.90%, 6/4/97 .................................... 3,600,000
550 North Slope Borough GO, Ser. G,
7.50%, 6/30/97 ................................... 551,665
Valdez Marine Term. Rev.,
Arco Trans. Proj., VRDN*
4,800 Ser. A, 3.50%, 6/2/97 ............................ 4,800,000
2,000 Ser. B, 4.00%, 6/4/97 ............................ 2,000,000
-----------
10,951,665
-----------
Arizona--3.5%
1,000 Arizona Edl. Ln. Mktg. Corp.,
ELR, Ser. A, VRDN*
(LC; Dresdner Bank AG),
4.00%, 6/4/97 .................................... 1,000,000
2,500 Cochise Cnty. PCR, SWDR,
Arizona Elec. Pwr. Coop. Inc. Proj.,
3.50%, 9/2/97 .................................... 2,500,000
1,000 Salt River Proj.,
Agric. & Pwr. Dist., Ser. A,
7.875%, 1/1/98 (A) ............................... 1,043,245
-----------
4,543,245
-----------
California--6.2%
1,500 California Sch. Cash Reserve,
Prog. Auth., Ser. A,
4.75%, 7/2/97 .................................... 1,501,141
1,000 California St. RAN's,
Ser. A, dtd. 8/6/96,
4.50%, 6/30/97 ................................... 1,000,405
1,000 Contra Costa Cnty. TRAN's,
dtd. 7/1/96,
4.50%, 7/3/97 .................................... 1,000,633
1,000 Fresno TRAN's,
dtd. 7/2/96,
4.50%, 6/30/97 ................................... 1,000,420
2,000 Los Angeles Cnty. TRAN's,
Ser. A, dtd. 7/1/96,
(LC; Credit Suisse, NY and
Morgan Guaranty, NY),
4.50%, 6/30/97 ................................... 2,001,294
1,000 Los Angeles Sch. Dist. Ctfs. Partn.,
Multiple Properties Proj., Ser. A,
5.30%, 12/1/97 ................................... 1,007,050
500 Sonoma Valley Sch. Dist. TRAN's,
dtd. 7/3/96,
4.50%, 7/3/97 .................................... 500,253
-----------
8,011,196
-----------
Delaware--2.4%
3,100 Delaware St. EDAR, Gas Facs.,
Delmarva Pwr. & Lt., VRDN*
4.15%, 6/2/97 .................................... 3,100,000
-----------
Florida--4.1%
370 Dade Cnty. Sch. Dist. GO,
dtd. 2/15/97,
4.50%, 2/15/98 ................................... 371,502
300 Duval Cnty. Sch. Dist. GO,
dtd. 4/1/92,
5.20%, 8/1/97 .................................... 300,765
600 Florida St. Jacksonville TA,
9.00%, 1/1/98 (A) ................................ 629,096
Hillsborough Cnty.,
400 Sch. Brd. STR,
5.00%, 10/1/97 ................................... 401,524
300 Solid Waste & RRR,
4.50%, 10/1/97 ................................... 300,586
Jacksonville Excise Taxes Rev.,
400 dtd. 2/1/88,
6.75%, 10/1/97 ................................... 403,792
600 dtd. 7/1/87,
7.75%, 10/1/97 (A) ............................... 619,863
400 Kissimmee Util. Auth. Elec. Sys. Rev.,
5.55%, 10/1/97 ................................... 401,990
1,300 Putnam Cnty. Dev. Auth., PCR,
Seminole Elec. Co. Proj.,
Ser. H-1, VRDN*
4.05%, 6/4/97 .................................... 1,300,000
</TABLE>
6
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Florida--4.1% (cont'd)
$ 250 Tampa Wtr. & Swr. Rev.,
Ser. B, dtd. 8/1/88,
7.00%, 10/1/97 ................................... $ 252,560
300 Venice Util. Rev.,
dtd. 1/1/89,
7.30%, 7/1/97 (A) ................................ 306,869
-----------
5,288,547
-----------
Georgia--.5%
600 Burke Cnty. DA, PCR,
Georgia Pwr. Co., Ser. 2, VRDN*
4.00%, 6/2/97 .................................... 600,000
-----------
Hawaii--1.2%
500 Hawaii St. Arpts. Sys. Rev.,
6.00%, 7/1/97 .................................... 500,759
1,000 Hawaii St. Secondary Mkt. Svcs
Corp., SLR, Ser. II, VRDN*
(LC; National Westminster
Bank PLC),
3.95%, 6/4/97 .................................... 1,000,000
-----------
1,500,759
-----------
Illinois--6.1%
5,200 Chicago O'Hare Int'l. Arpt.,
Ser. B, VRDN*
(LC; Societe Generale Bank),
4.00%, 6/4/97 .................................... 5,200,000
500 Chicago Sch. FA, GO, Ser. A,
4.40%, 6/1/97 .................................... 500,000
1,700 Illinois Hlth. FAR,
Hosp. Sisters Svc. Proj., Ser. E,
VRDN* (Insd.; MBIA),
3.90%, 6/4/97 .................................... 1,700,000
500 Illinois St. GO,
5.25%, 10/1/97 ................................... 501,994
-----------
7,901,994
-----------
Kansas--.2%
300 Kansas St. Dev. FAR,
Water Pollution Ctl., Ser. II
4.50%, 11/1/97 .................................. 300,729
-----------
Kentucky--1.7%
200 Boone Cnty. PCR,
Cincinnati Gas & Elec. Co.,
Proj., Ser. A, VRDN*
(LC; Union Bank of Switzerland),
3.80%, 6/2/97 .................................... 200,000
2,000 Kentucky HEL, Student Loan,
Corp., SLR, Ser. E, VRDN*
3.95%, 6/4/97 .................................... 2,000,000
-----------
2,200,000
-----------
Louisiana--2.1%
600 East Baton Rouge,
Sewer Commission Rev.,
9.25%, 9/1/97 (A) ................................ 626,005
Louisiana St. GO,
1,000 Ser. A,
7.00%, 8/1/97 (A) ................................ 1,025,642
1,000 Ser. A, (Insd.; MBIA),
7.00%, 8/1/97 (A) ................................ 1,025,390
-----------
2,677,037
-----------
Maryland--1.6%
1,000 Maryland St., Dept. of Trans.,
3.625%, 6/15/97 .................................. 999,964
Washington Subn. Sanitation Dist.,
Gen. Construction,
500 4.50%, 6/1/97 .................................... 500,000
600 7.40%, 12/1/97 (A) ............................... 622,371
-----------
2,122,335
-----------
Massachusetts--7.0%
2,000 Mass. Bay Trans. Auth., Ser. C,
3.60%, 6/3/97 .................................... 2,000,000
7,100 Massachusetts St. GO,
Ser. B, VRDN*
(LC; National Westminster
Bank PLC),
4.00%, 12/1/97 ................................... 7,100,000
-----------
9,100,000
-----------
Michigan--.2%
250 Michigan Mun. Bd. Auth. Rev.,
St. Revolving Fd.,
3.75%, 10/1/97 ................................... 249,876
-----------
Minnesota--1.5%
2,000 Becker PCR,
Northern St. Pwr. Co.,
Ser. B, VRDN*
3.60%, 6/4/97 .................................... 2,000,000
-----------
Missouri--.5%
600 Missouri EIERA, PCR,
Union Elec. Co. Proj., Ser. A,
(LC; Swiss Bank Corp.),
3.65%, 6/1/97 .................................... 600,000
-----------
</TABLE>
7
<PAGE>
May 31, 1997
================================================================================
SCHEDULES OF INVESTMENTS (unaudited) (continued)
================================================================================
- --------------------------------------------------------------------------------
GENERAL MUNICIPAL PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Montana--.4%
$ 500 Montana St. Higher Ed.,
Student Assistance Corp. SLR,
4.55%, 12/1/97 ................................... $ 501,946
-----------
Nebraska--2.8%
Nebraska HEL Prog.,
Student Ln. Prog.,
2,100 Ser. A, VRDN* (LC; SLMA),
3.95%, 6/4/97 .................................... 2,100,000
1,600 Ser. C, VRDN* (LC; SLMA),
3.95%, 6/4/97 .................................... 1,600,000
-----------
3,700,000
-----------
Nevada--.4%
500 Clark Cnty. AIR,
Sub. Lien, Ser. A-2, VRDN*
(LC; Toronto-Dominion Bank),
4.00%, 6/4/97 .................................... 500,000
-----------
New Hampshire--.8%
1,100 New Hampshire St. BFA, PCR,
Pub. Svc. Co. of New Hampshire Proj.,
Ser. D, VRDN*
(LC; Barclays Bank PLC),
4.00%, 6/4/97 .................................... 1,100,000
-----------
New Jersey--1.7%
1,000 Essex Cnty. BAN's,
Ser. A, dtd. 9/18/96,
4.50%, 9/17/97 ................................... 1,001,405
150 Hudson Cnty.,
Gen. Improvement, Ser. A,
4.90%, 10/1/97 ................................... 150,436
1,000 Ocean Cnty. BAN's,
dtd. 6/20/96,
4.25%, 6/20/97 ................................... 1,000,200
-----------
2,152,041
-----------
New York--9.7%
328 East Hampton Town BAN's,
Ser. C, dtd. 8/22/96,
4.50%, 8/22/97 ................................... 328,317
400 Gloversville Sch. Dist. GO,
(CS; FSA)
4.90%, 6/15/97 ................................... 400,180
1,000 New York City GO, Ser. C,
7.50%, 8/15/97 (A) ............................... 1,022,125
1,000 New York City Mun. Asst. Corp., Ser. E,
4.00%, 7/1/97 .................................... 1,000,221
New York St. DAR,
500 City Univ. Sys. Cons., Ser. A,
8.125%, 7/1/97 (A) ............................... 511,676
2,500 St. Francis Ctr. at the Knolls,
VRDN* (LC; Banque Nationale de
Paribas),
4.10%, 6/2/97 .................................... 2,500,000
500 New York St. EFC, PCR,
St. Wtr. Revolving Fd., Ser. A,
3.35%, 12/15/97 .................................. 497,486
1,000 New York St. ERDA, PCR,
Rochester Gas & Elec. Corp. Proj.,
(LC; Credit Suisse),
3.60%, 11/15/97 .................................. 1,000,000
New York St. JDA, St. Gtd.,
65 Ser. B1-B9, dtd. 7/8/87, VRDN*
4.20%, 6/2/97 .................................... 65,000
1,300 Ser. B1-B21, dtd. 12/4/89, VRDN*
4.20%, 6/2/97 .................................... 1,300,000
New York St. Med. Care, FFAR,
Mtg. Hosp., Ser. A, (Insd.; FHA),
370 8.00%, 8/15/97 (A) ............................... 380,617
500 8.30%, 2/15/98 (A) ............................... 524,433
2,000 New York St. PAR,
3.50%, 9/1/97*** ................................. 2,000,000
500 Oceanside Sch. Dist. TAN's,
dtd. 7/10/96,
4.375%, 6/27/97 .................................. 500,163
600 Triborough Brdg. & Tunl. Auth. Spl
Oblig., Mtg. Recording Tax., Ser. A,
8.00%, 1/1/98 (A) ................................ 622,756
-----------
12,652,974
-----------
North Carolina--2.5%
3,300 Wake Cnty. Indl. Facs. & PCFA,
Carolina Pwr. & Lt. Co. Proj.,
VRDN* (LC; Sumitomo Bank),
4.10%, 6/2/97 .................................... 3,300,000
-----------
Ohio--2.6%
1,885 Cincinnati Sch. Dist. TAN's, Ser. B,
4.75%, 12/1/97 ................................... 1,893,328
Ohio St. Air Quality DAR,
1,000 JMG Fdg. Ltd. Proj., Ser. B, VRDN*
(LC; Societe Generale Bank),
3.90%, 6/4/97 .................................... 1,000,000
300 Ohio Edison Proj., Ser. A, VRDN*
(LC; Toronto-Dominion Bank),
3.95%, 2/1/98 ................................... 300,000
</TABLE>
8
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Ohio--2.6% (cont'd)
$ 250 Ohio St. Bldg. Auth.,
Correctional Facs., Ser. A,
7.00%, 8/1/97 .................................... $ 251,222
-----------
3,444,550
-----------
Pennsylvania--6.3%
1,700 Emmaus GAR, Ser. C-8, VRDN*
(LC; Midland Bank PLC),
4.05%, 6/4/97 .................................... 1,700,000
1,000 Harrisburg Auth. Sch. Rev., Ser. A,
4.50%, 9/1/97 .................................... 1,001,577
Pennsylvania St. GO,
Refunding & Projects,
300 4.75%, 6/15/98 ................................... 302,104
200 Ser. A,
6.50%, 6/1/97 .................................... 200,000
2,000 Pennsylvania St. HEA, SLR,
Ser. A, VRDN*
(LC; SLMA),
3.95%, 6/5/97 .................................... 2,000,000
500 Philadelphia Sch. Dist. TRAN's,
dtd. 7/17/96,
4.50%, 6/30/97 ................................... 500,191
490 Somerset Area Sch. Dist. GO,
3.70%, 8/1/97 .................................... 490,075
2,000 Venango IDA, RRR,
Scrubgrass Proj., Ser. B., VRDN*
(LC; National Westminster Bank PLC),
3.75%, 9/3/97 .................................... 2,000,000
-----------
8,193,947
-----------
Rhode Island--.2%
225 North Providence GO, Ser. A,
5.75%, 7/1/97 .................................... 225,314
-----------
South Carolina--.7%
970 York Cnty. PCR,
Saluda River Proj., Ser. '84E,
3.50%, 8/15/97 ................................... 970,000
-----------
Tennessee--2.5%
2,300 Hamilton Cnty. IDR,
Seaboard Feeds Inc. Proj.,
VRDN*
4.05%, 6/5/97 .................................... 2,300,000
1,000 Metropolitan Nashville Arpt.,
VRDN* (Insd.; FGIC),
3.95%, 6/4/97 .................................... 1,000,000
-----------
3,300,000
-----------
Texas--12.9%
1,000 Brazos HEA, Ser. B-1, VRDN*
(CS; SLMA),
3.95%, 6/4/97 .................................... 1,000,000
2,200 Brazos River Harbor Navigation,
Dist. of Brazoria Cnty.,
3.85%, 8/15/97 ................................... 2,200,000
400 Garland Indpt. Sch. Dist. GO,
7.00%, 2/15/98 ................................... 408,480
1,000 Gulf Coast IDA, Marine Term. Rev.,
Amoco Oil Co. Proj.,
3.55%, 6/1/97 .................................... 1,000,000
350 Harris Cnty. Flood Ctl. Dist. GO,
3.85%, 10/1/97 ................................... 350,164
2,600 Harris Cnty. Indl. Dev. Corp. ......................
Marine Terminal Rev.,
Lubrizol Corp. Proj., VRDN*
3.85%, 6/4/97 .................................... 2,600,000
Houston Wtr. Sys. Rev.,
830 7.20%, 12/1/97 (A) ............................... 859,965
500 7.40%, 12/1/97 (A) ............................... 518,595
1,400 Lower CO. River Auth. Tex. Rev.,
Jr. Lien, VRDN*
3.85%, 6/4/97 .................................... 1,400,000
240 North Cent. HFDCR,
Presbyterian Healthcare, Ser. A,
4.00%, 6/1/97 .................................... 240,000
200 San Antonio Elec. & Gas Rev.,
Ser. 1991,
6.00%, 2/1/98 .................................... 202,934
1,600 Texas A & M Univ., Ser. B,
3.60%, 6/3/97 .................................... 1,600,000
580 Texas HEA, EEIR, Ser. B, VRDN*
(Insd.; FGIC),
4.00%, 6/4/97 .................................... 580,000
3,740 Texas St. TRAN's,
dtd. 8/30/96,
4.75%, 8/29/97 ................................... 3,749,343
-----------
16,709,481
-----------
Utah--2.3%
1,000 Intermountain Pwr. Agy., PSR,
Ser. E, VRDN*
3.50%, 9/15/97 ................................... 1,000,000
2,000 Utah St. Brd. Regents SLR,
Ser. L, VRDN*
(Insd.; AMBAC),
3.95%, 6/4/97 .................................... 2,000,000
-----------
3,000,000
-----------
</TABLE>
9
<PAGE>
May 31, 1997
================================================================================
SCHEDULES OF INVESTMENTS (unaudited) (continued)
================================================================================
- --------------------------------------------------------------------------------
GENERAL MUNICIPAL PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Virginia--1.4%
$ 800 Peninsula Ports Auth., Coal Term. Rev.,
Dominion Term. Proj.,
Ser. C, VRDN*
(LC; National Westminster Bank PLC),
3.95%, 6/2/97 .................................... $ 800,000
1,000 Virginia St. Trans. Board Contract Rev.,
U.S. Rte. 58 Corridor Dev. Prog.,
6.80%, 5/15/98 (A) ............................... 1,045,929
-----------
1,845,929
-----------
Washington--.4%
300 Tacoma Elec. Sys. Rev.,
8.00%, 1/1/98 (A) ................................ 312,850
250 Washington St. GO,
Ser. R-'92C,
4.90%, 9/1/97 .................................... 250,610
-----------
563,460
-----------
West Virginia--.8%
1,000 West Virginia Pub. Auth. Rev.,
Morgantown Assoc. Proj.,
(LC; Swiss Bank),
3.75%, 8/11/97 ................................... 1,000,000
-----------
Wisconsin--3.4%
1,000 Racine Sch. Dist. TRAN's,
dtd. 8/26/96,
4.15%, 8/22/97 ................................... 1,000,593
3,400 Wisconsin HFFAR,
Hosp. Sisters Oblig.,
Ser. G, VRDN* (Insd.; MBIA),
3.90%, 6/4/97 .................................... 3,400,000
-----------
4,400,593
-----------
Total Investments
(amortized cost--$129,997,995+) .......... 100.0% $ 129,997,995
Liabilities in Excess
of Other Assets .......................... (0.0) (16,543)
----- -------------
Total Net Assets ............................ 100.0% $ 129,981,452
===== =============
</TABLE>
- --------------------------------------------------------------------------------
CALIFORNIA MUNICIPAL PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
California--90.0%
$ 2,000 Anaheim Ctfs. Partn.,
1993 Ref. Projs.,
VRDN* (LC; ABN-Amro Bank),
3.70%, 6/4/97 .................................... $ 2,000,000
1,000 California Cmnty. College FA, TRAN's,
Ser. A, dtd. 7/3/96,
4.75%, 7/2/97 .................................... 1,000,736
2,000 California HFF,
Kaiser Permanente Proj.,
Ser. A, VRDN*
3.75%, 6/4/97 .................................... 2,000,000
California HFFAR,
2,000 Memorial Hlth. Svcs. Proj., VRDN*
3.75%, 6/4/97 .................................... 2,000,000
2,700 Sutter Health Services, Ser. C, VRDN*
3.85%, 6/2/97 .................................... 2,700,000
California PCFA, PCR,
2,000 Homestake Mining Proj., Ser. '84A,
VRDN* (LC; Bank of Nova Scotia),
3.75%, 6/4/97 .................................... 2,000,000
500 Southern California Edison, Ser. C,
3.45%, 6/3/97 .................................... 500,000
2,000 California PCFA, PCR, RRR,
Wadham Energy Proj., Ser. C,
VRDN* (LC; Banque Nationale
de Paribas),
3.95%, 6/4/97 .................................... 2,000,000
California PCFA, RRR,
1,800 Burney Forest Prods., Ser. A,
VRDN* (LC; Fleet Bank),
3.90%, 6/2/97 .................................... 1,800,000
2,400 Ultrapower Rocklin Proj., Ser. A,
VRDN*, (LC; Security Pacific
National Bank),
4.05%, 6/2/97 .................................... 2,400,000
California SCD Corp. Rev., Ind'l. Dev.,
345 Florestone Prod. Proj.,
VRDN* (LC; California St. Tchrs ..................
Ret. Fd.),
3.75%, 6/4/97 .................................... 345,000
2,100 South Bay Circuits Proj.,
VRDN* (LC; California St. Tchrs ..................
Ret. Fd.),
3.75%, 6/4/97 .................................... 2,100,000
</TABLE>
10
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
$ 900 Staub Prod. Proj., Ser. A,
VRDN* (LC; California St. Tchrs.
Ret. Fd.),
3.75%, 6/4/97 .................................... $ 900,000
400 Upholstery Prod. Proj.,
VRDN* (LC; California St. Tchrs.
Ret. Fd.),
3.75%, 6/4/97 .................................... 400,000
1,500 California Sch. Cash Reserve,
Prog. Auth., Ser. A,
4.75%, 7/2/97 .................................... 1,501,141
California St. RAN's,
1,000 Ser. A, dtd. 8/6/96,
4.50%, 6/30/97 ................................... 1,000,451
Ser. C, dtd. 8/6/96,
500 3.80%, 6/30/97 ................................... 500,000
2,200 3.85%, 6/30/97 ................................... 2,200,000
1,400 Contra Costa Cnty. TRAN's,
dtd. 7/1/96,
4.50%, 7/3/97 .................................... 1,400,814
300 Irvine Ranch WD., Ser. B,
VRDN* (LC; Landesbank Hessen),
3.70%, 6/2/97 .................................... 300,000
2,000 Los Angeles Cnty. TRAN's,
Ser. A, dtd. 7/1/96,
(LC; Credit Suisse, NY and
Morgan Guaranty, NY),
4.50%, 6/30/97 ................................... 2,001,447
1,000 Los Angeles Dept. of Wtr. & Pwr.,
Electric Plant Short Term Rev.,
3.40%, 6/2/97 .................................... 1,000,000
Los Angeles Wastewater Sys. Rev.,
1,500 3.75%, 10/9/97 ................................... 1,500,000
500 8.125%, 11/1/97 (A) .............................. 518,772
1,600 Metropolitan WD, Ser. A,
3.70%, 8/14/97 ................................... 1,600,000
100 Orange Cnty. Wtr. Dist. Ctfs. Partn.,
VRDN* (LC; National Westminster
Bank PLC),
3.80%, 6/2/97 .................................... 100,000
250 Port Oakland, Port Rev.,
Ser. G, dtd. 1/1/97,
3.60%, 11/1/97 ................................... 249,870
1,000 San Diego Area Local Gov't. Ctfs.
Partn. TRAN's, dtd. 7/2/96,
4.75%, 10/1/97 ................................... 1,003,434
1,000 San Diego Regl. Bldg. Auth.
Lease Rev., Tower Proj., Ser. A,
7.75%, 11/1/97 (A) ............................... 1,036,369
500 San Luis Obispo Cnty. Cmnty.
College Dist. TRAN's, dtd. 7/2/96,
4.50%, 6/30/97 ................................... 500,229
1,000 San Luis Obispo Cnty. Office of
Education TRAN's, dtd. 10/10/96,
4.50%, 10/9/97 ................................... 1,002,364
200 Santa Ana HFR, Multi Modal-Town
& Country Proj., VRDN*
(LC; Banque Nationale Paris),
3.85%, 6/2/97 .................................... 200,000
1,200 Santa Clara Cnty. FAR, VMC Fac.
Replacement Proj., Ser. B,
VRDN* (LC; Union Bank of
Switzerland),
3.75%, 6/4/97 .................................... 1,200,000
2,000 Santa Margarita WD, Improvement
Dist. No 4A, 1984 Bonds-A,
7.75%, 8/1/97 (A) ................................ 2,052,810
1,000 Sutter Cnty. Office of Education
TRAN's, dtd. 10/22/96,
4.50%, 10/22/97 .................................. 1,002,641
1,500 Turlock Irrigation Dist. Rev.,
dtd. 1/1/96,
4.00%, 1/1/98 .................................... 1,503,796
1,000 University of California,
Regents, Ser. A,
3.40%, 8/20/97 ................................... 1,000,000
1,000 Ventura Cnty. TRAN's,
dtd. 7/2/96,
4.75%, 7/2/97 .................................... 1,000,735
740 West Covina Ctfs. Partn.,
Civic Center Proj.,
5.25%, 9/1/97 .................................... 742,531
-----------
48,263,140
-----------
Puerto Rico--10.0%
650 Puerto Rico Commonwealth,
dtd. 4/15/95,
5.00%, 7/1/97 .................................... 650,801
3,700 Puerto Rico Commonwealth TRAN's,
Ser. A, dtd. 12/17/96,
4.00%, 7/30/97 ................................... 3,701,324
1,000 Puerto Rico Gov't. Dev. Bank,
3.60%, 8/11/97 ................................... 1,000,000
-----------
5,352,125
-----------
Total Investments
(amortized cost--$53,615,265+) ........... 100.0% $ 53,615,265
Liabilities in Excess
of Other Assets ........................... (0.0) (19,594)
----- ------------
Total Net Assets ............................. 100.0% $ 53,595,671
===== ============
</TABLE>
11
<PAGE>
May 31, 1997
================================================================================
SCHEDULES OF INVESTMENTS (unaudited) (continued)
================================================================================
- --------------------------------------------------------------------------------
NEW YORK MUNICIPAL PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
New York--101.2%
$ 600 Babylon IDA, RRR,
OFS Equity Babylon Proj.,
VRDN* (LC; Union Bank of
Switzerland),
4.00%, 6/2/97 .................................... $ 600,000
500 Elmira City BAN's,
dtd. 7/11/96,
4.375%, 7/10/97 .................................. 500,270
1,000 Gloversville Sch. Dist. GO,
(CS.; FSA)
4.90%, 6/15/97 ................................... 1,000,449
1,000 Manhasset Sch. Dist. GO,
4.25%, 6/26/97 ................................... 1,000,330
400 MTA, Svc. Contract, Ser. 1,
8.50%, 7/1/97 (A) ................................ 409,585
New York City GO,
Ser. A,
600 7.75%, 8/15/97 (A) ............................... 609,561
1,000 8.50%, 11/1/97 (A) ............................... 1,034,144
325 8.75%, 11/1/97 (A) ............................... 336,491
300 Ser. B, VRDN*
4.20%, 6/2/97 .................................... 300,000
1,000 Ser. C,
7.50%, 8/15/97 (A) ............................... 1,022,125
2,000 Sub. Ser. H2,
3.55%, 6/3/97 .................................... 2,000,000
1,000 Sub. Ser. J2,
3.50%, 7/14/97 ................................... 1,000,000
500 New York City IDA, CFR,
Childrens Oncology Soc. Proj.,
VRDN* (LC; Barclays Bank PLC),
3.70%, 6/4/97 .................................... 500,000
New York City IDA, IDR,
1,000 JFK Field Hotel Assoc. Proj.,
VRDN* (LC; Banque Indosuez),
4.00%, 6/4/97 .................................... 1,000,000
1,000 La Guardia Arpt. Assoc. Proj.,
VRDN* (LC; Banque Indosuez),
4.00%, 6/4/97 .................................... 1,000,000
New York City Mun. Asst. Corp.,
1,000 Ser. E, 4.00%, 7/1/97 ............................ 1,000,222
1,250 Ser. 68, 6.90%, 7/1/97 ........................... 1,253,158
300 New York City MWFA,
Wtr. & Swr. Sys. Rev., Ser. A,
9.00%, 6/15/97 (A) ............................... 306,608
2,000 New York City Trust CRR,
Carnegie Hall Proj.,VRDN*
(LC; Westdeutsche Landesbank),
3.85%, 6/4/97 .................................... 2,000,000
1,200 Museum of Broadcasting Proj.,
VRDN* (LC; Kredietbank N.V.),
3.75%, 6/5/96 .................................... 1,200,000
2,000 Soloman R. Guggenheim, Ser. B,
VRDN* (LC; Swiss Bank),
3.90%, 6/2/97 .................................... 2,000,000
New York St. DAR,
870 City Univ. Sys. Cons., Ser. A,
8.125%, 7/1/97 (A) ............................... 890,420
1,000 Ser. 1989 A,
3.70%, 6/2/97 .................................... 1,000,000
2,115 Metropolitan Museum of Art Proj.,
Ser. B, VRDN* (Insd.; MBIA),
3.70%, 6/4/97 .................................... 2,115,000
505 Miriam Osborn Mem. Home Proj.,
Ser. A, VRDN* (LC; Banque
Nationale de Paribas),
4.00%, 6/4/97 .................................... 505,000
4,100 St. Francis Ctr. at the Knolls,
VRDN* (LC; Banque
Nationale de Paribas),
4.10%, 6/2/97 .................................... 4,100,000
New York St. EFC,
1,000 Ser. 1987A, 3.45%, 6/2/97 ........................ 1,000,000
1,600 Ser. 1992A, 3.60%, 6/4/97 ........................ 1,600,000
1,400 Ser. 1992A, 3.75%, 8/15/97 ....................... 1,400,000
2,500 New York St. ERDA, Gas Facs. Rev.,
Brooklyn Union Gas Proj.,
Ser. A2, VRDN*
3.80%, 6/4/97 .................................... 2,500,000
New York St. ERDA, PCR,
New York St. Elec. & Gas Co. Proj.,
2,000 Ser. B, VRDN* (LC; Union Bank of
Switzerland),
3.85%, 10/15/97*** ............................... 2,000,000
6,000 Ser. C, VRDN* (LC; Morgan
Guaranty Trust),
3.85%, 6/2/97 .................................... 6,000,000
1,000 Niagara Mohawk Pwr. Corp. Proj.,
Ser. B, VRDN* (LC; Morgan
Guaranty Trust),
4.25%, 6/2/97 .................................... 1,000,000
Rochester Gas & Elec. Co. Proj.,
VRDN* (LC; Credit Suisse),
1,500 3.55%, 6/2/97 .................................... 1,500,000
1,000 3.60%, 11/15/97*** ............................... 1,000,000
1,000 New York St., HFA,
State Univ. Constr., Ser. A,
8.30%, 11/1/97 (A) ............................... 1,039,123
1,080 New York St. JDA, St. Guaranteed,
Ser. A, VRDN*
4.20%, 6/2/97..................................... 1,080,000
</TABLE>
12
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
$ 3,000 New York St. LGAC, Ser. E,
VRDN* (LC; Canadian Imperial Bank),
3.90%, 6/4/97 .................................... $ 3,000,000
New York St. Med. Care, FFAR,
350 Hosp. & Nurs. Home, Mtg. Hosp.,
Ser. B, (Insd.; FHA),
8.10%, 2/15/98 (A) ............................... 366,874
1,000 Mtg. Hosp., Ser. A, (Insd.; FHA),
8.00%, 8/15/97 (A) ............................... 1,029,119
2,000 New York St. PAR,
3.50%, 9/1/97*** ................................. 2,000,000
1,460 New York St. Urban Dev. Corp. Rev.,
Correctional Facs., Ser. E,
8.125%, 1/1/98 (A) ............................... 1,524,663
528 Niagra Cnty. IDA, IDR,
Pyron Corp. Proj.,
VRDN* (LC; Chase Manhattan Bank),
3.95%, 6/4/97 .................................... 528,000
500 Oceanside Sch. Dist. TAN's,
dtd. 7/10/96,
4.375%, 6/27/97 .................................. 500,163
1,000 Port Auth. of New York & New Jersey,
3.65%, 9/3/97 .................................... 1,000,000
260 St. Lawrence Cnty. IDA, CFR,
St. Lawrence Univ. Proj.,
Ser. A, (Insd.; MBIA),
4.25%, 7/1/97 .................................... 260,104
1,000 St. Lawrence Cnty. IDA, EIR,
Reynolds Metals Co. Proj.,
VRDN* (LC; Royal Bank of Canada),
3.90%, 6/4/97 .................................... 1,000,000
500 Scarsdale Sch. Dist. TAN's,
dtd. 7/16/96,
4.25%, 6/26/97 ................................... 500,112
475 Suffolk Cnty. GO, Ser. A,
5.00%, 10/15/97 .................................. 477,320
1,000 Suffolk Cnty. IDA, IDR,
Nissequogue Cogen Ptnrs. Proj.,
VRDN* (LC; Toronto-Dominion Bank),
3.95%, 6/4/97 .................................... 1,000,000
1,000 Suffolk Cnty. Wtr. Auth. BAN's,
dtd. 12/21/94, VRDN*
3.85%, 6/4/97 .................................... 1,000,000
Triborough Brdg. & Tunl. Auth. Rev.,
325 Ser. A,
5.90%, 1/1/98 .................................... 328,587
200 Ser. M,
6.65%, 1/1/98 .................................... 203,002
450 Wallkill IDA, PCR,
Reynolds Metals Co. Proj.,
VRDN*, (LC; Dresdner Bank A.G.),
3.90%, 6/4/97 .................................... 450,000
-----------
63,970,430
-----------
Puerto Rico--.5%
300 Puerto Rico Commonwealth TRAN's,
Ser. A, dtd. 12/17/96,
4.00%, 7/30/97 ................................... 300,107
-----------
Total Investments
(amortized cost--$64,270,537+) ........... 101.7% $ 64,270,537
Liabilities in Excess
of Other Assets ........................... (1.7) (1,063,307)
----- ------------
Total Net Assets ............................. 100.0% $ 63,207,230
===== ============
</TABLE>
+ Federal income tax basis of portfolio securities is the same as for
financial reporting purposes.
* Variable Rate Demand Notes (VRDN) are instruments whose interest rates
change on a specified date (such as a coupon date or interest payment date)
and/or whose interest rates vary with changes in a designated base rate
(such as the prime interest rate). Maturity date shown is date of next rate
change.
** These issues carry a mandatory put feature. Date shown is the exercise date
of the put.
*** These issues carry an optional put feature. Date shown is the exercise date
of the put.
(A) Pre-refunded to the date shown. Collateralized by U.S. Government securities
and cash which are held in escrow and are used to pay principal and interest
and to retire the bonds in full at the earliest refunding date.
See accompanying notes to financial statements.
13
<PAGE>
May 31, 1997
================================================================================
SCHEDULES OF INVESTMENTS (unaudited) (continued)
================================================================================
General Abbreviations:
AD Apartment Development
AIR Airport Improvement Revenue
AMBAC American Mortgage Bond Assurance Corporation
BAN Bond Anticipation Note
BFA Business Finance Authority
CDR Community Development Revenue
CFR Civic Facility Revenue
CRR Cultural Resources Revenue
CS Credit Support
DA Development Authority
DAR Dormitory Authority Revenue
DWR Department of Water Resources
EDA Economic Development Authority
EDAR Economic Development Authority Revenue
EDR Economic Development Revenue
EEIR Education Equipment & Improvement Revenue
EFC Environmental Facilities Corporation
EFR Electric Facilities Revenue
EIERA Environmental Improvement & Energy
Resource Authority
EIR Environment Improvement Revenue
ELR Educational Loan Revenue
ERDA Energy Research & Development Authority
FA Finance Authority
FAGR Finance Agency Revenue
FAR Finance Authority Revenue
FGIC Financial Guaranty Insurance Corporation
FSA Financial Security Assurance
GAR General Authority Revenue
GFR General Fund Revenue
GO General Obligation
HAR Hospital Authority Revenue
HDA Housing Development Authority
HEA Higher Education Authority
HEAA Higher Education Assistance Revenue
HEL Higher Education Loan
HF Housing Finance
HFA Housing Finance Authority
HFAMR Housing Finance Agency Mortgage Revenue
HFASFR Housing Finance Authority Single Family Revenue
HFC Housing Finance Committee
HFDCR Health Facilities Development Corporation Revenue
HFF Health Facilities Financing
HFFAR Health Facilities Financing Authority Revenue
HFR Health Facilities Revenue
HHEFAR Health & Higher Educational Facilities Authority Revenue
HR Hospital Revenue
HMFA Housing Mortgage Finance Authority
HMFC Housing Mortgage Finance Corporation
ID Industrial Development
IDA Industrial Development Authority
IDB Industrial Development Board
IDR Industrial Development Revenue
IFA Industrial Finance Agency
JDA Job Development Authority
LC Letter of Credit
LGAC Local Government Assistance Corp.
MBIA Municipal Bond Investors Assurance
MFA Municipal Finance Authority
MFHR Multiple Family Housing Revenue
MMR Multiple Family Mortgage Revenue
MTA Metropolitan Transportation Authority
MUD Municipal Utility District
MUDER Municipal Utility District Electric Revenue
MWFA Municipal Water Finance Authority
MWFSSR Municipal Water Finance Sewer System Revenue
PAR Power Authority Revenue
PCC Pollution Control Corporation
PCFA Pollution Control Financing Authority
PCFR Pollution Control Facilities Revenue
PCR Pollution Control Revenue
PFA Public Facility Authority
PPA Public Power Authority
PPR Public Power Revenue
PSA Public School Authority
PSR Power Supply Revenue
RAN Revenue Anticipation Note
RRR Resource Recovery Revenue
SCD Statewide Communities Development
SLMA Student Loan Marketing Association
SLR Student Loan Revenue
STR Sales Tax Revenue
SWDR Solid Waste Disposal Revenue
TA Transportation Authority
TAN Tax Anticipation Note
TRAN Tax Revenue Anticipation Note
WD Water District
WDA Waste Disposal Authority
14
<PAGE>
[This Page Intentionally Left Blank]
15
<PAGE>
May 31, 1997
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES (unaudited)
================================================================================
<TABLE>
<CAPTION>
--------------- --------------- --------------- --------------- ---------------
General California New York
Primary Government Municipal Municipal Municipal
Portfolio Portfolio Portfolio Portfolio Portfolio
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Assets
Investments, at value
(amortized cost--
$1,907,936,452, $100,679,986,
$129,997,995, $53,615,265 and
$64,270,537, respectively) ..... $ 1,907,936,452 $ 100,679,986 $ 129,997,995 $ 53,615,265 $ 64,270,537
Cash ............................. 140,477 179,027 82,545 71,310 52,745
Receivable for fund shares sold .. 575,019 38,178 53,589 -- 203
Interest receivable .............. 5,116,568 154,292 1,645,715 753,621 568,040
Prepaid expenses and other assets 143,287 28,606 39,507 4,977 3,647
--------------- --------------- --------------- --------------- ---------------
Total Assets ..................... 1,913,911,803 101,080,089 131,819,351 54,445,173 64,895,172
--------------- --------------- --------------- --------------- ---------------
Liabilities
Payable for investments purchased -- -- 1,607,622 747,927 1,574,420
Payable for fund shares redeemed . 141,885 3,273 3,300 -- 1,386
Investment advisory fee payable .. 64,004 4,146 5,097 2,207 2,578
Distribution fee payable ......... 38,975 2,075 2,603 1,103 1,289
Shareholder services fee payable . 99,762 5,425 7,016 2,702 4,041
Administrative services fee
payable ........................ 87,650 5,305 5,903 2,421 3,226
Dividends payable ................ 3,990,145 211,769 156,562 66,191 74,163
Other payables and accrued
expenses ....................... 492,908 40,059 49,796 26,951 26,839
--------------- --------------- --------------- --------------- ---------------
Total Liabilities ................ 4,915,329 272,052 1,837,899 849,502 1,687,942
--------------- --------------- --------------- --------------- ---------------
Total Net Assets ................. $ 1,908,996,474 $ 100,808,037 $ 129,981,452 $ 53,595,671 $ 63,207,230
=============== =============== =============== =============== ===============
Composition of Net Assets
Par value ($.0001 per share,
10 billion shares authorized
for each portfolio) ............ $ 190,904 $ 10,083 $ 13,007 $ 5,363 $ 6,323
Paid-in-capital in excess of par . 1,908,805,641 100,798,196 130,059,823 53,621,161 63,224,708
Accumulated net realized
loss on investments ............ (71) (242) (91,378) (30,853) (23,801)
--------------- --------------- --------------- --------------- ---------------
Total Net Assets ................. $ 1,908,996,474 $ 100,808,037 $ 129,981,452 $ 53,595,671 $ 63,207,230
=============== =============== =============== =============== ===============
Fund shares outstanding .......... 1,909,035,715 100,830,472 130,073,496 53,626,525 63,231,032
--------------- --------------- --------------- --------------- ---------------
Net asset value per share ........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=============== =============== =============== =============== ===============
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
Six months ended May 31, 1997
================================================================================
STATEMENTS OF OPERATIONS (unaudited)
================================================================================
<TABLE>
<CAPTION>
------------ ------------ ------------ ------------ ------------
General California New York
Primary Government Municipal Municipal Municipal
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Investment Income
Interest ................................... $ 50,783,513 $ 2,727,718 $ 2,392,459 $ 918,527 $ 1,103,404
------------ ------------ ------------ ------------ ------------
Operating Expenses
Investment advisory fee (note 2a) .......... 3,782,282 250,571 325,458 132,364 155,774
Distribution fee (note 2b) ................. 2,301,598 125,732 166,959 66,182 77,887
Transfer and dividend
disbursing agent fees .................... 795,437 24,498 26,973 7,030 10,587
Administrative services fee
(note 2c) ................................ 460,320 25,147 33,392 13,236 15,577
Shareholder services fee
(note 2d) ................................ 191,203 11,877 15,161 5,414 10,776
Registration fees .......................... 85,539 18,164 34,512 804 2,437
Custodian fees (note 1f) ................... 77,246 18,645 20,219 7,397 6,301
Reports and notices to
shareholders ............................ 59,632 2,779 3,432 1,109 1,349
Audit fees ................................. 19,699 8,230 8,230 8,230 8,230
Directors' fees and expenses ............... 15,856 12,815 12,840 12,815 12,815
Legal fees ................................. 7,978 748 748 499 499
Miscellaneous .............................. 145,350 7,009 4,545 7,278 1,941
------------ ------------ ------------ ------------ ------------
Total operating expenses ................. 7,942,140 506,215 652,469 262,358 304,173
Less: Investment advisory fee
waived (note 2a) ....................... -- (7,686) (2,257) (31,822) (152)
Less: Expense offset
arrangement (note 1f) .................. (2,231) (1,271) (2,192) (1,644) (1,226)
------------ ------------ ------------ ------------ ------------
Net operating expenses ................... 7,939,909 497,258 648,020 228,892 302,795
------------ ------------ ------------ ------------ ------------
Net investment income .................. 42,843,604 2,230,460 1,744,439 689,635 800,609
Net realized gain (loss)
on investments ........................... 17 (104) (640) 1 --
------------ ------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations .................. $ 42,843,621 $ 2,230,356 $ 1,743,799 $ 689,636 $ 800,609
============ ============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements.
17
<PAGE>
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
-------------------------------------- ---------------------------------------
Primary Portfolio Government Portfolio
-------------------------------------- ---------------------------------------
Six months ended Year ended Six months ended Year ended
May 31, 1997(a) November 30, 1996 May 31, 1997(a) November 30, 1996
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Operations
Net investment income ................... $ 42,843,604 $ 77,918,405 $ 2,230,460 $ 4,627,291
Net realized gain (loss)
on investments ........................ 17 (88) (104) (138)
--------------- --------------- --------------- ---------------
Net increase in net assets
resulting from operations .......... 42,843,621 77,918,317 2,230,356 4,627,153
--------------- --------------- --------------- ---------------
Dividends and Distributions
to Shareholders
Net investment income ................... (42,843,604) (77,918,405) (2,230,460) (4,627,291)
Net realized gains ...................... -- (68) -- (700)
--------------- --------------- --------------- ---------------
Total dividends and
distributions to shareholders ........ (42,843,604) (77,918,473) (2,230,460) (4,627,991)
--------------- --------------- --------------- ---------------
Fund Share Transactions
Net proceeds from sales ................. 6,329,538,330 9,931,873,061 315,008,650 547,203,168
Reinvestment of dividends
and distributions ..................... 40,939,584 75,659,105 2,131,763 4,601,454
Cost of shares redeemed ................. (6,174,062,218) (9,966,080,610) (317,467,776) (559,243,310)
--------------- --------------- --------------- ---------------
Net increase (decrease)
in net assets from fund
share transactions ................. 196,415,696 41,451,556 (327,363) (7,438,688)
--------------- --------------- --------------- ---------------
Total increase (decrease) in
net assets ............................ 196,415,713 41,451,400 (327,467) (7,439,526)
Net Assets
Beginning of period ..................... 1,712,580,761 1,671,129,361 101,135,504 108,575,030
--------------- --------------- --------------- ---------------
End of period ........................... $ 1,908,996,474 $ 1,712,580,761 $ 100,808,037 $ 101,135,504
=============== =============== =============== ===============
</TABLE>
- --------------------------------------------------------------------------------
(a) Unaudited.
See accompanying notes to financial statements.
18
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
-------------------------------------- --------------------------------------- --------------------------------------
General Municipal Portfolio California Municipal Portfolio New York Municipal Portfolio
-------------------------------------- --------------------------------------- --------------------------------------
Six months ended Year ended Six months ended Year ended Six months ended Year ended
May 31, 1997(a) November 30, 1996 May 31, 1997(a) November 30, 1996 May 31, 1997(a) November 30, 1996
---------------- ----------------- ---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
$ 1,744,439 $ 3,300,025 $ 689,635 $ 1,498,467 $ 800,609 $ 1,537,093
(640) 1,357 1 (9,304) -- --
------------- ------------- ------------- ------------- ------------- -------------
1,743,799 3,301,382 689,636 1,489,163 800,609 1,537,093
------------- ------------- ------------- ------------- ------------- -------------
(1,744,439) (3,300,025) (689,635) (1,498,467) (800,609) (1,537,093)
-- -- -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
(1,744,439) (3,300,025) (689,635) (1,498,467) (800,609) (1,537,093)
------------- ------------- ------------- ------------- ------------- -------------
441,956,672 718,878,788 167,544,798 276,344,120 178,602,191 317,110,184
1,668,900 3,249,617 663,042 1,512,475 741,207 1,470,312
(435,925,272) (715,812,543) (167,972,827) (300,398,721) (176,132,290) (310,927,499)
------------- ------------- ------------- ------------- ------------- -------------
7,700,300 6,315,862 235,013 (22,542,126) 3,211,108 7,652,997
------------- ------------- ------------- ------------- ------------- -------------
7,699,660 6,317,219 235,014 (22,551,430) 3,211,108 7,652,997
122,281,792 115,964,573 53,360,657 75,912,087 59,996,122 52,343,125
------------- ------------- ------------- ------------- ------------- -------------
$ 129,981,452 $ 122,281,792 $ 53,595,671 $ 53,360,657 $ 63,207,230 $ 59,996,122
============= ============= ============= ============= ============= =============
</TABLE>
19
<PAGE>
May 31, 1997
================================================================================
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
1. Organization and Significant Accounting Policies
OCC Cash Reserves (the "Fund") is registered under the Investment Company
Act of 1940 as an open-end management investment company. The Fund has five
portfolios: the Primary Portfolio ("Primary"), the Government Portfolio
("Government"), the General Municipal Portfolio ("General"), the California
Municipal Portfolio ("California") and the New York Municipal Portfolio ("New
York"). Each Portfolio is considered to be a separate entity for financial
reporting and tax purposes. OpCap Advisors (the "Adviser") and OCC Distributors
(the "Distributor"), both majority-owned (99%) subsidiaries of Oppenheimer
Capital, serve as each Portfolio's adviser and distributor, respectively.
The preparation of the financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. The following is a summary of significant accounting policies
consistently followed by the Fund in the preparation of its financial
statements:
(a) Valuation of Investments
Each Portfolio values its investments on the basis of amortized cost which
approximates market value. The amortized cost method involves valuing a security
at cost on the date of purchase and thereafter assuming a constant dollar
amortization to maturity of the difference between the principal amount due at
maturity and the initial cost of the security.
(b) Federal Income Taxes
Each Portfolio intends to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and distributes
substantially all of its taxable and non-taxable income to its shareholders;
accordingly, no Federal income tax provision is required.
(c) Securities Transactions and Other Income
Securities transactions are accounted for on the trade date. Cost of
securities sold is determined on the basis of identified cost. Interest income
is accrued as earned. Premiums are amortized and discounts are accreted to
interest income over the lives of the respective securities.
(d) Dividends and Distributions
Dividends from net investment income are declared daily and paid monthly by
each Portfolio. Distributions of net realized short-term capital gains, if any,
are declared and paid at least annually by each Portfolio.
(e) Repurchase Agreements
Each Portfolio may enter into repurchase agreements as part of its
investment program. The Portfolios' custodian takes possession of the collateral
pledged by the counterparty. The collateral is marked-to-market daily to ensure
that the value, plus accrued interest, is at least equal to the repurchase
price. In the event of default of the obligor to repurchase, the Portfolio has
the right to liquidate the collateral and apply the proceeds in satisfaction of
the obligation. Under certain circumstances, in the event of default or
bankruptcy by the counterparty to the agreement, realization and/or retention of
the collateral or proceeds may be subject to legal proceedings.
(f) Expense Allocations
Expenses specifically identifiable to a particular Portfolio are borne by
that Portfolio. Other expenses are allocated to each Portfolio based on its net
assets in relation to the total net assets of all applicable Portfolios or on
another reasonable basis. The Fund benefits from an expense offset arrangement
with the custodian bank where uninvested cash balances earn credits that reduce
monthly fees. Had these cash balances been invested in income producing
securities, they would have generated income for the Fund.
2. Investment Advisory Fee, Distribution Fee, Shareholder Services Fee
and Other Transactions with Affiliates
(a) Under the Investment Advisory Agreement, each Portfolio pays the
Adviser a monthly investment advisory fee at the annual rate of .50% on the
first $100 million of average daily net assets, .45% on the next $200 million of
average daily net assets, and .40% on average daily net assets in excess of $300
million. The Adviser has voluntarily agreed to reimburse a Portfolio to the
extent that the total operating expenses of the Portfolio do not exceed 1.00% of
its average daily net assets (net of expense offsets) for any fiscal year. For
the six months
20
<PAGE>
================================================================================
================================================================================
ended May 31, 1997, the Adviser waived $7,686, $2,257, $31,822 and $152 in
investment advisory fees for Government, General, California and New York,
respectively.
(b) The Fund has adopted a Distribution Assistance Plan (the "Plan")
pursuant to which each Portfolio pays the Adviser a monthly fee at an annual
rate of .25% of its average daily net assets and the Adviser uses such amounts
in their entirety for (i) payments to broker-dealers, banks and other financial
intermediaries for their distribution assistance provided to the Portfolio and
(ii) otherwise promoting the sale of shares of the Fund. For the six months
ended May 31, 1997, substantially all fees under the Plan were paid to
Oppenheimer & Co., Inc., an affiliated broker-dealer of the Adviser.
(c) Each Portfolio may pay certain broker-dealers including its affiliate
Oppenheimer & Co., Inc. for performing certain administrative services on
shareholder accounts. Such payments are limited to .05% of the average daily net
assets of each respective broker-dealer. For the six months ended May 31, 1997,
payments to Oppenheimer & Co., Inc. were: Primary $443,587; Government $23,533;
General $31,947; California $13,064 and New York $13,919.
(d) Each Portfolio reimburses Oppenheimer & Co., Inc. for a portion of its
costs in providing it with shareholder servicing. Such payments are limited to
.02% of the average net assets of Oppenheimer & Co., Inc.'s shareholder
accounts. The Fund has been informed that for the six months ended May 31, 1997,
amounts paid to Oppenheimer & Co., Inc. for such services were: Primary
$177,050; Government $9,234; General $12,705; California $5,278; and New York
$5,343.
(e) On December 7, 1994, the Adviser voluntarily purchased from the
California Municipal Portfolio $2,000,000 par, Orange County, CA Tax and Revenue
Anticipation Notes for an amount which exceeded their fair market value by
$604,407. The Portfolio recognized a realized loss on the sale and received a
capital contribution of an equal amount from the Adviser. For tax purposes, the
capital contribution was applied against the realized losses for the year ended
November 30, 1995.
3. Purchases and Sales of Securities
For the six months ended May 31, 1997, purchases and sales/maturities of
investment securities were: Primary $8,959,435,688 and $8,802,099,887,
respectively; Government $1,636,897,456 and $1,639,417,701, respectively;
General $329,733,211 and $319,622,660, respectively; California $122,090,237 and
$120,556,000, respectively; and New York $140,711,779 and $134,000,000,
respectively.
4. Financial Instruments and Associated Risks
Each Portfolio invests in issues with a remaining maturity of thirteen
months or less and are rated high quality by a nationally recognized statistical
rating organization or, if not rated, are judged by the Adviser to be of
comparable quality. Primary maintains portfolio diversification to reduce
investment risk by not investing more than 25% of its total assets in securities
of issuers conducting their principal business activities in any one industry,
except that under normal circumstances at least 25% of its total assets will be
invested in bank obligations. At May 31, 1997, major industry concentrations
were as follows: Banking--42.9%, Brokerage--10.8%, Finance--10.1%,
Automotive--8.6% and Sovereign--6.6%. Government's portfolio is concentrated in
issues of, or guaranteed by, the U.S. Government and/or its agencies and is
diversified with respect to its investments in repurchase agreements. General
maintains a diversified portfolio of short-term obligations issued by states,
territories and possessions of the United States and by the District of Columbia
and by their political subdivisions and duly constituted authorities. California
and New York maintain non-diversified portfolios of short-term obligations
issued by the States of California and New York, respectively, and their
political subdivisions. Issuers' abilities to meet their obligations may be
affected by economic and political developments in a specific state, region or
industry. Certain short-term debt obligations held by the Portfolios may be
entitled to the benefit of standby letters of credit or other guarantees of
banks or other financial institutions.
5. Affiliated Transaction
On February 13, 1997, PIMCO Advisors L.P. ("PIMCO Advisors"), a registered
investment adviser with approximately $110 billion in assets under management
through various subsidiaries, signed an Agreement and Plan of Merger with
Oppenheimer Group, Inc. ("OGI") and its subsidiary Oppenheimer Financial Corp.
("Opfin") pursuant to which PIMCO Advisors and its affiliate, Thomson Advisory
Group Inc. ("TAG"), will acquire the one-third managing general partner interest
in Oppenheimer Capital, its 1.0% general partnership interest in OpCap Advisors,
and its 1.0% general partner interest in Oppenheimer Capital L.P. (the
"Transaction") and OGI will be merged with, and into TAG. The Transaction is
subject to certain conditions being satisfied prior to closing, including a
favorable tax ruling from the Internal Revenue Service, and consents of certain
clients. If the Transaction is consummated, it will involve a change in control
of Oppenheimer Capital and its subsidiary OpCap Advisors which will constitute
an assignment and termination of the Investment Advisory Agreement with the
Fund. At a meeting held on February 28, 1997, the Board of Directors of the
Fund, including all of the independent Directors, approved and determined to
submit to shareholders for approval, a new Investment Advisory Agreement with
OpCap Advisors, substantially upon the same terms and conditions as the existing
Investment Advisory Agreement. Proxy material will be sent to shareholders
concerning the new Investment Advisory Agreement.
21
<PAGE>
================================================================================
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
================================================================================
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS
INVESTMENT OPERATIONS AND DISTRIBUTIONS
-------------------------------------- --------------------------------------------
Dividends to Total
Net Asset Net Shareholders Distributions Dividends and
Value, Net Realized Total from from Net to Shareholders Distributions
Beginning Investment Gain/(Loss) Investment Investment from Net to
of Period Income on Investments Operations Income Realized Gains Shareholders
----------- ---------- -------------- ---------- ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Primary Portfolio
Six months ended
May 31, 1997(1) $1.000 $0.023 $0.000 $0.023 ($0.023) -- ($0.023)
Year ended Nov. 30, 1996 1.000 0.046 (0.000) 0.046 (0.046) ($0.000) (0.046)
Year ended Nov. 30, 1995 1.000 0.051 0.000 0.051 (0.051) (0.000) (0.051)
Year ended Nov. 30, 1994 1.000 0.032 0.000 0.032 (0.032) (0.000) (0.032)
Year ended Nov. 30, 1993 1.000 0.024 0.000 0.024 (0.024) (0.000) (0.024)
Year ended Nov. 30, 1992 1.000 0.033 0.000 0.033 (0.033) (0.000) (0.033)
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
------------------------------
Net
Asset Net Assets,
Value, End of Net Net
End of Total Period Operating Investment
Period Return* (millions) Expenses Income
------ ------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Primary Portfolio
Six months ended
May 31, 1997(1) $1.000 4.75%(4) $1,909.0 0.86%(2,3,4) 4.65%(2,4)
Year ended Nov. 30, 1996 1.000 4.69% 1,712.6 0.91%(3) 4.60%
Year ended Nov. 30, 1995 1.000 5.19% 1,671.1 0.94% 5.07%
Year ended Nov. 30, 1994 1.000 3.26% 1,453.8 0.91% 3.21%
Year ended Nov. 30, 1993 1.000 2.44% 1,413.9 0.90% 2.41%
Year ended Nov. 30, 1992 1.000 3.38% 1,168.3 0.88% 3.34%
</TABLE>
(1) Unaudited.
(2) Average net assets for the six months ended May 31, 1997 were
$1,846,336,600.
(3) Gross of expense offsets (see note 1f in Notes to Financial Statements).
(4) Annualized.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS
INVESTMENT OPERATIONS AND DISTRIBUTIONS
-------------------------------------- --------------------------------------------
Dividends to Total
Net Asset Net Shareholders Distributions Dividends and
Value, Net Realized Total from from Net to Shareholders Distributions
Beginning Investment Gain/(Loss) Investment Investment from Net to
of Period Income on Investments Operations Income Realized Gains Shareholders
<S> <C> <C> <C> <C> <C> <C> <C>
Government Portfolio
Six months ended
May 31, 1997(1) $1.000 $0.022 ($0.000) $0.022 ($0.022) -- ($0.022)
Year ended Nov. 30, 1996 1.000 0.044 (0.000) 0.044 (0.044) ($0.000) (0.044)
Year ended Nov. 30, 1995 1.000 0.049 0.000 0.049 (0.049) (0.000) (0.049)
Year ended Nov. 30, 1994 1.000 0.031 0.000 0.031 (0.031) -- (0.031)
Year ended Nov. 30, 1993 1.000 0.022 -- 0.022 (0.022) (0.000) (0.022)
Year ended Nov. 30, 1992 1.000 0.032 0.000 0.032 (0.032) -- (0.032)
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
------------------------------
Net
Asset Net Assets,
Value, End of Net Net
End of Total Period Operating Investment
Period Return* (millions) Expenses Income
<S> <C> <C> <C> <C> <C>
Government Portfolio
Six months ended
May 31, 1997(1) $1.000 4.53%(4) $100.8 0.99%(2,3,4) 4.43%(2,3,4)
Year ended Nov. 30, 1996 1.000 4.51% 101.1 1.00%(2) 4.41%(2)
Year ended Nov. 30, 1995 1.000 5.02% 108.6 1.00%(2) 4.91%(2)
Year ended Nov. 30, 1994 1.000 3.12% 113.2 0.95%(2) 3.08%(2)
Year ended Nov. 30, 1993 1.000 2.26% 127.9 1.00% 2.24%
Year ended Nov. 30, 1992 1.000 3.24% 131.7 0.93%(2) 3.23%(2)
</TABLE>
(1) Unaudited.
(2) During the periods noted above, the Adviser waived a portion of its fees.
Additionally, for the six months ended May 31, 1997 and for the year ended
November 30, 1996, the Portfolio benefited from an expense offset
arrangement with its custodian bank. Had such waivers and expense offsets
not been in effect, the ratio of net operating expenses to average net
assets would have been 1.01%, 1.00%, 1.02%, 0.97% and 0.94%, respectively,
and the ratio of net investment income to average net assets would have
been 4.41%, 4.41%, 4.89%, 3.06% and 3.22%, respectively.
(3) Average net assets for the six months ended May 31, 1997 were $100,862,033.
(4) Annualized.
- --------------------------------------------------------------------------------
* Assumes reinvestment of all dividends and distributions.
22
<PAGE>
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
---------------------------------------------- -------------------------
Dividends to
Net Asset Net Shareholders
Value, Net Realized Total from from Net Capital
Beginning Investment Gain/(Loss) Investment Investment Contribution
of Period Income on Investments Operations Income by Adviser
<S> <C> <C> <C> <C> <C> <C>
General Municipal Portfolio
Six months ended
May 31, 1997(1) $1.000 $0.013 ($0.000) $0.013 ($0.013) --
Year ended Nov. 30, 1996 1.000 0.025 0.000 0.025 (0.025) --
Year ended Nov. 30, 1995 1.000 0.031 0.000 0.031 (0.031) --
Year ended Nov. 30, 1994 1.000 0.020 (0.000) 0.020 (0.020) --
Year ended Nov. 30, 1993 1.000 0.017 (0.000) 0.017 (0.017) --
Year ended Nov. 30, 1992 1.000 0.026 0.000 0.026 (0.026) --
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
------------------------------------
Net Asset Net Assets,
Value, End of Net Net
End of Total Period Operating Investment
Period Return* (millions) Expenses Income
<S> <C> <C> <C> <C> <C>
General Municipal Portfolio
Six months ended
May 31, 1997(1) $1.000 2.65%(4) $130.0 0.97%(2,3,4) 2.61%(2,3,4)
Year ended Nov. 30, 1996 1.000 2.56% 122.3 0.99%(2) 2.53%(2)
Year ended Nov. 30, 1995 1.000 3.11% 116.0 0.93%(2) 3.07%(2)
Year ended Nov. 30, 1994 1.000 2.04% 108.7 0.90%(2) 2.01%(2)
Year ended Nov. 30, 1993 1.000 1.74% 109.7 0.98%(2) 1.73%(2)
Year ended Nov. 30, 1992 1.000 2.66% 112.9 0.90%(2) 2.62%(2)
</TABLE>
(1) Unaudited.
(2) During the periods noted above, the Adviser waived a portion of its fees.
Additionally, for the six months ended May 31, 1997 and for the year ended
November 30, 1996, the Portfolio benefited from an expense offset
arrangement with its custodian bank. Had such waivers and expense offsets
not been in effect, the ratio of net operating expenses to average net
assets would have been 0.98%, 0.99%, 1.02%, 1.01%, 1.01% and 1.00%,
respectively, and the ratio of net investment income to average net assets
would have been 2.61%, 2.53%, 2.98%, 1.90%, 1.70% and 2.52%, respectively.
(3) Average net assets for the six months ended May 31, 1997 were $133,934,354.
(4) Annualized.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
---------------------------------------------- -------------------------
Dividends to
Net Asset Net Shareholders
Value, Net Realized Total from from Net Capital
Beginning Investment Gain/(Loss) Investment Investment Contribution
of Period Income on Investments Operations Income by Adviser
<S> <C> <C> <C> <C> <C> <C>
California Municipal Portfolio
Six months ended
May 31, 1997(1) $1.000 $0.013 $0.000 $0.013 ($0.013) --
Year ended Nov. 30, 1996 1.000 0.024 -- 0.024 (0.024) --
Year ended Nov. 30, 1995 1.000 0.031 (0.008) 0.023 (0.031) $0.008
Year ended Nov. 30, 1994 1.000 0.020 (0.000) 0.020 (0.020) --
Year ended Nov. 30, 1993 1.000 0.017 (0.000) 0.017 (0.017) --
Year ended Nov. 30, 1992 1.000 0.025 (0.000) 0.025 (0.025) --
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
------------------------------------
Net Asset Net Assets,
Value, End of Net Net
End of Total Period Operating Investment
Period Return* (millions) Expenses Income
<S> <C> <C> <C> <C> <C>
California Municipal Portfolio
Six months ended
May 31, 1997(1) $1.000 2.64%(4) $53.6 0.87%(2,3,4) 2.61%(2,3,4)
Year ended Nov. 30, 1996 1.000 2.42% 53.4 0.85%(2) 2.42%(2)
Year ended Nov. 30, 1995 1.000 3.10%(5) 75.9 0.82%(2) 3.05%(2)
Year ended Nov. 30, 1994 1.000 1.99% 61.3 0.85%(2) 1.99%(2)
Year ended Nov. 30, 1993 1.000 1.76% 62.3 0.85%(2) 1.75%(2)
Year ended Nov. 30, 1992 1.000 2.57% 61.2 0.60%(2) 2.51%(2)
</TABLE>
(1) Unaudited.
(2) During the periods noted above, the Adviser waived a portion of its fees.
Additionally, for the six months ended May 31, 1997 and for the year ended
November 30, 1996, the Portfolio benefited from an expense offset
arrangement with its custodian bank. Had such waivers and expense offsets
not been in effect, the ratio of net operating expenses to average net
assets would have been 0.99%, 0.97%, 0.95%, 0.97%, 0.98% and 1.02%,
respectively, and the ratio of net investment income to average net assets
would have been 2.48%, 2.30%, 2.92%, 1.87%, 1.62% and 2.09%, respectively.
(3) Average net assets for the six months ended May 31, 1997 were $53,091,065.
(4) Annualized.
(5) Had the Adviser not made the capital contribution in regard to Orange
County, (see note 2e in Notes to Financial Statements) the Portfolio's
total return would have been lower.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
---------------------------------------------- -------------------------
Dividends to
Net Asset Net Shareholders
Value, Net Realized Total from from Net Capital
Beginning Investment Gain/(Loss) Investment Investment Contribution
of Period Income on Investments Operations Income by Adviser
<S> <C> <C> <C> <C> <C> <C>
New York Municipal Portfolio
Six months ended
May 31, 1997(1) $1.000 $0.013 -- $0.013 ($0.013) --
Year ended Nov. 30, 1996 1.000 0.025 -- 0.025 (0.025) --
Year ended Nov. 30, 1995 1.000 0.030 $0.000 0.030 (0.030) --
Year ended Nov. 30, 1994 1.000 0.019 (0.000) 0.019 (0.019) --
Year ended Nov. 30, 1993 1.000 0.016 (0.000) 0.016 (0.016) --
Year ended Nov. 30, 1992 1.000 0.025 (0.000) 0.025 (0.025) --
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
------------------------------------
Net Asset Net Assets,
Value, End of Net Net
End of Total Period Operating Investment
Period Return* (millions) Expenses Income
<S> <C> <C> <C> <C> <C>
New York Municipal Portfolio
Six months ended
May 31, 1997(1) $1.000 2.61%(4) $63.2 0.98%(2,3,4) 2.57%(2,3,4)
Year ended Nov. 30, 1996 1.000 2.50% 60.0 0.97%(2) 2.45%(2)
Year ended Nov. 30, 1995 1.000 3.07% 52.3 0.79%(2) 3.02%(2)
Year ended Nov. 30, 1994 1.000 1.92% 48.0 0.82%(2) 1.90%(2)
Year ended Nov. 30, 1993 1.000 1.66% 42.2 0.79%(2) 1.64%(2)
Year ended Nov. 30, 1992 1.000 2.56% 32.9 0.74%(2) 2.43%(2)
</TABLE>
(1) Unaudited.
(2) During the periods noted above, the Adviser waived a portion of its fees.
Additionally, for the six months ended May 31, 1997 and for the year ended
November 30, 1996, the Portfolio benefited from an expense offset
arrangement with its custodian bank. Had such waivers and expense offsets
not been in effect, the ratio of net operating expenses to average net
assets would have been 0.98%, 0.98%, 1.00%, 1.01%, 1.03% and 1.19%,
respectively, and the ratio of net investment income to average net assets
would have been 2.57%, 2.44%, 2.81%, 1.71%, 1.40% and 1.98%, respectively.
(3) Average net assets for the six months ended May 31, 1997 were $62,480,783.
(4) Annualized.
- --------------------------------------------------------------------------------
* Assumes reinvestment of all dividends.
23
<PAGE>
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OCC OCC
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CASH RESERVES CASH RESERVES
------------- -------------
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<TABLE>
<S> <C> <C>
Directors and Officers
Joseph M. La Motta Director, President
Paul Y. Clinton Director
Thomas W. Courtney Director
Lacy B. Herrmann Director o Primary Portfolio
George Loft Director o Government Portfolio
Everett Alcenat Vice President o General Municipal Portfolio
Robert J. Bluestone Vice President o California Municipal Portfolio
Bernard H. Garil Vice President o New York Municipal Portfolio
John C. Giusio, Jr. Vice President
Matthew Greenwald Vice President
Benjamin Gutstein Vice President Semi-Annual Report
Susan A. Murphy Vice President
Sheldon Siegel Treasurer May 31, 1997
Richard L. Peteka Assistant Treasurer
Deborah Kaback Secretary
Maria Camacho Assistant Secretary
Thomas E. Duggan Assistant Secretary
Investment Adviser
OpCap Advisors
One World Financial Center
New York, NY 10281
Distributor
OCC Distributors
Two World Financial Center
New York, NY 10080
Custodian, Transfer and Shareholder Servicing Agent
State Street Bank and Trust Company
P.O. Box 8505
Boston, MA 02266
- ---------------------------------------------------
Table of Contents
President's Letter............................. 1
Investment Review.............................. 2
Schedules of Investments....................... 4
Statements of Assets and Liabilities........... 16
Statements of Operations....................... 17
Statements of Changes in Net Assets............ 18
Notes to Financial Statements.................. 20
Financial Highlights........................... 22 Managed by
- ---------------------------------------------------- OpCap Advisors
</TABLE>
This report is authorized for distribution only to shareholders and to others
who have received a copy of the prospectus.
================================================================================
