<PAGE>
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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
================================
OCC CASH RESERVES
January 15, 1998
Dear Shareholder:
OCC Cash Reserves is pleased to send you this Annual Report for the fiscal year
ended November 30, 1997. Detailed information on the performance and holdings of
each of the Fund's five portfolios is presented in the Investment Review and
financial statements that follow.
Since our last report to shareholders, short term interest rates have remained
in a narrow trading range due to the Federal Reserve leaving the overnight
lending rate between banks, the Federal Funds Rate, unchanged at 5.5%. The basic
economic trend of moderate growth and low inflation seen earlier in the year
remain with us today.
As we head into 1998, the Federal Reserve will continue to monitor the tight
labor market which could lead to higher wages and inflation. However, a recent
development, the economic crisis in Asia which began in the summer of 1997,
definitely will affect the deliberations of the Federal Reserve. As Asian
economies slow, prices of Asian exports likely will decrease. This could lead to
further price declines in the U.S. as domestic manufacturers lower prices to
remain competitive with Asian imports. In this instance, inflation will remain
dormant and the Federal Reserve will not have to raise short term interest
rates. If U.S. economic growth continues strong during 1998 and wages in the
U.S. continue to rise, the Federal Reserve may consider raising the Federal
Funds Rate. The five OCC Cash Reserves portfolios are positioned for either
outcome to maximize yields for our shareholders.
We want to bring you up to date on recent events related to OpCap Advisors, the
adviser to your Fund. PIMCO Advisors L.P. has recently acquired Oppenheimer
Capital, the parent of OpCap Advisors. PIMCO Advisors L.P. is one of the premier
investment firms in the world, with more than $190 billion of assets under
management. OpCap Advisors management style will remain unchanged and the Fund
will continue to seek to provide shareholders with safety of principal,
liquidity and maximum current income through investment in money market
securities.
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
<PAGE>
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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.
Annual Review
During the fiscal year ended November 30, 1997, the daily dividends of the
Primary Portfolio averaged 4.74% on an annual basis or 4.85% compounded monthly.
At fiscal year-end the Portfolio had a seven-day compounded yield of 4.92%, down
from 4.94% at the beginning of the year. The average maturity of the Portfolio
during the year ranged from a low of 42 days to a high of 70 days and on
November 30, 1997 was 54 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.
Annual Review
The Government Portfolio's daily dividend averaged 4.51% on an annual basis or
4.60% compounded monthly for the fiscal year ended November 30, 1997. On
November 30, 1997, the seven-day compounded yield of the Portfolio was 4.71%, up
from 4.47% a year earlier. The average maturity of the Portfolio during the year
ranged from 36 days to 84 days. On November 30, 1997 it was 54 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.
Annual Review
Daily dividends of the General Municipal Portfolio averaged 2.70% on an annual
basis and 2.74% compounded monthly during the fiscal year ended November 30,
1997. 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 4.54%. The seven-day compounded yield on
November 30, 1997 was 2.96% compared with the year earlier when it was 2.71%.
Average maturity for the Portfolio ranged from 43 days to 67 days and on
November 30, 1997 was 50 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
interests in the foregoing.
Annual Review
For the year ended November 30, 1997, the daily dividend averaged 2.64% on an
annual basis and 2.68% 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 4.99%. Between November 30, 1996 and November 30, 1997,
the seven-day compounded yield fell from 3.04% to 2.81%. The average maturity of
the securities in the Portfolio ranged from 39 days to 70 days and was 56 days
on November 30, 1997.
2
<PAGE>
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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.
Annual Review
In the year ended November 30, 1997, the daily dividends of the Portfolio
averaged 2.63% on an annual basis and 2.66% compounded monthly. This was
equivalent to an effective taxable yield of 4.97% 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 2.86% between the 1996 and 1997 fiscal year-ends. The
average maturity of the Portfolio ranged between 35 days to 68 days. On November
30, 1997 it was 47 days.
================================================================================
TAX INFORMATION (unaudited)
================================================================================
We are required by Subchapter M of the Internal Revenue Code of 1986, as
amended, to advise you within 60 days of the Fund's fiscal year end (November
30, 1997) as to the Federal tax status of dividends and distributions received
by shareholders during such fiscal year. Accordingly, we are advising you that
per share dividends paid by the Primary and Government Portfolios amounting to
$0.047 and $0.045, respectively, are subject to Federal income tax.
Substantially all dividends paid by the General, California and New York
Municipal Portfolios during the fiscal year were exempt from Federal income tax,
although each of those Portfolios did invest in securities which paid interest
subject to the Federal alternative minimum tax during its fiscal year. The
portion of dividends paid to shareholders subject to such tax amounted to 32.6%,
12.0% and 26.0%, for the General, California and New York Municipal Portfolios,
respectively.
Since the Portfolios' fiscal year is not the calendar year, you will be advised
on IRS Form 1099 DIV as to the Federal tax status of the dividends received by
you in calendar 1997. The amounts that will be reported will be the amounts to
use on your 1997 Federal income tax return and will differ from the amounts
which we must report for the Portfolio's fiscal year ended November 30, 1997.
Enclosed with the mailing of this annual report is additional tax information
for the twelve months ended December 31, 1997, including a breakdown of the
interest income derived by state for the General Municipal Portfolio and a
quarterly breakdown of the percentage of income in the Government Portfolio
qualifying for state tax pass-through treatment. The breakdown of interest by
state for the General Municipal Portfolio may be of value in reducing a
shareholder's state or local tax liability, if any. Shareholders are advised to
consult with their own tax advisors as to the Federal, state and local tax
status of the income received.
3
<PAGE>
November 30, 1997
================================================================================
SCHEDULES OF INVESTMENTS
================================================================================
<TABLE>
<CAPTION>
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PRIMARY PORTFOLIO
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
U.S. Government Agencies--7.0%
$ 25,000 Federal Farm Credit Bank,
5.56%, 5/1/98............................ $ 24,997,000
86,000 Federal Home Loan Bank,
5.73%-5.79%,
8/20/98-10/20/98......................... 86,000,000
40,700 Federal Home Loan Mortgage Corp.,
5.49%-5.63%,
12/1/97-12/31/97......................... 40,608,500
--------------
Total U.S. Government Agencies
(amortized cost--$151,605,500)......................... $ 151,605,500
--------------
Certificates of Deposit--13.8%
$ 75,000 Bank of Nova Scotia,
5.60%-6.10%,
12/29/97-5/27/98......................... $ 75,000,000
25,000 Barclays Bank PLC,
5.65%, 4/16/98.......................... 24,995,445
75,000 Canadian Imperial Bank of Commerce,
5.58%-5.68%,
12/30/97-2/12/98......................... 75,000,000
25,000 Royal Bank of Canada,
5.58%, 12/11/97.......................... 24,999,869
75,000 Societe Generale Bank,
5.54%-6.10%,
12/8/97-5/18/98.......................... 75,000,000
25,000 Swiss Bank Corp.,
5.76%, 3/23/98........................... 25,000,763
--------------
Total Certificates of Deposit
(amortized cost--$299,996,077)......................... $ 299,996,077
--------------
Commercial Paper--79.1%
$ 75,000 Abbey National North America,
5.53%-5.55%,
1/14/98-2/25/98.......................... $ 74,330,597
35,000 ABN-Amro North America Finance Inc.,
5.48%, 2/5/98............................ 34,648,367
41,000 Aetna Services Inc.,
5.50%-5.52%,
12/8/97-12/18/97......................... 40,910,277
80,000 American Express Credit Corp.,
5.49%-5.52%,
12/22/97-12/29/97........................ 79,705,504
73,000 American Home Products Corp.,
5.51%-5.53%,
12/8/97-12/18/97......................... 72,878,569
70,000 Associates Corporation of
North America,
5.495%-5.53%,
12/8/97-12/15/97......................... 69,881,924
25,700 Banque Nationale de Paris,
5.51%, 12/5/97........................... 25,684,266
44,300 British Columbia (Province of),
5.45%-5.51%,
1/6/98-6/30/98........................... 43,429,444
69,000 Daimler Benz North America Corp.,
5.53%-5.65%,
2/2/98-5/13/98........................... 67,801,164
15,000 Deere (John) Capital Corp.,
5.50%, 12/29/97.......................... 14,935,833
50,000 Deutsche Bank,
5.50%-5.52%,
12/11/97-12/23/97........................ 49,877,472
66,000 Dover Corp.,
5.52%-5.55%,
12/3/97-12/18/97......................... 65,919,592
54,000 Dresdner U.S. Finance Inc.,
5.51%-5.56%,
12/15/97-12/24/97........................ 53,843,416
50,000 Eksportfinans A/S,
5.49%-5.53%,
12/11/97-12/17/97........................ 49,900,431
50,000 Ford Credit Europe PLC,
5.51%-5.53%,
12/31/97-1/12/98......................... 49,714,617
25,000 Ford Motor Credit Corp.,
5.49%, 12/15/97.......................... 24,946,625
50,000 General Electric Capital Corp.,
5.55%, 12/22/97.......................... 49,838,125
25,000 General Electric Capital Services Inc.,
5.50%, 4/6/98............................ 24,518,750
75,000 General Motors Acceptance Corp.,
5.58%-5.705%,
2/23/98-4/20/98.......................... 73,804,536
40,000 Generale Bank,
5.51%, 12/22/97.......................... 39,871,433
45,000 Household Financial Corp.,
5.48%-5.54%,
12/1/97-12/29/97......................... 44,893,444
50,800 IBM Corp.,
5.52%, 12/2/97-12/4/97................... 50,786,077
32,000 IBM Credit Corp.,
5.52%-5.655%,
12/22/97-11/20/98........................ 31,951,700
74,000 Merrill Lynch & Co. Inc.,
5.54%-5.58%,
12/10/97-12/15/97........................ 73,859,142
</TABLE>
4
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<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Commercial Paper (cont'd.)
$ 75,000 Morgan (J.P.) & Co. Inc.,
5.51%-5.55%,
12/1/97-12/30/97......................... $ 74,807,875
25,000 NationsBank Corp.,
5.50%, 12/3/97........................... 24,992,361
14,000 Novartis Finance Corp.,
5.55%, 12/23/97.......................... 13,952,517
75,000 Oesterreichische Kontrollbank AG,
5.51%-5.53%,
1/14/98-4/16/98.......................... 74,141,000
39,624 Penney (J.C.) Funding Corp.,
5.49%-5.55%,
12/11/97-12/30/97........................ 39,504,657
39,000 Prudential Funding Corp.,
5.52%, 12/23/97.......................... 38,868,440
75,000 Sears Roebuck Acceptance Corp.,
5.56%-5.59%,
12/3/97-12/17/97......................... 74,857,767
80,000 Svenska Handelsbanken Inc.,
5.50%-5.56%,
12/9/97-3/2/98........................... 79,461,683
25,000 Swedish Export Credit Corp.,
5.48%, 12/16/97.......................... 24,942,917
25,000 Toronto-Dominion Holdings USA Inc.,
5.60%, 5/26/98........................... 24,315,555
25,000 UBS Finance Inc.,
5.55%, 12/17/97......................... 24,938,333
10,000 USAA Capital Corp.,
5.59%, 1/7/98........................... 9,942,547
--------------
Total Commercial Paper
(amortized cost--$1,712,656,957)....................... $1,712,656,957
--------------
Total Investments
(amortized cost--$2,164,258,534+)......... 99.9% $2,164,258,534
Other Assets in Excess
of Liabilities............................ 0.1 2,313,921
----- --------------
Total Net Assets............................. 100.0% $2,166,572,455
===== ==============
<CAPTION>
- --------------------------------------------------------------------------------
GOVERNMENT PORTFOLIO
- --------------------------------------------------------------------------------
U.S. Government Agencies--99.9%
<S> <C>
Federal Farm Credit Bank--10.4%
$ 3,000 5.34%, 12/16/97............................. $ 2,993,325
788 5.39%, 12/1/97.............................. 788,000
1,630 5.54%, 3/2/98............................... 1,629,509
5,000 5.56%, 5/1/98............................... 4,999,400
--------------
Total Federal Farm Credit Bank
(amortized cost--$10,410,234)........................... $ 10,410,234
--------------
Federal Home Loan Bank--19.0%
$ 6,000 5.36%, 12/31/97............................. $ 5,973,200
1,121 5.37%, 6/22/98.............................. 1,087,055
2,269 5.39%, 1/14/98.............................. 2,254,052
1,683 5.41%, 2/23/98.............................. 1,661,755
2,000 5.42%, 4/13/98.............................. 1,959,952
2,110 5.42%, 7/30/98.............................. 2,033,441
1,000 5.73%, 10/20/98............................. 1,000,000
1,000 5.75%, 8/20/98.............................. 1,000,000
2,000 5.79%, 10/2/98.............................. 2,000,000
--------------
Total Federal Home Loan Bank
(amortized cost--$18,969,455)........................... $ 18,969,455
--------------
Federal Home Loan Mortgage Corporation--34.1%
$ 5,000 5.42%, 12/4/97.............................. $ 4,997,742
2,000 5.46%, 12/22/97............................. 1,993,630
4,000 5.47%, 12/15/97............................. 3,991,491
3,600 5.495%, 12/24/97............................ 3,587,362
7,099 5.50%, 12/15/97............................. 7,083,816
7,000 5.53%, 2/23/98.............................. 6,909,677
5,500 5.63%, 12/1/97.............................. 5,500,000
--------------
Total Federal Home Loan Mortgage Corporation
(amortized cost--$34,063,718)........................... $ 34,063,718
--------------
Federal National Mortgage Association--36.4%
$ 1,500 5.29%, 12/8/97.............................. $ 1,498,457
4,000 5.42%, 12/30/97............................. 3,982,536
5,000 5.445%, 12/11/97............................ 4,992,438
4,180 5.45%, 12/16/97............................. 4,170,508
4,000 5.45%, 1/6/98............................... 3,978,200
2,840 5.46%, 1/5/98............................... 2,824,924
3,000 5.47%, 5/20/98.............................. 2,922,508
2,000 5.48%, 2/9/98............................... 1,978,689
770 5.49%, 2/5/98............................... 762,250
5,000 5.50%, 12/23/97............................. 4,983,194
2,000 5.50%, 12/30/97............................. 1,991,139
1,080 5.52%, 2/5/98............................... 1,069,070
1,300 5.60%, 1/5/98............................... 1,292,922
--------------
Total Federal National Mortgage Association
(amortized cost--$36,446,835)........................... $ 36,446,835
--------------
Total Investments
(amortized cost--$99,890,242+)............ 99.9% $ 99,890,242
Other Assets in Excess
of Liabilities............................ 0.1 87,977
----- --------------
Total Net Assets............................. 100.0% $ 99,978,219
===== ==============
</TABLE>
5
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November 30, 1997
================================================================================
SCHEDULES OF INVESTMENTS (continued)
================================================================================
<TABLE>
<CAPTION>
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GENERAL MUNICIPAL PORTFOLIO
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Alabama--1.2%
$ 700 Birmingham Baptist Med. Ctr.,
Special Care Facs. FAR,
Senior Living Cmntys. Proj., Ser. A,
3.90%, 12/3/97........................... $ 700,000
900 Columbia IDB, PCR,
Alabama Pwr. Co. Proj., Ser. D,
3.85%, 12/1/97........................... 900,000
--------------
1,600,000
--------------
Alaska--4.1%
3,600 Alaska St. HF Corp.,
Ser. A, VRDN*
(LC; Credit Suisse Bank),
3.95%, 12/3/97........................... 3,600,000
2,000 Valdez Marine Term. Rev.,
Arco Trans. Proj., Ser. B, VRDN*
3.95%, 12/3/97........................... 2,000,000
--------------
5,600,000
--------------
Arizona--4.2%
1,000 Arizona Edl. Ln. Mktg. Corp.,
ELR, Ser. A, VRDN*
(LC; Dresdner Bank AG),
3.85%, 12/3/97........................... 1,000,000
City of Mesa Mun. Dev.,
Special Tax, Ser. 1996 A,
(LC; West Deutschelandes Bank),
500 3.80%, 12/4/97........................... 500,000
1,300 3.90%, 1/2/98............................ 1,300,000
2,000 Cochise Cnty. PCR, SWDR,
Arizona Elec. Pwr. Coop. Inc. Proj.,
3.80%, 3/1/98**.......................... 2,000,000
1,000 Salt River Proj.,
Agric. & Pwr. Dist., Ser. A,
7.875%, 1/1/98 (A)....................... 1,023,367
--------------
5,823,367
--------------
California--2.3%
1,000 California HEL, SLR,
Sr. Lien., Ser. A-1,
VRDN* (LC; SLMA),
4.00%, 7/1/98............................ 1,000,000
1,200 Los Angeles Regl. AIR,
American Airlines--LA Int'l.,
Ser. F, VRDN*
(LC; Wachovia Bank of Georgia),
3.85%, 12/1/97........................... 1,200,000
1,000 Los Angeles Sch. Dist. Ctfs. Partn.,
Multiple Properties Proj., Ser. A,
(Insd.; AMBAC),
5.30%, 12/1/97........................... 1,000,000
--------------
3,200,000
--------------
Delaware--2.6%
3,600 Delaware St. EDAR, Gas Facs.,
Delmarva Pwr. & Lt. Co. Proj., VRDN*
4.00%, 12/1/97........................... 3,600,000
--------------
District of Columbia--.8%
1,000 District of Columbia GO,
Ser. B, (Insd.; MBIA),
7.75%, 6/1/98 (A)........................ 1,038,518
--------------
Florida--1.7%
370 Dade Cnty. Sch. Dist. GO,
(Insd.; MBIA),
4.50%, 2/15/98........................... 370,443
600 Florida St. Jacksonville TA,
9.00%, 1/1/98 (A)........................ 614,477
1,300 Putnam Cnty. DA, PCR,
Seminole Elec. Co. Proj.,
Ser. H-1, VRDN*
4.05%, 12/3/97........................... 1,300,000
--------------
2,284,920
--------------
Georgia--2.6%
1,000 Burke Cnty. DA, PCR,
Oglethorpe Pwr. Corp.,
Ser. B, VRDN* (Insd.; AMBAC),
3.80%, 5/28/98........................... 1,000,000
2,600 Fulco HAR Anticip. Ctfs.,
St. Josephs Hosp. Proj.,
(LC; Trust Company Bank),
3.80%, 12/3/97........................... 2,600,000
--------------
3,600,000
--------------
Hawaii--.7%
1,000 Hawaii St. Secondary Mkt. Svcs. Corp.,
SLR, Ser. II, VRDN*
(LC; National Westminster Bank PLC),
4.00%, 12/3/97........................... 1,000,000
--------------
Illinois--6.5%
5,200 Chicago O'Hare Int'l. Arpt., Ser. B, VRDN* (LC; Societe
Generale Bank),
3.85%, 12/3/97........................... 5,200,000
2,000 Illinois Dev. FAR,
WMX Inc.,
(Insd.; MBIA),
4.625%, 2/1/98........................... 2,002,497
</TABLE>
6
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<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Illinois (cont'd.)
$ 1,700 Illinois Hlth. FAR,
Hosp. Sisters Svc. Proj.,
Ser. E, VRDN*
(Insd.; MBIA),
3.85%, 12/3/97........................... $ 1,700,000
--------------
8,902,497
--------------
Indiana--4.4%
1,000 City of Indianapolis Gas & Util. Sys.,
3.70%, 12/8/97........................... 1,000,000
5,000 Jasper Cnty. PCR,
Northern Indiana Pub. Svc.
Proj., Ser. A,
3.85%, 1/20/98........................... 5,000,000
--------------
6,000,000
--------------
Kentucky--1.6%
200 Boone Cnty. PCR,
Cincinnati Gas & Elec. Co. Proj.,
Ser. A, VRDN*
(LC; Union Bank of Switzerland),
3.75%, 12/1/97........................... 200,000
2,000 Kentucky HEL, Student Loan Corp.,
SLR, Ser. E, VRDN*
(Insd.; AMBAC),
3.95%, 12/3/97........................... 2,000,000
--------------
2,200,000
--------------
Maryland--3.4%
1,500 Anne Arundel Cnty., Ser. C,
3.90%, 12/5/97........................... 1,500,000
2,500 Anne Arundel Cnty. EDR,
Baltimore Gas & Elec. Co. Proj.,
3.70%, 12/15/97.......................... 2,500,000
600 Washington Subn. Sanitation Dist.,
Gen. Construction,
7.40%, 12/1/97 (A)....................... 612,000
--------------
4,612,000
--------------
Michigan--.7%
1,000 Michigan Mun. Bd. Auth. Rev., Ser. B,
4.50%, 7/2/98............................ 1,003,933
--------------
Missouri--.4%
600 Missouri EIERA, PCR,
Union Elec. Co. Proj., Ser. A,
(LC; Swiss Bank Corp.),
3.95%, 6/1/98............................ 600,000
--------------
Montana--.4%
500 Montana St. Higher Ed.,
Student Assistance Corp. SLR,
4.55%, 12/1/97........................... 500,000
--------------
Nebraska--2.7%
Nebraska HEL Prog.,
Student Loan Prog., (LC; SLMA),
2,100 Ser. A, VRDN*
3.95%, 12/3/97........................... 2,100,000
1,600 Ser. C, VRDN*
3.95%, 12/3/97........................... 1,600,000
--------------
3,700,000
--------------
Nevada--.6%
300 Clark Cnty. AIR,
Sub. Lien, Ser. A-2, VRDN*
(LC; Union Bank of Switzerland),
3.95%, 12/3/97........................... 300,000
575 Henderson City GO,
Parks & Rec. Proj., Ser. A,
(Insd.; FGIC),
6.25%, 6/1/98............................ 581,565
--------------
881,565
--------------
New Hampshire--.8%
1,100 New Hampshire St. BFA, PCR,
Pub. Svc. Co. of New Hampshire Proj.,
Ser. D, VRDN*
(LC; Barclays Bank PLC),
4.05%, 12/3/97........................... 1,100,000
--------------
New Mexico--.5%
665 Santa Fe Gross Receipts, Tax Rev.,
Ser. A, (Insd.; AMBAC),
4.25%, 6/1/98............................ 666,206
--------------
New York--10.8%
1,500 Babylon IDA, RRR,
Ogden Martin Sys. Babylon Inc., Ser. C,
8.50%, 7/1/98 (A)........................ 1,583,461
1,000 Nassau Cnty. BAN's,
Ser. C, dtd. 9/10/97,
4.25%, 3/17/98........................... 1,001,432
1,000 Nassau Cnty. RAN's,
Ser. A, dtd. 7/30/97,
4.25%, 3/10/98........................... 1,001,057
New York St. DAR,
700 Montefiore Med. Ctr. Proj.,
(Insd.; AMBAC),
4.50%, 8/1/98............................ 702,920
300 St. Francis Ctr. at the Knolls, VRDN*
(LC; Banque de Paribas),
4.00%, 12/1/97........................... 300,000
New York St. EFC, PCR,
St. Wtr. Revolving Fd., Ser. A,
500 3.35%, 12/15/97.......................... 499,821
500 4.80%, 6/15/98........................... 502,389
</TABLE>
7
<PAGE>
November 30, 1997
================================================================================
SCHEDULES OF INVESTMENTS (continued)
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GENERAL MUNICIPAL PORTFOLIO (cont'd.)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
New York (cont'd.)
$ 2,000 New York St. ERDA, Gas Facs. Rev.,
Brooklyn Union Gas Proj.,
Ser. A-2, VRDN*
(Insd.; MBIA),
3.80%, 12/3/97........................... $ 2,000,000
4,300 New York St. ERDA, PCR,
New York St. Elec. & Gas Proj.,
Ser. C, VRDN*
(LC; Morgan Guaranty Trust),
3.70%, 12/1/97........................... 4,300,000
New York St. JDA, St. Gtd.,
1,400 Ser. A1--A13, VRDN*
4.05%, 12/1/97........................... 1,400,000
200 Ser. A1--A42, VRDN*
4.05%, 12/1/97........................... 200,000
205 Ser. B1--B9, VRDN*
4.05%, 12/1/97........................... 205,000
500 New York St. Med. Care Facs., FAR,
Mtg. Hosp., Ser. A,
(Insd.; FHA),
8.30%, 2/15/98 (A)....................... 514,235
600 Triborough Brdg. & Tunl. Auth. Spl.
Oblig., Mtg. Recording Tax., Ser. A,
8.00%, 1/1/98 (A)........................ 610,993
--------------
14,821,308
--------------
Ohio--3.5%
1,885 Cincinnati Sch. Dist. TAN's,
Ser. B, dtd. 7/11/96,
(Insd.; AMBAC),
4.75%, 12/1/97........................... 1,885,000
200 Hamilton Cnty. Health Sys. Rev.,
Franciscan Sisters Poor Health Proj.,
Ser. A, VRDN*
(LC; Sumitomo Bank Ltd.),
3.95%, 12/1/97........................... 200,000
Ohio St. Air Quality DA,
1,000 JMG Fdg. Ltd. Proj.,
Ser. B, VRDN*
(LC; Societe Generale Bank),
3.95%, 12/3/97........................... 1,000,000
300 Ohio Edison Proj., Ser. A,
(LC; Toronto-Dominion Bank),
3.95%, 2/1/98............................ 300,000
450 Ohio St. Bldg. Auth.,
Correctional Facs., Ser. A,
7.10%, 3/1/98............................ 453,642
900 Ohio St. GO,
4.40%, 5/15/98........................... 902,570
--------------
4,741,212
--------------
Pennsylvania--15.1%
7,800 Allegheny Cnty. Arpt. Rev.,
Gtr. Pittsburgh Intl. Arpt.,
Ser. C, (Insd.; MBIA),
8.25%, 1/1/98 (A)........................ 7,983,960
1,900 Allegheny Cnty., IDA, PCR,
(LC; Dresdner Bank AG),
3.70%, 12/8/97........................... 1,900,000
500 Bethel Park Sch. Dist. GO,
Ser. B, (Insd.; AMBAC),
6.05%, 2/1/98............................ 501,729
700 Bethlehem Area Sch. Dist. GO,
Ser. A, (Insd.; AMBAC),
6.25%, 9/1/98............................ 711,696
300 Pennsylvania St. GO,
Refunding & Projects, Ser. 2nd,
4.75%, 6/15/98........................... 301,088
2,000 Pennsylvania St. HEA, SLR,
Ser. A, VRDN*
(LC; SLMA),
4.00%, 12/3/97........................... 2,000,000
2,235 Pennsylvania Tpk. Commission Oil
Franchise Tax Rev.,
Ser. A, (Insd.; AMBAC),
4.60%, 12/1/97........................... 2,235,000
1,000 Philadelphia TRAN's,
Ser. A, dtd. 7/2/97,
4.50%, 6/30/98........................... 1,002,778
2,000 Venango IDA,
Scrubgrass Proj.,
(LC; National Westminster Bank PLC),
3.80%, 1/5/98............................ 2,000,000
2,000 Venango IDA, RRR,
Scrubgrass Proj., Ser. B, VRDN*
(LC; National Westminster Bank PLC),
3.80%, 1/5/98............................ 2,000,000
--------------
20,636,251
--------------
South Carolina--1.9%
1,000 Charleston Cnty. Sch. Dist. GO,
6.15%, 2/1/98............................ 1,003,927
</TABLE>
8
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
South Carolina (cont'd.)
$ 1,500 Greenville HFR,
Ser. B, (Insd.; FGIC),
7.80%, 5/1/98 (A)........................ $ 1,554,032
--------------
2,557,959
--------------
Tennessee--3.6%
2,300 Hamilton Cnty. IDR,
Seaboard Feeds Inc. Proj., VRDN*
(LC; Bank of New York),
4.10%, 12/4/97........................... 2,300,000
1,660 Knoxville Wtr. Rev.,
Refunding & Impt., Ser. M,
4.50%, 3/1/98............................ 1,662,880
1,000 Metropolitan Nashville Arpt.,
VRDN* (Insd.; FGIC),
3.90%, 12/3/97........................... 1,000,000
--------------
4,962,880
--------------
Texas--13.0%
Brazos HEA,
1,000 Refunding Ser. A-1,
5.30%, 12/1/97........................... 1,000,000
1,000 Ser. B-1, VRDN*
(CS; SLMA),
3.90%, 12/3/97........................... 1,000,000
2,200 Brazos River Harbor Navigation,
Dist. of Brazoria Cnty.,
3.75%, 1/30/98........................... 2,200,000
2,700 City of Houston GO, Ser. A,
3.70%, 12/15/97.......................... 2,700,000
1,000 Conroe Indpt. Sch. Dist.,
Schoolhouse & Ref. Proj.,
(Insd.; MBIA),
7.00%, 2/1/98............................ 1,005,217
400 Garland Indpt. Sch. Dist. GO,
7.00%, 2/15/98........................... 402,498
1,000 Gulf Coast IDA,
Marine Term. Rev.,
Amoco Oil Co. Proj.,
3.75%, 12/1/97........................... 1,000,000
1,400 Harris Cnty. GO,
4.00%, 10/1/98........................... 1,401,806
2,600 Harris Cnty. ID Corp.,
Marine Terminal Rev.,
Lubrizol Corp. Proj., VRDN*
3.85%, 12/3/97........................... 2,600,000
Houston Wtr. Sys. Rev.,
830 7.20%, 12/1/97 (A)....................... 846,600
500 7.40%, 12/1/97 (A)....................... 510,000
1,400 Lower Colorado River Auth. Tex. Rev.,
Jr. Lien, Ser. 3rd Suppl., VRDN*
(Insd.; MBIA),
3.80%, 12/3/97........................... 1,400,000
200 San Antonio Elec. & Gas Rev.,
Ser. 1991, (Insd.; FGIC),
6.00%, 2/1/98............................ 200,743
510 Texas HEA, EEIR, Ser. B, VRDN*
(Insd.; FGIC),
4.00%, 12/3/97........................... 510,000
1,000 Texas St. TRAN's, Ser. A,
dtd. 9/2/97,
4.75%, 8/31/98........................... 1,006,549
--------------
17,783,413
--------------
Utah--2.2%
1,000 Intermountain Pwr. Agy., PSR,
Ser. E, (LC; Swiss Bank Corp.),
3.75%, 3/16/98........................... 1,000,000
2,000 Utah St. Brd. Regents SLR,
Ser. L, VRDN*
(Insd.; AMBAC),
4.00%, 12/3/97........................... 2,000,000
--------------
3,000,000
--------------
Virginia--.8%
1,000 Virginia St. Transn. Brd. Contract Rev.,
U.S. Route 58 Corridor Dev. Prog.,
6.80%, 5/15/98 (A)....................... 1,032,294
--------------
Washington--1.7%
1,025 Seattle City GO, Ser. B,
4.00%, 8/1/98 ........................... 1,025,491
300 Tacoma Elec. Sys. Rev.,
(LC; AMBAC),
8.00%, 1/1/98 (A)........................ 306,992
Washington St. GO,
500 Ser. B, 5.90%, 6/1/98.................... 504,932
500 7.10%, 6/1/98............................ 507,751
--------------
2,345,166
--------------
West Virginia--.7%
1,000 West Virginia Pub. Auth. Rev.,
Morgantown Assoc. Proj.,
(LC; Swiss Bank Corp.),
3.75%, 12/2/97........................... 1,000,000
--------------
Wisconsin--3.3%
500 Wisconsin HHEFAR,
Childrens Hosp. Wisconsin Proj.,
Ser. B, (Insd.; FGIC),
7.625%, 8/15/98 (A)...................... 522,590
</TABLE>
9
<PAGE>
November 30, 1997
================================================================================
SCHEDULES OF INVESTMENTS (continued)
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GENERAL MUNICIPAL PORTFOLIO (cont'd.)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
Wisconsin (cont'd.)
$ 620 Wisconsin St. GO, Ser. A,
5.00%, 5/1/98............................ $ 623,116
3,400 Wisconsin St. HFFAR,
Hosp. Sisters Oblig.,
Ser. G, VRDN* (Insd.; MBIA),
3.85%, 12/3/97........................... 3,400,000
--------------
4,545,706
--------------
Total Investments
(amortized cost--$135,339,195+)........... 98.8% $ 135,339,195
Other Assets in Excess
of Liabilities.......................... 1.2 1,632,450
----- --------------
Total Net Assets............................. 100.0% $ 136,971,645
===== ==============
<CAPTION>
- --------------------------------------------------------------------------------
CALIFORNIA MUNICIPAL PORTFOLIO
- --------------------------------------------------------------------------------
<S> <C>
California--96.4%
$ 500 Alameda Contra Costa School FA,
Capital Impts., Ser. B, VRDN*
(LC; Canadian Imperial Bank),
3.60%, 12/4/97........................... $ 500,000
320 Alameda County IDA, Indl. Rev.,
Intermountain Trading, VRDN*
(LC; California St. Tchrs. Ret. Fd.),
3.65%, 12/3/97........................... 320,000
1,900 Anaheim Ctfs. Partn.,
1993 Ref. Projs., VRDN*
(LC; ABN-Amro Bank),
3.55%, 12/3/97........................... 1,900,000
California HFFAR,
2,000 Kaiser Permanente Proj.,
Ser. A, VRDN*
3.65%, 12/3/97........................... 2,000,000
2,000 Memorial Hlth. Svcs. Proj., VRDN*
3.65%, 12/3/97........................... 2,000,000
890 St. Joseph Health Systems,
Ser. B, VRDN*
3.70%, 12/1/97........................... 890,000
100 Sutter Health, Ser. B, VRDN*
(LC; Morgan Guaranty Trust),
3.70%, 12/1/97........................... 100,000
California PCFA, PCR,
2,000 Homestake Mining Proj., Ser. '84A,
VRDN* (LC; Bank of Nova Scotia),
3.70%, 12/3/97........................... 2,000,000
Pacific Gas & Elec.,
1,000 Ser. A, VRDN*
(LC; Swiss Bank Corp.),
3.80%, 12/3/97........................... 1,000,000
1,600 Ser. C, VRDN*
(LC; Kredietbank NV),
3.80%, 12/1/97........................... 1,600,000
600 Ser. D, VRDN*
3.90%, 12/3/97........................... 600,000
500 Southern California Edison, Ser. C,
3.60%, 1/12/98........................... 500,000
2,000 California PCFA, PCR, RRR,
Wadham Energy Proj., Ser. C,
VRDN* (LC; Banque de Paribas),
4.00%, 12/3/97........................... 2,000,000
California PCFA, RRR,
100 Atlantic Richfield Co. Proj.,
Ser. A, VRDN*
3.90%, 12/1/97.......................... 100,000
800 Burney Forest Prods., Ser. A,
VRDN* (LC; Fleet Bank),
3.70%, 12/1/97........................... 800,000
200 Ultrapower Rocklin Proj., Ser. B, VRDN*
(LC; Security Pacific National Bank),
3.65%, 12/1/97.......................... 200,000
500 California PCFA, SWDR,
Shell Oil Co. Martinez Proj.,
Ser. A, VRDN*
3.80%, 12/1/97.......................... 500,000
California SCD Auth. Rev. Ctfs. Partn.,
1,600 House Ear Institute, VRDN*
(LC; Morgan Guaranty Trust),
3.65%, 12/1/97.......................... 1,600,000
900 John Muir/Mt. Diablo Hlth.,
VRDN* (Insd.; AMBAC),
3.65%, 12/1/97.......................... 900,000
California SCD Corp. Rev., ID,
785 Florestone Prod. Proj., VRDN*
(LC; California St. Tchrs. Ret. Fd.),
3.65%, 12/3/97........................... 785,000
1,950 South Bay Circuits Proj., VRDN*
(LC; California St. Tchrs. Ret. Fd.),
3.65%, 12/3/97........................... 1,950,000
700 Staub Prod. Proj., Ser. A, VRDN*
(LC; California St. Tchrs. Ret. Fd.),
3.65%, 12/3/97........................... 700,000
300 Upholstery Prod. Proj., VRDN*
(LC; California St. Tchrs. Ret. Fd.),
3.65%, 12/3/97........................... 300,000
</TABLE>
10
<PAGE>
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================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
$ 1,000 California St. GO,
3.60%, 12/8/97........................... $ 1,000,000
1,000 California St. RAN's,
dtd. 9/9/97,
4.50%, 6/30/98........................... 1,003,754
1,250 Contra Costa Cnty. TRAN's,
Ser. A, dtd. 7/1/97,
4.50%, 7/1/98............................ 1,255,008
770 Industry Urban Dev. Agy.,
Civic Rec. Proj., Ser. 1,
(Insd.; MBIA),
4.75%, 5/1/98............................ 772,937
455 Irvine Pub. Facs. & Infrastructure
Auth. Lease Rev.,
Capital Impt. Proj., VRDN*
(LC; National Westminster Bank PLC),
3.55%, 12/4/97........................... 455,000
100 Irvine Ranch WD, Ser. A,
VRDN* (LC; Landesbank Hessen),
3.70%, 12/1/97........................... 100,000
Los Angeles Cnty. MTA,
Second Subordinate Sales Tax Rev.,
(LC; Bayerische Vereinsbank),
2,000 3.55%, 12/1/97........................... 2,000,000
1,245 3.70%, 12/2/97........................... 1,245,000
1,500 Los Angeles TRAN's,
dtd. 7/1/97,
4.50%, 6/30/98........................... 1,505,485
1,500 Los Angeles Unified Sch. Dist. TRAN's,
dtd. 7/1/97,
4.50%, 7/1/98............................ 1,505,586
1,500 Los Angeles Wastewater Sys. Rev.,
3.55%, 12/1/97........................... 1,500,000
1,600 Metropolitan WD, Ser. A,
3.50%, 12/1/97........................... 1,600,000
1,090 Oakland TRAN's,
dtd. 7/24/97,
4.50%, 6/30/98........................... 1,094,481
464 Orange Cnty. Impt. Bd.,
Assmt. Dist. #88-1, VRDN*
(LC; Societe Generale and
Kredietbank NV),
3.70%, 12/1/97........................... 464,000
1,500 Orange Cnty. WD Ctfs. Partn.,
Ser. B, VRDN*
(LC; National Westminster Bank PLC),
3.65%, 12/1/97........................... 1,500,000
2,000 Riverside Cnty. TRAN's,
Ser. A, dtd. 7/1/97,
4.50%, 6/30/98........................... 2,006,110
1,000 Sacramento Cnty. TRAN's,
dtd. 7/1/97,
4.50%, 9/30/98........................... 1,005,660
1,000 San Diego Open Space Parking Facs.
Dist. #1 GO,
5.00%, 1/1/98............................ 1,000,952
1,965 San Diego Unified Port Dist.,
Subordinate Airport Rev., Ser. A,
3.70%, 1/13/98........................... 1,965,000
2,000 San Joaquin Cnty. TRAN's,
dtd. 10/15/96,
4.50%, 1/15/98........................... 2,001,698
600 Santa Ana HFR,
Multi Modal-Town & Country Proj.,
VRDN* (LC; Banque Nationale de Paris),
3.65%, 12/1/97........................... 600,000
1,200 Santa Clara Cnty. FAR,
VMC Fac. Replacement Proj., Ser. B,
VRDN* (LC; Union Bank of Switzerland),
3.65%, 12/3/97........................... 1,200,000
872 Santa Clara Cnty. El Camino Dist. Hosp.
FAR, Lease--VY Med. Ctr. Proj.,
Ser. A, VRDN*
(LC; National Westminster Bank PLC),
3.70%, 12/2/97........................... 872,000
1,000 South Coast Local Education Agencies
TRAN's, dtd. 7/1/97 (Insd.; MBIA),
4.50%, 6/30/98........................... 1,003,895
300 Stockton Multifamily Housing Rev.,
Mariners Pointe Assoc., Ser. A, VRDN*
(LC; Bank of America),
3.65%, 12/3/97........................... 300,000
1,500 Turlock Irrigation Dist. Rev.,
Ser. A, (Insd.; MBIA),
4.00%, 1/1/98............................ 1,500,550
--------------
53,702,116
--------------
Puerto Rico--1.4%
500 Puerto Rico Commonwealth,
Aqueduct & Swr. Auth. Rev., Ser. A,
7.00%, 7/1/98 (A)........................ 518,852
250 Puerto Rico Elec. PAR, Ser. M,
8.00%, 7/1/98 (A)........................ 260,740
--------------
779,592
--------------
Total Investments
(amortized cost--$54,481,708+)............ 97.8% $ 54,481,708
Other Assets in Excess
of Liabilities............................ 2.2 1,231,625
----- --------------
Total Net Assets............................. 100.0% $ 55,713,333
===== ==============
</TABLE>
11
<PAGE>
November 30, 1997
================================================================================
SCHEDULES OF INVESTMENTS (continued)
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
NEW YORK MUNICIPAL PORTFOLIO
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
New York--95.2%
Babylon IDA, RRR,
$ 100 OFS Equity Babylon Proj., VRDN*
(LC; Union Bank of Switzerland),
3.85%, 12/1/97........................... $ 100,000
1,450 Ogden Martin Sys. Babylon Inc., Ser. C,
8.50%, 7/1/98 (A)........................ 1,530,679
500 MTA, Svc. Contract,
Commuter Facs., Ser. K,
(Insd.; AMBAC),
7.50%, 7/1/98 (A)........................ 519,919
1,000 Nassau Cnty. BAN's,
Ser. C, dtd. 9/10/97,
4.25%, 3/17/98 .......................... 1,001,432
1,000 Nassau Cnty. RAN's,
Ser. B, dtd. 7/30/97,
4.50%, 4/10/98 .......................... 1,002,247
New York City GO,
2,200 Ser. B-Sub. Ser. B6, VRDN*
(Insd.; MBIA),
3.85%, 12/1/97........................... 2,200,000
2,000 Sub. Ser. H2,
3.70%, 12/15/97.......................... 2,000,000
800 New York City Housing Dev. Corp. Mtg.
Rev. Multifam. 400 West 59th St., Ser. A2,
VRDN* (LC; Bayerische Hypotheken),
3.90%, 12/3/97........................... 800,000
500 New York City IDA, CFR,
Childrens Oncology Soc. Proj.,
VRDN* (LC; Barclays Bank PLC),
3.75%, 12/3/97........................... 500,000
New York City IDA, IDR,
2,500 Brooklyn Navy Yard, Cogen Proj.,
Ser. A, VRDN*
(LC; Bank of America),
4.00%, 12/3/97........................... 2,500,000
1,000 JFK Field Hotel Assoc. Proj.,
VRDN* (LC; Banque Indosuez),
3.80%, 12/3/97........................... 1,000,000
1,000 La Guardia Arpt. Assoc. Proj.,
VRDN* (LC; Banque Indosuez),
3.80%, 12/3/97........................... 1,000,000
2,000 New York City Mun. Asst. Corp., Ser. E,
4.10%, 7/1/98 ........................... 2,003,041
New York City MWFA,
(LC; Canadian Imperial Bank),
2,100 3.70%, 12/5/97........................... 2,100,000
2,000 3.80%, 2/8/98............................ 2,000,000
1,000 New York City RAN's,
Ser. A, dtd. 10/15/97,
4.50%, 6/30/98 .......................... 1,003,664
New York City Trust CRR,
2,000 Carnegie Hall Proj.,VRDN*
(LC; Westdeutsche Landesbank),
4.10%, 12/3/97........................... 2,000,000
1,700 Museum of Broadcasting Proj.,
VRDN* (LC; Kredietbank NV),
3.85%, 12/3/97........................... 1,700,000
New York St. DAR,
Memorial Sloan-Kettering Cancer
Center, (LC; Chemical Bank),
1,500 Ser. 1989 A,
3.70%, 12/3/97........................... 1,500,000
1,000 Ser. 1989 B,
3.70%, 12/4/97........................... 1,000,000
Ser. 1989 C,
1,500 3.65%, 12/8/97........................... 1,500,000
2,000 3.70%, 12/1/97........................... 2,000,000
3,000 Ser. 1996,
3.60%, 2/2/98............................ 3,000,000
1,515 Metropolitan Museum of Art Proj.,
Ser. B, VRDN* (Insd.; MBIA),
3.80%, 12/3/97........................... 1,515,000
505 Miriam Osborn Memorial Home Proj.,
Ser. A, VRDN*
(LC; Banque de Paribas),
3.80%, 12/3/97........................... 505,000
3,500 St. Francis Ctr. at the Knolls,
VRDN* (LC; Banque de Paribas),
4.00%, 12/1/97........................... 3,500,000
New York St. EFC,
Ser. 1987A,
1,000 3.60%, 12/1/97........................... 1,000,000
1,500 3.75%, 12/3/97........................... 1,500,000
New York St. EFC, PCR,
St. Wtr. Revolving Fd.,
450 Ser. B, 3.55%, 2/15/98................... 449,706
400 Ser. E, 5.90%, 6/15/98................... 404,236
1,600 New York St. ERDA, Gas Facs. Rev.,
Brooklyn Union Gas Proj.,
Ser. A2, VRDN*
3.80%, 12/3/97........................... 1,600,000
New York St. ERDA, PCR,
New York St. Elec. & Gas Proj.,
(LC; Union Bank Of Switzerland),
2,000 Ser. B,
3.80%, 10/15/98**........................ 2,000,000
1,300 Ser. D, VRDN*
3.70%, 12/1/97........................... 1,300,000
</TABLE>
12
<PAGE>
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================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount
(000) Value
- --------------------------------------------------------------------------------
<S> <C>
$ 1,300 Rochester Gas & Elec. Co. Proj.,
Ser. A, VRDN* (Insd.; MBIA),
(LC; Credit Suisse),
3.85%, 12/3/97 ....................... $ 1,300,000
New York St. JDA, St. Gtd.,
800 Ser. A1-A42, VRDN*
4.05%, 12/1/97........................... 800,000
100 Ser. B1-B9, VRDN*
4.05%, 12/1/97........................... 100,000
1,400 Ser. B1-B21, VRDN*
4.05%, 12/1/97........................... 1,400,000
2,000 New York St. LGAC,
Ser. E, VRDN*
(LC; Canadian Imperial Bank),
3.80%, 12/3/97........................... 2,000,000
New York St. Med. Care Facs., FAR,
300 7.625%, 2/15/98 (A)...................... 308,160
485 7.875%, 8/15/98 (A)...................... 507,854
1,350 Hosp. & Nurs. Home, Mtg. Hosp.,
Ser. B, (Insd.; FHA),
8.10%, 2/15/98 (A)....................... 1,388,492
1,000 New York St. PA,
Ser. V, (Insd.; MBIA),
7.875%, 1/1/98 (A)....................... 1,023,358
3,000 New York St. PAR,
3.75%, 3/1/98**.......................... 3,000,000
511 Niagra Cnty. IDA, IDR,
Pyron Corp. Proj.,
VRDN* (LC; Chase Manhattan Bank),
3.90%, 12/3/97........................... 510,500
3,075 Port Auth. of New York & New Jersey,
3.65%, 12/2/97........................... 3,075,000
400 Rochester GO,
Ser. A, (Insd.; AMBAC),
4.25%, 9/15/98 .......................... 401,148
1,000 St. Lawrence Cnty. IDA, EIR,
Reynolds Metals Co. Proj.,
VRDN* (LC; Royal Bank of Canada),
3.90%, 12/3/97........................... 1,000,000
1,000 Sachem Central School Dist.
Holbrook TAN's, dtd. 7/10/97,
(CS.; St. Aid Withholding),
4.25%, 6/25/98 .......................... 1,002,119
425 Southampton GO,
(Insd.; FGIC),
6.95%, 6/1/98............................ 431,473
1,000 Suffolk Cnty. IDA, IDR,
Nissequogue Cogen Ptnrs. Proj.,
VRDN* (LC; Toronto-Dominion Bank),
3.85%, 12/3/97........................... 1,000,000
1,000 Suffolk Cnty. Wtr. Auth. BAN's,
VRDN* dtd. 12/21/94,
3.80%, 12/3/97........................... 1,000,000
Triborough Brdg. & Tunl. Auth. Rev.,
325 Ser. A, 5.90%, 1/1/98.................... 325,519
200 Ser. M, 6.65%, 1/1/98.................... 200,435
425 Wallkill GO, (Insd.; FGIC),
4.25%, 3/1/98............................ 425,442
450 Wallkill IDA, PCR,
Reynolds Metals Co. Proj.,
VRDN* (LC; Dresdner Bank AG),
4.10%, 12/3/97........................... 450,000
350 Yonkers GO,
Ser. C, (Insd.; FGIC),
5.50%, 8/1/98............................ 353,732
--------------
69,738,156
--------------
Puerto Rico--4.1%
Puerto Rico Gov't. Dev. Bank,
2,000 3.75%, 12/2/97........................... 2,000,000
1,000 3.75%, 12/3/97........................... 1,000,000
--------------
3,000,000
--------------
Total Investments
(amortized cost--$72,738,156+)............ 99.3% $ 72,738,156
Other Assets in Excess
of Liabilities.......................... 0.7 500,560
----- --------------
Total Net Assets............................. 100.0% $ 73,238,716
===== ==============
</TABLE>
- --------------------------------------------------------------------------------
+ Federal income tax cost 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 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 page 22 for "General Abbreviations" utilized within the Schedules of
Investments.
See accompanying notes to financial statements.
13
<PAGE>
November 30, 1997
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES
================================================================================
<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--
$2,164,258,534, $99,890,242,
$135,339,195, $54,481,708 and
$72,738,156, respectively) ..... $ 2,164,258,534 $ 99,890,242 $ 135,339,195 $ 54,481,708 $ 72,738,156
Cash ............................. 214,177 168,460 152,454 705,231 516,261
Receivable for investments sold .. -- -- -- 800,000 --
Receivable for capital stock sold 45,502 7,606 175,000 -- 8,864
Interest receivable .............. 5,667,303 87,127 1,477,995 404,551 502,329
Prepaid expenses and other assets 48,498 9,029 10,274 1,710 890
--------------- --------------- --------------- --------------- ---------------
Total Assets ..................... 2,170,234,014 100,162,464 137,154,918 56,393,200 73,766,500
--------------- --------------- --------------- --------------- ---------------
Liabilities
Payable for investments purchased -- -- -- 601,531 414,898
Payable for capital stock redeemed -- 4,482 10,726 -- 10,413
Investment advisory fee payable .. 121,771 6,899 8,979 3,832 5,166
Distribution fee payable ......... 74,395 3,452 4,608 1,916 2,586
Shareholder services fee payable . 104,412 4,930 7,337 3,105 4,080
Administrative services fee
payable ........................ 86,553 3,892 5,737 2,796 2,687
Dividends payable ................ 2,859,350 127,695 109,306 42,997 60,558
Other payables and accrued
expenses ....................... 415,078 32,895 36,580 23,690 27,396
--------------- --------------- --------------- --------------- ---------------
Total Liabilities ................ 3,661,559 184,245 183,273 679,867 527,784
--------------- --------------- --------------- --------------- ---------------
Total Net Assets ................. $ 2,166,572,455 $ 99,978,219 $ 136,971,645 $ 55,713,333 $ 73,238,716
=============== =============== =============== =============== ===============
Composition of Net Assets
Par value ($.0001 per share,
10 billion shares authorized
for each portfolio) ............ $ 216,661 $ 10,000 $ 13,706 $ 5,574 $ 7,326
Paid-in-capital in excess of par . 2,166,356,899 99,968,482 137,038,203 55,739,206 73,255,985
Accumulated net realized
loss on investments ............ (1,105) (263) (80,264) (31,447) (24,595)
--------------- --------------- --------------- --------------- ---------------
Total Net Assets ................. $ 2,166,572,455 $ 99,978,219 $ 136,971,645 $ 55,713,333 $ 73,238,716
=============== =============== =============== =============== ===============
Shares outstanding ............... 2,166,612,730 100,000,675 137,064,901 55,744,781 73,263,311
--------------- --------------- --------------- --------------- ---------------
Net asset value per share ........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=============== =============== =============== =============== ===============
</TABLE>
See accompanying notes to financial statements.
14
<PAGE>
Year ended November 30, 1997
================================================================================
STATEMENTS OF OPERATIONS
================================================================================
<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 ......................... $ 107,789,191 $ 5,430,780 $ 4,931,229 $ 2,031,608 $ 2,329,382
------------- ------------- ------------- ------------- -------------
Operating Expenses
Investment advisory fee (note 2a). 7,907,076 493,349 656,681 287,248 323,434
Distribution fee (note 2b) ....... 4,816,923 247,276 337,045 143,624 161,717
Transfer and dividend
disbursing agent fees .......... 1,559,860 50,454 55,206 17,021 36,735
Administrative services fee
(note 2c) ...................... 948,426 47,390 66,227 29,022 30,395
Shareholder services fee
(note 2d) ...................... 394,086 21,989 28,458 11,515 16,198
Registration fees ................ 212,077 35,096 60,298 1,843 1,425
Custodian fees (note 1g) ......... 158,614 37,196 39,595 15,079 15,325
Reports and notices to
shareholders ................... 138,985 3,459 4,929 1,359 1,359
Audit fees ....................... 38,740 15,065 15,065 15,065 15,065
Directors' fees and expenses ..... 32,758 25,563 25,590 25,537 25,541
Legal fees ....................... 6,330 136 204 68 68
Miscellaneous .................... 90,492 4,433 5,470 2,068 4,422
------------- ------------- ------------- ------------- -------------
Total operating expenses ....... 16,304,367 981,406 1,294,768 549,449 631,684
Less: Investment advisory fee
waived (note 2a) ............. -- (7,876) (2,257) (31,822) (954)
Less: Expenses offset
(note 1g) .................... (3,782) (2,472) (3,764) (3,231) (2,482)
------------- ------------- ------------- ------------- -------------
Net operating expenses ......... 16,300,585 971,058 1,288,747 514,396 628,248
------------- ------------- ------------- ------------- -------------
Net investment income ........ 91,488,606 4,459,722 3,642,482 1,517,212 1,701,134
Net realized loss on investments . (1,017) (125) (1,853) (593) (794)
------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ........ $ 91,487,589 $ 4,459,597 $ 3,640,629 $ 1,516,619 $ 1,700,340
============= ============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
----------------------------------- ------------------------------
Primary Portfolio Government Portfolio
----------------------------------- ------------------------------
Year ended November 30, Year ended November 30,
----------------------------------- ------------------------------
1997 1996 1997 1996
---------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
Operations
Net investment income .......... $ 91,488,606 $ 77,918,405 $ 4,459,722 $ 4,627,291
Net realized gain (loss)
on investments ............... (1,017) (88) (125) (138)
---------------- --------------- -------------- -------------
Net increase in net assets
resulting from operations . 91,487,589 77,918,317 4,459,597 4,627,153
---------------- --------------- -------------- -------------
Dividends and Distributions
to Shareholders
Net investment income .......... (91,488,606) (77,918,405) (4,459,722) (4,627,291)
Net realized gains ............. -- (68) -- (700)
---------------- --------------- -------------- -------------
Total dividends and
distributions to shareholders (91,488,606) (77,918,473) (4,459,722) (4,627,991)
---------------- --------------- -------------- -------------
Capital Stock Transactions
Net proceeds from sales ........ 13,181,820,880 9,931,873,061 654,106,085 547,203,168
Reinvestment of dividends
and distributions ............ 90,685,550 75,659,105 4,444,709 4,601,454
Cost of shares redeemed ........ (12,818,513,719) (9,966,080,610) (659,707,954) (559,243,310)
---------------- --------------- -------------- -------------
Net increase (decrease) in
net assets from capital
stock transactions .......... 453,992,711 41,451,556 (1,157,160) (7,438,688)
---------------- --------------- -------------- -------------
Total increase (decrease) in
net assets ................... 453,991,694 41,451,400 (1,157,285) (7,439,526)
Net Assets
Beginning of year .............. 1,712,580,761 1,671,129,361 101,135,504 108,575,030
---------------- --------------- -------------- -------------
End of year .................... $ 2,166,572,455 $ 1,712,580,761 $ 99,978,219 $ 101,135,504
================ =============== ============== =============
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
------------------------------------ ------------------------------------ ------------------------------------
General Municipal Portfolio California Municipal Portfolio New York Municipal Portfolio
------------------------------------ ------------------------------------ ------------------------------------
Year ended November 30, Year ended November 30, Year ended November 30,
------------------------------------ ------------------------------------ ------------------------------------
1997 1996 1997 1996 1997 1996
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
$ 3,642,482 $ 3,300,025 $ 1,517,212 $ 1,498,467 $ 1,701,134 $ 1,537,093
(1,853) 1,357 (593) (9,304) (794) --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
3,640,629 3,301,382 1,516,619 1,489,163 1,700,340 1,537,093
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(3,642,482) (3,300,025) (1,517,212) (1,498,467) (1,701,134) (1,537,093)
-- -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(3,642,482) (3,300,025) (1,517,212) (1,498,467) (1,701,134) (1,537,093)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
910,670,497 718,878,788 389,323,623 276,344,120 452,234,876 317,110,184
3,612,892 3,249,617 1,513,811 1,512,475 1,646,954 1,470,312
(899,591,683) (715,812,543) (388,484,165) (300,398,721) (440,638,442) (310,927,499)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
14,691,706 6,315,862 2,353,269 (22,542,126) 13,243,388 7,652,997
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
14,689,853 6,317,219 2,352,676 (22,551,430) 13,242,594 7,652,997
122,281,792 115,964,573 53,360,657 75,912,087 59,996,122 52,343,125
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 136,971,645 $ 122,281,792 $ 55,713,333 $ 53,360,657 $ 73,238,716 $ 59,996,122
================ ================ ================ ================ ================ ================
</TABLE>
17
<PAGE>
November 30, 1997
================================================================================
NOTES TO FINANCIAL STATEMENTS
================================================================================
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.
On October 14, 1997, the shareholders of the Fund approved a new investment
advisory agreement with OpCap Advisors (the "Adviser"). This agreement was
substantially similar to the existing agreement and became effective on November
5, 1997. On November 4, 1997, PIMCO Advisors L.P. and its affiliates, acquired
the one-third managing general partner interest in Oppenheimer Capital, whose
subsidiary, OpCap Advisors, serves as the Adviser to the Fund. On December 1,
1997, PIMCO Advisors L.P., completed the acquisition of Oppenheimer Capital by
acquiring the two-thirds interest owned by Oppenheimer Capital, L.P.
On November 3, 1997, CIBC Wood Gundy Securities Corp. acquired the business
of Oppenheimer & Co., Inc., which is now called CIBC Oppenheimer Corp.
Accordingly, CIBC Oppenheimer Corp. is no longer affiliated with OpCap Advisors
or the Fund.
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.
(g) Expenses Offset
The Fund benefits from an expense offset arrangement with its custodian
bank where uninvested cash balances earn credits that reduce monthly expenses.
Had these cash balances been invested in income producing securities, they would
have generated income for the Fund.
18
<PAGE>
================================================================================
================================================================================
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 exceeds 1.00% of its
average daily net assets (net of expenses offset) for any fiscal year. For the
year ended November 30, 1997, the Adviser waived $7,876, $2,257, $31,822 and
$954 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. The Fund has been
informed that for the year ended November 30, 1997, substantially all fees under
the Plan were paid to CIBC Oppenheimer Corp.
(c) Each Portfolio may pay certain broker-dealers including CIBC
Oppenheimer Corp. 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 year ended November 30, 1997, payments to
CIBC Oppenheimer Corp. for such services were: Primary $932,558; Government
$45,961; General $64,518; California $28,528 and New York $28,071.
(d) Each Portfolio reimburses CIBC Oppenheimer Corp. for a portion of its
costs in providing shareholder servicing. Such payments are limited to .02% of
the average daily net assets of CIBC Oppenheimer Corp.'s shareholder accounts.
For the year ended November 30, 1997, amounts paid and/or accrued were: Primary
$372,639; Government $18,205; General $25,734; California $11,463 and New York
$11,004.
3. Purchases and Sales of Securities
For the year ended November 30, 1997, purchases and sales/maturities of
investment securities were: Primary $18,117,276,643 and $17,748,805,033,
respectively; Government $3,337,460,684 and $3,343,004,726, respectively;
General $648,347,996 and $632,486,565, respectively; California $293,751,122 and
$291,248,585, respectively; and New York $335,849,203 and $320,496,666,
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 November 30, 1997, major industry
concentrations were as follows: Banking--37.3%, Automotive--10.0%,
Finance--9.0%, Pharmacy--7.5% and U.S. Government Agencies--7.0%. 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) Capital Loss Carryforward
At November 30, 1997, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains for Federal
income tax purposes were: Primary--$1,105 of which $88 will expire in 2004 and
$1,017 will expire in 2005; Government--$263 of which $138 will expire in 2004
and $125 will expire in 2005; General--$80,264 of which $29,512 will expire in
1998, $1,302 will expire in 1999, $13,801 will expire in 2000, $299 will expire
in 2001, $33,497 will expire in 2003 and $1,853 will expire in 2005. General had
$12,327 in capital loss carryforwards expire on November 30, 1997. Such amount
has been reclassed to additional paid-in capital to reflect General's federal
tax cost basis of available accumulated realized capital loss carryforwards.
California--$31,447 of which $730 will expire in 1999, $5,856 will expire in
2000, $1,137 will expire in 2001, $13,827 will expire 2003, $9,304 will expire
in 2004 and $593 will expire in 2005 and New York--$24,595 of which $3,198 will
expire in 2000, $934 will expire in 2001, $19,669 will expire in 2003 and $794
will expire in 2005. To the extent that these capital loss carryforwards are
used to offset future net realized capital gains, the gains offset will not be
distributed to shareholders.
19
<PAGE>
================================================================================
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year)
================================================================================
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS
INVESTMENT OPERATIONS AND DISTRIBUTIONS
------------------------------------ -----------------------------------------------
Dividends to
Net Asset Net Total Shareholders Distributions Total Dividends Net Asset
Value, Net Realized Income from from Net to Shareholders and Distributions Value,
Beginning Investment Gain/(Loss) Investment Investment from Net to End of
of Year Income on Investments Operations Income Realized Gains Shareholders Year
Primary Portfolio
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended Nov. 30, 1997 $1.000 $0.047 ($0.000) $0.047 ($0.047) -- ($0.047) $1.000
Year ended Nov. 30, 1996 1.000 0.046 (0.000) 0.046 (0.046) ($0.000) (0.046) 1.000
Year ended Nov. 30, 1995 1.000 0.051 0.000 0.051 (0.051) (0.000) (0.051) 1.000
Year ended Nov. 30, 1994 1.000 0.032 0.000 0.032 (0.032) (0.000) (0.032) 1.000
Year ended Nov. 30, 1993 1.000 0.024 0.000 0.024 (0.024) (0.000) (0.024) 1.000
</TABLE>
<TABLE>
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
---------------------
Net Assets,
End of Net Net
Total Year Operating Investment
Return* (millions) Expenses Income
Primary Portfolio
<S> <C> <C> <C> <C>
Year ended Nov. 30, 1997 4.85% $2,166.6 0.85%(1,2) 4.75%(1)
Year ended Nov. 30, 1996 4.69% 1,712.6 0.91%(2) 4.60%
Year ended Nov. 30, 1995 5.19% 1,671.1 0.94% 5.07%
Year ended Nov. 30, 1994 3.26% 1,453.8 0.91% 3.21%
Year ended Nov. 30, 1993 2.44% 1,413.9 0.90% 2.41%
</TABLE>
(1) Average net assets for the year ended November 30, 1997 were
$1,926,769,081.
(2) Gross of expenses offset (see note 1g in Notes to Financial Statements).
The net ratios of operating expenses to average net assets were 0.85% and
0.91% for the years ended November 30, 1997 and November 30, 1996,
respectively.
Government Portfolio
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended Nov. 30, 1997 $1.000 $0.045 ($0.000) $0.045 ($0.045) -- ($0.045) $1.000
Year ended Nov. 30, 1996 1.000 0.044 (0.000) 0.044 (0.044) ($0.000) (0.044) 1.000
Year ended Nov. 30, 1995 1.000 0.049 0.000 0.049 (0.049) (0.000) (0.049) 1.000
Year ended Nov. 30, 1994 1.000 0.031 0.000 0.031 (0.031) -- (0.031) 1.000
Year ended Nov. 30, 1993 1.000 0.022 -- 0.022 (0.022) -- (0.022) 1.000
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
Year ended Nov. 30, 1997 4.60% $100.0 0.98%(1,2) 4.51%(1,2)
Year ended Nov. 30, 1996 4.51% 101.1 1.00%(1) 4.41%(1)
Year ended Nov. 30, 1995 5.02% 108.6 1.00%(1) 4.91%(1)
Year ended Nov. 30, 1994 3.12% 113.2 0.95%(1) 3.08%(1)
Year ended Nov. 30, 1993 2.26% 127.9 1.00% 2.24%
</TABLE>
(1) During the years noted above, the Adviser waived a portion of its fees.
Additionally, for the years ended November 30, 1997 and November 30, 1996,
the Portfolio benefited from an expense offset arrangement with its
custodian bank. Had such waivers not been in effect nor such expenses
offset, the ratios of net operating expenses to average net assets would
have been 0.99%, 1.00%, 1.02%, and 0.97%, respectively, and the ratios of
net investment income to average net assets would have been 4.50%, 4.41%,
4.89% and 3.06%, respectively.
(2) Average net assets for the year ended November 30, 1997 were $98,910,547.
- ----------------------------------------------------------
* Assumes reinvestment of all dividends and distributions.
20
<PAGE>
================================================================================
================================================================================
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
--------------------------------------
Dividends to
Net Asset Net Total Shareholders Net Asset
Value, Net Realized Income from from Net Capital Value,
Beginning Investment Gain/(Loss) Investment Investment Contribution End of Total
of Year Income on Investments Operations Income by Adviser Year Return*
<S> <C> <C> <C> <C> <C> <C> <C> <C>
General Municipal Portfolio
Year ended Nov. 30, 1997 $1.000 $0.027 ($0.000) $0.027 ($0.027) -- $1.000 2.74%
Year ended Nov. 30, 1996 1.000 0.025 0.000 0.025 (0.025) -- 1.000 2.56%
Year ended Nov. 30, 1995 1.000 0.031 0.000 0.031 (0.031) -- 1.000 3.11%
Year ended Nov. 30, 1994 1.000 0.020 (0.000) 0.020 (0.020) -- 1.000 2.04%
Year ended Nov. 30, 1993 1.000 0.017 (0.000) 0.017 (0.017) -- 1.000 1.74%
</TABLE>
<TABLE>
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
-----------------------
Net Assets,
End of Net Net
Year Operating Investment
(millions) Expenses Income
<S> <C> <C> <C>
Year ended Nov. 30, 1997 $137.0 0.96%(1,2) 2.70%(1,2)
Year ended Nov. 30, 1996 122.3 0.99%(1) 2.53%(1)
Year ended Nov. 30, 1995 116.0 0.93%(1) 3.07%(1)
Year ended Nov. 30, 1994 108.7 0.90%(1) 2.01%(1)
Year ended Nov. 30, 1993 109.7 0.98%(1) 1.73%(1)
</TABLE>
(1) During the years noted above, the Adviser waived a portion of its fees.
Additionally, for the years ended November 30, 1997 and November 30, 1996,
the Portfolio benefited from an expense offset arrangement with its
custodian bank. Had such waivers not been in effect nor such expenses
offset, the ratios of net operating expenses to average net assets would
have been 0.96%, 0.99%, 1.02%, 1.01% and 1.01%, respectively, and the
ratios of net investment income to average net assets would have been
2.70%, 2.53%, 2.98%, 1.90% and 1.70%, respectively.
(2) Average net assets for the year ended November 30, 1997 were $134,817,925.
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
California Municipal Portfolio
Year ended Nov. 30, 1997 $1.000 $0.026 ($0.000) $0.026 ($0.026) -- $1.000 2.68%
Year ended Nov. 30, 1996 1.000 0.024 -- 0.024 (0.024) -- 1.000 2.42%
Year ended Nov. 30, 1995 1.000 0.031 (0.008) 0.023 (0.031) $0.008 1.000 3.10%(3)
Year ended Nov. 30, 1994 1.000 0.020 (0.000) 0.020 (0.020) -- 1.000 1.99%
Year ended Nov. 30, 1993 1.000 0.017 (0.000) 0.017 (0.017) -- 1.000 1.76%
</TABLE>
<TABLE>
<S> <C> <C> <C>
Year ended Nov. 30, 1997 $55.7 0.90%(1,2) 2.64%(1,2)
Year ended Nov. 30, 1996 53.4 0.85%(1) 2.42%(1)
Year ended Nov. 30, 1995 75.9 0.82%(1) 3.05%(1)
Year ended Nov. 30, 1994 61.3 0.85%(1) 1.99%(1)
Year ended Nov. 30, 1993 62.3 0.85%(1) 1.75%(1)
</TABLE>
(1) During the years noted above, the Adviser waived a portion of its fees.
Additionally, for the years ended November 30, 1997 and November 30, 1996,
the Portfolio benefited from an expense offset arrangement with its
custodian bank. Had such waivers not been in effect nor such expenses
offset, the ratios of net operating expenses to average net assets would
have been 0.96%, 0.97%, 0.95%, 0.97% and 0.98%, respectively, and the
ratios of net investment income to average net assets would have been
2.58%, 2.30%, 2.92%, 1.87% and 1.62%, respectively.
(2) Average net assets for the year ended November 30, 1997 were $57,449,650.
(3) Had the Adviser not made the capital contribution, the Portfolio's total
return would have been lower.
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
New York Municipal Portfolio
Year ended Nov. 30, 1997 $1.000 $0.026 ($0.000) $0.026 ($0.026) -- $1.000 2.66%
Year ended Nov. 30, 1996 1.000 0.025 -- 0.025 (0.025) -- 1.000 2.50%
Year ended Nov. 30, 1995 1.000 0.030 0.000 0.030 (0.030) -- 1.000 3.07%
Year ended Nov. 30, 1994 1.000 0.019 (0.000) 0.019 (0.019) -- 1.000 1.92%
Year ended Nov. 30, 1993 1.000 0.016 (0.000) 0.016 (0.016) -- 1.000 1.66%
<S> <C> <C> <C>
Year ended Nov. 30, 1997 $73.2 0.98%(1,2) 2.63%(1,2)
Year ended Nov. 30, 1996 60.0 0.97%(1) 2.45%(1)
Year ended Nov. 30, 1995 52.3 0.79%(1) 3.02%(1)
Year ended Nov. 30, 1994 48.0 0.82%(1) 1.90%(1)
Year ended Nov. 30, 1993 42.2 0.79%(1) 1.64%(1)
</TABLE>
(1) During the years noted above, the Adviser waived a portion of its fees.
Additionally, for the years ended November 30, 1997 and November 30, 1996,
the Portfolio benefited from an expense offset arrangement with its
custodian bank. Had such waivers not been in effect nor such expenses
offset, the ratios of net operating expenses to average net assets would
have been 0.98%, 0.98%, 1.00%, 1.01% and 1.03%, respectively, and the
ratios of net investment income to average net assets would have been
2.62%, 2.44%, 2.81%, 1.71% and 1.40%, respectively.
(2) Average net assets for the year ended November 30, 1997 were $64,686,712.
- ------------------------------------------
* Assumes reinvestment of all dividends.
21
<PAGE>
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
PA Power Authority
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
22
<PAGE>
================================================================================
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Shareholders and Board of Directors
of OCC Cash Reserves
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Primary Portfolio, Government
Portfolio, General Municipal Portfolio, California Municipal Portfolio and New
York Municipal Portfolio (constituting OCC Cash Reserves, hereafter referred to
as the "Portfolio") at November 30, 1997, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the five years in the period then ended, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1997 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
January 16, 1998
23
<PAGE>
================================================================================
[LOGO]
CASH RESERVES
================================================================================
Directors and Officers
Joseph M. La Motta Director, President
Paul Y. Clinton Director
Thomas W. Courtney Director
Lacy B. Herrmann Director
George Loft Director
Everett Alcenat Vice President
Robert J. Bluestone Vice President
Bernard H. Garil Vice President
John C. Giusio, Jr. Vice President
Matthew Greenwald Vice President
Benjamin Gutstein Vice President
Susan A. Murphy Vice President
Sheldon Siegel Treasurer
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>
- -------------------------------------------------------
<S> <C>
Table of Contents
President's Letter............................. 1
Investment Review.............................. 2
Schedules of Investments....................... 4
Statements of Assets and Liabilities........... 14
Statements of Operations....................... 15
Statements of Changes in Net Assets............ 16
Notes to Financial Statements.................. 18
Financial Highlights........................... 20
Report of Independent Accountants.............. 23
- -------------------------------------------------------
</TABLE>
This report is authorized for distribution only to shareholders
and to others who have received a copy of the prospectus.
================================================================================
================================================================================
[LOGO]
CASH RESERVES
================================================================================
o Primary Portfolio
o Government Portfolio
o General Municipal Portfolio
o California Municipal Portfolio
o New York Municipal Portfolio
Annual Report
November 30, 1997
Managed by
OpCap Advisors
================================================================================
================================================================================
