BAYFUNDS
EQUITY
PORTFOLIO
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
JUNE 30, 1994
(A PORTFOLIO OF BAYFUNDS)
BayBanks Investment Management, Inc.
- -----------------------------------
Investment Adviser
FEDERATED SECURITIES CORP.
- -----------------------------------
Distributors
A subsidiary of FEDERATED INVESTORS
Z00325 3061816 (8/94)
PRESIDENT'S MESSAGE
- --------------------------------------------------------------------------------
Dear Shareholder:
The first half of 1994 was a somewhat difficult period for world financial
markets, with most mutual funds investing in U.S. stocks or bonds experiencing
declines. The volatile conditions in the United States were caused in part by
unsustainably strong economic activity, the Federal Reserve Board's four upward
adjustments (so far) in short-term interest rates, and the decline in the value
of the U.S. dollar. We believe that the key to performance for the markets going
forward is a moderation of the economy's growth to a more enduring pace in the
2%-3% range and sustainable improvement in corporate earnings.
My message to you is straightforward--stick with your long-term investment plan
and look beyond short-term market fluctuations which naturally occur. To help
you make the most from your investment strategy, I urge you to consider these
key principles of long-term investing:
Maintain a long-term perspective.
Historically, markets have recovered from the inevitable short-term reversals.
Over the past 60 years, the stock market (as measured by the Standard & Poor's
500 Index) has experienced many fluctuations, and it has recovered every time.
As recently as 1987, the market suddenly dropped 34%, but reached a new high
within 21 months. While past performance is not necessarily an indicator of
future results, consider the market correction we are experiencing this year as
a short-term event in the long-run performance of financial markets.
Manage your risk by diversifying your investments.
When you buy mutual funds, you automatically diversify your investment because a
mutual fund holds many different securities. Plus, you significantly reduce your
risk as compared to investing in only a few securities. For example, if one
security in a fund should perform below expectations, other securities in the
fund can help stabilize performance. You can increase your diversification (and
lower your risk) even more by maintaining a portfolio of stock, bond and money
market mutual fund investments through the BayFunds.
Follow a regular investment plan.
When you invest a fixed amount every week or month, you take advantage of a
proven investment strategy known as dollar-cost averaging. This strategy helps
you maintain the discipline to purchase shares regularly, and eliminates the
guesswork of trying to figure out the right time to invest. With dollar-cost
averaging, you buy fewer shares in a rising market and more shares when prices
are down. Of course, no investment strategy can guarantee a profit or protect
against loss in changing markets. But, by purchasing shares in both up and down
markets, dollar-cost averaging may help you lower the average cost of your
mutual fund purchases.
I encourage you to contact your Investment Specialist or Account Officer if you
have any questions about the course of action that is more appropriate to help
you reach your long-term investment goal.
Sincerely,
John J. Arena
President,
BayBanks Investment Management, Inc.
Investment Adviser to BayFunds Equity Portfolio
August 1, 1994
INVESTMENT REVIEW
- --------------------------------------------------------------------------------
Q How would you characterize the behavior of the stock market during the past
six months?
A The first half of 1994 has been a difficult period for the market as rising
interest rates, fears of inflation and a weak dollar have created turmoil.
The Federal Reserve Board (the "Fed") interest rate increases have
adversely affected the market, with the major indices, the Dow Jones
Industrial Average** and the Standard & Poor's 500 Index ("S&P 500"),**
down 2.2% and 3.4%, respectively. The sell-off of small capitalization
issues was more severe as the NASDAQ posted a 7.3% decline. The large cap
outperformance was evident in the positive performance of stocks in the
chemical, steel and energy industries. In times of uncertainty, investors
frequently turn to established companies that pay high dividends.
Q How did the BayFunds Equity Portfolio perform?
A The shift away from growth-oriented stocks that began in early 1993 has
continued. The Portfolio targets companies with consistently strong
earnings growth, which leads to some exposure in smaller and middle
capitalization stocks. These types of securities have not fared as well in 1994.
For the six-month period ended June 30, 1994, the Portfolio's total return
was -7.1%/-7.2%* versus the S&P 500's S3.4%. For the same period, the total
returns for the Russell 2000** and NASDAQ**, two indices frequently identified
as representative of small cap issues, were -7.8% and -7.3%, respectively. The
total return for the S&P Mid-Cap 400 Index was -7.3%. During the twelve months
ended June 30, 1994, the total return for the Portfolio's Investment Shares
of -1.7%*** was just slightly behind the 1.4% performance of the S&P 500.
Q What is your outlook for the equity markets?
A Valuations, although they have receded, continue to be high, and the
potential for further interest rate increases by the Fed are creating a
cautious outlook toward the market. We continue to believe that corporate
earnings will be the driving force during the stock market for the next 3-6
months. Therefore, we will emphasize companies that exhibit good year-over-year
earnings growth and industries that benefit from a recovering economy.
* Rates are quoted institutional class/investment class. Performance quoted
represents past performance. Investment return and principal value will
fluctuate, so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
** This index is unmanaged.
*** Institutional Shares were not in existence prior to January 1, 1994.
BAYFUNDS EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--92.1%
- ------------------------------------------------------------------------------------------------
AEROSPACE--1.7%
--------------------------------------------------------------------------------
5,500 Lockheed Corp. $ 359,563
--------------------------------------------------------------------------------
26,000 Loral Corp. 910,000
--------------------------------------------------------------------------------
2,700 Raytheon Co. 174,825
--------------------------------------------------------------------------------
19,000 Watkins Johnson Co. 562,875
-------------------------------------------------------------------------------- ---------------
Total 2,007,263
-------------------------------------------------------------------------------- ---------------
AIRLINES--0.5%
--------------------------------------------------------------------------------
14,250 Atlantic Southeast Airlines, Inc. 345,563
--------------------------------------------------------------------------------
10,200 Southwest Airlines Company 266,475
-------------------------------------------------------------------------------- ---------------
Total 612,038
-------------------------------------------------------------------------------- ---------------
APPAREL & TEXTILE--1.4%
--------------------------------------------------------------------------------
15,000 Culp, Inc. 138,750
--------------------------------------------------------------------------------
24,400 Gap, Inc. 1,043,100
--------------------------------------------------------------------------------
23,000 Lands End, Inc. 399,625
-------------------------------------------------------------------------------- ---------------
Total 1,581,475
-------------------------------------------------------------------------------- ---------------
AUTO PARTS--0.7%
--------------------------------------------------------------------------------
31,000 Smith A.O. Corp. 782,750
-------------------------------------------------------------------------------- ---------------
AUTOS & TRUCKS--2.0%
--------------------------------------------------------------------------------
12,100 Ford Motor Co. 713,900
--------------------------------------------------------------------------------
21,500 General Motors Corp. 1,080,375
--------------------------------------------------------------------------------
14,900 General Motors Corp. (Class H) 534,538
-------------------------------------------------------------------------------- ---------------
Total 2,328,813
-------------------------------------------------------------------------------- ---------------
BANKS--7.6%
--------------------------------------------------------------------------------
47,700 Banc One Corp. 1,633,725
--------------------------------------------------------------------------------
19,500 Bancorp Hawaii, Inc. 621,562
--------------------------------------------------------------------------------
31,800 Boatmen's Bancshares, Inc. 1,001,700
--------------------------------------------------------------------------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
BANKS--CONTINUED
--------------------------------------------------------------------------------
9,200 First Financial Mgmt. Corp. $ 510,600
--------------------------------------------------------------------------------
6,700 First Interstate Bancorp. 515,900
--------------------------------------------------------------------------------
30,600 MBNA Corp. 688,500
--------------------------------------------------------------------------------
36,500 Mid-Atlantic Corp. 1,067,625
--------------------------------------------------------------------------------
10,000 NationsBank Corp. 513,750
--------------------------------------------------------------------------------
20,000 NBD Bancorp, Inc. 632,500
--------------------------------------------------------------------------------
29,000 Signet Banking Corp. 1,170,875
--------------------------------------------------------------------------------
14,638 Washington Federal Savings 322,036
-------------------------------------------------------------------------------- ---------------
Total 8,678,773
-------------------------------------------------------------------------------- ---------------
BEVERAGES--1.4%
--------------------------------------------------------------------------------
16,000 Anheuser Busch Co., Inc. 812,000
--------------------------------------------------------------------------------
16,200 Coca-Cola Co. 658,125
--------------------------------------------------------------------------------
4,400 PepsiCo, Inc. 134,750
-------------------------------------------------------------------------------- ---------------
Total 1,604,875
-------------------------------------------------------------------------------- ---------------
BROADCASTING--0.5%
--------------------------------------------------------------------------------
1,800 CBS, Inc. 558,000
-------------------------------------------------------------------------------- ---------------
BUILDING & CONSTRUCTION--0.7%
--------------------------------------------------------------------------------
21,000 Foster Wheeler Corp. 763,875
-------------------------------------------------------------------------------- ---------------
BUILDING MATERIALS--0.4%
--------------------------------------------------------------------------------
11,200 Vulcan Materials Co. 513,800
-------------------------------------------------------------------------------- ---------------
CHEMICALS--3.7%
--------------------------------------------------------------------------------
33,000 Dexter Corp. 800,250
--------------------------------------------------------------------------------
11,500 Dow Chemical Co. 751,813
--------------------------------------------------------------------------------
10,000 Du Pont (E.I.) deNemours & Co., Inc. 583,750
--------------------------------------------------------------------------------
26,400 Grace W.R. and Co. 1,052,700
--------------------------------------------------------------------------------
30,000 Lilly Indl., Inc. 412,500
--------------------------------------------------------------------------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
CHEMICALS--CONTINUED
--------------------------------------------------------------------------------
9,300 Monsanto Co. $ 703,312
-------------------------------------------------------------------------------- ---------------
Total 4,304,325
-------------------------------------------------------------------------------- ---------------
CHEMICALS-SPECIAL--0.6%
--------------------------------------------------------------------------------
28,500 * Airgas, Inc. 751,687
-------------------------------------------------------------------------------- ---------------
COMMERCIAL SERVICES--0.9%
--------------------------------------------------------------------------------
17,200 Olsten Corp. 550,400
--------------------------------------------------------------------------------
19,600 Rollins, Inc. 477,750
-------------------------------------------------------------------------------- ---------------
Total 1,028,150
-------------------------------------------------------------------------------- ---------------
COMPUTER/SOFTWARE--4.0%
--------------------------------------------------------------------------------
22,100 3Com Corp. 1,135,387
--------------------------------------------------------------------------------
10,400 Automatic Data Processing 552,500
--------------------------------------------------------------------------------
14,400 * Cisco Systems, Inc. 336,600
--------------------------------------------------------------------------------
20,200 Cray Research, Inc. 457,025
--------------------------------------------------------------------------------
9,000 International Business Machines 528,750
--------------------------------------------------------------------------------
2,900 * Lotus Development Corp. 106,575
--------------------------------------------------------------------------------
26,700 Oracle System Corp. 1,001,250
--------------------------------------------------------------------------------
17,700 * Sterling Software, Inc. 531,000
-------------------------------------------------------------------------------- ---------------
Total 4,649,087
-------------------------------------------------------------------------------- ---------------
CONSTRUCTION--0.9%
--------------------------------------------------------------------------------
23,400 Armstrong World Industries, Inc. 1,091,025
-------------------------------------------------------------------------------- ---------------
CONTAINERS--0.8%
--------------------------------------------------------------------------------
24,000 Ball Corp. 624,000
--------------------------------------------------------------------------------
7,750 * Crown Cork & Seal Co., Inc. 288,688
-------------------------------------------------------------------------------- ---------------
Total 912,688
-------------------------------------------------------------------------------- ---------------
COSMETICS/PERSONAL CARE--0.0%
--------------------------------------------------------------------------------
2,000 Neutrogena Corp. 38,000
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
DIVERSIFIED--2.0%
--------------------------------------------------------------------------------
17,400 Allied-Signal, Inc. $ 602,475
--------------------------------------------------------------------------------
19,000 * Raymond Corp. 365,750
--------------------------------------------------------------------------------
10,800 Tecumseh Products Co. 545,400
--------------------------------------------------------------------------------
14,200 Textron, Inc. 743,725
-------------------------------------------------------------------------------- ---------------
Total 2,257,350
-------------------------------------------------------------------------------- ---------------
DRUGS--4.2%
--------------------------------------------------------------------------------
4,400 Abbott Laboratories 127,600
--------------------------------------------------------------------------------
5,800 Amgen, Inc. 248,675
--------------------------------------------------------------------------------
22,400 Cordis Corp. 869,400
--------------------------------------------------------------------------------
27,100 Forest Laboratories, Inc. 1,178,850
--------------------------------------------------------------------------------
46,400 Marion Merrell Dow, Inc. 846,800
--------------------------------------------------------------------------------
13,550 Schering-Plough, Inc. 829,937
--------------------------------------------------------------------------------
15,400 United Healthcare Corp. 706,475
-------------------------------------------------------------------------------- ---------------
Total 4,807,737
-------------------------------------------------------------------------------- ---------------
ELECTRONICS--2.4%
--------------------------------------------------------------------------------
8,800 * International Rectifier Co. 132,000
--------------------------------------------------------------------------------
28,300 Linear Technology Corp. 1,245,200
--------------------------------------------------------------------------------
19,600 * Marshall Industries 431,200
--------------------------------------------------------------------------------
11,400 Motorola, Inc. 507,300
--------------------------------------------------------------------------------
15,300 Sensormatic Electronics Corp. 439,875
-------------------------------------------------------------------------------- ---------------
Total 2,755,575
-------------------------------------------------------------------------------- ---------------
ELECTRICAL EQUIPMENT--1.5%
--------------------------------------------------------------------------------
42,400 Baldor Electric Co. 991,100
--------------------------------------------------------------------------------
16,600 General Electric Co. 773,975
-------------------------------------------------------------------------------- ---------------
Total 1,765,075
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
ENVIRONMENT CONTROL--0.9%
--------------------------------------------------------------------------------
34,900 * Donaldson, Inc. $ 780,887
--------------------------------------------------------------------------------
7,400 * Thermo Instrument System, Inc. 209,050
-------------------------------------------------------------------------------- ---------------
Total 989,937
-------------------------------------------------------------------------------- ---------------
FINANCIAL SERVICES--1.6%
--------------------------------------------------------------------------------
11,000 Advanta Corp. 391,875
--------------------------------------------------------------------------------
17,400 Green Tree Financial Corp. 974,400
--------------------------------------------------------------------------------
11,800 Reuters Hldgs. PLC 460,200
-------------------------------------------------------------------------------- ---------------
Total 1,826,475
-------------------------------------------------------------------------------- ---------------
FOODS--2.1%
--------------------------------------------------------------------------------
53,000 American Maize Products Co. 1,086,500
--------------------------------------------------------------------------------
24,000 Tyson Foods, Inc. 561,000
--------------------------------------------------------------------------------
16,200 Wrigley, William Jr. Co. 769,500
-------------------------------------------------------------------------------- ---------------
Total 2,417,000
-------------------------------------------------------------------------------- ---------------
HOSPITAL SUPPLIES & SERVICES--1.6%
--------------------------------------------------------------------------------
29,800 * Community Psychiatric Center 353,875
--------------------------------------------------------------------------------
16,700 Omnicare, Inc. 551,100
--------------------------------------------------------------------------------
63,900 Owens & Minor, Inc. 950,512
-------------------------------------------------------------------------------- ---------------
Total 1,855,487
-------------------------------------------------------------------------------- ---------------
HOTEL/RESTAURANT--0.4%
--------------------------------------------------------------------------------
10,350 Brinker International, Inc. 217,350
--------------------------------------------------------------------------------
7,950 * Promus Company, Inc. 235,519
-------------------------------------------------------------------------------- ---------------
Total 452,869
-------------------------------------------------------------------------------- ---------------
INDUSTRIAL MACHINERY--0.8%
--------------------------------------------------------------------------------
22,200 Applied Materials, Inc. 949,050
-------------------------------------------------------------------------------- ---------------
INSURANCE--3.7%
--------------------------------------------------------------------------------
15,200 AFLAC, Inc. 513,000
--------------------------------------------------------------------------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
INSURANCE--CONTINUED
--------------------------------------------------------------------------------
3,800 * Allegheny Corp. $ 564,300
--------------------------------------------------------------------------------
2,500 American International Group, Inc. 216,563
--------------------------------------------------------------------------------
37,300 Equifax, Inc. 1,053,725
--------------------------------------------------------------------------------
20,400 Lincoln National Corp. 864,450
--------------------------------------------------------------------------------
8,500 Progressive Corp. of Ohio 282,625
--------------------------------------------------------------------------------
13,350 U.S. Healthcare, Inc. 493,950
--------------------------------------------------------------------------------
7,100 U.S. Life Corp. 252,050
-------------------------------------------------------------------------------- ---------------
Total 4,240,663
-------------------------------------------------------------------------------- ---------------
LEISURE RELATED--1.4%
--------------------------------------------------------------------------------
58,000 Brunswick Corp. 1,276,000
--------------------------------------------------------------------------------
19,000 Thor Industries, Inc. 380,000
-------------------------------------------------------------------------------- ---------------
Total 1,656,000
-------------------------------------------------------------------------------- ---------------
MACHINERY--1.1%
--------------------------------------------------------------------------------
4,150 Briggs & Stratton Corp. 277,531
--------------------------------------------------------------------------------
8,600 * Clark Equipment Corp. 513,850
--------------------------------------------------------------------------------
5,200 Caterpillar, Inc. 520,000
-------------------------------------------------------------------------------- ---------------
Total 1,311,381
-------------------------------------------------------------------------------- ---------------
METAL FABRICATE/HARDWARE--0.2%
--------------------------------------------------------------------------------
9,800 Varlen Corp. 193,550
-------------------------------------------------------------------------------- ---------------
METALS & MINING--1.0%
--------------------------------------------------------------------------------
13,500 American Barrick Res. Corp. 322,313
--------------------------------------------------------------------------------
40,600 Homestake Mining Co. 761,250
-------------------------------------------------------------------------------- ---------------
Total 1,083,563
-------------------------------------------------------------------------------- ---------------
MISCELLANEOUS-DISTRIBUTION--1.1%
--------------------------------------------------------------------------------
25,000 Cardinal Health, Inc. 1,225,000
-------------------------------------------------------------------------------- ---------------
OFFICE EQUIPMENT--1.2%
--------------------------------------------------------------------------------
4,100 * Cabletron Systems, Inc. 396,163
--------------------------------------------------------------------------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
OFFICE EQUIPMENT--CONTINUED
--------------------------------------------------------------------------------
30,600 * Compaq Computer Corp. $ 986,850
-------------------------------------------------------------------------------- ---------------
Total 1,383,013
-------------------------------------------------------------------------------- ---------------
OFFICE EQUIPMENT-SERVICES--0.5%
--------------------------------------------------------------------------------
7,200 Computer Associates International, Inc. 288,000
--------------------------------------------------------------------------------
12,300 Reynolds & Reynolds Co. 284,438
-------------------------------------------------------------------------------- ---------------
Total 572,438
-------------------------------------------------------------------------------- ---------------
OIL-DOMESTIC--3.5%
--------------------------------------------------------------------------------
14,400 Amoco Corp. 820,800
--------------------------------------------------------------------------------
30,500 Ashland Oil, Inc. 1,025,562
--------------------------------------------------------------------------------
19,000 Holly Corp. 541,500
--------------------------------------------------------------------------------
14,300 Pennzoil Co. 732,875
--------------------------------------------------------------------------------
32,200 Sun, Inc. 865,375
-------------------------------------------------------------------------------- ---------------
Total 3,986,112
-------------------------------------------------------------------------------- ---------------
OIL-INTERNATIONAL--4.3%
--------------------------------------------------------------------------------
26,600 British Petroleum PLC 1,908,550
--------------------------------------------------------------------------------
19,000 Chevron Corp. 795,625
--------------------------------------------------------------------------------
4,750 Exxon Corp. 268,969
--------------------------------------------------------------------------------
22,600 Mobil Corp. 1,844,725
--------------------------------------------------------------------------------
1,200 Royal Dutch Petroleum Co. 125,550
-------------------------------------------------------------------------------- ---------------
Total 4,943,419
-------------------------------------------------------------------------------- ---------------
OIL-SUPPLIES & CONSTRUCTION--0.6%
--------------------------------------------------------------------------------
22,200 Halliburton Co. 749,250
-------------------------------------------------------------------------------- ---------------
PAPER--2.4%
--------------------------------------------------------------------------------
14,900 International Paper Co. 987,125
--------------------------------------------------------------------------------
17,400 Mead Corp. 767,775
--------------------------------------------------------------------------------
19,200 Scott Paper Co. 1,003,200
-------------------------------------------------------------------------------- ---------------
Total 2,758,100
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
PHOTO & OPTICAL--0.7%
--------------------------------------------------------------------------------
23,500 Polaroid Corp. $ 749,062
-------------------------------------------------------------------------------- ---------------
PLASTICS--1.0%
--------------------------------------------------------------------------------
14,600 Premark International, Inc. 1,098,650
-------------------------------------------------------------------------------- ---------------
PUBLISHING & PRINTING--0.9%
--------------------------------------------------------------------------------
19,500 Dow Jones and Co., Inc. 604,500
--------------------------------------------------------------------------------
9,500 Meredith Corp. 403,750
-------------------------------------------------------------------------------- ---------------
Total 1,008,250
-------------------------------------------------------------------------------- ---------------
RAILROAD--1.3%
--------------------------------------------------------------------------------
23,700 Illinois Cent. Corp. 785,062
--------------------------------------------------------------------------------
15,900 Kansas City Southern Industries, Inc. 647,925
-------------------------------------------------------------------------------- ---------------
Total 1,432,987
-------------------------------------------------------------------------------- ---------------
RESTAURANT/FOOD SERVICE--0.9%
--------------------------------------------------------------------------------
36,800 McDonalds Corp. 1,062,600
-------------------------------------------------------------------------------- ---------------
RETAIL-DEPT. STORE--0.9%
--------------------------------------------------------------------------------
33,200 Conagra, Inc. 1,012,600
-------------------------------------------------------------------------------- ---------------
RETAIL-DRUG--0.4%
--------------------------------------------------------------------------------
13,100 Walgreen Co. 478,150
-------------------------------------------------------------------------------- ---------------
RETAIL-GROCERY--2.0%
--------------------------------------------------------------------------------
4,200 Albertsons, Inc. 115,500
--------------------------------------------------------------------------------
4,600 American Stores Co., New 112,700
--------------------------------------------------------------------------------
41,600 * Kroger Co. 967,200
--------------------------------------------------------------------------------
44,000 * Safeway, Inc. 1,050,500
-------------------------------------------------------------------------------- ---------------
Total 2,245,900
-------------------------------------------------------------------------------- ---------------
RETAIL-GENERAL--4.0%
--------------------------------------------------------------------------------
15,000 Dayton Hudson Corp. 1,215,000
--------------------------------------------------------------------------------
17,900 Fingerhut Corp. 434,075
--------------------------------------------------------------------------------
8,400 Heilig Meyers Co. 227,850
--------------------------------------------------------------------------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
RETAIL-GENERAL--CONTINUED
--------------------------------------------------------------------------------
47,400 Lowe's Companies, Inc. $ 1,623,450
--------------------------------------------------------------------------------
51,600 Office Depot, Inc. 1,032,000
-------------------------------------------------------------------------------- ---------------
Total 4,532,375
-------------------------------------------------------------------------------- ---------------
RETAIL-SPECIAL LINE--2.1%
--------------------------------------------------------------------------------
31,200 * Best Buy, Inc. 900,900
--------------------------------------------------------------------------------
33,700 * Burlington Coat Factory 581,325
--------------------------------------------------------------------------------
13,900 * Michaels Stores, Inc. 467,388
--------------------------------------------------------------------------------
30,600 * The Good Guys, Inc. 397,800
-------------------------------------------------------------------------------- ---------------
Total 2,347,413
-------------------------------------------------------------------------------- ---------------
SHOES/LEATHER--0.5%
--------------------------------------------------------------------------------
26,250 Wolverine World Wide, Inc. 557,812
-------------------------------------------------------------------------------- ---------------
SOAPS & TOILETRIES--1.2%
--------------------------------------------------------------------------------
11,200 Colgate-Palmolive Co. 582,400
--------------------------------------------------------------------------------
11,400 Gillette Co. 742,425
-------------------------------------------------------------------------------- ---------------
Total 1,324,825
-------------------------------------------------------------------------------- ---------------
STEEL--0.6%
--------------------------------------------------------------------------------
9,400 Nucor Corp. 643,900
-------------------------------------------------------------------------------- ---------------
TELECOMMUNICATIONS--1.8%
--------------------------------------------------------------------------------
30,400 * Andrew Corp. 1,117,200
--------------------------------------------------------------------------------
22,400 Telecommunication Corp. of New Zealand 952,000
-------------------------------------------------------------------------------- ---------------
Total 2,069,200
-------------------------------------------------------------------------------- ---------------
TOBACCO--0.9%
--------------------------------------------------------------------------------
14,300 American Brands 452,238
--------------------------------------------------------------------------------
10,200 Philip Morris Cos., Inc. 525,300
-------------------------------------------------------------------------------- ---------------
Total 977,538
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
- ------------------------------------------------------------------------------------------------
TRUCKING & SHIPPING--1.7%
--------------------------------------------------------------------------------
12,800 * Federal Express Corp. $ 955,200
--------------------------------------------------------------------------------
36,800 Werner Enterprises, Inc. 1,021,200
-------------------------------------------------------------------------------- ---------------
Total 1,976,400
-------------------------------------------------------------------------------- ---------------
UTILITY-ELECTRIC--1.6%
--------------------------------------------------------------------------------
23,600 American Electric Power Co., Inc. 666,700
--------------------------------------------------------------------------------
13,400 Northern States Power Co. MN 551,075
--------------------------------------------------------------------------------
25,100 PECO Energy Co. 662,012
-------------------------------------------------------------------------------- ---------------
Total 1,879,787
-------------------------------------------------------------------------------- ---------------
UTILITY-TELEPHONE--3.3%
--------------------------------------------------------------------------------
21,800 Ameritech Corp. 833,850
--------------------------------------------------------------------------------
3,800 British Telecommunications 214,225
--------------------------------------------------------------------------------
17,518 * Citizens Utilities Co. 240,873
--------------------------------------------------------------------------------
28,400 Sprint Corp. 990,450
--------------------------------------------------------------------------------
14,000 Telefonos De Mexico Sa., ADR 782,250
--------------------------------------------------------------------------------
16,600 U.S. West, Inc. 695,125
-------------------------------------------------------------------------------- ---------------
Total 3,756,773
-------------------------------------------------------------------------------- ---------------
TOTAL COMMON STOCKS (IDENTIFIED COST $105,292,640) 105,539,890
-------------------------------------------------------------------------------- ---------------
**REPURCHASE AGREEMENT--9.0%
- ------------------------------------------------------------------------------------------------
$ 10,260,000 Aubrey G. Lanston & Co., Inc., 4.25%, dated 6/30/94, due 7/1/94
(at amortized cost) (Note 2B) 10,260,000
-------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS (IDENTIFIED COST $115,552,640) $ 115,799,890+
-------------------------------------------------------------------------------- ---------------
</TABLE>
* Non-income producing.
** Repurchase agreement is fully collateralized by U.S. government and/or agency
obligations based on market prices at the date of the portfolio.
+ The cost of investments for federal tax purposes amounts to $115,552,640. The
net unrealized appreciation of investments, on a federal tax basis amounts to
$247,250, which is comprised of $5,810,679 appreciation and $5,563,429
depreciation at June 30, 1994.
Note: The categories of investments are shown as a percentage of net assets
($114,634,890) at June 30, 1994.
ADR-American Depository Receipts.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
- ------------------------------------------------------------------------------------------------
Investments, at value (Notes 2A and 2B)
(identified and tax cost: $115,552,640) $ 115,799,890
- ------------------------------------------------------------------------------------------------
Receivable for investments sold 6,806,502
- ------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 279,964
- ------------------------------------------------------------------------------------------------
Dividends and interest receivable 106,394
- ------------------------------------------------------------------------------------------------
Deferred expenses (Note 2F) 48,862
- ------------------------------------------------------------------------------------------------ ---------------
Total assets 123,041,612
- ------------------------------------------------------------------------------------------------
LIABILITIES:
- ------------------------------------------------------------------------------------------------
Payable for investments purchased $ 8,346,232
- ---------------------------------------------------------------------------------
Payable for Fund shares redeemed 15,371
- ---------------------------------------------------------------------------------
Accrued expenses 45,119
- --------------------------------------------------------------------------------- -------------
Total liabilities 8,406,722
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSETS for 11,292,681 shares of beneficial interest outstanding $ 114,634,890
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSETS CONSIST OF:
- ------------------------------------------------------------------------------------------------
Paid-in capital $ 115,739,572
- ------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments 247,250
- ------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (1,376,202)
- ------------------------------------------------------------------------------------------------
Undistributed net investment income 24,270
- ------------------------------------------------------------------------------------------------ ---------------
Total Net Assets $ 114,634,890
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSET VALUE, Offering Price, and Redemption Proceeds Per Share:
Investment Shares ($30,403,305 / 2,995,010 shares of beneficial interest outstanding) $10.15
- ------------------------------------------------------------------------------------------------ ---------------
Institutional Shares ($84,231,585 / 8,297,671 shares of beneficial interest outstanding) $10.15
- ------------------------------------------------------------------------------------------------ ---------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
- --------------------------------------------------------------------------------------------------
Dividends income $ 977,935
- --------------------------------------------------------------------------------------------------
Interest income 167,298
- -------------------------------------------------------------------------------------------------- -------------
Total investment income (Note 2C) 1,145,233
- --------------------------------------------------------------------------------------------------
EXPENSES:
- --------------------------------------------------------------------------------------------------
Investment advisory fee* $ 401,994
- -------------------------------------------------------------------------------------
Trustees' fees 2,117
- -------------------------------------------------------------------------------------
Administrative personnel and services fees* 61,156
- -------------------------------------------------------------------------------------
Transfer and dividend disbursing agent fees and expenses 18,415
- -------------------------------------------------------------------------------------
Custodian fees 12,539
- -------------------------------------------------------------------------------------
Portfolio accounting fees* 25,327
- -------------------------------------------------------------------------------------
Auditing fees 6,155
- -------------------------------------------------------------------------------------
Fund share registration costs 21,247
- -------------------------------------------------------------------------------------
Shareholder services fee* 35,606
- -------------------------------------------------------------------------------------
Legal fees 4,103
- -------------------------------------------------------------------------------------
Printing and postage 16,251
- -------------------------------------------------------------------------------------
Insurance premiums 3,077
- -------------------------------------------------------------------------------------
Miscellaneous 2,137
- ------------------------------------------------------------------------------------- -----------
Total expenses 610,124
- -------------------------------------------------------------------------------------------------- -------------
Net investment income 535,109
- -------------------------------------------------------------------------------------------------- -------------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
- --------------------------------------------------------------------------------------------------
Net realized gain on investment transactions (identified cost basis)-- 713,776
- --------------------------------------------------------------------------------------------------
Net change in unrealized depreciation on investments (9,833,167)
- -------------------------------------------------------------------------------------------------- -------------
Net realized and unrealized loss on investments (9,119,391)
- -------------------------------------------------------------------------------------------------- -------------
Change in net assets resulting from operations ($8,584,282)
- -------------------------------------------------------------------------------------------------- -------------
</TABLE>
*See Note 4.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
<S> <C> <C>
1994** 1993*
INCREASE (DECREASE) IN NET ASSETS:
- -------------------------------------------------------------------------------
OPERATIONS--
- -------------------------------------------------------------------------------
Net investment income $ 535,109 $ 1,251,973
- -------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions
($713,776 net gain and $2,089,978 net loss, respectively, as computed for
federal tax purposes) (Note 2D) 713,776 (2,089,978)
- -------------------------------------------------------------------------------
Net change in unrealized depreciation on investments (9,833,167) 10,080,417
- ------------------------------------------------------------------------------- --------------- ---------------
Change in net assets resulting from operations (8,584,282) 9,242,412
- ------------------------------------------------------------------------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2C)--
- -------------------------------------------------------------------------------
Dividends to shareholders from net investment income:
- -------------------------------------------------------------------------------
Investment Shares (108,344) (1,237,046)
- -------------------------------------------------------------------------------
Institutional Shares (417,422) --
- ------------------------------------------------------------------------------- --------------- ---------------
Change in net assets from distributions to shareholders (525,766) (1,237,046)
- ------------------------------------------------------------------------------- --------------- ---------------
FUND SHARE (PRINCIPAL) TRANSACTIONS (NOTE 3)--
- -------------------------------------------------------------------------------
Proceeds from sale of shares 107,312,992 113,880,236
- -------------------------------------------------------------------------------
Net asset value of shares issued to shareholders in payment of dividends
declared 106,728 214,740
- -------------------------------------------------------------------------------
Cost of shares redeemed (95,361,807) (10,413,317)
- ------------------------------------------------------------------------------- --------------- ---------------
Change in net assets from Fund share transactions 12,057,913 103,681,659
- ------------------------------------------------------------------------------- --------------- ---------------
Change in net assets 2,947,865 111,687,025
- -------------------------------------------------------------------------------
NET ASSETS--
- -------------------------------------------------------------------------------
Beginning of period 111,687,025 --
- ------------------------------------------------------------------------------- --------------- ---------------
End of period (including undistributed net investment income of $24,270 and
$14,927, respectively) $ 114,634,890 $ 111,687,025
- ------------------------------------------------------------------------------- --------------- ---------------
</TABLE>
*For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
**Six months ended June 30, 1994 (unaudited).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS--INVESTMENT SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
<S> <C> <C>
1994** 1993*
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.98 $ 10.00
- -----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- -----------------------------------------------------------------------------------------
Net investment income 0.04 0.14
- -----------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments (0.83) 0.98
- ----------------------------------------------------------------------------------------- ----------- ---------
Total from investment operations (0.79) 1.12
- ----------------------------------------------------------------------------------------- ----------- ---------
LESS DISTRIBUTIONS
- -----------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.04) (0.14)
- ----------------------------------------------------------------------------------------- ----------- ---------
NET ASSET VALUE, END OF PERIOD $ 10.15 $ 10.98
- ----------------------------------------------------------------------------------------- ----------- ---------
TOTAL RETURN*** (7.23%) 11.28%
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- -----------------------------------------------------------------------------------------
Expenses 1.25%(a) 0.75%(a)
- -----------------------------------------------------------------------------------------
Net investment income 0.74%(a) 1.56%(a)
- -----------------------------------------------------------------------------------------
Expense waiver/reimbursement (b) -- 0.24%(a)
- -----------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $30,403 $111,687
- -----------------------------------------------------------------------------------------
Portfolio turnover rate 61% 81%
- -----------------------------------------------------------------------------------------
</TABLE>
*For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
**Six months ended June 30, 1994 (unaudited).
***Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS--INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
<S> <C>
1994*
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.98
- ------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- ------------------------------------------------------------------------------------------------
Net investment income 0.05
- ------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments (0.83)
- ------------------------------------------------------------------------------------------------ -----------------
Total from investment operations (0.78)
- ------------------------------------------------------------------------------------------------ -----------------
LESS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.05)
- ------------------------------------------------------------------------------------------------ -----------------
NET ASSET VALUE, END OF PERIOD $ 10.15
- ------------------------------------------------------------------------------------------------ -----------------
TOTAL RETURN** (7.11%)
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- ------------------------------------------------------------------------------------------------
Expenses 1.00%(a)
- ------------------------------------------------------------------------------------------------
Net investment income 0.99%(a)
- ------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $84,232
- ------------------------------------------------------------------------------------------------
Portfolio turnover rate 61%
- ------------------------------------------------------------------------------------------------
</TABLE>
* Reflects operations for the period from January 1, 1994 (effective date) to
June 30, 1994 (unaudited).
** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
(1) ORGANIZATION
BayFunds (the "Trust") is registered under the Investment Company Act of 1940,
as amended, (the "Act"), as an open-end, management investment company. The
Trust consists of five diversified portfolios:
BayFunds Bond Portfolio ("Bond Portfolio")
BayFunds Equity Portfolio ("Equity Portfolio")
BayFunds Money Market Portfolio ("Money Market Portfolio")
BayFunds Short Term Yield Portfolio ("Short Term Yield Portfolio")
BayFunds U.S. Treasury Money Market Portfolio ("Treasury Money Market
Portfolio")
The Funds are offered in two classes of shares: Institutional Shares (Trust
Shares in the case of Money Market Portfolio) and Investment Shares. Investment
Shares are identical in all respects to Institutional Shares except that
Investment Shares are sold pursuant to a Shareholder Servicing Agreement. The
assets of each Fund are segregated and a shareholder's interest is limited to
the Fund in which shares are held. The financial statements presented herein are
only those of Equity Portfolio, (individually referred to as the "Fund"). The
financial statements of Bond Portfolio, Money Market Portfolio, Short Term Yield
Portfolio and Treasury Money Market Portfolio are presented separately.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATIONS--Listed equity securities are valued at the last sale
price reported on national securities exchanges. Unlisted securities and
short-term obligations (and private placement securities) are generally
valued at the prices provided by an independent pricing service. Short-term
securities with remaining maturities of sixty days or less may be stated at
amortized cost, which approximates value.
B. REPURCHASE AGREEMENTS--It is the policy of the Fund to require the
custodian bank to take possession of, to have legally segregated in the
Federal Reserve Book Entry System, or to have segregated within the
custodian bank's vault, all securities held as collateral in support of
repurchase agreement investments. Additionally, procedures have been
established by the Fund to monitor on a daily basis, the market value of
each repurchase agreement's underlying collateral to ensure the value at
least equals the principal amount of the repurchase agreement, including
accrued interest.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are deemed
by the Fund's adviser to be creditworthy pursuant to guidelines established
by the Board of Trustees ("Trustees"). Risks may arise from the potential
inability of counterparties to honor the terms of the repurchase agreement.
Accordingly, the Fund cound receive less than the repurchase price on the
sale of collateral securities.
C. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS--Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Interest income and expenses are accrued daily. Bond premium and discount
if applicable, are amortized as required by the Internal Revenue Code, as
amended (the "Code").
D. FEDERAL TAXES--It is the Fund's policy to comply with the provisions of the
Code applicable to regulated investment companies and to distribute to
shareholders each year substantially all of its taxable income.
Accordingly, no provisions for federal tax are necessary.
At December 31, 1993 the Fund, for federal tax purposes, had a capital loss
carryforward of $2,089,978 which will reduce the Fund's taxable income
arising from future net realized gain on investments, if any, to the extent
permitted by the Code, and thus will reduce the amount of the distributions
to shareholders which would otherwise be necessary to relieve the Fund of
any liability for federal tax. Pursuant to the Code, such capital loss
carryforward will expire in 2001.
E. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Fund may engage in
when-issued or delayed delivery transactions. A Fund records when-issued
securities on the trade date and maintains security positions such that
sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked to market daily and begin earning interest on the
settlement date.
F. DEFERRED EXPENSES--The costs incurred by the Fund with respect to
registration of its shares in its first fiscal year, excluding the initial
expense of registering the shares, have been deferred and are being
amortized using the straight-line method over a period of five years from
the Fund's commencement date.
G. OTHER--Investment transactions are accounted for on the trade date.
(3) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value) for each
class of shares. Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1994* 1993**
<CAPTION>
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
INVESTMENT SHARES
- --------------------------------------------------
Shares sold 1,043,213 $ 11,238,167 11,146,082 $ 113,880,236
- --------------------------------------------------
Shares issued to shareholders in payment of
dividends declared 10,063 105,166 19,788 214,740
- --------------------------------------------------
Shares redeemed (8,234,235) (89,434,863) (989,892) (10,413,317)
- -------------------------------------------------- ------------ --------------- ------------- ---------------
Net change resulting from Investment Shares
transactions (7,180,959) ($78,091,530) 10,175,978 $ 103,681,659
- -------------------------------------------------- ------------ --------------- ------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1994***
<S> <C> <C>
SHARES AMOUNT
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------
Shares sold 8,851,101 $ 96,074,825
- ------------------------------------------------------------------------------------
Shares issued to shareholders in payment of dividends declared 154 1,562
- ------------------------------------------------------------------------------------
Shares redeemed (553,593) (5,926,944)
- ------------------------------------------------------------------------------------ ----------- --------------
Net change resulting from Institutional Shares transactions 8,297,662 90,149,443
- ------------------------------------------------------------------------------------ ----------- --------------
Total net change resulting from Fund Share transactions 1,116,703 $ 12,057,913
- ------------------------------------------------------------------------------------ ----------- --------------
</TABLE>
*Six months ended June 30, 1994.
**For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
***For the period from January 1, 1994 (effective date) to June 30, 1994.
(4) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE-- BayBanks Investment Management, Inc., the Fund's
investment adviser (the "Adviser"), receives for its services an annual
investment advisory fee equal to .70 of 1% of the Fund's average daily net
assets. The Adviser may voluntarily choose to waive a portion of its fee. The
adviser can modify this voluntary waiver at any time at its sole discretion.
ADMINISTRATIVE FEE-- Federated Administrative Services ("FAS") provides the
Trust with certain administrative personnel and services. The FAS fee is based
on the level of average aggregate net assets of the Fund for the period. FAS may
voluntarily choose to waive a portion of its fee.
SHAREHOLDER SERVICES PLAN-- Under the terms of a Shareholder Services Agreement
with BayBank Systems, Inc., the Fund will pay BayBank Systems, Inc. up to .25 of
1% of average net assets of the Investment Shares for the period. The fee is to
obtain certain personal services for shareholders and the maintenance of
shareholder accounts.
PORTFOLIO ACCOUNTING FEES-- Federated Services Company maintains the Funds
accounting records. The fee is based on the level of the Fund's average net
assets for the period plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES-- Organizational expenses ($48,533) were initially borne
by FAS. The Fund has agreed to reimburse FAS for the organizational expenses
during the five year period following January 19, 1993 (date the Trust's
portfolio first became effective). For the six months ended June 30, 1994, the
Fund paid $3,467 pursuant to this agreement.
Certain of the Officers and Trustees of the Trust are Officers and Directors or
Trustees of the above companies.
(5) INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 1994, were as follows:
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------------------------
PURCHASES $ 74,693,691
- -------------------------------------------------------------------------------------------------- --------------
SALES $ 65,188,095
- -------------------------------------------------------------------------------------------------- --------------
</TABLE>
TRUSTEES OFFICERS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Kenneth G. Condon Glen R. Johnson
Robert W. Eisenmenger President and Treasurer
Sara L. Johnson Craig P. Churman
Ernest R. May Vice President and Assistant Treasurer
Alvin J. Silk Peter J. Germain
Secretary
Victor R. Siclari
Assistant Secretary
</TABLE>
The shares offered by BayFunds are not deposits or obligations of any bank, are
not endorsed or guaranteed by any bank, and are not obligations of, guaranteed
by, or insured by the U.S. government, the Federal Deposit Insurance
Corporation, the Federal Reserve Board, or any other government agency.
Investment in these shares involves risk, including the possible loss of
principal.
This report is authorized for distribution to prospective investors only when
preceded
or accompanied by the Fund's prospectus which contains facts concerning its
investment
objective and policies, management fees and other information.
BAYFUNDS
INCOME
PORTFOLIOS
SHORT TERM YIELD PORTFOLIO
BOND PORTFOLIO
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
JUNE 30, 1994
(PORTFOLIOS OF BAYFUNDS)
BayBanks Investment Management, Inc.
- -----------------------------------
Investment Adviser
FEDERATED SECURITIES CORP.
- -----------------------------------
Distributors
A subsidiary of FEDERATED INVESTORS
Z00323 3061818 (8/94)
PRESIDENT'S MESSAGE
- --------------------------------------------------------------------------------
Dear Shareholder:
The first half of 1994 was a somewhat difficult period for world financial
markets, with most mutual funds investing in U.S. stocks or bonds experiencing
declines. The volatile conditions in the United States were caused in part by
unsustainably strong economic activity, the Federal Reserve Board's four upward
adjustments (so far) in short-term interest rates, and the decline in the value
of the U.S. dollar. We believe that the key to performance for the markets going
forward is a moderation of the economy's growth to a more enduring pace in the
2%-3% range.
My message to you is straightforward--stick with your long-term investment plan
and look beyond short-term market fluctuations which naturally occur. To help
you make the most from your investment strategy, I urge you to consider these
key principles of long-term investing:
Maintain a long-term perspective.
Historically, markets have recovered from the inevitable short-term reversals.
Over the past 60 years, the stock market (as measured by the Standard & Poor's
500 Index) has experienced many fluctuations, and it has recovered every time.
As recently as 1987, the market suddenly dropped 34%, but reached a new high
within 21 months. While past performance is not necessarily an indicator of
future results, consider the market correction we are experiencing this year as
a short-term event in the long-run performance of financial markets.
Manage your risk by diversifying your investments.
When you buy mutual funds, you automatically diversify your investment because a
mutual fund holds many different securities. Plus, you significantly reduce your
risk as compared to investing in only a few securities. For example, if one
security in a fund should perform below expectations, other securities in the
fund can help stabilize performance. You can increase your diversification (and
lower your risk) even more by maintaining a portfolio of stock, bond and money
market mutual fund investments through the BayFunds.
Follow a regular investment plan.
When you invest a fixed amount every week or month, you take advantage of a
proven investment strategy known as dollar-cost averaging. This strategy helps
you maintain the discipline to purchase shares regularly, and eliminates the
guesswork of trying to figure out the right time to invest. With dollar-cost
averaging, you buy fewer shares in a rising market and more shares when prices
are down. Of course, no investment strategy can guarantee a profit or protect
against loss in changing markets. But, by purchasing shares in both up and down
markets, dollar-cost averaging may help you lower the average cost of your
mutual fund purchases.
I encourage you to contact your Investment Specialist or Account Officer if you
have any questions about the course of action that is most appropriate to help
you reach your long-term investment goal.
Sincerely,
John J. Arena
President,
BayBanks Investment Management, Inc.
Investment Adviser to BayFunds Short Term Yield Portfolio and BayFunds Bond
Portfolio
August 1, 1994
BAYFUNDS SHORT TERM YIELD PORTFOLIO
INVESTMENT REVIEW
- --------------------------------------------------------------------------------
Q Why were bond market conditions so unsettled?
A The first half of 1994 was an extremely volatile period for the bond
market. The Federal Reserve Board (the "Fed") began a major change in
monetary policy by raising the federal funds rate for the first time on
February 4th. Although the Fed only tightened gradually at first, the bond
market reacted violently, with plummeting prices and serious bouts of
illiquidity. Fixed income markets have not been subject to such volatility since
the early 1980s, nor to such downward price movement since 1979.
Q What was the impact of the Fed's actions on the BayFunds Short Term Yield
Portfolio?
A The Fed's policy of raising the federal funds rate four times, moving it
from 3.0% to 4.25%, was the primary cause for the unfavorable market
action. Furthermore, this 125 basis point rise in very short-term rates led
to an even more pronounced rise of nearly 200 basis points in securities with
maturities of one to three years--the maturity range in which the Portfolio is
normally positioned. The result was that the prices on the securities in the
Portfolio declined, and the Portfolio's per share price slipped.
Q What is the Portfolio's current strategy?
A The Short Term Yield Portfolio is maintaining a defensive strategy.
Approximately 20% of the Portfolio is in cash equivalents and the duration
remains relatively short at 1.3 years. Until we feel confident that the
interest rate climate has stabilized, the Portfolio will be managed to minimize
volatility.
Q Where are you looking for opportunity in the months ahead?
A Caution will guide the Portfolio's strategy in the months ahead. We expect
to add to the Portfolio's U.S. Treasury and U.S. government agency
positions.
BAYFUNDS BOND PORTFOLIO
INVESTMENT REVIEW
- --------------------------------------------------------------------------------
Q What happened in the bond market?
A Volatility in the bond market has been intense throughout the first half of
the year. There appears to be a host of confusing and misleading signals
coming from the economy, which has created a market that moves in
unpredictable ways. It may take some time for prices to recover, because bond
prices were severely impacted by the Federal Reserve Board's (the "Fed") upward
adjustments in interest rates earlier this year. Prices have not been this
volatile since the early 1980s, when interest rates rose to 17% as stock and
bond prices plunged. This is the first time since 1979 that the bond market has
seen three consecutive quarters of negative results.
Q How did the BayFunds Bond Portfolio perform?
A For the six-month period ended June 30, 1994, the Portfolio's total return
was -2.9%/-3.0%*. But to provide some perspective, the Portfolio ranked
very competitively against other intermediate investment grade debt funds
in the Lipper Analytical Services universe. Out of 124 funds managed in a
similar fashion, the BayFunds Bond Portfolio ranked 19th and 22nd
(institutional/investment), a strong showing under very difficult bond market
conditions.
Q In light of the Fed's actions over the past six months, did you change your
strategy?
A Early this year we adopted a defensive posture for the Portfolio,
shortening the maturity and duration, and putting further emphasis on
liquidity and quality. We expect volatility to continue during the third
quarter, and do not foresee a significant rally until there is concrete evidence
of a slowdown in economic activity.
Q Where are you looking for opportunity in the months ahead?
A While our longer-term outlook for bonds is favorable, we remain cautious
over the short run, and continue to stress quality and liquidity. Hence, we
would look to increasing the Portfolio's positions in selected corporate
issues, as well as in U.S. Treasury and U.S. government agency obligations.
* Rates are quoted institutional class/investment class. Performance quoted
represents past performance. Investment return and principal value will
fluctuate, so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
BAYFUNDS SHORT TERM YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
ASSET-BACKED SECURITIES--9.1%
- ------------------------------------------------------------------------------------------------
$ 509,591 Ford Credit Grantor Trust, Series 1993A, Class A, 4.85%, 1/15/98 $ 503,379
--------------------------------------------------------------------------------
4,832,323 Ford Credit Grantor Trust, Series 1994A, Class A, 6.35%, 5/17/99 4,852,329
--------------------------------------------------------------------------------
49,951 GMAC 1992 Grantor Trust, Series 1992G, Class A, 4.30%, 11/15/94 49,935
--------------------------------------------------------------------------------
968,914 GMAC 1993 Grantor Trust, Series 1993B, Class A, 4.00%, 9/15/98 947,714
--------------------------------------------------------------------------------
2,500,000 NationsBank Credit Card Master Trust, Series 1993-1, Class A,
4.75%, 9/15/98 2,392,950
--------------------------------------------------------------------------------
688,441 Nissan Auto Receivables Grantor Trust, Series 1992B,
4.30%, 9/15/97 680,909
--------------------------------------------------------------------------------
897,801 Premier Auto Trust, Series 1992-3, Class A, 5.90%, 11/17/97 895,835
--------------------------------------------------------------------------------
767,699 Premier Auto Trust, Series 1992-4, Class A, 5.05%, 1/15/98 759,538
--------------------------------------------------------------------------------
1,000,000 Standard Credit Card Master Trust, Series 1991/2, Class A,
7.875%, 9/7/95 1,000,000
-------------------------------------------------------------------------------- ---------------
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $12,250,582) 12,082,589
-------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--40.6%
- ------------------------------------------------------------------------------------------------
CONTAINER/PACKAGING--1.9%
--------------------------------------------------------------------------------
2,580,000 Waste Management Inc., 4.625%, 4/14/96 2,486,398
-------------------------------------------------------------------------------- ---------------
DIVERSIFIED--2.2%
--------------------------------------------------------------------------------
3,000,000 General Electric Capital Corp., 6.125%, 4/15/97 2,950,710
-------------------------------------------------------------------------------- ---------------
DOMESTIC BANK--8.3%
--------------------------------------------------------------------------------
5,000,000 First Union Corp., 4.375%*, 7/22/2003 5,006,200
--------------------------------------------------------------------------------
3,000,000 Republic National Bank of New York, 4.30%, 3/8/95 2,976,750
--------------------------------------------------------------------------------
3,000,000 Republic National Bank of New York, 5.00%*, 10/28/2002 2,998,470
-------------------------------------------------------------------------------- ---------------
Total 10,981,420
-------------------------------------------------------------------------------- ---------------
FINANCE AUTOMOTIVE--3.0%
--------------------------------------------------------------------------------
1,000,000 Ford Motor Credit Corp., 5.2625%*, 6/19/96 996,250
--------------------------------------------------------------------------------
</TABLE>
BAYFUNDS SHORT TERM YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--CONTINUED
- ------------------------------------------------------------------------------------------------
FINANCE AUTOMOTIVE--CONTINUED
--------------------------------------------------------------------------------
$ 3,000,000 Ford Motor Credit Corp., 4.85%, 5/13/96 $ 2,910,510
-------------------------------------------------------------------------------- ---------------
Total 3,906,760
-------------------------------------------------------------------------------- ---------------
FINANCE COMMERCIAL--9.5%
--------------------------------------------------------------------------------
1,500,000 Associates Corp. of NA, 4.75%, 8/1/96 1,444,320
--------------------------------------------------------------------------------
2,385,000 Associates Corp. of NA, 4.625%, 11/30/96 2,267,610
--------------------------------------------------------------------------------
4,735,469 CIT Group Holdings, Inc., 5.956%*, 6/25/97 4,735,468
--------------------------------------------------------------------------------
2,070,000 ITT Financial Corp., 5.00%, 8/15/95 2,043,608
--------------------------------------------------------------------------------
600,000 U.S. West Financial Services, Inc., 4.50%, 3/15/95 595,494
--------------------------------------------------------------------------------
1,500,000 U.S. West Financial Services, Inc., 4.75%, 8/11/94 1,499,805
-------------------------------------------------------------------------------- ---------------
Total 12,586,305
-------------------------------------------------------------------------------- ---------------
FINANCIAL SERVICES--12.3%
--------------------------------------------------------------------------------
3,000,000 Bear, Stearns & Co., Inc., 5.95%*, 3/9/99 2,990,640
--------------------------------------------------------------------------------
3,000,000 Goldman Sachs Group, 5.375%*, 5/21/2003 2,970,000
--------------------------------------------------------------------------------
5,000,000 Merrill Lynch & Co., Inc., 5.25%*, 5/19/2003 4,962,500
--------------------------------------------------------------------------------
2,000,000 Salomon Inc., 5.277%*, 4/5/99 2,000,000
--------------------------------------------------------------------------------
3,500,000 Salomon Inc., 5.20%, 10/15/2000 3,376,100
-------------------------------------------------------------------------------- ---------------
Total 16,299,240
-------------------------------------------------------------------------------- ---------------
FOOD & BEVERAGE--1.5%
--------------------------------------------------------------------------------
1,000,000 Coca-Cola Enterprises, Inc., 8.20%, 7/18/94 1,000,920
--------------------------------------------------------------------------------
1,000,000 PepsiCo, Inc., 5.875%, 12/15/94 1,003,450
-------------------------------------------------------------------------------- ---------------
Total 2,004,370
-------------------------------------------------------------------------------- ---------------
OIL/OIL FINANCE--0.8%
--------------------------------------------------------------------------------
1,000,000 Exxon Capital Corp., 8.25%, 10/15/94 1,008,260
-------------------------------------------------------------------------------- ---------------
UTILITIES-GAS--1.1%
--------------------------------------------------------------------------------
1,500,000 Washington Gas Light Co., 7.01%, 9/26/94 1,506,315
-------------------------------------------------------------------------------- ---------------
TOTAL CORPORATE BONDS (IDENTIFIED COST $54,505,466) 53,729,778
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS SHORT TERM YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
U.S. GOVERNMENT AGENCIES--6.8%
- ------------------------------------------------------------------------------------------------
$ 6,000,000 Federal Home Loan Bank, 4.60%-8.05%, 12/26/94-3/1/99 $ 6,014,910
--------------------------------------------------------------------------------
2,000,000 Federal National Mortgage Association, 5.32%, 7/1/98 2,000,000
--------------------------------------------------------------------------------
1,000,000 Student Loan Marketing Association, 7.65%, 12/21/94 1,011,870
-------------------------------------------------------------------------------- ---------------
TOTAL U.S. GOVERNMENT AGENCIES (IDENTIFIED COST $9,276,790) 9,026,780
-------------------------------------------------------------------------------- ---------------
U.S. TREASURY OBLIGATIONS--21.6%
- ------------------------------------------------------------------------------------------------
15,000,000 U.S. Treasury Bills, 8/18/94-5/4/94 14,668,150
--------------------------------------------------------------------------------
14,000,000 U.S. Treasury Notes, 4.25%-7.75%, 11/15/94-6/30/96 13,910,655
-------------------------------------------------------------------------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (IDENTIFIED COST $28,727,087) 28,578,805
-------------------------------------------------------------------------------- ---------------
**REPURCHASE AGREEMENT--19.4%
- ------------------------------------------------------------------------------------------------
25,730,000 Aubrey G. Lanston & Co, Inc., 4.25%, dated 6/30/94, due 7/1/94
(AT AMORTIZED COST) (NOTE 2B) 25,730,000
-------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS AT IDENTIFIED COST ($130,489,925) $ 129,147,952+
-------------------------------------------------------------------------------- ---------------
</TABLE>
* Denotes variable rate and floating rate obligations for which the current
yield is shown.
** Repurchase agreement is fully collateralized by U.S. government and/or agency
obligations based on market prices at the date of the portfolio.
+ The cost of investments for federal tax purposes amounts to $130,489,925. The
net unrealized depreciation of investments on a federal tax basis amounts to
$1,341,973, which is comprised of $44,983 appreciation and $1,386,956
depreciation at June 30, 1994.
Note: The categories of investments are shown as a percentage of net assets
($132,306,924) at June 30, 1994.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS SHORT TERM YIELD PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
- ------------------------------------------------------------------------------------------------
Investments in repurchase agreements (Note 2B) $ 25,730,000
- -------------------------------------------------------------------------------
Investments in securities (Note 2A) 103,417,952
- ------------------------------------------------------------------------------- ---------------
Total investments, at value
(identified and tax cost; $130,489,925) $ 129,147,952
- ------------------------------------------------------------------------------------------------
Receivable for investments sold 2,749,783
- ------------------------------------------------------------------------------------------------
Interest receivable 845,467
- ------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 20,572
- ------------------------------------------------------------------------------------------------
Deferred expenses (Note 2F) 65,474
- ------------------------------------------------------------------------------------------------ ---------------
Total assets 132,829,248
- ------------------------------------------------------------------------------------------------
LIABILITIES:
- ------------------------------------------------------------------------------------------------
Dividends payable 312,315
- -------------------------------------------------------------------------------
Payable for Fund shares redeemed 158,832
- -------------------------------------------------------------------------------
Accrued expenses 51,177
- ------------------------------------------------------------------------------- ---------------
Total liabilities 522,324
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSETS for 14,060,608 shares of beneficial interest outstanding $ 132,306,924
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSETS CONSIST OF:
- ------------------------------------------------------------------------------------------------
Paid-in-capital $ 141,597,689
- ------------------------------------------------------------------------------------------------
Net unrealized depreciation of investments (1,341,973)
- ------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (7,948,792)
- ------------------------------------------------------------------------------------------------ ---------------
Total Net Assets $ 132,306,924
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSET VALUE, Offering Price, and Redemption Proceeds per Share:
- ------------------------------------------------------------------------------------------------
Investment Shares ($54,019,740 / 5,740,850 shares of beneficial interest outstanding)
$9.41
- ------------------------------------------------------------------------------------------------ ---------------
Institutional Shares ($78,287,184 / 8,319,758 shares of beneficial interest outstanding)
$9.41
- ------------------------------------------------------------------------------------------------ ---------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS SHORT TERM YIELD PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
- --------------------------------------------------------------------------------------------------
Interest income (Note 2C) $ 4,120,741
- --------------------------------------------------------------------------------------------------
EXPENSES--
- --------------------------------------------------------------------------------------------------
Investment advisory fee* $ 392,669
- -------------------------------------------------------------------------------------
Trustees' fees 3,092
- -------------------------------------------------------------------------------------
Administrative personnel and services fees* 83,648
- -------------------------------------------------------------------------------------
Transfer and dividend disbursing agent fees and expenses 30,492
- -------------------------------------------------------------------------------------
Custodian fees 8,458
- -------------------------------------------------------------------------------------
Portfolio accounting fees* 27,731
- -------------------------------------------------------------------------------------
Auditing fees 6,518
- -------------------------------------------------------------------------------------
Fund share registration costs 19,119
- -------------------------------------------------------------------------------------
Shareholder services fee* 84,432
- -------------------------------------------------------------------------------------
Legal fees 6,428
- -------------------------------------------------------------------------------------
Printing and postage 15,906
- -------------------------------------------------------------------------------------
Insurance premiums 3,694
- -------------------------------------------------------------------------------------
Miscellaneous 4,398
- ------------------------------------------------------------------------------------- -----------
Total expenses 686,585
- -------------------------------------------------------------------------------------------------- -------------
Net investment income 3,434,156
- --------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS:
- --------------------------------------------------------------------------------------------------
Net realized loss on investment transactions (identified cost basis) (7,873,371)
- --------------------------------------------------------------------------------------------------
Net change in unrealized depreciation of investments (71,460)
- -------------------------------------------------------------------------------------------------- -------------
Net realized and unrealized loss on investments (7,944,831)
- -------------------------------------------------------------------------------------------------- -------------
Change in net assets resulting from operations ($ 4,510,675)
- -------------------------------------------------------------------------------------------------- -------------
</TABLE>
*See Note 4.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS SHORT TERM YIELD PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
<S> <C> <C>
1994* 1993**
- ------------------------------------------------------------------------------ ---------------- ---------------
INCREASE (DECREASE) IN NET ASSETS:
- ------------------------------------------------------------------------------
OPERATIONS--
- ------------------------------------------------------------------------------
Net investment income $ 3,434,156 $ 6,672,689
- ------------------------------------------------------------------------------
Net realized loss on investment transactions ($7,873,371 and $70,866 net
losses, respectively, as computed for federal tax purposes) (Note 2D) (7,873,371) (75,421)
- ------------------------------------------------------------------------------
Net change in unrealized depreciation of investments (71,460) (1,270,513)
- ------------------------------------------------------------------------------ ---------------- ---------------
Change in net assets resulting from operations (4,510,675) 5,326,755
- ------------------------------------------------------------------------------ ---------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2C)--
- ------------------------------------------------------------------------------
Dividends to shareholders from net investment income:
- ------------------------------------------------------------------------------
Investment Shares (1,509,427) (6,672,689)
- ------------------------------------------------------------------------------
Institutional Shares (1,924,729) --
- ------------------------------------------------------------------------------ ---------------- ---------------
Change in net assets from distributions to shareholders (3,434,156) (6,672,689)
- ------------------------------------------------------------------------------ ---------------- ---------------
FUND SHARE (PRINCIPAL) TRANSACTIONS (NOTE 3)--
- ------------------------------------------------------------------------------
Proceeds from sale of shares 119,334,412 218,527,684
- ------------------------------------------------------------------------------
Net asset value of shares issued to shareholders in
payment of dividends declared 1,300,419 1,608,290
- ------------------------------------------------------------------------------
Cost of shares redeemed (153,683,880) (45,489,236)
- ------------------------------------------------------------------------------ ---------------- ---------------
Change in net assets from Fund share transactions (33,049,049) 174,646,738
- ------------------------------------------------------------------------------ ---------------- ---------------
Change in net assets (40,993,880) 173,300,804
- ------------------------------------------------------------------------------
NET ASSETS:
- ------------------------------------------------------------------------------
Beginning of period 173,300,804 --
- ------------------------------------------------------------------------------ ---------------- ---------------
End of period $ 132,306,924 $ 173,300,804
- ------------------------------------------------------------------------------ ---------------- ---------------
</TABLE>
* Six months ended June 30, 1994 (unaudited).
** For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS SHORT TERM YIELD PORTFOLIO
FINANCIAL HIGHLIGHTS--INVESTMENT SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
<S> <C> <C>
1994* 1993**
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.91 $ 10.00
- -----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- -----------------------------------------------------------------------------------------
Net investment income 0.20 0.48
- -----------------------------------------------------------------------------------------
Net realized and unrealized loss on investments (0.50) (0.09)
- ----------------------------------------------------------------------------------------- ----------- -----------
Total from investment operations (0.30) 0.39
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- -----------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.20) (0.48)
- ----------------------------------------------------------------------------------------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 9.41 $ 9.91
- ----------------------------------------------------------------------------------------- ----------- -----------
TOTAL RETURN*** (3.03%) 3.96%
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- -----------------------------------------------------------------------------------------
Expenses 1.00%(a) 0.60%(a)
- -----------------------------------------------------------------------------------------
Net investment income 4.24%(a) 5.19%(a)
- -----------------------------------------------------------------------------------------
Expense waiver/reimbursement (b) -- 0.16%(a)
- -----------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $54,020 $173,301
- -----------------------------------------------------------------------------------------
Portfolio turnover rate 48% 98%
- -----------------------------------------------------------------------------------------
</TABLE>
* Six months ended June 30, 1994 (unaudited).
** Reflects operations for the period from January 29, 1993 (date of initial
public investment) to December 31, 1993.
*** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS SHORT TERM YIELD PORTFOLIO
FINANCIAL HIGHLIGHTS--INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
1994*
<S> <C>
- ------------------------------------------------------------------------------------------------ -----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.91
- ------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- ------------------------------------------------------------------------------------------------
Net investment income 0.21
- ------------------------------------------------------------------------------------------------
Net realized and unrealized loss on investments (0.50)
- ------------------------------------------------------------------------------------------------ -----------------
Total from investment operations (0.29)
- ------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.21)
- ------------------------------------------------------------------------------------------------ -----------------
NET ASSET VALUE, END OF PERIOD $ 9.41
- ------------------------------------------------------------------------------------------------ -----------------
TOTAL RETURN** (2.91%)
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- ------------------------------------------------------------------------------------------------
Expenses 0.77%(a)
- ------------------------------------------------------------------------------------------------
Net investment income 4.47%(a)
- ------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $78,287
- ------------------------------------------------------------------------------------------------
Portfolio turnover rate 48%
- ------------------------------------------------------------------------------------------------
</TABLE>
* Reflects operations for the period from January 1, 1994 (effective date) to
June 30, 1994 (unaudited).
** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- ------------- ----------------------------------------------------------------------------------- --------------
ASSET-BACKED SECURITIES--7.7%
- --------------------------------------------------------------------------------------------------
$ 1,000,000 First Deposit Master Trust, 5.75%, 6/15/2001 $ 953,120
-----------------------------------------------------------------------------------
332,655 Merrill Lynch Asset-Backed Corp., 5.125%, 7/15/98 329,119
-----------------------------------------------------------------------------------
1,000,000 NationsBank Credit Card Master Trust, 4.75%, 9/15/98 957,180
-----------------------------------------------------------------------------------
1,000,000 Premier Auto Trust, 4.75%, 2/2/2000 952,180
-----------------------------------------------------------------------------------
116,737 Shawmut National Auto Receivable, 5.55%, 11/15/97 116,300
-----------------------------------------------------------------------------------
1,500,000 Standard Credit Card Master Trust, 5.50%-7.25%, 2/7/2000-3/7/2008 1,402,020
-----------------------------------------------------------------------------------
300,000 Standard Credit Card Master Trust, 9.00%, 3/10/95 306,000
-----------------------------------------------------------------------------------
265,350 Volvo Auto Receivables Grantor Trust, 5.45%, 12/15/98 263,524
----------------------------------------------------------------------------------- --------------
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $5,536,211) 5,279,443
----------------------------------------------------------------------------------- --------------
CORPORATE BONDS--21.7%
- --------------------------------------------------------------------------------------------------
BANKING--6.1%
-----------------------------------------------------------------------------------
1,250,000 Bank One Milwaukee N.A., 6.625%, 4/15/2003 1,143,975
-----------------------------------------------------------------------------------
500,000 Bank of Montreal, 6.10%, 9/15/2005 431,355
-----------------------------------------------------------------------------------
500,000 Mellon Financial Co., 6.50%, 12/1/97 489,315
-----------------------------------------------------------------------------------
1,000,000 NationsBank Corp., 6.625%-6.875%, 1/15/98-2/15/2005 948,060
-----------------------------------------------------------------------------------
1,000,000 Norwest Corp., 6.00%, 3/15/2000 931,970
-----------------------------------------------------------------------------------
200,000 Royal Bank of Scotland Capital Group, 10.125%, 3/1/2004 225,612
----------------------------------------------------------------------------------- --------------
Total 4,170,287
----------------------------------------------------------------------------------- --------------
CHEMICAL--1.3%
-----------------------------------------------------------------------------------
500,000 Dow Chemical Co., 9.35%, 3/15/2002 535,140
-----------------------------------------------------------------------------------
300,000 Rohm & Haas, 9.80%, 4/15/2020 343,314
----------------------------------------------------------------------------------- --------------
Total 878,454
----------------------------------------------------------------------------------- --------------
DIVERSIFIED--0.2%
-----------------------------------------------------------------------------------
100,000 Philip Morris Cos., Inc., 8.25%, 4/10/95 101,781
----------------------------------------------------------------------------------- --------------
</TABLE>
BAYFUNDS BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- ------------- ----------------------------------------------------------------------------------- --------------
CORPORATE BONDS--CONTINUED
- --------------------------------------------------------------------------------------------------
FINANCE CONSUMER--0.4%
-----------------------------------------------------------------------------------
$ 300,000 American General Finance Corp., 7.15%, 5/15/97 $ 300,999
----------------------------------------------------------------------------------- --------------
FINANCIAL SERVICES--1.4%
-----------------------------------------------------------------------------------
1,000,000 Salomon Inc., MTN, 5.26%, 2/10/99 980,200
----------------------------------------------------------------------------------- --------------
FOOD & BEVERAGE--2.6%
-----------------------------------------------------------------------------------
500,000 Coca-Cola Enterprises, Inc., 7.875%, 2/1/2002 502,005
-----------------------------------------------------------------------------------
300,000 Grand Metropolitan Investment, PLC, 9.00%, 8/15/2011 318,183
-----------------------------------------------------------------------------------
2,000,000 Grand Metropolitan Investment, 0%, 1/6/2004 952,700
----------------------------------------------------------------------------------- --------------
Total 1,772,888
----------------------------------------------------------------------------------- --------------
INSURANCE--4.1%
-----------------------------------------------------------------------------------
1,000,000 Allstate Corp., 6.75%, 6/15/2003 910,150
-----------------------------------------------------------------------------------
1,000,000 Enhance Financial Services Group, Inc., 6.75%, 3/1/2003 918,860
-----------------------------------------------------------------------------------
1,000,000 MBIA, Inc., 8.20%, 10/1/2022 959,600
----------------------------------------------------------------------------------- --------------
Total 2,788,610
----------------------------------------------------------------------------------- --------------
MACHINERY, EQUIPMENT & AUTO--1.4%
-----------------------------------------------------------------------------------
500,000 Ford Motor Co., 7.50%, 11/15/99 496,580
-----------------------------------------------------------------------------------
500,000 Ingersoll-Rand Co., 6.875%, 2/1/2003 468,295
----------------------------------------------------------------------------------- --------------
Total 964,875
----------------------------------------------------------------------------------- --------------
OIL/OIL FINANCE--0.7%
-----------------------------------------------------------------------------------
500,000 Texaco Capital, Inc., 6.875%, 7/15/99 487,780
----------------------------------------------------------------------------------- --------------
UTILITIES--0.9%
-----------------------------------------------------------------------------------
300,000 Ontario Hydro, 9.25%, 5/1/95 308,004
-----------------------------------------------------------------------------------
300,000 Rural Electric Cooperative Grantor Trust CTF, 10.11%, 12/15/2017 338,325
----------------------------------------------------------------------------------- --------------
Total 646,329
----------------------------------------------------------------------------------- --------------
TRANSPORTATION--2.6%
-----------------------------------------------------------------------------------
1,000,000 Ryder System, Inc., 8.375%, 2/15/2017 961,800
-----------------------------------------------------------------------------------
</TABLE>
BAYFUNDS BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- ------------- ----------------------------------------------------------------------------------- --------------
CORPORATE BONDS--CONTINUED
- --------------------------------------------------------------------------------------------------
TRANSPORTATION--CONTINUED
-----------------------------------------------------------------------------------
$ 1,000,000 Southwest Airlines Co., 6.26%, 9/24/2012 $ 813,090
----------------------------------------------------------------------------------- --------------
Total 1,774,890
----------------------------------------------------------------------------------- --------------
TOTAL CORPORATE BONDS (IDENTIFIED COST $16,007,280) 14,867,093
----------------------------------------------------------------------------------- --------------
U.S. GOVERNMENT AGENCIES--9.3%
- --------------------------------------------------------------------------------------------------
3,000,000 Federal Home Loan Mortgage Corp., 7.74%-7.88%,
4/28/2004-6/1/2004 2,936,406
-----------------------------------------------------------------------------------
1,800,000 Federal National Mortgage Association, 4.15%-8.65%,
1/17/97-12/10/99 1,776,246
-----------------------------------------------------------------------------------
596,902 Federal National Mortgage Association, Pass Thru, 10.50%, 5/1/2012 650,139
-----------------------------------------------------------------------------------
1,000,000 Tennessee Valley Authority, MTN, 7.318%, 5/31/99 989,910
----------------------------------------------------------------------------------- --------------
TOTAL U.S. GOVERNMENT AGENCIES (IDENTIFIED COST $6,451,954) 6,352,701
----------------------------------------------------------------------------------- --------------
U.S. TREASURY OBLIGATIONS--58.3%
- --------------------------------------------------------------------------------------------------
15,000,000 U.S. Treasury Bill, 9/8/94 14,883,600
-----------------------------------------------------------------------------------
24,900,000 U.S. Treasury Notes, 5.50%-7.875%, 11/15/94-5/15/2004 24,969,824
----------------------------------------------------------------------------------- --------------
TOTAL U.S. TREASURY OBLIGATIONS (IDENTIFIED COST $40,673,913) 39,853,424
----------------------------------------------------------------------------------- --------------
</TABLE>
BAYFUNDS BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- ------------- ----------------------------------------------------------------------------------- --------------
*REPURCHASE AGREEMENT--1.9%
- --------------------------------------------------------------------------------------------------
$ 1,290,000 Aubrey G. Lanston & Co, Inc., 4.25%, dated 6/30/94, due 7/1/94
(AT AMORTIZED COST) (NOTE 2B) $ 1,290,000
----------------------------------------------------------------------------------- --------------
TOTAL INVESTMENTS (IDENTIFIED COST $69,959,358) $ 67,642,661+
----------------------------------------------------------------------------------- --------------
</TABLE>
* Repurchase agreement is fully collateralized by U.S. government and/or agency
obligations based on market prices at the date of the portfolio.
+ The cost of investments for federal tax purposes amounts to $69,959,358. The
net unrealized depreciation on a federal tax basis amounts to $2,316,697 which
is comprised of $14,082 appreciation and $2,330,779 depreciation at June 30,
1994.
Note: The following abbreviations are used in this portfolio:
CTF--Certificates
MTN--Medium Term Note
Note: The categories of investments are shown as a percentage of net assets
($68,353,622) at June 30, 1994.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
- --------------------------------------------------------------------------------------------------
Investments, at value (Notes 2A and 2B)
(identified and tax cost; $69,959,358) $ 67,642,661
- --------------------------------------------------------------------------------------------------
Cash 16,778
- --------------------------------------------------------------------------------------------------
Interest receivable 607,091
- --------------------------------------------------------------------------------------------------
Receivable for investments sold 431,971
- --------------------------------------------------------------------------------------------------
Deferred expenses (Note 2F) 42,115
- -------------------------------------------------------------------------------------------------- --------------
Total assets 68,740,616
- --------------------------------------------------------------------------------------------------
LIABILITIES:
- --------------------------------------------------------------------------------------------------
Dividends payable $ 275,685
- -------------------------------------------------------------------------------------
Payable for Fund shares redeemed 80,375
- -------------------------------------------------------------------------------------
Accrued expenses 30,934
- ------------------------------------------------------------------------------------- -----------
Total liabilities 386,994
- -------------------------------------------------------------------------------------------------- --------------
NET ASSETS for 7,109,724 shares of beneficial interest outstanding $ 68,353,622
- -------------------------------------------------------------------------------------------------- --------------
NET ASSETS CONSIST OF:
- --------------------------------------------------------------------------------------------------
Paid-in-capital $ 71,460,427
- --------------------------------------------------------------------------------------------------
Net unrealized depreciation of investments (2,316,697)
- --------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments (790,108)
- -------------------------------------------------------------------------------------------------- --------------
Total Net Assets $ 68,353,622
- -------------------------------------------------------------------------------------------------- --------------
NET ASSET VALUE, Offering Price, and Redemption Proceeds per Share:
- --------------------------------------------------------------------------------------------------
Investment Shares ($6,116,826 / 636,242 shares of beneficial interest outstanding) $9.61
- -------------------------------------------------------------------------------------------------- --------------
Institutional Shares ($62,236,796 / 6,473,482 shares of beneficial interest outstanding) $9.61
- -------------------------------------------------------------------------------------------------- --------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS BOND PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
- --------------------------------------------------------------------------------------------------
Interest income (Note 2C) $ 2,089,737
- --------------------------------------------------------------------------------------------------
EXPENSES:
- --------------------------------------------------------------------------------------------------
Investment advisory fee* $ 213,076
- -------------------------------------------------------------------------------------
Trustees' fees 1,457
- -------------------------------------------------------------------------------------
Administrative personnel and services fees* 37,827
- -------------------------------------------------------------------------------------
Transfer and dividend disbursing agent fees and expenses 11,692
- -------------------------------------------------------------------------------------
Custodian fees 3,874
- -------------------------------------------------------------------------------------
Portfolio accounting fees* 25,334
- -------------------------------------------------------------------------------------
Auditing fees 6,049
- -------------------------------------------------------------------------------------
Fund share registration costs 15,152
- -------------------------------------------------------------------------------------
Shareholder services fee* 8,095
- -------------------------------------------------------------------------------------
Legal fees 3,226
- -------------------------------------------------------------------------------------
Printing and postage 11,221
- -------------------------------------------------------------------------------------
Insurance premiums 1,765
- -------------------------------------------------------------------------------------
Miscellaneous 3,457
- ------------------------------------------------------------------------------------- -----------
Total expenses 342,225
- -------------------------------------------------------------------------------------------------- -------------
Net investment income 1,747,512
- --------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS:
- --------------------------------------------------------------------------------------------------
Net realized loss on investment transactions (identified cost basis) (790,157)
- --------------------------------------------------------------------------------------------------
Net change in unrealized depreciation of investments (2,973,756)
- -------------------------------------------------------------------------------------------------- -------------
Net realized and unrealized loss on investments (3,763,913)
- -------------------------------------------------------------------------------------------------- -------------
Change in net assets resulting from operations ($2,016,401)
- -------------------------------------------------------------------------------------------------- -------------
</TABLE>
*See Note 4.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
<S> <C> <C>
1994* 1993**
- --------------------------------------------------------------------------------- --------------- --------------
INCREASE (DECREASE) IN NET ASSETS:
- ---------------------------------------------------------------------------------
OPERATIONS--
- ---------------------------------------------------------------------------------
Net investment income $ 1,747,512 $ 3,821,708
- ---------------------------------------------------------------------------------
Net realized gain (loss) on investment transactions
($790,157 net loss and $742,614 net gain, respectively, as computed for federal
tax purposes) (Note 2D) (790,157) 742,614
- ---------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) of investments (2,973,756) 657,059
- --------------------------------------------------------------------------------- --------------- --------------
Change in net assets resulting from operations (2,016,401) 5,221,381
- --------------------------------------------------------------------------------- --------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2C)--
- ---------------------------------------------------------------------------------
Dividends to shareholders from net investment income:
- ---------------------------------------------------------------------------------
Investment Shares (184,989) (3,821,708)
- ---------------------------------------------------------------------------------
Institutional Shares (1,562,523) --
- ---------------------------------------------------------------------------------
Distributions to shareholders from net realized gain on investment transactions:
- ---------------------------------------------------------------------------------
Investment Shares -- (742,565)
- --------------------------------------------------------------------------------- --------------- --------------
Change in net assets from distributions to shareholders (1,747,512) (4,564,273)
- --------------------------------------------------------------------------------- --------------- --------------
FUND SHARE (PRINCIPAL) TRANSACTIONS (NOTE 3)--
- ---------------------------------------------------------------------------------
Proceeds from sale of shares 76,007,977 84,401,252
- ---------------------------------------------------------------------------------
Net asset value of shares issued to shareholders in
payment of dividends declared 139,975 180,690
- ---------------------------------------------------------------------------------
Cost of shares redeemed (82,109,959) (7,159,508)
- --------------------------------------------------------------------------------- --------------- --------------
Change in net assets from Fund share transactions (5,962,007) 77,422,434
- --------------------------------------------------------------------------------- --------------- --------------
Change in net assets (9,725,920) 78,079,542
- ---------------------------------------------------------------------------------
NET ASSETS:
- ---------------------------------------------------------------------------------
Beginning of period 78,079,542 --
- --------------------------------------------------------------------------------- --------------- --------------
End of period $ 68,353,622 $ 78,079,542
- --------------------------------------------------------------------------------- --------------- --------------
</TABLE>
* Six months ended June 30, 1994 (unaudited).
** For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS BOND PORTFOLIO
FINANCIAL HIGHLIGHTS--INVESTMENT SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
<S> <C> <C>
1994* 1993**
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.14 $ 10.00
- -----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- -----------------------------------------------------------------------------------------
Net investment income 0.23 0.55
- -----------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments (0.53) 0.24
- ----------------------------------------------------------------------------------------- --------- -----------
Total from investment operations (0.30) 0.79
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- -----------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.23) (0.55)
- -----------------------------------------------------------------------------------------
Distributions to shareholders from net realized gain on investment transactions -- (0.10)
- ----------------------------------------------------------------------------------------- --------- -----------
Total distributions (0.23) (0.65)
- ----------------------------------------------------------------------------------------- --------- -----------
NET ASSET VALUE, END OF PERIOD $ 9.61 $ 10.14
- ----------------------------------------------------------------------------------------- --------- -----------
TOTAL RETURN*** (2.99%) 7.97%
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- -----------------------------------------------------------------------------------------
Expenses 1.13(a) 0.70%(a)
- -----------------------------------------------------------------------------------------
Net investment income 4.84(a) 5.84%(a)
- -----------------------------------------------------------------------------------------
Expense waiver/reimbursement (b) -- 0.23%(a)
- -----------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $6,117 $78,080
- -----------------------------------------------------------------------------------------
Portfolio turnover rate 63% 74%
- -----------------------------------------------------------------------------------------
</TABLE>
* Six months ended June 30, 1994 (unaudited).
** For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
*** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS BOND PORTFOLIO
FINANCIAL HIGHLIGHTS--INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
1994*
<S> <C>
- ------------------------------------------------------------------------------------------------ -----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.14
- ------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- ------------------------------------------------------------------------------------------------
Net investment income 0.24
- ------------------------------------------------------------------------------------------------
Net realized and unrealized loss on investments (0.53)
- ------------------------------------------------------------------------------------------------ -----------------
Total from investment operations (0.29)
- ------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.24)
- ------------------------------------------------------------------------------------------------ -----------------
NET ASSET VALUE, END OF PERIOD $ 9.61
- ------------------------------------------------------------------------------------------------ -----------------
TOTAL RETURN** (2.87%)
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- ------------------------------------------------------------------------------------------------
Expenses 0.94%(a)
- ------------------------------------------------------------------------------------------------
Net investment income 5.03%(a)
- ------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $62,237
- ------------------------------------------------------------------------------------------------
Portfolio turnover rate 63%
- ------------------------------------------------------------------------------------------------
</TABLE>
* Reflects operations for the period from January 1, 1994 (effective date) to
June 30, 1994 (unaudited).
** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS INCOME PORTFOLIOS
COMBINED NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
(1) ORGANIZATION
BayFunds (the "Trust") is registered under the Investment Company Act of 1940,
as amended (the "Act"), as an open-end, management investment company. The Trust
consists of five diversified portfolios:
BayFunds Bond Portfolio ("Bond Portfolio")
BayFunds Equity Portfolio ("Equity Portfolio")
BayFunds Money Market Portfolio ("Money Market Portfolio")
BayFunds Short Term Yield Portfolio ("Short Term Yield Portfolio")
BayFunds U.S. Treasury Money Market Portfolio ("Treasury Money Market
Portfolio")
The Funds are offered in two classes of shares: Institutional Shares (Trust
Shares in the case of Money Market Portfolio) and Investment Shares. Investment
Shares are identical in all respects to Institutional Shares except that
Investment Shares are sold pursuant to a Shareholder Servicing Agreement. The
assets of each Fund are segregated and a shareholder's interest is limited to
the Fund in which shares are held. The financial statements presented herein are
only those of Bond Portfolio and Short Term Yield Portfolio (individually
referred to as the "Fund", or collectively as the "Funds"). The financial
statements of Equity Portfolio, Money Market Portfolio and Treasury Money Market
Portfolio are presented separately.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATIONS--U.S. government obligations are generally valued at
the bid prices as furnished by an independent pricing service. Corporate
bonds (and other fixed-income and asset-backed securities) are valued at the
last sale price reported on national securities exchanges on that day, if
available. Otherwise, corporate bonds (and other fixed-income and
asset-backed securities) and short-term obligations are valued at the prices
provided by an independent pricing service. Short-term securities with
remaining maturities of sixty days or less may be valued at amortized cost,
which approximates value.
B. REPURCHASE AGREEMENTS--It is the policy of the Funds to require the
custodian bank to take possession, to have legally segregated in the
Federal Reserve Book Entry System or to have segregated within the
custodian bank's vault, all securities held as collateral in support of
repurchase agreement investments. Additionally, procedures have been
established by the Funds to monitor on a daily basis, the market value of
each repurchase agreement's underlying collateral to ensure the value at
least equals the principal amount of the repurchase agreement, including
accrued interest.
The Funds will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are deemed
by the Funds' adviser to be creditworthy pursuant to guidelines established
by the Board of Trustees ("Trustees"). Risks may arise from the potential
inability of counterparties to honor the terms of the repurchase agreement.
Accordingly, the Funds could receive less than the repurchase price on the
sale of collateral securities.
C. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS--Interest income and expenses
are accrued daily. Bond premium and discount, if applicable, are amortized
as required by the Internal Revenue Code, as amended (the "Code").
Distributions to shareholders are recorded on the ex-dividend date.
D. FEDERAL TAXES--It is the Funds' policy to comply with the provisions of the
Code applicable to regulated investment companies and to distribute to
shareholders each year substantially all of their taxable income.
Accordingly, no provisions for federal tax are necessary.
At December 31, 1993, the Short Term Yield Portfolio, for federal tax
purposes, had a capital loss carryforward of $70,866 which will reduce the
Fund's taxable income arising from a future net realized gain on
investments, if any, to the extent permitted by the Code, and thus will
reduce the amount of the distributions to shareholders which would
otherwise be necessary to relieve the Fund of any liability for federal
tax. Pursuant to the Code, such capital loss carryforward will expire in
2001.
E. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Funds may engage in
when-issued or delayed delivery transactions. The Funds record when-issued
securities on the trade date and maintain security positions such that
sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked to market daily and begin earning interest on the
settlement date.
F. DEFERRED EXPENSES--The costs incurred by each Fund with respect to
registration of its shares in its first fiscal year, excluding the initial
expense of registering the shares, have been deferred and are being
amortized using the straight-line method over a period of five years from
each Fund's commencement date.
G. OTHER--Investment transactions are accounted for on the trade date.
(3) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value) for each
class of shares. Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, 1994
SHORT TERM YIELD BOND
PORTFOLIO PORTFOLIO
INVESTMENT SHARES* SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 1,492,442 $ 14,656,757 141,558 $ 1,409,848
- ------------------------------------------------
Shares issued to shareholders in payment
of dividends declared 133,232 1,295,787 13,858 136,658
- ------------------------------------------------
Shares redeemed (13,363,124) (131,589,885) (7,219,838) (72,882,613)
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
Net change resulting from Investment
Share transactions (11,737,450) (115,637,341) (7,064,422) (71,336,107)
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
INSTITUTIONAL SHARES**
Shares sold 10,578,137 104,677,655 7,395,161 74,598,129
- ------------------------------------------------
Shares issued to shareholders in payment
of dividends declared 472 4,632 344 3,317
- ------------------------------------------------
Shares redeemed (2,258,861) (22,093,995) (922,023) (9,227,346)
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
Net change resulting from Institutional
Share transactions 8,319,748 82,588,292 6,473,482 65,374,100
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
Total net change resulting from Fund share
transactions (3,417,702) ($ 33,049,049) (590,940) ($ 5,962,007)
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
<CAPTION>
YEAR ENDED DECEMBER 31, 1993***
SHORT TERM YIELD BOND
PORTFOLIO PORTFOLIO
INVESTMENT SHARES SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 21,881,054 $ 218,527,684 8,380,954 $ 84,401,252
- ------------------------------------------------
Shares issued to shareholders in payment
of dividends declared 161,469 1,608,290 17,528 180,690
- ------------------------------------------------
Shares redeemed (4,564,213) (45,489,236) (697,818) (7,159,508)
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
Net change resulting from Investment Share
transactions 17,478,310 174,646,738 7,700,664 77,422,434
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
Total net change resulting from Fund share
transactions 17,478,310 $ 174,646,738 7,700,664 $ 77,422,434
- ------------------------------------------------ ------------- ---------------- ------------ ---------------
</TABLE>
* Six months ended June 30, 1994.
** For the period from January 1, 1994 (effective date) to June 30, 1994.
*** For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
(4) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE--BayBanks Investment Management, Inc., the Trust's
investment adviser (the "Adviser"), receives for its services an annual
investment advisory fee based on a percentage of each Fund's average daily net
assets (see below). The Adviser may voluntarily choose to waive a portion of its
fee. The Adviser can modify or terminate this voluntary waiver at any time at
its sole discretion.
<TABLE>
<CAPTION>
ANNUAL
FUND RATE
<S> <C>
Bond Portfolio 0.60%
- -------------------------------------------------------------------------------------------------------
Short Term Yield Portfolio 0.50%
- -------------------------------------------------------------------------------------------------------
</TABLE>
ADMINISTRATIVE FEE--Federated Administrative Services ("FAS") provides the Trust
with certain administrative personnel and services. The FAS fee is based on the
level of average aggregate net assets of the Trust for the period. FAS may
voluntarily choose to waive a portion of its fee.
SHAREHOLDER SERVICES PLAN--Under the terms of a Shareholder Services Agreement
with BayBank Systems, Inc., the Funds will pay BayBank Systems, Inc. up to .25
of 1% of average net assets of the Investment Shares of Bond Portfolio and Short
Term Yield Portfolio for the period. This fee is to obtain certain personal
services for shareholders and the maintenance of shareholder accounts.
PORTFOLIO ACCOUNTING FEES--Federated Services Company maintains each Fund's
accounting records. The fee is based on the level of each Fund's average net
assets for the period plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES--Organizational expenses were borne initially by FAS.
The Funds have agreed to reimburse FAS for the organizational expenses during
the five year period following each Fund's commencement date. For the six months
ended June 30, 1994, the Funds paid FAS as follows:
<TABLE>
<CAPTION>
INITIAL ORGANIZATIONAL
ORGANIZATIONAL EXPENSES
FUND EXPENSES REIMBURSED
<S> <C> <C>
Bond Portfolio $ 52,861 $ 3,667
- -------------------------------------------------------------------------
Short Term Yield Portfolio $ 50,458 $ 3,500
- -------------------------------------------------------------------------
</TABLE>
Certain of the Officers and Trustees of the Trust are Officers and Directors or
Trustees of the above companies.
(5) INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 1994, were as follows:
<TABLE>
<CAPTION>
SHORT TERM
BOND YIELD
PORTFOLIO PORTFOLIO
<S> <C> <C>
- -------------------------------------------------------------------------------- -------------- ---------------
PURCHASES $ 38,683,060 $ 68,755,799
- -------------------------------------------------------------------------------- -------------- ---------------
SALES $ 51,645,331 $ 140,788,670
- -------------------------------------------------------------------------------- -------------- ---------------
</TABLE>
TRUSTEES OFFICERS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Kenneth G. Condon Glen R. Johnson
Robert W. Eisenmenger President and Treasurer
Sara L. Johnson Craig P. Churman
Ernest R. May Vice President and Assistant Treasurer
Alvin J. Silk Peter J. Germain
Secretary
Victor R. Siclari
Assistant Secretary
</TABLE>
The shares offered by BayFunds are not deposits or obligations of any bank, are
not endorsed or guaranteed by any bank, and are not obligations of, guaranteed
by, or insured by the U.S. government, the Federal Deposit Insurance
Corporation, the Federal Reserve Board, or any other government agency.
Investment in these shares involves risk, including the possible loss of
principal.
This report is authorized for distribution to prospective investors only when
preceded
or accompanied by the Funds' prospectus which contains facts concerning
their investment objectives and policies, management fees and other information.
BAYFUNDS
MONEY MARKET
PORTFOLIOS
MONEY MARKET PORTFOLIO
U.S. TREASURY
MONEY MARKET PORTFOLIO
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
JUNE 30, 1994
(PORTFOLIOS OF BAYFUNDS)
BayBanks Investment Management, Inc.
- -----------------------------------
Investment Adviser for Money Market Portfolio
BayBank Boston, N.A.
- ------------------------------------
Investment Adviser for U.S. Treasury Money Market Portfolio
FEDERATED SECURITIES CORP.
- ------------------------------------
Distributors
A subsidiary of FEDERATED INVESTORS
Z00320 3070655 (8/94)
PRESIDENT'S MESSAGE
- --------------------------------------------------------------------------------
Dear Shareholder:
Since I last communicated with you, the interest rate landscape has changed
dramatically. Between February and May, the Federal Reserve Board raised
interest rates four times--a reversal of the policies pursued in the prior four
years. The economy appeared to be growing too quickly ("too much of a good
thing"), so the Federal Reserve Board stepped in to slow this momentum to a more
moderate pace and to ward off future price pressures.
Under these circumstances, the portfolio managers for the BayFunds Money Market
Portfolio and the BayFunds U.S. Treasury Money Market Portfolio (the
"Portfolios") have modified their investment strategies, principally by
shortening average fund maturity. In this way, the Portfolios are
well-positioned to take advantage of the higher yields available in a rising
interest rate environment. As you review the financial statements provided in
this report for your Portfolio, you will notice that distributions (dividends)
to shareholders have increased during the six-month period ended on June 30.
While we cannot predict the future, we believe that investors in money market
mutual funds may continue to benefit from rising interest rates.
I am pleased to report that the Portfolios have been able to provide attractive
returns without compromising our conservative investment posture and the highest
standards of credit quality. Let me emphasize that you will not find any of the
well publicized "exotic" securities, such as dual index, capped, prime or
inverse floaters, in the Portfolios. As you may know, the Portfolios, like all
mutual funds, are regulated by the Securities and Exchange Commission. The
Portfolios adhere fully with SEC Rule 2a-7 and are continuously monitored for
compliance.
The stock and bond market volatility of the past six months proved that stable
investments, such as the Portfolios, are an important part of a well-diversified
investment strategy. If you have a long-term investment goal, you should be
aware that the returns from stock and bond funds may far outdistance the returns
from money market funds, and you should consider diversifying your investment
portfolio accordingly. I urge you to contact your Investment Specialist or
Account Officer whenever we can be of assistance in helping you reach your
objective.
Sincerely,
John J. Arena
President, BayBanks Investment Management, Inc.
Investment Adviser to BayFunds Money Market Portfolio
and
Vice Chairman, BayBank Boston, N.A.,
Investment Adviser to BayFunds U.S. Treasury Money Market Portfolio
August 1, 1994
INVESTMENT REVIEW
- --------------------------------------------------------------------------------
Q How did the Portfolios perform?
A The first six months of 1994 saw a major change for money market funds.
After four years of declining interest rates, the Federal Reserve Board
(the "Fed") raised short-term rates four times from 3.0% to 4.25%, which
favorably affected the performance of the Portfolios.
BAYFUNDS MONEY MARKET PORTFOLIO
Yields on six-month Treasury bills ranged from 3.1% to 4.9% during the period,
and the Portfolio's yield reached as high as 3.8%/3.6%* on June 7, 1994. The
Portfolio's seven-day net yield on June 30, 1994 was 3.7%/3.5%*, a significant
increase from the 2.7% (both classes) at the end of December, 1993.
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
During this period, we reduced the Portfolio's average maturity from 75 days to
46 days in an effort to capitalize on the rising rate environment and
reinvestment opportunities. As a result, the Portfolio's seven-day net yield
rose from 2.9%/2.6%* on December 31, 1993 to 3.7%/3.5%* on June 30, 1994.
Q Has either the BayFunds Money Market Portfolio or the BayFunds U.S.
Treasury Money Market Portfolio ever broken or been in danger of breaking
the $1 per share price?
A The $1 per share price for both Portfolios has never been broken, nor is it
threatened now. BayBanks Investment Management, Inc. and BayBank Boston,
N.A. (advisers to the respective Portfolios) have never infused capital to
protect the Portfolios' $1 per share price.**
Q What do you think investors can expect for the next six months?
A The Fed has adopted a "wait and see" attitude for the past several months
to monitor the effects of its monetary policy year to date, the direction
of the economy, the value of the dollar, and any signs of inflationary
pressures. As long as the economy remains in an expansionary mode, it is likely
that short-term rates will be subject to continued upward pressure during the
second half of the year. We anticipate that both Portfolios will maintain a
defensive posture, with target average maturities hovering around the 40-day
range.
* Rates are quoted institutional or trust class/investment class. Performance
quoted represents past performance and is not indicative of future returns.
** While no money market fund can guarantee that a stable net asset value will
be maintained, the Portfolios have done so since their inception.
BAYFUNDS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
BANKERS ACCEPTANCE--3.0%
- ------------------------------------------------------------------------------------------------
$ 2,300,000 Barclays Bank PLC, 4.50%-4.70%, 10/4/94-12/12/94 $ 2,255,523
--------------------------------------------------------------------------------
1,352,546 Rabobank Nederland N.V., 4.10%, 9/26/94 1,339,144
--------------------------------------------------------------------------------
2,000,000 Republic National Bank of N.Y., 4.42%-4.50%, 8/22/94-9/14/94 1,984,241
-------------------------------------------------------------------------------- ---------------
TOTAL BANKERS ACCEPTANCE 5,578,908
-------------------------------------------------------------------------------- ---------------
CERTIFICATES OF DEPOSIT--19.2%
- ------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT-EURO--1.6%
--------------------------------------------------------------------------------
3,000,000 Deutsche Bank, 4.13%, 9/13/94 2,997,330
-------------------------------------------------------------------------------- ---------------
CERTIFICATES OF DEPOSIT-YANKEE--17.6%
--------------------------------------------------------------------------------
10,000,000 ABN AMRO Bank, 4.52%-4.54%, 9/1/94-9/6/94 10,000,348
--------------------------------------------------------------------------------
5,000,000 Bank of Nova Scotia, 4.56%, 7/13/94 5,000,113
--------------------------------------------------------------------------------
3,000,000 Rabobank Nederland N.V., 4.00%, 9/14/94 2,996,659
--------------------------------------------------------------------------------
5,000,000 Royal Bank of Canada, 4.25%*, 7/1/94 5,000,000
--------------------------------------------------------------------------------
10,000,000 Societe Generale Bank, 3.44%-4.74%, 8/15/94-10/14/94 9,999,943
-------------------------------------------------------------------------------- ---------------
Total 32,997,063
-------------------------------------------------------------------------------- ---------------
TOTAL CERTIFICATES OF DEPOSIT 35,994,393
-------------------------------------------------------------------------------- ---------------
COMMERCIAL PAPER--10.2%
- ------------------------------------------------------------------------------------------------
DIVERSIFIED--1.1%
--------------------------------------------------------------------------------
2,000,000 General Electric Capital Services, 4.55%, 7/22/94 1,994,692
-------------------------------------------------------------------------------- ---------------
FINANCE-COMMERCIAL--3.7%
--------------------------------------------------------------------------------
2,000,000 Associates Corp. North America, 4.43%, 9/13/94 1,981,788
--------------------------------------------------------------------------------
5,000,000 CIT Group Holdings, Inc., 4.50%-4.63%, 9/28/94-10/11/94 4,939,392
-------------------------------------------------------------------------------- ---------------
Total 6,921,180
-------------------------------------------------------------------------------- ---------------
FINANCIAL SERVICES--1.3%
--------------------------------------------------------------------------------
2,500,000 Dean Witter Discover & Co., 4.53%, 8/25/94 2,482,698
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
COMMERCIAL PAPER--CONTINUED
- ------------------------------------------------------------------------------------------------
FUNDING CORPORATIONS--1.3%
--------------------------------------------------------------------------------
$ 2,500,000 Asset Securitization Cooperative Corp., 4.48%, 8/29/94 $ 2,481,644
-------------------------------------------------------------------------------- ---------------
GOVERNMENT AGENCY--1.3%
--------------------------------------------------------------------------------
2,500,000 Province of Alberta, 4.38%, 9/9/94 2,478,708
-------------------------------------------------------------------------------- ---------------
INSURANCE--1.5%
--------------------------------------------------------------------------------
2,800,000 USAA Capital Corp., 4.30%, 7/1/94 2,800,000
-------------------------------------------------------------------------------- ---------------
TOTAL COMMERCIAL PAPER 19,158,922
-------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--7.8%
- ------------------------------------------------------------------------------------------------
1,000,000 Associates Corp. North America, 8.625%, 11/15/94 1,013,360
--------------------------------------------------------------------------------
5,000,000 Merrill Lynch & Co., Inc., 4.35%*, 7/1/94 5,000,000
--------------------------------------------------------------------------------
1,000,000 Northern Trust Co., 9.125%, 8/1/94 1,004,552
--------------------------------------------------------------------------------
5,000,000 Pepsico, Inc., 4.435%*, 7/5/94 5,000,000
--------------------------------------------------------------------------------
2,700,000 Procter & Gamble Co., 7.10%, 9/1/94 2,711,013
-------------------------------------------------------------------------------- ---------------
TOTAL CORPORATE BONDS 14,728,925
-------------------------------------------------------------------------------- ---------------
U.S. GOVERNMENT AGENCIES--29.6%
- ------------------------------------------------------------------------------------------------
8,875,000 Federal Farm Credit Bank, 4.37%-4.63%, 8/26/94-12/15/94 8,787,179
--------------------------------------------------------------------------------
8,285,000 Federal Home Loan Bank, 4.25%-4.59%, 7/22/94-11/16/94 8,195,957
--------------------------------------------------------------------------------
5,000,000 Federal Home Loan Bank, 4.46%*, 7/6/94 5,003,766
--------------------------------------------------------------------------------
3,000,000 Federal Home Loan Mortgage Corp., 4.40%-4.50%,
9/16/94-10/24/94 2,961,839
--------------------------------------------------------------------------------
5,000,000 Federal Home Loan Mortgage Corp., 4.373%*, 7/5/94 5,000,904
--------------------------------------------------------------------------------
15,870,000 Federal National Mortgage Association, 3.25%-4.81%,
7/28/94-1/3/95 15,668,633
--------------------------------------------------------------------------------
10,000,000 Student Loan Marketing Association, 4.46%*-4.885%*, 7/6/94 10,023,545
-------------------------------------------------------------------------------- ---------------
TOTAL U.S. GOVERNMENT AGENCIES 55,641,823
-------------------------------------------------------------------------------- ---------------
U.S. TREASURY OBLIGATION--1.0%
- ------------------------------------------------------------------------------------------------
2,000,000 U.S. Treasury Bill, 10/27/94 1,970,631
-------------------------------------------------------------------------------- ---------------
</TABLE>
BAYFUNDS MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- -------------- -------------------------------------------------------------------------------- ---------------
**REPURCHASE AGREEMENTS--29.0%
- ------------------------------------------------------------------------------------------------
$ 20,000,000 PaineWebber, Inc., 4.45%, dated 6/30/94, due 7/1/94 $ 20,000,000
--------------------------------------------------------------------------------
14,475,000 Salomon Brothers, Inc., 4.30%, dated 6/30/94, due 7/1/94 14,475,000
--------------------------------------------------------------------------------
20,000,000 Sanwa Securities (USA) Company, L.P., 4.30%, dated 6/22/94, due 7/1/94*** 20,000,000
-------------------------------------------------------------------------------- ---------------
TOTAL REPURCHASE AGREEMENTS (NOTE 2B) 54,475,000
-------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS, AT AMORTIZED COST AND VALUE $ 187,548,602+
-------------------------------------------------------------------------------- ---------------
</TABLE>
+ Also represents cost for federal tax purposes.
* Denotes variable rate obligation for which the current yield and next reset
date are shown.
** Repurchase agreements are fully collateralized by U.S. government and/or
agency obligations based on market prices at the date of the portfolio.
*** Although final maturity falls beyond seven days, a liquidity feature is
included in each transaction to permit termination of the repurchase
agreement.
Note: The categories of investments are shown as a percentage of net assets
($187,862,550) at June 30, 1994.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
- ------------------------------------------------------------------------------------------------
Investments in repurchase agreements (Note 2B) $ 54,475,000
- -------------------------------------------------------------------------------
Investments in other securities (Note 2A) 133,073,602
- ------------------------------------------------------------------------------- ---------------
Investments, at amortized cost and value $ 187,548,602
- ------------------------------------------------------------------------------------------------
Cash 3,812
- ------------------------------------------------------------------------------------------------
Interest receivable 714,575
- ------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 6,071
- ------------------------------------------------------------------------------------------------
Deferred expenses (Note 2F) 39,115
- ------------------------------------------------------------------------------------------------ ---------------
Total assets 188,312,175
- ------------------------------------------------------------------------------------------------
LIABILITIES:
- ------------------------------------------------------------------------------------------------
Dividends payable 322,664
- -------------------------------------------------------------------------------
Payable for Fund shares repurchased 2,982
- -------------------------------------------------------------------------------
Accrued expenses 123,979
- ------------------------------------------------------------------------------- ---------------
Total liabilities 449,625
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSETS for 187,862,550 shares of beneficial interest outstanding $ 187,862,550
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSET VALUE, Offering Price, and Redemption Proceeds Per Share:
Investment Shares ($50,943,685 / 50,943,685 shares of beneficial interest outstanding)
$1.00
- ------------------------------------------------------------------------------------------------ ---------------
Trust Shares ($136,918,865 / 136,918,865 shares of beneficial interest outstanding) $1.00
- ------------------------------------------------------------------------------------------------ ---------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
- ---------------------------------------------------------------------------------------------------
Interest income (Note 2C) $ 3,533,964
- ---------------------------------------------------------------------------------------------------
EXPENSES:
- ---------------------------------------------------------------------------------------------------
Investment advisory fee* $ 395,280
- --------------------------------------------------------------------------------------
Trustees' fees 5,721
- --------------------------------------------------------------------------------------
Administrative personnel and services fees* 105,254
- --------------------------------------------------------------------------------------
Transfer and dividend disbursing agent fees 59,491
- --------------------------------------------------------------------------------------
Custodian fees 24,498
- --------------------------------------------------------------------------------------
Portfolio accounting fees* 42,439
- --------------------------------------------------------------------------------------
Auditing fees 9,953
- --------------------------------------------------------------------------------------
Fund share registration costs 36,814
- --------------------------------------------------------------------------------------
Shareholder services fee* 11,194
- --------------------------------------------------------------------------------------
Legal fees 9,718
- --------------------------------------------------------------------------------------
Printing and postage 26,872
- --------------------------------------------------------------------------------------
Insurance premiums 6,967
- --------------------------------------------------------------------------------------
Miscellaneous 9,378
- -------------------------------------------------------------------------------------- -----------
Total expenses 743,579
- --------------------------------------------------------------------------------------
Deduct--Waiver of investment advisory fee* 83,315
- -------------------------------------------------------------------------------------- -----------
Net expenses 660,264
- --------------------------------------------------------------------------------------------------- -------------
Net investment income $ 2,873,700
- --------------------------------------------------------------------------------------------------- -------------
</TABLE>
* See Note 4.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
<S> <C> <C>
1994* 1993
INCREASE (DECREASE) IN NET ASSETS:
- -----------------------------------------------------------------------------
OPERATIONS--
- -----------------------------------------------------------------------------
Net investment income $ 2,873,700 $ 5,981,727
- ----------------------------------------------------------------------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2C)--
- -----------------------------------------------------------------------------
Dividends to shareholders from net investment income:
- -----------------------------------------------------------------------------
Investment Shares (534,700) (413,353)
- -----------------------------------------------------------------------------
Trust Shares (2,339,000) (5,568,374)
- ----------------------------------------------------------------------------- ---------------- ----------------
Change in net assets from distributions to shareholders (2,873,700) (5,981,727)
- ----------------------------------------------------------------------------- ---------------- ----------------
FUND SHARE (PRINCIPAL) TRANSACTIONS (NOTE 3)--
- -----------------------------------------------------------------------------
Proceeds from sale of shares 217,613,864 488,436,098
- -----------------------------------------------------------------------------
Net asset value of shares issued to shareholders in payment of dividends
declared 545,291 411,700
- -----------------------------------------------------------------------------
Cost of shares redeemed (229,951,778) (532,127,430)
- ----------------------------------------------------------------------------- ---------------- ----------------
Change in net assets from Fund share transactions (11,792,623) (43,279,632)
- ----------------------------------------------------------------------------- ---------------- ----------------
Change in net assets (11,792,623) (43,279,632)
- -----------------------------------------------------------------------------
NET ASSETS:
- -----------------------------------------------------------------------------
Beginning of period 199,655,173 242,934,805
- ----------------------------------------------------------------------------- ---------------- ----------------
End of period $ 187,862,550 $ 199,655,173
- ----------------------------------------------------------------------------- ---------------- ----------------
</TABLE>
* Six months ended June 30, 1994 (unaudited).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS--INVESTMENT SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
----------------------
1994** 1993*
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- ------------------------------------------------------------------------------------
Net investment income 0.01 0.03
- ------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- ------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.01) (0.03)
- ------------------------------------------------------------------------------------ ----------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------ ----------- ---------
TOTAL RETURN*** 1.49% 2.58%
- ------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- ------------------------------------------------------------------------------------
Expenses 0.72%(a) 0.62%(a)
- ------------------------------------------------------------------------------------
Net investment income 2.84%(a) 2.60%(a)
- ------------------------------------------------------------------------------------
Expense waiver/reimbursement(b) 0.08%(a) 0.11%(a)
- ------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $50,944 $30,746
- ------------------------------------------------------------------------------------
</TABLE>
* Reflects operations for the period from January 19, 1993 (date of initial
public offering) to December 31, 1993.
** Six months ended June 30, 1994 (unaudited).
*** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS--TRUST SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, APRIL 30,
1994*** 1993 1992** 1992*
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
- --------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- --------------------------------------------------
Net investment income 0.02 0.03 0.02 0.03
- --------------------------------------------------
LESS DISTRIBUTIONS
- --------------------------------------------------
Dividends to shareholders from net investment
income (0.02) (0.03) (0.02) (0.03)
- -------------------------------------------------- ----------- --------- ----------- -------------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------- ----------- --------- ----------- ------------
TOTAL RETURN**** 1.52% 2.72% 2.13% 3.55%
- --------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- --------------------------------------------------
Expenses 0.66%(a) 0.59% 0.59%(a) 0.48%(a)
- --------------------------------------------------
Net investment income 2.90%(a) 2.68% 3.13%(a) 4.61%(a)
- --------------------------------------------------
Expense waiver/reimbursement(b) 0.08%(a) 0.11% 0.05%(a) 0.15%(a)
- --------------------------------------------------
SUPPLEMENTAL DATA
- --------------------------------------------------
Net assets, end of period (000 omitted) $136,919 $168,909 $242,935 $280,931
- --------------------------------------------------
</TABLE>
* Reflects operations for the period from August 1, 1991 (date of initial
public investment) to April 30, 1992.
** The Fund changed its fiscal year from April 30 to December 31. Reflects
operations for the period from May 1, 1992 to December 31, 1992.
*** Six months ended June 30, 1994 (unaudited).
**** Based on net asset value which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
- --------------- ------------------------------------------------------------------------------- ---------------
U.S. TREASURY OBLIGATIONS--36.9%
- ------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS--18.1%
-------------------------------------------------------------------------------
$ 115,000,000 7/7/94-1/12/95 $ 113,854,199
-------------------------------------------------------------------------------
U.S. TREASURY NOTES--14.4%
-------------------------------------------------------------------------------
91,000,000 3.875%-6.00%, 7/31/94-3/31/95 90,933,382
-------------------------------------------------------------------------------
U.S. TREASURY STRIPS--4.4%
-------------------------------------------------------------------------------
28,000,000 8/15/94-2/15/95 27,594,704
------------------------------------------------------------------------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS 232,382,285
------------------------------------------------------------------------------- ---------------
*REPURCHASE AGREEMENTS--63.2%
- ------------------------------------------------------------------------------------------------
26,720,000 Aubrey G. Lanston & Co., Inc., 4.25%, dated 6/30/94, due 7/1/94 26,720,000
-------------------------------------------------------------------------------
30,000,000 Greenwich Capital Markets, Inc., 4.25%, dated 6/30/94,
due 7/1/94 30,000,000
-------------------------------------------------------------------------------
100,000,000 HSBC Securities, Inc., 4.30%, dated 6/30/94, due 7/1/94 100,000,000
-------------------------------------------------------------------------------
30,000,000 Merrill Lynch Government Securities, Inc., 4.25%, dated 6/27/94, due 7/5/94** 30,000,000
-------------------------------------------------------------------------------
30,000,000 PaineWebber, Inc., 4.30%, dated 6/30/94, due 7/1/94 30,000,000
-------------------------------------------------------------------------------
81,485,000 Salomon Brothers, Inc., 4.30%, dated 6/30/94, due 7/1/94 81,485,000
-------------------------------------------------------------------------------
30,000,000 Sanwa Securities (USA) Company, L.P., 4.30%, dated 6/22/94,
due 7/1/94** 30,000,000
-------------------------------------------------------------------------------
70,000,000 Sanwa Securities (USA) Company, L.P., 4.40%, dated 6/30/94,
due 7/1/94 70,000,000
------------------------------------------------------------------------------- ---------------
TOTAL REPURCHASE AGREEMENTS (NOTE 2B) 398,205,000
------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS, AT AMORTIZED COST AND VALUE $ 630,587,285+
------------------------------------------------------------------------------- ---------------
</TABLE>
+ Also represents cost for federal tax purposes.
* Repurchase agreements are fully collateralized by U.S. Treasury obligations
and/or agency obligations based on market prices at the date of the
portfolio.
** Although final maturity falls beyond seven days, a liquidity feature is
included in each transaction to permit termination of the repurchase
agreement.
The following abbreviation is used in this portfolio:
STRIPS--Separate Trading of Registered Interest and Principal of Securities.
Note: The categories of investments are shown as a percentage of net assets
($630,149,764) at
June 30, 1994.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
- ------------------------------------------------------------------------------------------------
Investments in repurchase agreements (Note 2B) $ 398,205,000
- -------------------------------------------------------------------------------
Investments in other securities (Note 2A) 232,382,285
- ------------------------------------------------------------------------------- ---------------
Total investments, at amortized cost and value $ 630,587,285
- ------------------------------------------------------------------------------------------------
Cash 1,367
- ------------------------------------------------------------------------------------------------
Interest receivable 1,161,317
- ------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 1,354
- ------------------------------------------------------------------------------------------------
Deferred expenses (Note 2F) 146,776
- ------------------------------------------------------------------------------------------------ ---------------
Total assets 631,898,099
- ------------------------------------------------------------------------------------------------
LIABILITIES:
- ------------------------------------------------------------------------------------------------
Dividends payable 1,584,174
- -------------------------------------------------------------------------------
Payable for Fund shares repurchased 2,921
- -------------------------------------------------------------------------------
Accrued expenses 161,240
- ------------------------------------------------------------------------------- ---------------
Total liabilities 1,748,335
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSETS for 630,149,764 shares of beneficial interest outstanding $ 630,149,764
- ------------------------------------------------------------------------------------------------ ---------------
NET ASSET VALUE, Offering Price, and Redemption Proceeds Per Share
Investment Shares ($96,729,333 / 96,729,333 shares of beneficial interest outstanding)
$1.00
- ------------------------------------------------------------------------------------------------ ---------------
Institutional Shares ($533,420,431 / 533,420,431 shares of beneficial interest outstanding)
$1.00
- ------------------------------------------------------------------------------------------------ ---------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1994
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
- --------------------------------------------------------------------------------------------------
Interest income (Note 2C) $ 11,580,841
- --------------------------------------------------------------------------------------------------
EXPENSES:
- -----------------------------------------------------------------------------------
Investment advisory fee* $ 640,757
- -----------------------------------------------------------------------------------
Trustees' fees 7,287
- -----------------------------------------------------------------------------------
Administrative personnel and services fees* 341,079
- -----------------------------------------------------------------------------------
Transfer and dividend disbursing agent fees and expenses 102,868
- -----------------------------------------------------------------------------------
Custodian fees 18,590
- -----------------------------------------------------------------------------------
Portfolio accounting fees* 41,787
- -----------------------------------------------------------------------------------
Auditing fees 6,321
- -----------------------------------------------------------------------------------
Fund share registration costs 55,171
- -----------------------------------------------------------------------------------
Shareholder services fee* 80,008
- -----------------------------------------------------------------------------------
Legal fees 19,320
- -----------------------------------------------------------------------------------
Printing and postage 14,328
- -----------------------------------------------------------------------------------
Insurance premiums 5,639
- -----------------------------------------------------------------------------------
Miscellaneous 6,162
- ----------------------------------------------------------------------------------- -------------
Total expenses 1,339,317
- -------------------------------------------------------------------------------------------------- --------------
Net investment income $ 10,241,524
- -------------------------------------------------------------------------------------------------- --------------
</TABLE>
* See Note 4.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
<S> <C> <C>
1994** 1993*
INCREASE (DECREASE) IN NET ASSETS:
- ----------------------------------------------------------------------------
OPERATIONS--
- ----------------------------------------------------------------------------
Net investment income $ 10,241,524 $ 12,069,568
- ---------------------------------------------------------------------------- ---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2C)--
- ----------------------------------------------------------------------------
Dividends to shareholders from net investment income:
- ----------------------------------------------------------------------------
Investment Shares (984,840) (395,342)
- ----------------------------------------------------------------------------
Institutional Shares (9,256,684) (11,674,226)
- ---------------------------------------------------------------------------- ---------------- -----------------
Change in net assets from distributions to shareholders (10,241,524) (12,069,568)
- ---------------------------------------------------------------------------- ---------------- -----------------
FUND SHARE (PRINCIPAL) TRANSACTIONS (NOTE 3)--
- ----------------------------------------------------------------------------
Proceeds from sale of shares 898,340,049 1,439,679,366
- ----------------------------------------------------------------------------
Net asset value of shares issued to shareholders in payment of dividends
declared 1,538,910 1,413,741
- ----------------------------------------------------------------------------
Cost of shares redeemed (807,146,716) (903,675,586)
- ---------------------------------------------------------------------------- ---------------- -----------------
Change in net assets from Fund share transactions 92,732,243 537,417,521
- ---------------------------------------------------------------------------- ---------------- -----------------
Change in net assets 92,732,243 537,417,521
- ----------------------------------------------------------------------------
NET ASSETS:
- ----------------------------------------------------------------------------
Beginning of period 537,417,521 --
- ---------------------------------------------------------------------------- ---------------- -----------------
End of period $ 630,149,764 $ 537,417,521
- ---------------------------------------------------------------------------- ---------------- -----------------
</TABLE>
*For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
**Six months ended June 30, 1994 (unaudited).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS--INVESTMENT SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
1994** 1993*
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- ---------------------------------------------------------------------------------------
Net investment income 0.01 0.02
- ---------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- ---------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.01) (0.02)
- --------------------------------------------------------------------------------------- ----------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00
- --------------------------------------------------------------------------------------- ----------- ---------
TOTAL RETURN*** 1.48% 2.41%
- ---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- ---------------------------------------------------------------------------------------
Expenses 0.64%(a) 0.62%(a)
- ---------------------------------------------------------------------------------------
Net investment income 2.97%(a) 2.59%(a)
- ---------------------------------------------------------------------------------------
Expense waiver/reimbursement(b) -- 0.07%(a)
- ---------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $96,729 $34,694
- ---------------------------------------------------------------------------------------
</TABLE>
* Reflects operations for the period from January 29, 1993 (date of initial
public investment) to December 31, 1993.
** Six months ended June 30, 1994 (unaudited).
*** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS--INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
1994** 1993*
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
- ---------------------------------------------------------------------------------------
Net investment income 0.02 0.03
- ---------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
- ---------------------------------------------------------------------------------------
Dividends to shareholders from net investment income (0.02) (0.03)
- --------------------------------------------------------------------------------------- ----------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00
- --------------------------------------------------------------------------------------- ----------- ---------
TOTAL RETURN*** 1.60% 2.62%
- ---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
- ---------------------------------------------------------------------------------------
Expenses 0.39%(a) 0.35%(a)
- ---------------------------------------------------------------------------------------
Net investment income 3.22%(a) 2.85%(a)
- ---------------------------------------------------------------------------------------
Expense waiver/reimbursement(b) -- 0.07%(a)
- ---------------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------
Net assets, end of period (000 omitted) $533,421 $502,724
- ---------------------------------------------------------------------------------------
</TABLE>
* Reflects operations for the period from January 29, 1993 (date of initial
public investment) to December 31, 1993.
** Six months ended June 30, 1994 (unaudited).
*** Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 4).
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIOS
COMBINED NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1994 (UNAUDITED)
- --------------------------------------------------------------------------------
(1) ORGANIZATION
BayFunds (the "Trust") is registered under the Investment Company Act of 1940,
as amended (the "Act"), as an open-end, management investment company. The Trust
consists of five diversified portfolios:
BayFunds Bond Portfolio ("Bond Portfolio")
BayFunds Equity Portfolio ("Equity Portfolio")
BayFunds Money Market Portfolio ("Money Market Portfolio")
BayFunds Short Term Yield Portfolio ("Short Term Yield Portfolio")
BayFunds U.S. Treasury Money Market Portfolio ("Treasury Money Market
Portfolio")
The Funds are offered in two classes of shares: Institutional Shares (Trust
Shares in the case of Money Market Portfolio) and Investment Shares. Investment
Shares are identical in all respects to Institutional Shares except that
Investment Shares are sold pursuant to a Shareholder Servicing Agreement. The
assets of each Fund are segregated and a shareholder's interest is limited to
the Fund in which shares are held. The financial statements presented herein are
only those of Money Market Portfolio and Treasury Money Market Portfolio
(individually referred to as the "Fund", or collectively as the "Funds"). The
financial statements of Bond Portfolio, Equity Portfolio and Short Term Yield
Portfolio are presented separately.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATIONS--The Funds' use of the amortized cost method to value
their portfolio securities is in accordance with Rule 2a-7 under the Act.
B. REPURCHASE AGREEMENTS--It is the policy of the Funds to require the
custodian bank to take possession, to have legally segregated in the
Federal Reserve Book Entry System or to have segregated within the
custodian bank's vault, all securities held as collateral in support of
repurchase agreement investments. Additionally, procedures have been
established by the Funds to monitor on a daily basis, the market value of
each repurchase agreement's underlying collateral to ensure the value at
least equals the principal amount of the repurchase agreement, including
accrued interest.
The Funds will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are deemed
by the Funds' adviser to be creditworthy pursuant to guidelines established
by the Board of Trustees ("Trustees"). Risks may arise from the
potential inability of counterparties to honor the terms of the repurchase
agreement. Accordingly, the Funds could receive less than the repurchase
price on the sale of collateral securities.
C. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS--Interest income and expenses
are accrued daily. Bond premium and discount, if applicable, are amortized
as required by the Internal Revenue Code, as amended (the "Code").
Distributions to shareholders are recorded on the ex-dividend date.
D. FEDERAL TAXES--It is the Funds' policy to comply with the provisions of the
Code applicable to regulated investment companies and to distribute to
shareholders each year substantially all of their taxable income.
Accordingly, no provisions for federal tax are necessary.
E. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Funds may engage in
when-issued or delayed delivery transactions. The Funds record when-issued
securities on the trade date and maintain security positions such that
sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked to market daily and begin earning interest on the
settlement date.
F. DEFERRED EXPENSES--The costs incurred by each Fund with respect to
registration of its shares in its first fiscal year, excluding the initial
expense of registering the shares, have been deferred and are being
amortized using the straight-line method over a period of five years from
each Fund' s commencement date.
G. OTHER--Investment transactions are accounted for on the trade date.
BAYFUNDS MONEY MARKET PORTFOLIOS
- --------------------------------------------------------------------------------
(3) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value) for each
class of shares. At June 30, 1994, capital paid in aggregated $630,149,764 for
Treasury Money Market Portfolio and $187,862,550 for Money Market Portfolio.
Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
TREASURY
MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO
INVESTMENT SHARES 1994* 1993*** 1994* 1993**
<S> <C> <C> <C> <C>
Shares sold 51,616,394 80,095,432 130,107,482 76,787,705
- --------------------------------------------
Shares issued to shareholders in
payment of dividends declared 526,453 384,247 931,136 364,846
- --------------------------------------------
Shares redeemed (31,944,883) (49,733,958) (69,002,958) (42,458,877)
- -------------------------------------------- --------------- ---------------- --------------- ---------------
Net change resulting from
Investment share transactions 20,197,964 30,745,721 62,035,660 34,693,674
- -------------------------------------------- --------------- ---------------- --------------- ---------------
<CAPTION>
INSTITUTIONAL SHARES+
<S> <C> <C> <C> <C>
Shares sold 165,997,470 408,340,666 768,232,567 1,362,891,661
- --------------------------------------------
Shares issued to shareholders in
payment of dividends declared 18,838 27,453 607,774 1,048,895
- --------------------------------------------
Shares redeemed (198,006,895) (482,393,472) (738,143,758) (861,216,709)
- -------------------------------------------- --------------- ---------------- --------------- ---------------
Net change resulting from Institutional
share transactions (31,990,587) (74,025,353) 30,696,583 502,723,847
- -------------------------------------------- --------------- ---------------- --------------- ---------------
Total net change resulting from Fund share
transactions (11,792,623) (43,279,632) 92,732,243 537,417,521
- -------------------------------------------- --------------- ---------------- --------------- ---------------
</TABLE>
* Six months ended June 30, 1994.
** For the period from January 29, 1993 (date of initial public investment) to
December 31, 1993.
*** For the period from January 19, 1993 (date of initial public offering) to
December 31, 1993.
+ Trust Shares with respect to Money Market Portfolio.
(4) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE--BayBanks Investment Management, Inc., the Money Market
Portfolio's investment adviser and BayBank Boston, N.A., the Treasury Money
Market Portfolio's investment adviser (collectively referred to as the
"Advisers"), receive for their services an annual investment advisory fee based
on a percentage of each Fund's average daily net assets (see below). The
Advisers may voluntarily choose to waive a portion of their fee. The Advisers
can modify or terminate this voluntary waiver at any time at their sole
discretion.
<TABLE>
<CAPTION>
ANNUAL
FUND RATE
<S> <C>
Money Market Portfolio 0.40%
- -------------------------------------------------------------------------------------------------------
Treasury Money Market Portfolio 0.20%
- -------------------------------------------------------------------------------------------------------
</TABLE>
ADMINISTRATIVE FEE--Federated Administrative Services ("FAS") provides the Trust
with certain administrative personnel and services. The FAS fee is based on the
level of average aggregate net assets of the Trust for the period. FAS may
voluntarily choose to waive a portion of its fee.
SHAREHOLDER SERVICES PLAN--Under the terms of a Shareholder Services Agreement
with BayBank Systems, Inc., the Funds will pay BayBank Systems, Inc. up to .25
of 1% of average net assets of their Investment Shares for the period. This fee
is to obtain certain personal services for shareholders and the maintenance of
shareholder accounts.
PORTFOLIO ACCOUNTING FEES--Federated Services Company maintains each Fund's
accounting records. The fee is based on the level of each Fund's average net
assets for the period plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES--Organizational expenses were borne initially by FAS.
The Funds have agreed to reimburse FAS for the organizational expenses during
the five year period following each Fund's commencement date. For the six months
ended June 30, 1994, the Funds paid FAS as follows:
<TABLE>
<CAPTION>
INITIAL ORGANIZATIONAL
ORGANIZATIONAL EXPENSES
FUND EXPENSES REIMBURSED
<S> <C> <C>
Money Market Portfolio $ 60,969 $ 5,088
- -------------------------------------------------------------------------
Treasury Money Market Portfolio $ 48,056 $ 3,333
- -------------------------------------------------------------------------
</TABLE>
Certain of the Officers and Trustees of the Trust are Officers and Directors or
Trustees of the above companies.
TRUSTEES OFFICERS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Kenneth G. Condon Glen R. Johnson
Robert W. Eisenmenger President and Treasurer
Sara L. Johnson Craig P. Churman
Ernest R. May Vice President and Assistant Treasurer
Alvin J. Silk Peter J. Germain
Secretary
Victor R. Siclari
Assistant Secretary
</TABLE>
The shares offered by BayFunds are not deposits or obligations of any bank, are
not endorsed or guaranteed by any bank, and are not obligations of, guaranteed
by, or insured by the U.S. government, the Federal Deposit Insurance
Corporation, the Federal Reserve Board, or any other government agency.
Investment in these shares involves risk, including the possible loss of
principal.
This report is authorized for distribution to prospective investors only when
preceded
or accompanied by the Funds' prospectus which contains facts concerning their
investment
objectives and policies, management fees and other information.
