--------------------------------------------------------------------------------
BAYFUNDS(R)
--------------------------------------------------------------------------------
MONEY
--------------------------------------------------------------------------------
MARKET
--------------------------------------------------------------------------------
PORTFOLIOS
--------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
JUNE 30, 1995
U.S.TREASURY MONEY MARKET PORTFOLIO
INVESTMENT SHARES/INSTITUTIONAL SHARES
MONEY MARKET PORTFOLIO
INVESTMENT SHARES/TRUST SHARES
BayBank Boston, N.A.
---------------------------------------------
Investment Adviser to BayFunds U.S. Treasury
Money Market Portfolio
BayBanks Investment Management, Inc.
---------------------------------------------
Investment Adviser to BayFunds
Money Market Portfolio
FEDERATED SECURITIES CORP.
(LOGO)
---------------------------------------------
Distributor
A subsidiary of FEDERATED INVESTORS
FEDERATED INVESTORS TOWER
PITTSBURGH, PA 15222-3779
Z00029
3070655 (8/95)
PRESIDENT'S MESSAGE
--------------------------------------------------------------------------------
Dear Shareholder:
The U.S. money markets returned to their more traditional standing among the
various asset classes in the first half of 1995. In last year's turbulent market
conditions, money market investments produced superior returns ("cash was
king"), while stock and bond performance suffered. Through mid-year 1995 money
market funds produced relatively steady, moderate returns commensurate with
their short maturities and low risk investments, while stocks and bonds returned
to favor with a vengeance.
After the non-stop hikes in interest rates last year, the Federal Reserve raised
rates only once (a widely anticipated one-half percentage point increase in
February) and then took a deliberate "wait and see" stance. As a consequence,
short-term interest rates became relatively stable. Indeed, many market sages
began to predict that the Federal Reserve's new bias would be toward lower
interest rates. In fact, the Fed did notch down rates by 25 basis points in
early July. Against that backdrop, the BayFunds money market portfolios
continued to be excellent vehicles to track short-term interest rate movements
while providing immediate liquidity to meet short-term cash needs.
I will explain in greater detail how the money markets have performed thus far
in 1995; the tactics employed by our two investment advisers (BayBank Boston,
N.A. and BayBanks Investment Management, Inc.) in the management of the BayFunds
U.S. Treasury Money Market Portfolio and the BayFunds Money Market Portfolio,
respectively, in this environment; and likely strategies for the Portfolios
going forward.
MONEY MARKET RECAP
A persistently buoyant economy and accompanying inflationary fears prompted the
Federal Reserve to continue tightening monetary policy into early 1995. On
February 1st, the federal funds target rate was increased from 5.5% to 6.0%.
Almost immediately thereafter, economic statistics turned decidedly negative,
revealing a marked slowing of domestic economic growth. Market sentiment quickly
shifted and focused on the possible need for lower rates to stimulate the
economy, rather than to rein it in. As a result, short-term rates leveled off.
In fact, for some time yields on investments with maturities of only one day
were higher than those extending to more than six months (known as an inverted
yield curve). Perhaps the most striking aspect of these past six months was the
persistent tension between the various market camps debating the near-term
direction of interest rates.
FIRST HALF REVIEW
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
Seeking to provide the highest possible yield in relatively stable market
conditions, the U.S. Treasury Money Market Portfolio selectively purchased U.S.
Treasury securities and placed great reliance on very short-term repurchase
agreements. (Repurchase agreements are fully collateralized with U.S. Treasury
or U.S. government agency securities which are guaranteed as to the payment of
principal and interest by the United States government, its agencies or
instrumentalities). The Portfolio's average maturity fluctuated within a
relatively tight 25-40 day range.
--------------------------------------------------------------------------------
The U.S. Treasury Money Market Portfolio, an immensely popular selection for
investors, passed a crucial milestone in mid-June when its total assets soared
above the $1 billion mark. Steady asset growth (regardless of market conditions)
provides economies of scale for the Portfolio and purchasing leverage in its
marketplace.
BAYFUNDS MONEY MARKET PORTFOLIO
The Money Market Portfolio closely tracked the movements of short-term interest
rates throughout the first half of 1995. Its average maturity remained in a
relatively narrow 20-50 day range. In order to provide maximum flexibility to
pursue attractive opportunities and given the inverted yield curve, a sizeable
repurchase agreement position was maintained. In addition, the Portfolio pursued
ways to add value by scrupulously purchasing higher yielding, top quality
corporate instruments (such as commercial paper and short-term corporate notes)
and U.S. government agency securities.
FUTURE STRATEGIES FOR THE BAYFUNDS U.S. TREASURY MONEY
MARKET PORTFOLIO AND THE BAYFUNDS MONEY MARKET PORTFOLIO
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
If interest rates remain fairly constant over the near term, the U.S. Treasury
Money Market Portfolio anticipates that it will seek to lock in the highest
yields available by selectively purchasing U.S. Treasury issues. If the Federal
Reserve appears ready to lower interest rates a notch further, the Portfolio has
ample flexibility to extend its maturity; this would be accomplished through the
purchase of direct U.S. Treasury obligations. Repurchase agreements will
continue to play an important role in the management of the Portfolio. They
provide tremendous versatility under all market conditions and satisfy the
significant daily liquidity of our institutional investors.
BAYFUNDS MONEY MARKET PORTFOLIO
The broad latitude of the BayFunds Money Market Portfolio to invest in a variety
of high quality corporate and bank securities, as well as U.S. government
securities, makes it well positioned to nimbly capture any available yield
enhancing opportunities. Utilizing our internal credit analysis resources, we
will identify those corporate issuers that provide above market yields, while
maintaining healthy balance sheets. The Portfolio's moderate average maturity
provides sufficient flexibility to secure attractive yields on money market
securities with longer maturities (but less than 397 days) as they become
available.
The BayFunds money market portfolios remain committed to the highest standards
of portfolio quality and conservative management. Since inception, both
Portfolios have maintained a net asset value of $1.00 per share and have pursued
well-defined risk minimization strategies.* The Portfolios purchase only top
quality investments and maintain average maturities that allow a margin of
safety.
* While no money market fund can guarantee that a stable net asset value will be
maintained, the portfolios have done so since their inception.
--------------------------------------------------------------------------------
Stock and bond mutual funds can play a critical role in meeting your long-term
investment objectives. It is widely accepted that over time the returns from
those asset classes have the ability to far outstrip the performance of money
market funds, but with a potentially higher degree of risk. These past six
months demonstrated that those investors with a long-term horizon and a greater
risk tolerance were amply compensated by their stock and bond investments. Let
me remind you, though, that money market mutual funds play an important role in
any diversified investment portfolio.
I invite you to contact your Investment Specialist or Account Officer whenever
we can be of assistance in helping you reach your objectives.
Sincerely,
Richard F. Pollard
President
BayBank Boston, N.A. and BayBanks Investment Management, Inc.
Investment Adviser to the BayFunds U.S. Treasury Money Market Portfolio and
the BayFunds Money Market Portfolio, respectively
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
------------ --------------------------------------------------------------
------------- --------------
<C> <C> <S>
<C>
U.S. TREASURY--28.7%
--------------------------------------------------------------------------------
-------------
U.S. TREASURY BILL--1.5%
--------------------------------------------------------------
-------------
$ 15,000,000 10/19/1995
$ 14,733,708
--------------------------------------------------------------
------------- --------------
U.S. TREASURY NOTES--24.4%
--------------------------------------------------------------
-------------
250,000,000 3.875%-5.125%, 8/15/1995-2/15/1996
248,647,717
--------------------------------------------------------------
------------- --------------
U.S. TREASURY STRIPS--2.8%
--------------------------------------------------------------
-------------
30,000,000 2/15/1996
28,956,212
--------------------------------------------------------------
------------- --------------
TOTAL U.S. TREASURY
292,337,637
--------------------------------------------------------------
------------- --------------
(A) REPURCHASE AGREEMENTS--71.4%
--------------------------------------------------------------------------------
-------------
43,530,000 Aubrey G. Lanston & Co., Inc., 6.05%, dated 6/30/1995, due
7/3/95 43,530,000
--------------------------------------------------------------
-------------
30,000,000 Dean Witter Reynolds, Inc., 6.05%, dated 6/30/1995, due
7/3/1995 30,000,000
--------------------------------------------------------------
-------------
100,000,000 Fuji Securities, Inc., 6.125%, dated 6/30/1995, due 7/3/1995
100,000,000
--------------------------------------------------------------
-------------
45,000,000 Greenwich Capital Markets, Inc., 6.20%, dated 6/30/1995, due
7/3/1995 45,000,000
--------------------------------------------------------------
-------------
140,000,000 HSBC Securities, Inc., 6.20%, dated 6/30/1995, due 7/3/1995
140,000,000
--------------------------------------------------------------
-------------
45,000,000 PaineWebber, Inc., 6.25%, dated 6/30/1995, due 7/3/1995
45,000,000
--------------------------------------------------------------
-------------
84,785,000 Salomon Brothers, Inc., 6.20%, dated 6/30/1995, due 7/3/1995
84,785,000
--------------------------------------------------------------
-------------
45,000,000 Donaldson, Lufkin & Jenrette Securities Corp., 5.95%, dated
6/22/1995, due
7/5/1995
45,000,000
--------------------------------------------------------------
-------------
40,000,000 Merrill Lynch, Pierce, Fenner & Smith, Inc., 6.03%, dated
6/20/1995, due
7/5/1995
40,000,000
--------------------------------------------------------------
-------------
150,000,000 Sanwa Securities (USA) Co., L.P., 6.07%, dated 6/26/1995, due
7/5/1995 150,000,000
--------------------------------------------------------------
-------------
4,000,000 Fuji Securities, Inc., 6.00%, dated 6/23/1995, due 7/7/1995
4,000,000
--------------------------------------------------------------
------------- --------------
TOTAL REPURCHASE AGREEMENTS
727,315,000
--------------------------------------------------------------
------------- --------------
TOTAL INVESTMENTS, AT AMORTIZED COST AND VALUE(B)
$1,019,652,637
--------------------------------------------------------------
------------- --------------
</TABLE>
(a) The repurchase agreements are fully collateralized by U.S. government and/or
agency obligations based on market prices at the date of the portfolio.
(b) Also represents cost for federal tax purposes.
The following acronym is used throughout 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
($1,019,255,329) at June 30, 1995.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
-------------- ------------------------------------------------------------
----- ------------
<C> <C> <S>
<C>
BANKERS ACCEPTANCE--3.4%
--------------------------------------------------------------------------------
-----
$ 1,000,000 Barclays Bank PLC, 6.11%, 7/18/1995
$ 997,115
------------------------------------------------------------
-----
1,000,000 Corestates Bank, 6.15%, 8/24/1995
990,775
------------------------------------------------------------
-----
5,000,000 Societe Generale Bank, 6.05%, 7/7/1995
4,994,958
------------------------------------------------------------
----- ------------
TOTAL BANKERS ACCEPTANCE
6,982,848
------------------------------------------------------------
----- ------------
(A) CERTIFICATES OF DEPOSIT--19.4%
--------------------------------------------------------------------------------
-----
CERTIFICATES OF DEPOSIT-EURO--12.1%
------------------------------------------------------------
-----
5,000,000 Abbey National Bank PLC, 6.16%, 7/5/1995
5,000,002
------------------------------------------------------------
-----
10,000,000 ABN AMRO Bank, 6.23%-6.35%, 9/18/1995-10/2/1995
10,001,369
------------------------------------------------------------
-----
5,000,000 Bank of Nova Scotia, 6.12%, 8/2/1995
5,000,208
------------------------------------------------------------
-----
5,000,000 Societe Generale Bank, 6.36%, 9/20/1995
5,000,877
------------------------------------------------------------
----- ------------
Total
25,002,456
------------------------------------------------------------
----- ------------
CERTIFICATES OF DEPOSIT-YANKEE--7.3%
------------------------------------------------------------
-----
5,000,000 Bank of Nova Scotia, 7.36%, 1/17/1996
5,024,780
------------------------------------------------------------
-----
5,000,000 Banque Nationale de Paris, 6.04%, 8/15/1995
5,000,104
------------------------------------------------------------
-----
5,000,000 Canadian Imperial Bank of Commerce, 6.07%, 8/15/1995
5,000,185
------------------------------------------------------------
----- ------------
Total
15,025,069
------------------------------------------------------------
----- ------------
TOTAL CERTIFICATES OF DEPOSIT
40,027,525
------------------------------------------------------------
----- ------------
(A) COMMERCIAL PAPER--17.0%
--------------------------------------------------------------------------------
-----
BANKING--6.3%
------------------------------------------------------------
-----
3,000,000 Abbey National North America Co., (Guaranteed by Abbey
National
Bank PLC, London), 6.00%, 7/14/1995
2,993,500
------------------------------------------------------------
-----
5,000,000 Barclays U.S. Funding Corp., (Guaranteed by Barclays Bank
PLC,
London), 6.00%, 7/11/1995
4,991,667
------------------------------------------------------------
-----
2,650,000 Cheltenham & Gloucester Building Society, 5.90%, 9/6/1995
2,620,902
------------------------------------------------------------
-----
2,500,000 Royal Bank of Canada, 6.08%, 7/31/1995
2,487,333
------------------------------------------------------------
----- ------------
Total
13,093,402
------------------------------------------------------------
----- ------------
</TABLE>
BAYFUNDS MONEY MARKET PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
-------------- ------------------------------------------------------------
----- ------------
<C> <C> <S>
<C>
COMMERCIAL PAPER--CONTINUED
--------------------------------------------------------------------------------
-----
FINANCE-COMMERCIAL--4.0%
------------------------------------------------------------
-----
$ 5,820,000 General Electric Capital Corp., 6.00%-6.30%, 7/3/1995-
10/31/1995 $ 5,788,510
------------------------------------------------------------
-----
2,500,000 CIT Group Holding, Inc., 6.10%, 7/5/1995
2,498,306
------------------------------------------------------------
----- ------------
Total
8,286,816
------------------------------------------------------------
----- ------------
FINANCIAL SERVICES--3.2%
------------------------------------------------------------
-----
6,676,000 Merrill Lynch & Co., Inc., 6.02%-6.06%, 7/5/1995-7/26/1995
6,652,232
------------------------------------------------------------
----- ------------
FOOD & BEVERAGE--0.3%
------------------------------------------------------------
-----
700,000 PepsiCo, Inc., 6.23%, 10/25/1995
685,948
------------------------------------------------------------
----- ------------
FUNDING CORPORATIONS--3.2%
------------------------------------------------------------
-----
3,600,000 Corporate Receivables Corp., 6.14%, 10/18/1995
3,533,074
------------------------------------------------------------
-----
1,115,000 Falcon Asset Securitization Corp., 6.02%, 7/26/1995-
7/27/1995 1,110,276
------------------------------------------------------------
-----
2,000,000 U.S. West Capital Funding, Inc., (Guaranteed by U.S. West
Inc.),
6.00%, 8/3/1995
1,989,000
------------------------------------------------------------
----- ------------
Total
6,632,350
------------------------------------------------------------
----- ------------
TOTAL COMMERCIAL PAPER
35,350,748
------------------------------------------------------------
----- ------------
CORPORATE BONDS--2.8%
--------------------------------------------------------------------------------
-----
FINANCIAL SERVICES--2.2%
------------------------------------------------------------
-----
3,500,000 Dean Witter Discover & Co., 5.00%, 4/1/1996
3,474,248
------------------------------------------------------------
-----
1,000,000 Merrill Lynch & Co., Inc., 4.75%, 6/24/1996
988,723
------------------------------------------------------------
----- ------------
Total
4,462,971
------------------------------------------------------------
----- ------------
FOOD & BEVERAGE--0.6%
------------------------------------------------------------
-----
1,225,000 Anheuser Busch Cos., Inc., 8.75%, 7/15/1995
1,226,056
------------------------------------------------------------
----- ------------
TOTAL CORPORATE BONDS
5,689,027
------------------------------------------------------------
----- ------------
CORPORATE NOTES--3.1%
--------------------------------------------------------------------------------
-----
BANKING--1.0%
------------------------------------------------------------
-----
2,000,000 Abbey National Treasury Services PLC, (Guaranteed by Abbey
National PLC), 7.05%, 3/1/1996
2,011,347
------------------------------------------------------------
----- ------------
</TABLE>
BAYFUNDS MONEY MARKET PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
-------------- ------------------------------------------------------------
----- ------------
<C> <C> <S>
<C>
CORPORATE NOTES--CONTINUED
--------------------------------------------------------------------------------
-----
FINANCE-COMMERCIAL--1.6%
------------------------------------------------------------
-----
$ 3,250,000 U.S. West Financial Services, Inc., 6.263%, 9/5/1995
$ 3,251,087
------------------------------------------------------------
----- ------------
FOOD & BEVERAGE--0.5%
------------------------------------------------------------
-----
1,000,000 PepsiCo, Inc., 7.58%, 8/23/1995
1,001,809
------------------------------------------------------------
----- ------------
TOTAL CORPORATE NOTES
6,264,243
------------------------------------------------------------
----- ------------
GOVERNMENT AGENCIES--18.1%
--------------------------------------------------------------------------------
-----
2,475,000 Federal Farm Credit Bank, 6.10%-6.70%, 9/7/1995-12/1/1995
2,467,157
------------------------------------------------------------
-----
16,500,000 Federal Home Loan Bank, 4.22%-6.515%, 8/28/1995-5/3/1996
16,452,127
------------------------------------------------------------
-----
8,550,000 Federal Home Loan Mortgage Corp., 6.83%-8.70%, 7/5/1995-
7/6/1995 8,550,804
------------------------------------------------------------
-----
10,000,000 Student Loan Marketing Association, 5.66%-5.72%, 7/5/1995(c)
10,000,000
------------------------------------------------------------
----- ------------
TOTAL GOVERNMENT AGENCIES
37,470,088
------------------------------------------------------------
----- ------------
(B) REPURCHASE AGREEMENTS--37.1%
--------------------------------------------------------------------------------
-----
30,000,000 Dean Witter Reynolds, Inc., 6.375%, dated 6/30/1995, due
7/3/1995 30,000,000
------------------------------------------------------------
-----
16,700,000 Salomon Brothers, Inc., 6.20%, dated 6/30/1995, due 7/3/1995
16,700,000
------------------------------------------------------------
-----
30,000,000 Sanwa Securities (USA) Co., L.P., 6.00%, dated 6/28/1995,
due
7/12/1995
30,000,000
------------------------------------------------------------
----- ------------
TOTAL REPURCHASE AGREEMENTS
76,700,000
------------------------------------------------------------
----- ------------
TOTAL INVESTMENTS, AT AMORTIZED COST
$208,484,479+
------------------------------------------------------------
----- ------------
</TABLE>
+ Also represents cost for federal tax purposes.
(a) Each issue shows the rate of discount at the time of purchase for discount
issues.
(b) The repurchase agreements are fully collateralized by U.S. government and/or
agency obligations based on market prices at the date of the portfolio.
(c) Denotes variable rate obligations for which the current yields and next
reset dates are shown.
Note: The categories of investments are shown as a percentage of net assets
($206,996,439) at June 30, 1995.
The following acronym is used throughout this portfolio:
<TABLE>
<S> <C>
PLC -- Public Limited Company
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BAYFUNDS
U.S.
TREASURY
MONEY BAYFUNDS
MARKET MONEY MARKET
PORTFOLIO PORTFOLIO
-----
--------- ------------
<S> <C>
<C>
ASSETS:
------------------------------------------------------------------------
Investments in repurchase agreements $
727,315,000 $76,700,000
------------------------------------------------------------------------
Investments in securities
292,337,637 131,784,479
------------------------------------------------------------------------ -----
-------- -----------
Total investments in securities, at value
$1,019,652,637 $208,484,479
------------------------------------------------------------------------
Cash
1,802 4,523
------------------------------------------------------------------------
Income receivable
3,205,635 1,171,438
------------------------------------------------------------------------
Receivable for shares sold
1,427 292
------------------------------------------------------------------------
Deferred expenses
105,817 18,707
------------------------------------------------------------------------ -----
-------- -----------
Total assets
1,022,967,318 209,679,439
------------------------------------------------------------------------ -----
-------- -----------
LIABILITIES:
------------------------------------------------------------------------
Payable for investments purchased
-- 2,010,251
------------------------------------------------------------------------
Payable for shares redeemed
380 1,125
------------------------------------------------------------------------
Income distribution payable
3,549,654 586,038
------------------------------------------------------------------------
Accrued expenses
161,955 85,586
------------------------------------------------------------------------ -----
-------- -----------
Total liabilities
3,711,989 2,683,000
------------------------------------------------------------------------ -----
-------- -----------
Total Net Assets
$1,019,255,329 $206,996,439
------------------------------------------------------------------------ -----
-------- -----------
NET ASSETS:
------------------------------------------------------------------------
Investment Shares $
193,303,641 $53,478,631
------------------------------------------------------------------------ -----
-------- -----------
Institutional Shares $
825,951,688 $ --
------------------------------------------------------------------------ -----
-------- -----------
Trust Shares $
-- $153,517,808
------------------------------------------------------------------------ -----
-------- -----------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PROCEEDS PER SHARE:
------------------------------------------------------------------------
Investment Shares
$1.00 $1.00
------------------------------------------------------------------------ -----
-------- -----------
Institutional Shares
$1.00 --
------------------------------------------------------------------------ -----
-------- -----------
Trust Shares
-- $1.00
------------------------------------------------------------------------ -----
-------- -----------
SHARES OUTSTANDING:
------------------------------------------------------------------------
Investment Shares
193,303,641 53,478,631
------------------------------------------------------------------------ -----
-------- -----------
Institutional Shares
825,951,688 --
------------------------------------------------------------------------ -----
-------- -----------
Trust Shares
-- 153,517,808
------------------------------------------------------------------------ -----
-------- -----------
Total shares outstanding
1,019,255,329 206,996,439
------------------------------------------------------------------------ -----
-------- -----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIOS
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BAYFUNDS
U.S. TREASURY
MONEY
BAYFUNDS
MARKET
MONEY MARKET
PORTFOLIO
PORTFOLIO
-------------
------------
<S> <C>
<C>
INVESTMENT INCOME:
---------------------------------------------------------------
Interest $27,361,342
$6,627,014
--------------------------------------------------------------- -------------
------------
EXPENSES:
---------------------------------------------------------------
Investment advisory fee 915,317
445,237
---------------------------------------------------------------
Administrative personnel and services fee 466,239
113,405
---------------------------------------------------------------
Custodian fees 24,029
12,216
---------------------------------------------------------------
Transfer and dividend disbursing agent fees and expenses 131,578
36,482
---------------------------------------------------------------
Directors'/Trustees' fees 17,163
4,181
---------------------------------------------------------------
Auditing fees 12,220
7,520
---------------------------------------------------------------
Legal fees 21,740
4,995
---------------------------------------------------------------
Portfolio accounting fees 64,072
31,766
---------------------------------------------------------------
Shareholder services fee--Investment Shares 208,075
69,494
---------------------------------------------------------------
Share registration costs 59,173
13,086
---------------------------------------------------------------
Printing and postage 13,258
15,177
---------------------------------------------------------------
Insurance premiums 9,153
2,769
---------------------------------------------------------------
Miscellaneous 14,876
6,407
--------------------------------------------------------------- -------------
------------
Total expenses 1,956,893
762,735
--------------------------------------------------------------- -------------
------------
Net investment income $25,404,449
$5,864,279
--------------------------------------------------------------- -------------
------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BAYFUNDS U.S. TREASURY
MONEY BAYFUNDS MONEY MARKET
MARKET PORTFOLIO
PORTFOLIO
-----------------------------
---- ------------------------------
SIX MONTHS
SIX MONTHS
ENDED YEAR
ENDED YEAR
JUNE 30, ENDED
JUNE 30, ENDED
1995 DECEMBER
31, 1995 DECEMBER 31,
(UNAUDITED) 1994
(UNAUDITED) 1994
------------------------------------------------ -------------- -----------
---- ------------- -------------
<S> <C> <C>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS:
------------------------------------------------
Net investment income $ 25,404,449 $
27,601,500 $ 5,864,279 $ 7,366,867
------------------------------------------------ ------------- ----------
---- ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS--
------------------------------------------------
Distributions from net investment income:
------------------------------------------------
Investment Shares (4,466,607)
(3,500,115) (1,411,726) (1,798,037)
------------------------------------------------
Institutional Shares (20,937,842)
(24,101,385) -- --
------------------------------------------------
Trust Shares --
-- (4,452,553) (5,568,830)
------------------------------------------------ ------------- ----------
---- ------------ -------------
Change in net assets resulting from
distributions to shareholders (25,404,449)
(27,601,500) (5,864,279) (7,366,867)
------------------------------------------------ ------------- ----------
---- ------------ -------------
SHARE TRANSACTIONS--
------------------------------------------------
Proceeds from sale of shares 1,057,552,197
1,970,657,709 205,825,440 388,449,453
------------------------------------------------
Net asset value of shares issued to shareholders
in payment of distributions declared 5,682,044
5,328,705 1,501,834 1,829,315
------------------------------------------------
Cost of shares redeemed (879,800,218)
(1,677,582,629) (194,601,590) (395,663,186)
------------------------------------------------ ------------- ----------
---- ------------ -------------
Change in net assets resulting from share
transactions 183,434,023
298,403,785 12,725,684 (5,384,418)
------------------------------------------------ ------------- ----------
---- ------------ -------------
Change in net assets 183,434,023
298,403,785 12,725,684 (5,384,418)
------------------------------------------------
NET ASSETS:
------------------------------------------------
Beginning of period 835,821,306
537,417,521 194,270,755 199,655,173
------------------------------------------------ ------------- ----------
---- ------------ -------------
End of period $1,019,255,329 $
835,821,306 $ 206,996,439 $194,270,755
------------------------------------------------ ------------- ----------
---- ------------ -------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIOS
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
DIVIDENDS TO
NET ASSET SHAREHOLDERS
VALUE, NET FROM NET NET ASSET
NET
YEAR ENDED BEGINNING OF INVESTMENT INVESTMENT VALUE, END
TOTAL INVESTMENT
DECEMBER 31, PERIOD INCOME INCOME OF PERIOD
RETURN(F) EXPENSES INCOME
<S> <C> <C> <C> <C>
<C> <C> <C>
--------------------------------------------------------------------------------
-------------------------------------
INVESTMENT SHARES
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
1993(a) $1.00 0.02 (0.02) $ 1.00
2.41% 0.62%(g) 2.59%(g)
1994 $1.00 0.04 (0.04) $ 1.00
3.61% 0.64% 3.65%
1995(e) $1.00 0.03 (0.03) $ 1.00
2.67% 0.63%(g) 5.37%(g)
BAYFUNDS MONEY MARKET PORTFOLIO
1993(b) $1.00 0.03 (0.03) $ 1.00
2.58% 0.62%(g) 2.60%(g)
1994 $1.00 0.04 (0.04) $ 1.00
3.60% 0.83% 3.46%
1995(e) $1.00 0.03 (0.03) $ 1.00
2.59% 0.87%(g) 5.08%(g)
INSTITUTIONAL SHARES
BAYFUNDS U.S. TREASURY MONEY MARKET PORTFOLIO
1993(a) $1.00 0.03 (0.03) $ 1.00
2.62% 0.35%(g) 2.85%(g)
1994 $1.00 0.04 (0.04) $ 1.00
3.87% 0.39% 3.90%
1995(e) $1.00 0.03 (0.03) $ 1.00
2.80% 0.38%(g) 5.59%(g)
TRUST SHARES
BAYFUNDS MONEY MARKET PORTFOLIO
1992(c) $1.00 0.03 (0.03) $ 1.00
3.55% 0.48%(g) 4.61%(g)
1992(d) $1.00 0.02 (0.02) $ 1.00
2.13% 0.59%(g) 3.13%(g)
1993 $1.00 0.03 (0.03) $ 1.00
2.72% 0.59% 2.68%
1994 $1.00 0.04 (0.04) $ 1.00
3.75% 0.65% 3.64%
1995(e) $1.00 0.03 (0.03) $ 1.00
2.72% 0.62%(g) 5.33%(g)
--------------------------------------------------------------------------------
-------------------------------------
<CAPTION>
NET ASSETS,
YEAR ENDED EXPENSE WAIVER/ END OF PERIOD
DECEMBER 31, REIMBURSEMENT(H) (000 OMITTED)
<S> <C> <C>
-------------
INVESTMENT SH
BAYFUNDS U.S.
1993(a) 0.07%(g) $ 34,694
1994 -- $ 142,109
1995(e) -- $ 193,304
BAYFUNDS MONE
1993(b) 0.11%(g) $ 30,746
1994 0.04% $ 57,348
1995(e) -- $ 53,479
INSTITUTIONAL
BAYFUNDS U.S.
1993(a) 0.07%(g) $ 502,724
1994 -- $ 693,712
1995(e) -- $ 825,952
TRUST SHARES
BAYFUNDS MONE
1992(c) 0.15%(g) $ 280,931
1992(d) 0.05%(g) $ 242,935
1993 0.11% $ 168,909
1994 0.04% $ 136,923
1995(e) -- $ 153,518
-------------
(a) Reflects operations for the period from January 29, 1993 (date of initial
public investment) to December 31, 1993.
(b) Reflects operations for the period from January 19, 1993 (date of initial
public offering) to December 31, 1993.
(c) Reflects operations for the period from August 1, 1991 (date of initial
public investment) to April 30, 1992. During the
period from May 16, 1991 (start of business) to August 1, 1991, net
investment income aggregating $0.01 per share
($1,101) was distributed to Federated Administrative Services.
(d) 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.
(e) Six months ended June 30, 1995 (unaudited).
(f) Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(g) Computed on an annualized basis.
(h) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above.
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS MONEY MARKET PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1995 (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 (individually referred to as the "Fund",
or collectively as the "Funds"). The following Funds comprise the Trust:
<TABLE>
<S> <C>
FUND NAMES CLASSES OF SHARES
------------------------------------------------------------ -----------------
----------------
BayFunds U.S. Treasury Money Market Portfolio Investment and
Institutional
BayFunds Money Market Portfolio Investment and
Trust
BayFunds Bond Portfolio Investment and
Institutional
BayFunds Short Term Yield Portfolio Investment and
Institutional
BayFunds Equity Portfolio Investment and
Institutional
</TABLE>
The financial statements of the following Funds are presented herein:
<TABLE>
<S> <C>
FUND NAME
------------------------------------------------------------
BayFunds U.S. Treasury Money Market Portfolio ("U.S. Treasury Fund")
BayFunds Money Market Portfolio ("Money Market Fund")
</TABLE>
The financial statements of the other Funds are presented separately. The assets
of each Fund are segregated and a shareholder's interest is limited to the Fund
in which shares are held.
(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.
<TABLE>
<S> <C>
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.
REPURCHASE AGREEMENTS--It is the policy of the Funds to require a 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 under
repurchase agreement transactions. Additionally, procedures have been
established by the
Funds to monitor, on a daily basis, the market value of each repurchase
agreement's
collateral to ensure that the value of collateral at least equals the
repurchase price to
be paid under the repurchase agreement transaction.
</TABLE>
BAYFUNDS MONEY MARKET PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
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' advisers to
be creditworthy pursuant to the guidelines and/or standards reviewed or
established by the
Board of Trustees (the "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.
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.
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 its income. Accordingly, no provisions for federal tax are
necessary.
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.
DEFERRED EXPENSES--The costs incurred by the Funds with respect to
registration of their
shares in their first fiscal year, excluding the initial expense of
registering their
shares, have been deferred and are being amortized using the straight-line
method not to
exceed a period of five years from the Funds' commencement dates.
OTHER--Investment transactions are accounted for on the trade date.
</TABLE>
(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, 1995, capital paid-in aggregated $1,019,255,329 for
U.S. Treasury Fund and $206,996,439 for Money Market Fund. Transactions in
shares were as follows:
<TABLE>
<CAPTION>
U.S. TREASURY
FUND MONEY MARKET FUND
--------------------
-------- --------------------------
SIX MONTHS
YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE
DECEMBER 31, ENDED JUNE DECEMBER
INVESTMENT SHARES 30, 1995
1994 30, 1995 31, 1994
--------------------------------------------------------- ------------ ----
-------- ----------- -----------
<S> <C> <C>
<C> <C>
Shares sold 176,614,073
282,383,296 31,947,483 106,751,503
---------------------------------------------------------
Shares issued in payment of dividends declared 4,239,467
3,330,375 1,367,081 1,741,887
---------------------------------------------------------
Shares redeemed (129,658,708)
(178,298,536) (37,183,534) (81,891,510)
--------------------------------------------------------- ----------- ---
-------- ---------- ----------
Net change resulting from Investment Share transactions 51,194,832
107,415,135 (3,868,970) 26,601,880
--------------------------------------------------------- ----------- ---
-------- ---------- ----------
</TABLE>
BAYFUNDS MONEY MARKET PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. TREASURY
FUND MONEY MARKET FUND
-----------------------
------- ----------------------------
SIX MONTHS YEAR
ENDED SIX MONTHS YEAR ENDED
ENDED JUNE
DECEMBER 31, ENDED JUNE DECEMBER 31,
INSTITUTIONAL AND TRUST SHARES 30, 1995
1994 30, 1995 1994
------------------------------------------------------ ------------ -------
------- ------------ ------------
<S> <C> <C>
<C> <C>
Shares sold 880,938,124
1,688,274,413 173,877,957 281,697,950
------------------------------------------------------
Shares issued in payment of dividends declared 1,442,577
1,998,330 134,753 87,428
------------------------------------------------------
Shares redeemed (750,141,510)
(1,499,284,093) (157,418,056) (313,771,676)
------------------------------------------------------ ----------- ------
------- ----------- -----------
Net change resulting from Institutional and Trust
Share transactions 132,239,191
190,988,650 16,594,654 (31,986,298)
------------------------------------------------------ ----------- ------
------- ----------- -----------
Net change resulting from share transactions 183,434,023
298,403,785 12,725,684 (5,384,418)
------------------------------------------------------ ----------- ------
------- ----------- -----------
</TABLE>
(4) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE--BayBank Boston, N.A. and BayBanks Investment
Management, Inc. the investment adviser for U.S. Treasury Fund and Money Market
Fund, respectively (the "Advisers"), receive for their services an annual
investment advisory fee based on a percentage of each of the Funds' average
daily net assets (see below).
<TABLE>
<CAPTION>
ANNUAL
FUND RATE
---------------------------------------------- -------------------------------
---------------
<S> <C>
U.S. Treasury Fund 0.20%
Money Market Fund 0.40%
</TABLE>
ADMINISTRATIVE FEE--Federated Administrative Services ("FAS") provides the Funds
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.
SHAREHOLDER SERVICES FEE--Under the terms of a Shareholder Services Agreement
with BayBank Systems, Inc., the Funds will pay BayBank Systems, Inc. up to 0.25
of 1% of the average net assets of each Fund's Investment Shares for the period.
This fee is to obtain certain services for shareholders and to maintain
shareholder accounts.
PORTFOLIO ACCOUNTING FEES--Federated Services Company ("FServ") maintains the
Funds' accounting records for which it receives a fee. The fee is based on the
level of each of the Fund's average net assets for the period, plus
out-of-pocket expenses.
BAYFUNDS MONEY MARKET PORTFOLIOS
--------------------------------------------------------------------------------
ORGANIZATIONAL EXPENSES--Organizational expenses were initially borne by FAS.
The Funds have agreed to reimburse FAS for the organizational expenses during
the five year period following the date the Funds became effective. For the six
months ended June 30, 1995, the Funds paid FAS as follows:
<TABLE>
<CAPTION>
INITIAL
ORGANIZATIONAL
FUND ORGANIZATIONAL EXPENSES EXPENSES
REIMBURSED
------------------------------ ------------------------------ --------------
----------------
<S> <C> <C>
U.S. Treasury Fund $48,056
$10,286
Money Market Fund $60,969
$5,644
</TABLE>
GENERAL--Certain of the Officers and Trustees of the Trust are Officers and
Directors or Trustees of the above companies.
<TABLE>
<S> <C>
TRUSTEES OFFICERS
--------------------------------------------------------------------------------
-------------
Kenneth G. Condon Glen R. Johnson
Robert W. Eisenmenger President and Treasurer
Sara L. Johnson C. Christine Thomson
Ernest R. May Vice President and Assistant
Treasurer
Alvin J. Silk Victor R. Siclari
Secretary
S. Elliott Cohan
Assistant Secretary
</TABLE>
Mutual funds are not deposits or obligations of BayBank, or any bank, are not
endorsed or guaranteed by BayBank, or 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 possible loss of principal.
Although money market funds seek to maintain a stable net asset value of $1.00
per share, there is no assurance that they will be able to do so.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by the Portfolios' combined prospectus which contains
facts concerning their objectives and policies, management fees, expenses and
other information.
--------------------------------------------------------------------------------
BAYFUNDS(R)
--------------------------------------------------------------------------------
INCOME PORTFOLIOS
--------------------------------------------------------------------------------
AND
--------------------------------------------------------------------------------
EQUITY PORTFOLIO
--------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
JUNE 30, 1995
Bond Portfolio
Short Term Yield Portfolio
Equity Portfolio
Investment Shares
Institutional Shares
BayBanks Investment Management, Inc.
---------------------------------------------
Investment Adviser
FEDERATED SECURITIES CORP.
(LOGO)
---------------------------------------------
Distributor
A subsidiary of FEDERATED INVESTORS
FEDERATED INVESTORS TOWER
PITTSBURGH, PA 15222-3779
Z00028
G00507-05 (8/95)
PRESIDENT'S MESSAGE
--------------------------------------------------------------------------------
Dear Shareholder:
The first half of 1995 has been both rewarding and instructional for
shareholders in the BayFunds Bond, Short Term Yield and Equity Portfolios. Stock
and bond investments provided handsome returns and now stand at historically
high levels. These are dramatically better results than those realized during
the difficult market conditions of 1994. The sustained increases of interest
rates throughout 1994 dragged down most of the major stock and bond indices.
In my last communication, I urged you to look beyond that challenging investment
climate--by remaining focused on your long-term investment goals and managing
your risk by diversifying your investments. This advice is, of course, timeless.
Even so, it proved to be a particularly appropriate strategy in the first six
months of 1995, as patient investors reaped substantial rewards. Last year's
heated pace of economic activity slowed to a more sustainable level and an
inflationary bias was checked. In addition, the fundamental strength and
competitive advantages of United States industry, especially technology
companies, were recognized by the capital markets.
I will explain in greater detail how these events were reflected in the bond and
stock markets, and more importantly, how they influenced your investments in the
BayFunds Bond, Short Term Yield and Equity Portfolios.
FIXED INCOME MARKET RECAP
The fixed income markets turned swiftly to bright optimism in 1995 from the
prior year's gloom. Encouraged by moderate inflation and a sluggish economy,
many bond investors determined that the Federal Reserve had achieved the desired
soft landing after numerous boosts in short-term interest rates (the most recent
being in February). It was openly anticipated that the Fed's predisposition to
raise rates would subside. Indeed, many investors began to predict that the next
move would be to lower interest rates, perhaps as soon as the second quarter. In
addition, recent congressional proposals to address the nation's budget deficit
were well received by the normally suspicious bond market. The bullish tone in
the market became contagious and bond yields moved downward across the maturity
spectrum as bond prices were pushed upward. Longer-term bond investments
benefitted the most from these favorable conditions. A stunning illustration of
this trend was the 30 year U.S. Treasury bond (the so-called long bond). Its
yield plunged from 7.9% at year-end 1994 to 6.6% in June 1995, and provided a
remarkable year-to-date return of nearly 20%. It would be imprudent to expect
this heady performance going forward. However, these results demonstrated the
potential merits of maintaining a portion of your investment portfolio in fixed
income investments. And, a well diversified portfolio provides broad market
representation as the economic outlook becomes clearer and/or interest rates
change.
--------------------------------------------------------------------------------
FIRST HALF PERFORMANCE OF THE BAYFUNDS BOND AND SHORT TERM YIELD PORTFOLIOS
BAYFUNDS BOND PORTFOLIO
The Bond Portfolio produced a strong 9.6%/9.5% total return (Institutional
Shares/Investment Shares) for the first half of 1995.* Sensing the gradual
change in market sentiment, at the direction of the Portfolio Strategy
Committee, the average maturity and duration of the Portfolio were extended to
capture the full benefit of the newly bullish market. This gratifying return was
achieved without conceding the Portfolio's ongoing commitment to a prudent
selection process; average portfolio quality was AA+/Aa1. This Portfolio
continues to be a well-balanced alternative for long-term investors seeking an
allocation to fixed income investments.
BAYFUNDS SHORT TERM YIELD PORTFOLIO
The six month performance of the Short Term Yield Portfolio met our expectation
of producing a competitive return while maintaining strict quality standards.
The Portfolio's 3.7%/3.5% total return was accomplished with a conservative
portfolio whose average quality was AAA/Aaa.* Similarly, the 6.4%/6.1% 30-day
yield (at June 30, 1995) was an appropriate outcome relative to its stringent
requirement to purchase only high quality bonds within a dollar weighted average
maturity range which cannot exceed three years.
FUTURE STRATEGIES FOR THE BAYFUNDS BOND
AND SHORT TERM YIELD PORTFOLIOS
BAYFUNDS BOND PORTFOLIO
In order to find value for our shareholders, the Bond Portfolio will continue to
pursue opportunities in the most attractive segments of the Portfolio's
permissible maturity spectrum. Relatively more appealing corporate issues within
that target positioning will be considered if the yield spread, or difference,
between U.S. government securities and corporate bonds widens. In addition, the
Portfolio's duration and maturity positioning will be adjusted in anticipation
of shifts in economic activity and interest rates.
BAYFUNDS SHORT TERM YIELD PORTFOLIO
The Short Term Yield Portfolio will continue its unwavering commitment to
purchase only high quality fixed income investments and to maintain a short
average maturity so as to minimize volatility. As appropriate opportunities
unfold, the Portfolio will seek to add higher yielding securities consistent
with its underlying conservative investment and maturity objectives.
STOCK MARKET RECAP
The domestic stock markets maintained a torrid pace throughout the first half of
the year. Double digit returns were the norm and there was immense volume on
nearly all U.S. stock exchanges. In the BayFunds 1994 Annual Report, I had
proposed that the Equity Portfolio's emphasis on corporate earning power would
likely be rewarded as soon as the market focused on economic fundamentals and
* Data quoted represent past performance and are not indicative of future
results. Investment return and principal value will fluctuate, so when shares
are redeemed they may be worth more or less than their original cost.
--------------------------------------------------------------------------------
recognized the value of excellent U.S. companies. Increasingly positive earnings
reports ignited strong bullish sentiment in the markets and brought many stock
investors off the sidelines. Intense buying interest in technology stocks played
no small part in fueling this strong upward move. A rallying bond market and
potentially lower interest rates also provided the stock markets with a solid
underpinning and additional momentum.
FIRST HALF PERFORMANCE OF THE BAYFUNDS EQUITY PORTFOLIO
The Equity Portfolio produced an appealing 17.0%/16.9% total return for the
first half of 1995. Its unswerving dedication to faster growing, innovative
companies allowed it to participate fully in the surging stock markets.* Its
long-standing moderate overweighting in technology issues provided additional
vigor as these investments were particularly prescient. The Portfolio's growth
style enjoyed the renaissance that we had patiently anticipated throughout much
of last year.
FUTURE STRATEGY FOR THE BAYFUNDS EQUITY PORTFOLIO
As has always been the case, the BayFunds Equity Portfolio will continue to seek
out those companies which offer the strongest growth potential and the greatest
likelihood of producing above-average earnings gains. This strategy invariably
will lead us to the highest growth sectors of the market. At the same time,
adherence to our diversification strategy ensures that the Portfolio will have
representation across all market sectors. This strategy provides a hedge for the
Portfolio's shareholders in the event that any one sector is disproportionately
punished by investors. The Portfolio continues to provide a "core" domestic
growth stock alternative for those investors eager to own a well diversified,
prudently managed equity fund.
I will close with my usual entreaty--always pay utmost attention to your
long-term investment objectives. I encourage you to take a look at your
investment strategy and make sure that it incorporates these three fundamentals:
- Maintain a long-term perspective on the market.
- Manage your risk by diversifying your investments.
- Follow a regular investment plan.
I invite you to contact your Investment Specialist or Account Officer if you
have any questions about the course of action that is most appropriate in
helping you reach your investment goals.
Sincerely,
Richard F. Pollard
President
BayBanks Investment Management, Inc.
Investment Adviser to BayFunds Short Term Yield Portfolio,
BayFunds Bond Portfolio and BayFunds Equity Portfolio
* Data quoted represent past performance and are not indicative of future
results. Investment return and principal value will fluctuate, so when shares
are redeemed they may be worth more or less than their original cost.
BAYFUNDS BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
----------- -------------------------------------------------------------
---- -----------
<C> <C> <S>
<C>
ASSET-BACKED SECURITIES--11.5%
--------------------------------------------------------------------------------
----
AUTO LOANS--2.3%
-------------------------------------------------------------
----
$ 153,604 Merrill Lynch & Co., Inc. 1993-1, Class A2, 5.125%, 7/15/1998
$ 152,739
-------------------------------------------------------------
----
1,000,000 Premier Auto Trust 1994-1, Class A3, 4.75%, 2/2/2000
983,120
-------------------------------------------------------------
----
42,609 Shawmut National Grantor Trust 1992-A, Class A, 5.55%,
11/15/1997 42,503
-------------------------------------------------------------
----
137,997 Volvo Auto Receivables 1992-B, Class A, 5.45%, 12/15/1998
137,393
-------------------------------------------------------------
---- -----------
Total
1,315,755
-------------------------------------------------------------
---- -----------
BANK CREDIT CARDS--9.2%
-------------------------------------------------------------
----
1,000,000 First Deposit Master Trust 1993-2, Class A, 5.75%, 6/15/2001
986,250
-------------------------------------------------------------
----
1,990,000 MBNA Master Card Trust II 1995-D, Class A, 6.05%, 11/15/2002
1,966,359
-------------------------------------------------------------
----
1,000,000 NationsBank Master Trust 1993-1, Class A, 4.75%, 9/15/1998
981,250
-------------------------------------------------------------
----
500,000 Standard Credit Card Master Trust 1993-3, Class A, 5.50%
2/7/2000 486,405
-------------------------------------------------------------
----
1,000,000 Standard Credit Card Master Trust 1994-2, Class A, 7.25%
4/7/2008 1,026,870
-------------------------------------------------------------
---- -----------
Total
5,447,134
-------------------------------------------------------------
---- -----------
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST, $6,816,536)
6,762,889
-------------------------------------------------------------
---- -----------
CORPORATE BONDS--31.1%
--------------------------------------------------------------------------------
----
AUTOMOTIVE--5.3%
-------------------------------------------------------------
----
1,000,000 Chrysler Financial Corp. Sr. Note, 8.125%, 12/15/1996
1,024,370
-------------------------------------------------------------
----
1,870,000 General Motors Acceptance Corp., Note, 9.625%, 12/15//2001
2,128,995
-------------------------------------------------------------
---- -----------
Total
3,153,365
-------------------------------------------------------------
---- -----------
BANKING--7.7%
-------------------------------------------------------------
----
1,250,000 Bank One Milwaukee N.A., Sub. Note, 6.625%, 4/15/2003
1,224,725
-------------------------------------------------------------
----
1,990,000 First Union Bancorp., Sub. Note, 7.50%, 4/15/2035
2,088,684
-------------------------------------------------------------
----
1,000,000 Norwest Corp., 6.00%, 3/15/2000
979,640
-------------------------------------------------------------
----
200,000 Royal Bank of Scotland Capital Group, 10.125%, 3/1/2004
239,078
-------------------------------------------------------------
---- -----------
Total
4,532,127
-------------------------------------------------------------
---- -----------
</TABLE>
BAYFUNDS BOND PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
----------- -------------------------------------------------------------
---- -----------
<C> <C> <S>
<C>
CORPORATE BONDS--CONTINUED
--------------------------------------------------------------------------------
----
FINANCIAL SERVICES--1.7%
-------------------------------------------------------------
----
$ 1,000,000 Salomon, Inc., Medium Term Note, 5.26%, 2/10/1999
$ 989,340
-------------------------------------------------------------
---- -----------
INSURANCE--3.5%
-------------------------------------------------------------
----
2,050,000 Allstate Corp., Deb., 7.50%, 6/15/2013
2,041,369
-------------------------------------------------------------
---- -----------
MACHINERY, EQUIPMENT & AUTO--4.6%
-------------------------------------------------------------
----
1,900,000 Caterpillar, Inc., Deb., 9.75%, 6/1/2019
2,162,333
-------------------------------------------------------------
----
500,000 Ingersoll-Rand Co., 6.875%, 2/1/2003
502,585
-------------------------------------------------------------
---- -----------
Total
2,664,918
-------------------------------------------------------------
---- -----------
RETAIL--0.9%
-------------------------------------------------------------
----
500,000 Sears, Roebuck & Co., Medium Term Note, 9.46%, 6/20/2000
554,410
-------------------------------------------------------------
---- -----------
TELEPHONE--3.4%
-------------------------------------------------------------
----
2,050,000 Pacific Bell, Deb., 7.125%, 3/15/2026
1,992,805
-------------------------------------------------------------
---- -----------
TRANSPORTATION--3.4%
-------------------------------------------------------------
----
1,000,000 Ryder Systems, Inc., 8.375%, 2/15/2017
1,047,530
-------------------------------------------------------------
----
987,231 Southwest Airlines Co., 6.26%, 9/24/2012
941,581
-------------------------------------------------------------
---- -----------
Total
1,989,111
-------------------------------------------------------------
---- -----------
UTILITIES--0.6%
-------------------------------------------------------------
----
300,000 Rural Electric Cooperative Grantor Trust CTF, 10.11%,
12/15/2017 335,862
-------------------------------------------------------------
---- -----------
TOTAL CORPORATE BONDS (IDENTIFIED COST, $17,941,260)
18,253,307
-------------------------------------------------------------
---- -----------
GOVERNMENT AGENCIES--8.7%
--------------------------------------------------------------------------------
----
2,000,000 Federal Home Loan Mortgage Corp., Note, 7.74%, 6/1/2004
2,078,580
-------------------------------------------------------------
----
1,000,000 Federal National Mortgage Association, Medium Term Note
5.30%,
1/17/1997
986,410
-------------------------------------------------------------
----
1,000,000 Federal National Mortgage Association, 9.05%, 5/10/2021
1,078,500
-------------------------------------------------------------
----
1,000,000 Tennessee Valley Authority, Medium Term Note, 7.318%,
5/31/1999 1,025,190
-------------------------------------------------------------
---- -----------
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST, $5,017,959)
5,168,680
-------------------------------------------------------------
---- -----------
</TABLE>
BAYFUNDS BOND PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
----------- -------------------------------------------------------------
---- -----------
<C> <C> <S>
<C>
U.S. TREASURY--49.1%
--------------------------------------------------------------------------------
----
$ 1,200,000 U.S. Treasury Bond, 7.50%, 11/15/2024
$ 1,327,692
-------------------------------------------------------------
----
3,970,000 U.S. Treasury Bond, 7.625%, 2/15/2025
4,483,599
-------------------------------------------------------------
----
1,000,000 U.S. Treasury Note, 6.25%, 2/15/2003
1,002,660
-------------------------------------------------------------
----
5,250,000 U.S. Treasury Note, 6.375%, 1/15/1999
5,318,092
-------------------------------------------------------------
----
9,555,000 U.S. Treasury Note, 7.50%, 1/31/1997
9,792,346
-------------------------------------------------------------
----
6,450,000 U.S. Treasury Note, 7.50%, 2/15/2005
7,023,470
-------------------------------------------------------------
---- -----------
TOTAL U.S. TREASURY (IDENTIFIED COST, $27,940,646)
28,947,859
-------------------------------------------------------------
---- -----------
TOTAL INVESTMENTS(A) (IDENTIFIED COST, $57,714,214)
$59,132,735
-------------------------------------------------------------
---- -----------
</TABLE>
(a) The cost of investments for federal tax purposes amounts to $57,714,214. The
unrealized appreciation/depreciation of investments on a federal tax basis
amounts to $1,418,521 which is comprised of $1,651,243 appreciation and
$232,722 depreciation at June 30, 1995.
Note: The categories of investments are shown as a percentage of net assets
($58,893,115) at
June 30, 1995.
(See Notes which are an integral part of the Financial Statements.)
BAYFUNDS SHORT TERM YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
----------- -------------------------------------------------------------
---- -----------
<C> <C> <S>
<C>
ASSET-BACKED SECURITIES--29.2%
--------------------------------------------------------------------------------
----
AUTO LOANS--19.8%
-------------------------------------------------------------
----
$ 4,031,236 Ford Credit Grantor Trust, Series 1994-B, Class A, 7.30%,
10/15/1999
$ 4,089,165
-------------------------------------------------------------
----
3,040,331 Ford Motor Credit Corp., Series 1994-A, Class A, 6.35%,
5/17/1999 3,046,959
-------------------------------------------------------------
----
1,802,609 Olympic Automobile Receivables Trust, Series 1995-B, Class
A1,
6.25%, 3/15/1996
1,803,690
-------------------------------------------------------------
----
5,000,000 Premier Auto Trust, Series 1994-4, Class A4, 6.45%, 5/2/1998
5,033,350
-------------------------------------------------------------
---- -----------
Total
13,973,164
-------------------------------------------------------------
---- -----------
BANK CREDIT CARDS--9.4%
-------------------------------------------------------------
----
2,062,500 Chase Manhattan Credit Card Master Trust, Series 1991-2,
Class A,
7.65%, 11/15/1998
2,069,574
-------------------------------------------------------------
----
2,083,333 Discover Card Trust, Series 1991-C, Class A, 7.20%, 4/16/1998
2,088,542
-------------------------------------------------------------
----
2,500,000 MBNA Credit Card Trust, Series 1991-A, Class A, 8.25%,
6/30/1998 2,507,025
-------------------------------------------------------------
---- -----------
Total
6,665,141
-------------------------------------------------------------
---- -----------
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST, $20,470,189)
20,638,305
-------------------------------------------------------------
---- -----------
CERTIFICATE OF DEPOSIT--2.8%
--------------------------------------------------------------------------------
----
FOREIGN BANK--2.8%
-------------------------------------------------------------
----
2,000,000 Bayerische Landesbank Girozentrale, 6.375%, 5/31/1996
(IDENTIFIED COST, $2,000,000)
2,000,000
-------------------------------------------------------------
---- -----------
CORPORATE BONDS--20.4%
--------------------------------------------------------------------------------
----
AUTOMOTIVE--6.0%
-------------------------------------------------------------
----
2,000,000 Chrysler Financial Corp., 6.625%, 8/15/2000
1,992,760
-------------------------------------------------------------
----
1,275,000 General Motors Acceptance Corp., 5.70%, 10/13/1998
1,243,304
-------------------------------------------------------------
----
1,000,000 General Motors Acceptance Corp., 6.50%, 7/25/1997
1,000,600
-------------------------------------------------------------
---- -----------
Total
4,236,664
-------------------------------------------------------------
---- -----------
COMMERCIAL--1.5%
-------------------------------------------------------------
----
1,000,000 American General Finance Corp., 7.75%, 1/15/1997
1,021,830
-------------------------------------------------------------
---- -----------
</TABLE>
BAYFUNDS SHORT TERM YIELD PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
----------- -------------------------------------------------------------
---- -----------
<C> <C> <S>
<C>
CORPORATE BONDS--CONTINUED
--------------------------------------------------------------------------------
----
DOMESTIC BANKS--5.8%
-------------------------------------------------------------
----
$ 2,000,000 Bank of Montreal-Chicago, 9.80%, 11/1/2000
$ 2,016,920
-------------------------------------------------------------
----
2,000,000 Chase Manhattan Corp., 7.75%, 11/1/1999
2,088,660
-------------------------------------------------------------
---- -----------
Total
4,105,580
-------------------------------------------------------------
---- -----------
FINANCIAL SERVICES--4.3%
-------------------------------------------------------------
----
3,000,000 International Lease Finance Corp., 6.75%, 5/24/1999
3,012,900
-------------------------------------------------------------
---- -----------
UTILITIES--2.8%
-------------------------------------------------------------
----
2,000,000 National Rural Co-op Corp., 6.25%, 6/15/1999
2,002,960
-------------------------------------------------------------
---- -----------
TOTAL CORPORATE BONDS (IDENTIFIED COST, $14,423,553)
14,379,934
-------------------------------------------------------------
---- -----------
GOVERNMENT AGENCIES--19.6%
--------------------------------------------------------------------------------
----
5,000,000 Federal Home Loan Bank, 7.41%, 4/10/1998
5,019,250
-------------------------------------------------------------
----
1,450,000 Federal Home Loan Mortgage Corp., 6.72%, 4/28/1999
1,451,827
-------------------------------------------------------------
----
2,000,000 Federal Home Loan Mortgage Corp., 6.565%, 4/24/1996
2,001,360
-------------------------------------------------------------
----
3,350,000 Federal Home Loan Mortgage Corp., 7.91%, 8/22/2001
3,359,447
-------------------------------------------------------------
----
2,000,000 Student Loan Marketing Association, 8.52%, 12/13/1999
2,021,700
-------------------------------------------------------------
---- -----------
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST, $13,844,969)
13,853,584
-------------------------------------------------------------
---- -----------
U.S. TREASURY--24.5%
--------------------------------------------------------------------------------
----
2,000,000 U.S. Treasury Note, 6.50%, 4/30/1997
2,022,820
-------------------------------------------------------------
----
5,000,000 U.S. Treasury Note, 6.875%, 3/31/1997
5,084,350
-------------------------------------------------------------
----
5,000,000 U.S. Treasury Note, 7.25%, 8/31/1996
5,078,900
-------------------------------------------------------------
----
5,000,000 U.S. Treasury Note, 7.375%, 5/15/1996
5,065,600
-------------------------------------------------------------
---- -----------
TOTAL U.S. TREASURY (IDENTIFIED COST, $17,008,203)
17,251,670
-------------------------------------------------------------
---- -----------
</TABLE>
BAYFUNDS SHORT TERM YIELD PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
----------- -------------------------------------------------------------
---- -----------
<C> <C> <S>
<C>
(A) REPURCHASE AGREEMENT--3.4%
--------------------------------------------------------------------------------
----
$ 2,413,000 Sanwa Securities (USA) Co., L.P., 6.15%, dated 6/30/1995, due
7/3/1995 (AT AMORTIZED COST)
$ 2,413,000
-------------------------------------------------------------
---- -----------
TOTAL INVESTMENTS (IDENTIFIED COST, $70,159,914)(B)
$70,536,493
-------------------------------------------------------------
---- -----------
</TABLE>
(a) The repurchase agreement is fully collateralized by U.S. Government and/or
agency obligations based on market prices at the date of the portfolio.
(b) The cost of investments for federal tax purposes amounts to $70,159,914. The
unrealized appreciation of investments on a federal tax basis amounts to
$376,579, which is comprised of $451,923 appreciation and $75,344
depreciation at June 30, 1995.
Note: The categories of investments are shown as a percentage of net assets
($70,565,684) at
June 30, 1995.
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--96.3%
--------------------------------------------------------------------------------
---
AEROSPACE & DEFENSE--1.0%
--------------------------------------------------------------
---
17,750 Loral Corp.
$ 918,563
--------------------------------------------------------------
---
2,700 Raytheon Co.
209,588
--------------------------------------------------------------
--- ------------
Total
1,128,151
--------------------------------------------------------------
--- ------------
APPAREL/TEXTILES--0.6%
--------------------------------------------------------------
---
7,900 Springs Industries, Inc., Class A
294,275
--------------------------------------------------------------
---
12,400 * Tommy Hilfiger Corp.
347,200
--------------------------------------------------------------
--- ------------
Total
641,475
--------------------------------------------------------------
--- ------------
AUTO PARTS MANUFACTURERS--1.5%
--------------------------------------------------------------
---
16,200 Eaton Corp.
941,625
--------------------------------------------------------------
---
16,700 Echlin, Inc.
580,325
--------------------------------------------------------------
---
5,000 Lancaster Colony Corp.
178,750
--------------------------------------------------------------
--- ------------
Total
1,700,700
--------------------------------------------------------------
--- ------------
AUTO & TRUCK MANUFACTURERS--1.1%
--------------------------------------------------------------
---
22,600 Ford Motor Co.
672,350
--------------------------------------------------------------
---
10,750 General Motors Corp.
503,906
--------------------------------------------------------------
--- ------------
Total
1,176,256
--------------------------------------------------------------
--- ------------
BANKS--1.9%
--------------------------------------------------------------
---
19,600 BankAmerica Corp.
1,031,450
--------------------------------------------------------------
---
14,175 NationsBank Corp.
760,134
--------------------------------------------------------------
---
1,450 Wells Fargo & Co.
261,363
--------------------------------------------------------------
--- ------------
Total
2,052,947
--------------------------------------------------------------
--- ------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
BEVERAGES--3.1%
--------------------------------------------------------------
---
3,225 Anheuser Busch Co., Inc.
$ 183,422
--------------------------------------------------------------
---
8,100 * Canandaigua Wine Co., Inc., Class A
362,475
--------------------------------------------------------------
---
25,800 Coca-Cola Co.
1,644,750
--------------------------------------------------------------
---
25,325 PepsiCo, Inc.
1,155,453
--------------------------------------------------------------
--- ------------
Total
3,346,100
--------------------------------------------------------------
--- ------------
CHEMICALS--2.5%
--------------------------------------------------------------
---
27,925 Cabot Corp.
1,473,044
--------------------------------------------------------------
---
25,300 First Mississippi Corp.
863,363
--------------------------------------------------------------
---
8,700 Hercules, Inc.
424,125
--------------------------------------------------------------
--- ------------
Total
2,760,532
--------------------------------------------------------------
--- ------------
CHEMICAL-SPECIALTY--1.2%
--------------------------------------------------------------
---
15,450 Avery Dennison Corp.
618,000
--------------------------------------------------------------
---
13,450 Sigma-Aldrich Corp.
660,731
--------------------------------------------------------------
--- ------------
Total
1,278,731
--------------------------------------------------------------
--- ------------
COMMUNICATION EQUIPMENT--1.7%
--------------------------------------------------------------
---
32,950 * Andrew Corp.
1,906,981
--------------------------------------------------------------
--- ------------
COMPUTER RELATED--4.8%
--------------------------------------------------------------
---
19,600 * 3Com Corp.
1,313,200
--------------------------------------------------------------
---
14,400 * Cisco Systems, Inc.
728,100
--------------------------------------------------------------
---
8,900 * Digital Equipment Corp.
362,675
--------------------------------------------------------------
---
14,700 International Business Machines Corp.
1,411,200
--------------------------------------------------------------
---
28,675 * Sun Microsystems, Inc.
1,390,738
--------------------------------------------------------------
--- ------------
Total
5,205,913
--------------------------------------------------------------
--- ------------
COMPUTER SOFTWARE--4.9%
--------------------------------------------------------------
---
12,600 Adobe Systems, Inc.
730,800
--------------------------------------------------------------
---
5,250 Automatic Data Processing, Inc.
330,094
--------------------------------------------------------------
---
15,250 * Cabletron Systems, Inc.
812,062
--------------------------------------------------------------
---
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
COMPUTER SOFTWARE--CONTINUED
--------------------------------------------------------------
---
5,900 Computer Associates International, Inc.
$ 399,725
--------------------------------------------------------------
---
21,000 * Flserv, Inc.
590,625
--------------------------------------------------------------
---
10,600 * Microsoft Corp.
957,975
--------------------------------------------------------------
---
40,050 * Oracle Systems Corp.
1,546,931
--------------------------------------------------------------
--- ------------
Total
5,368,212
--------------------------------------------------------------
--- ------------
CONSTRUCTION--1.5%
--------------------------------------------------------------
---
35,950 Clayton Homes, Inc.
588,681
--------------------------------------------------------------
---
19,000 Crane Co.
688,750
--------------------------------------------------------------
---
9,000 Sherwin-Williams Co.
320,625
--------------------------------------------------------------
--- ------------
Total
1,598,056
--------------------------------------------------------------
--- ------------
COSMETICS/TOILETRIES--1.8%
--------------------------------------------------------------
---
4,550 Colgate-Palmolive Co.
332,719
--------------------------------------------------------------
---
27,200 Gillette Co.
1,213,800
--------------------------------------------------------------
---
7,900 International Flavors & Fragrances, Inc.
393,025
--------------------------------------------------------------
--- ------------
Total
1,939,544
--------------------------------------------------------------
--- ------------
CONTAINERS--1.8%
--------------------------------------------------------------
---
24,000 Ball Corp.
837,000
--------------------------------------------------------------
---
24,575 * Sealed Air Corp.
1,081,300
--------------------------------------------------------------
--- ------------
Total
1,918,300
--------------------------------------------------------------
--- ------------
DIVERSIFIED--0.4%
--------------------------------------------------------------
---
19,500 Teledyne, Inc.
477,750
--------------------------------------------------------------
--- ------------
DRUGS--4.2%
--------------------------------------------------------------
---
18,075 * Amgen, Inc.
1,453,908
--------------------------------------------------------------
---
8,750 * Forest Laboratories, Inc., Class A
388,281
--------------------------------------------------------------
---
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
DRUGS--CONTINUED
--------------------------------------------------------------
---
10,500 Merck & Co., Inc.
$ 514,500
--------------------------------------------------------------
---
11,800 Pfizer, Inc.
1,090,025
--------------------------------------------------------------
---
27,100 Schering-Plough Corp.
1,195,788
--------------------------------------------------------------
--- ------------
Total
4,642,502
--------------------------------------------------------------
--- ------------
ELECTRIC POWER--3.6%
--------------------------------------------------------------
---
43,600 American Electric Power Co., Inc.
1,531,450
--------------------------------------------------------------
---
11,850 FPL Group, Inc.
457,706
--------------------------------------------------------------
---
15,425 General Public Utilities
458,894
--------------------------------------------------------------
---
22,900 Houston Industries, Inc.
964,662
--------------------------------------------------------------
---
21,050 Ohio Edison Co.
476,256
--------------------------------------------------------------
--- ------------
Total
3,888,968
--------------------------------------------------------------
--- ------------
ELECTRICAL EQUIPMENT--0.5%
--------------------------------------------------------------
---
17,500 Baldor Electric Co.
500,938
--------------------------------------------------------------
--- ------------
ELECTRONICS--3.2%
--------------------------------------------------------------
---
12,200 * ADC Telecommunications, Inc.
436,150
--------------------------------------------------------------
---
11,500 Linear Technology Corp.
759,000
--------------------------------------------------------------
---
5,700 Motorola, Inc.
382,613
--------------------------------------------------------------
---
9,900 Tektronix, Inc.
487,575
--------------------------------------------------------------
---
13,250 Varian Association, Inc.
732,063
--------------------------------------------------------------
---
18,600 * Vishay Intertechnology, Inc.
671,925
--------------------------------------------------------------
--- ------------
Total
3,469,326
--------------------------------------------------------------
--- ------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
ENVIRONMENTAL--2.3%
--------------------------------------------------------------
---
10,350 * Ionics, Inc.
$ 359,662
--------------------------------------------------------------
---
6,800 Johnson Controls, Inc.
384,200
--------------------------------------------------------------
---
20,175 * Thermo Electron Corp.
812,044
--------------------------------------------------------------
---
13,200 * Thermo Instrument Systems, Inc.
323,400
--------------------------------------------------------------
---
12,175 Tyco International Ltd.
657,450
--------------------------------------------------------------
--- ------------
Total
2,536,756
--------------------------------------------------------------
--- ------------
FINANCIAL SERVICES--6.2%
--------------------------------------------------------------
---
37,300 Equifax, Inc.
1,244,887
--------------------------------------------------------------
---
18,400 First Financial Management Corp.
1,573,200
--------------------------------------------------------------
---
34,800 Green Tree Financial Corp.
1,544,250
--------------------------------------------------------------
---
30,100 Household International, Inc.
1,489,950
--------------------------------------------------------------
---
17,625 SunAmerica, Inc.
898,875
--------------------------------------------------------------
--- ------------
Total
6,751,162
--------------------------------------------------------------
--- ------------
FOOD PRODUCERS--2.5%
--------------------------------------------------------------
---
20,000 Archer-Daniels-Midland Co.
372,500
--------------------------------------------------------------
---
9,125 Campbell Soup Co.
447,125
--------------------------------------------------------------
---
13,750 ConAgra, Inc.
479,531
--------------------------------------------------------------
---
8,300 Hudson Foods, Inc., Class A
115,163
--------------------------------------------------------------
---
30,900 IBP, Inc.
1,344,150
--------------------------------------------------------------
--- ------------
Total
2,758,469
--------------------------------------------------------------
--- ------------
FOOD RETAILERS--2.1%
--------------------------------------------------------------
---
43,000 Brunos, Inc.
499,875
--------------------------------------------------------------
---
48,100 * Safeway, Inc.
1,797,738
--------------------------------------------------------------
--- ------------
Total
2,297,613
--------------------------------------------------------------
--- ------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
FURNITURE/APPLIANCES--2.1%
--------------------------------------------------------------
---
34,525 Black & Decker Corp.
$ 1,065,959
--------------------------------------------------------------
---
5,325 Newell Co.
130,462
--------------------------------------------------------------
---
21,900 Premark International, Inc.
1,136,062
--------------------------------------------------------------
--- ------------
Total
2,332,483
--------------------------------------------------------------
--- ------------
INSURANCE COMPANIES--3.8%
--------------------------------------------------------------
---
30,400 AFLAC, Inc.
1,330,000
--------------------------------------------------------------
---
10,450 American International Group, Inc.
1,191,300
--------------------------------------------------------------
---
6,175 Jefferson-Pilot Corp.
338,081
--------------------------------------------------------------
---
26,925 MGIC Investment Corp.
1,262,109
--------------------------------------------------------------
--- ------------
Total
4,121,490
--------------------------------------------------------------
--- ------------
MACHINERY/EQUIPMENT--4.8%
--------------------------------------------------------------
---
4,700 Briggs & Stratton Corp.
162,150
--------------------------------------------------------------
---
2,500 Caterpillar, Inc.
160,625
--------------------------------------------------------------
---
12,200 Danaher Corp.
369,050
--------------------------------------------------------------
---
9,525 Dover Corp.
692,944
--------------------------------------------------------------
---
14,425 Federal Signal Corp.
311,941
--------------------------------------------------------------
---
50,350 Pall Corp.
1,120,288
--------------------------------------------------------------
---
34,325 Parker-Hannifin Corp.
1,244,281
--------------------------------------------------------------
---
25,275 Timken Co.
1,165,809
--------------------------------------------------------------
--- ------------
Total
5,227,088
--------------------------------------------------------------
--- ------------
MEDICAL SUPPLIES/SERVICES--5.7%
--------------------------------------------------------------
---
7,675 Becton, Dickinson & Co.
447,069
--------------------------------------------------------------
---
10,500 * Biomet, Inc.
162,750
--------------------------------------------------------------
---
15,125 * Cordis Corp.
1,009,594
--------------------------------------------------------------
---
9,500 * HealthCare COMPARE Corp.
285,000
--------------------------------------------------------------
---
19,000 Invacare Corp.
788,500
--------------------------------------------------------------
---
10,600 Johnson & Johnson
716,825
--------------------------------------------------------------
---
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
MEDICAL SUPPLIES/SERVICES--CONTINUED
--------------------------------------------------------------
---
22,200 Medtronic, Inc.
$ 1,712,175
--------------------------------------------------------------
---
11,150 Omnicare, Inc.
302,444
--------------------------------------------------------------
---
22,200 Stryker Corp.
851,925
--------------------------------------------------------------
--- ------------
Total
6,276,282
--------------------------------------------------------------
--- ------------
METALS & MINING--0.1%
--------------------------------------------------------------
---
7,950 Handy & Harman
123,225
--------------------------------------------------------------
--- ------------
NATURAL GAS--0.5%
--------------------------------------------------------------
---
15,400 Williams Companies, Inc. (The)
537,075
--------------------------------------------------------------
--- ------------
OIL-DOMESTIC--1.2%
--------------------------------------------------------------
---
12,000 Amoco Corp.
799,500
--------------------------------------------------------------
---
5,050 Atlantic Richfield Co.
554,237
--------------------------------------------------------------
--- ------------
Total
1,353,737
--------------------------------------------------------------
--- ------------
OIL-INTERNATIONAL--5.4%
--------------------------------------------------------------
---
17,678 British Petroleum, Ltd., ADR
1,513,679
--------------------------------------------------------------
---
14,000 Chevron Corp.
652,750
--------------------------------------------------------------
---
8,600 Exxon Corp.
607,375
--------------------------------------------------------------
---
32,000 Imperial Oil Ltd.
1,188,000
--------------------------------------------------------------
---
14,500 Mobil Corp.
1,392,000
--------------------------------------------------------------
---
4,800 Royal Dutch Petroleum Co., ADR
585,000
--------------------------------------------------------------
--- ------------
Total
5,938,804
--------------------------------------------------------------
--- ------------
OIL-SERVICES--1.1%
--------------------------------------------------------------
---
32,275 Halliburton Co.
1,153,831
--------------------------------------------------------------
--- ------------
PAPER/FOREST PRODUCTS--2.9%
--------------------------------------------------------------
---
9,950 Champion International Corp.
518,644
--------------------------------------------------------------
---
7,475 International Paper Co.
640,981
--------------------------------------------------------------
---
5,825 Mead Corp.
345,859
--------------------------------------------------------------
---
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
PAPER/FOREST PRODUCTS--CONTINUED
--------------------------------------------------------------
---
23,050 Scott Paper Co.
$ 1,140,975
--------------------------------------------------------------
---
9,150 Willamette Industries, Inc.
507,825
--------------------------------------------------------------
--- ------------
Total
3,154,284
--------------------------------------------------------------
--- ------------
PRINTING/PUBLISHING--0.3%
--------------------------------------------------------------
---
11,400 Meredith Corp.
289,275
--------------------------------------------------------------
--- ------------
PROFESSIONAL SERVICES--1.4%
--------------------------------------------------------------
---
12,450 Cintas Corp.
441,975
--------------------------------------------------------------
---
9,825 Kelly Services, Inc., Class A
252,994
--------------------------------------------------------------
---
17,200 Olsten Corp.
563,300
--------------------------------------------------------------
---
5,100 Xtra Corp.
235,875
--------------------------------------------------------------
--- ------------
Total
1,494,144
--------------------------------------------------------------
--- ------------
RAILROADS--0.4%
--------------------------------------------------------------
---
12,700 Illinois Central Corp.
438,150
--------------------------------------------------------------
--- ------------
RECREATION--2.1%
--------------------------------------------------------------
---
7,325 Capital Cities/ABC, Inc.
768,209
--------------------------------------------------------------
---
8,600 * Champion Enterprises, Inc.
136,525
--------------------------------------------------------------
---
18,525 Disney (Walt) Co.
1,030,453
--------------------------------------------------------------
---
6,200 Polygram, ADR
366,575
--------------------------------------------------------------
--- ------------
Total
2,301,762
--------------------------------------------------------------
--- ------------
RESTAURANT/LODGING--1.6%
--------------------------------------------------------------
---
35,900 McDonalds Corp.
1,404,587
--------------------------------------------------------------
---
14,500 Richfood Holdings, Inc.
320,813
--------------------------------------------------------------
--- ------------
Total
1,725,400
--------------------------------------------------------------
--- ------------
RETAIL-DISCOUNT--1.8%
--------------------------------------------------------------
---
30,093 Dollar General Corp.
951,691
--------------------------------------------------------------
---
38,700 Rite Aid Corp.
991,688
--------------------------------------------------------------
--- ------------
Total
1,943,379
--------------------------------------------------------------
--- ------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
VALUE
---------- --------------------------------------------------------------
--- ------------
<C> <C> <S>
<C>
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------
---
RETAIL-SPECIALTY--3.0%
--------------------------------------------------------------
---
10,850 Circuit City Stores, Inc.
$ 343,131
--------------------------------------------------------------
---
11,850 Lowe's Companies, Inc.
354,019
--------------------------------------------------------------
---
25,800 * Office Depot, Inc.
725,625
--------------------------------------------------------------
---
30,550 * Staples, Inc.
882,131
--------------------------------------------------------------
---
20,275 Walgreen Co.
1,016,284
--------------------------------------------------------------
--- ------------
Total
3,321,190
--------------------------------------------------------------
--- ------------
TOBACCO--0.7%
--------------------------------------------------------------
---
4,775 American Brands, Inc.
189,806
--------------------------------------------------------------
---
8,150 Philip Morris Cos., Inc.
606,156
--------------------------------------------------------------
--- ------------
Total
795,962
--------------------------------------------------------------
--- ------------
TRUCKING & SHIPPING--0.3%
--------------------------------------------------------------
---
16,000 Airlines Express International Corp.
376,000
--------------------------------------------------------------
--- ------------
UTILITY-TELEPHONE--2.7%
--------------------------------------------------------------
---
13,200 Century Telephone Enterprises, Inc.
374,550
--------------------------------------------------------------
---
14,375 Cincinnati Bell, Inc.
362,969
--------------------------------------------------------------
---
6,200 GTE Corp.
211,575
--------------------------------------------------------------
---
18,450 Sprint Corp.
620,381
--------------------------------------------------------------
---
14,950 Telecommunication Corp. of New Zealand, ADR
906,344
--------------------------------------------------------------
---
9,350 Telephone and Data System, Inc.
340,106
--------------------------------------------------------------
---
4,150 U.S. West, Inc.
172,744
--------------------------------------------------------------
--- ------------
Total
2,988,669
--------------------------------------------------------------
--- ------------
TOTAL COMMON STOCKS (IDENTIFIED COST, $85,280,770)
$105,237,612
--------------------------------------------------------------
--- ------------
</TABLE>
BAYFUNDS EQUITY PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
VALUE
---------- ----------------------------------------------------------------
-- ------------
<C> <C> <S>
<C>
**REPURCHASE AGREEMENT--5.9%
--------------------------------------------------------------------------------
--
$6,470,000 Aubrey G. Lanston & Co., Inc., 6.05%, dated 6/30/1995, due
7/3/1995 (AT AMORTIZED COST)
$ 6,470,000
----------------------------------------------------------------
-- ------------
TOTAL INVESTMENTS (IDENTIFIED COST, $91,750,770)
$111,707,612+
----------------------------------------------------------------
-- ------------
</TABLE>
* Non-income producing.
** The repurchase agreement is fully collateralized by U.S. Treasury obligations
based on market prices at the date of the portfolio.
+ The cost of investments for federal tax purposes amounts to $91,750,770. The
net unrealized appreciation of investments on a federal tax basis amounts to
$19,956,842, which is comprised of $20,602,649 appreciation and $645,807
depreciation at June 30, 1995.
Note: The categories of investments are shown as a percentage of net assets
($109,331,415) at June 30, 1995.
The following acronym is used throughout this portfolio:
ADR--American Depositary Receipt
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BAYFUNDS
BAYFUNDS BAYFUNDS
BOND
SHORT TERM EQUITY
PORTFOLIO
YIELD PORTFOLIO PORTFOLIO
----------
- ---------------- ------------
<S> <C>
<C> <C>
ASSETS:
-------------------------------------------------------------------
Investments in securities
$59,132,735 $ 70,536,493 $111,707,612
-------------------------------------------------------------------
Cash
41,633 908 4,618
-------------------------------------------------------------------
Income receivable
1,143,207 820,158 70,827
-------------------------------------------------------------------
Receivable for shares sold
72,000 72,604 3,560
-------------------------------------------------------------------
Deferred expenses
30,326 47,203 35,225
------------------------------------------------------------------- ---------
- ------------ -----------
Total assets
60,419,901 71,477,366 111,821,842
------------------------------------------------------------------- ---------
- ------------ -----------
LIABILITIES:
-------------------------------------------------------------------
Payable for investments purchased -
- -- 635,176
-------------------------------------------------------------------
Payable for shares redeemed
1,206,784 622,121 1,801,549
-------------------------------------------------------------------
Income distribution payable
272,869 253,292 --
-------------------------------------------------------------------
Accrued expenses
47,133 36,269 53,702
------------------------------------------------------------------- ---------
- ------------ -----------
Total liabilities
1,526,786 911,682 2,490,427
------------------------------------------------------------------- ---------
- ------------ -----------
NET ASSETS CONSIST OF:
-------------------------------------------------------------------
Paid in capital
59,711,380 82,444,429 89,467,167
-------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments
1,418,521 376,579 19,956,842
-------------------------------------------------------------------
Accumulated net realized gain (loss) on investments
(2,236,786) (12,255,324) (96,797)
-------------------------------------------------------------------
Undistributed net investment income -
- -- 4,203
------------------------------------------------------------------- ---------
- ------------ -----------
Total Net Assets
$58,893,115 $ 70,565,684 $109,331,415
------------------------------------------------------------------- ---------
- ------------ -----------
NET ASSETS:
-------------------------------------------------------------------
Investment Shares $
6,241,369 $ 24,971,578 $ 28,506,855
------------------------------------------------------------------- ---------
- ------------ -----------
Institutional Shares
$52,651,746 $ 45,594,106 $ 80,824,560
------------------------------------------------------------------- ---------
- ------------ -----------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PROCEEDS PER SHARE:
-------------------------------------------------------------------
Investment Shares
$10.01 $9.20 $12.28
------------------------------------------------------------------- ---------
- ------------ -----------
Institutional Shares
$10.01 $9.20 $12.28
------------------------------------------------------------------- ---------
- ------------ -----------
SHARES OUTSTANDING:
-------------------------------------------------------------------
Investment Shares
623,346 2,713,306 2,321,196
------------------------------------------------------------------- ---------
- ------------ -----------
Institutional Shares
5,258,322 4,954,048 6,580,582
------------------------------------------------------------------- ---------
- ------------ -----------
Total shares outstanding
5,881,668 7,667,354 8,901,778
------------------------------------------------------------------- ---------
- ------------ -----------
Investments, at identified and tax costs
$57,714,214 $ 70,159,914 $ 91,750,770
------------------------------------------------------------------- ---------
- ------------ -----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BAYFUNDS
BAYFUNDS BAYFUNDS
BOND
SHORT TERM EQUITY
PORTFOLIO
YIELD PORTFOLIO PORTFOLIO
---------- ---
------------- -----------
<S> <C>
<C> <C>
INVESTMENT INCOME:
------------------------------------------------------------
Dividends $ --
$ -- $ 877,264
------------------------------------------------------------
Interest 2,161,557
2,758,226 177,284
------------------------------------------------------------ ----------
---------- -----------
Total income 2,161,557
2,758,226 1,054,548
------------------------------------------------------------ ----------
---------- -----------
EXPENSES:
------------------------------------------------------------
Investment advisory fee 178,827
197,105 374,698
------------------------------------------------------------
Administrative personnel and services fee 30,371
40,193 54,560
------------------------------------------------------------
Custodian fees 6,853
6,258 17,943
------------------------------------------------------------
Transfer and dividend disbursing agent fees and expenses 12,253
11,409 16,309
------------------------------------------------------------
Directors'/Trustees' fees 1,490
1,644 2,676
------------------------------------------------------------
Auditing fees 5,226
5,493 6,640
------------------------------------------------------------
Legal fees 2,544
1,576 5,617
------------------------------------------------------------
Portfolio accounting fees 34,288
32,021 36,670
------------------------------------------------------------
Shareholder services fee--Investment Shares 7,014
35,951 34,523
------------------------------------------------------------
Share registration costs 16,052
14,653 14,589
------------------------------------------------------------
Printing and postage 16,744
16,054 21,239
------------------------------------------------------------
Insurance premiums 2,308
2,803 4,502
------------------------------------------------------------
Miscellaneous 5,379
3,744 5,481
------------------------------------------------------------ ----------
---------- -----------
Total expenses 319,349
368,904 595,447
------------------------------------------------------------ ----------
---------- -----------
Net investment income 1,842,208
2,389,322 459,101
------------------------------------------------------------ ----------
---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
------------------------------------------------------------
Net realized gain (loss) on investments 26,853
(650,210) 2,531,720
------------------------------------------------------------
Change in unrealized appreciation (depreciation) of
investments 3,685,685
1,133,512 14,050,368
------------------------------------------------------------ ----------
---------- -----------
Net realized and unrealized gain (loss) on investments 3,712,538
483,302 16,582,088
------------------------------------------------------------ ----------
---------- -----------
Change in net assets resulting from operations $5,554,746
$2,872,624 $17,041,189
------------------------------------------------------------ ----------
---------- -----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAY FUNDS INCOME AND EQUITY PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BAYFUNDS SHORT
TERM YIELD
BAYFUNDS BOND PORTFOLIO
PORTFOLIO BAYFUNDS EQUITY PORTFOLIO
----------------------------- -----------------
------------- ------------------------------
SIX MONTHS SIX MONTHS
SIX MONTHS
ENDED YEAR ENDED
YEAR ENDED YEAR
JUNE 30, ENDED JUNE 30,
ENDED JUNE 30, ENDED
1995 DECEMBER 31, 1995
DECEMBER 31, 1995 DECEMBER 31,
(UNAUDITED) 1994 (UNAUDITED)
1994 (UNAUDITED) 1994
------------------------ ------------ ------------ ------------
------------- ------------ -------------
<S> <C> <C> <C>
<C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS:
------------------------
Net investment income $ 1,842,208 $ 3,668,202 $ 2,389,322
$ 6,222,146 $ 459,101 $ 1,149,003
------------------------
Net realized gain on
investments 26,853 (2,263,688) (650,210)
(11,529,693) 2,531,720 (538,539)
------------------------
Net change in unrealized
appreciation
(depreciation) of
investments 3,685,685 (2,924,221) 1,133,512
513,580 14,050,368 (4,173,943)
------------------------ ----------- ----------- ------------
------------ ------------ -------------
Change in net assets
resulting from
operations 5,554,746 (1,519,707) 2,872,624
(4,793,967) 17,041,189 (3,563,479)
------------------------ ----------- ----------- ------------
------------ ------------ -------------
DISTRIBUTIONS TO
SHAREHOLDERS--
------------------------
Distributions from net
investment income:
------------------------
Investment Shares (167,289) (341,107) (847,455)
(2,556,438) (94,514) (245,091)
------------------------
Institutional Shares (1,674,919) (3,327,095) (1,541,867)
(3,665,708) (378,115) (901,108)
------------------------ ----------- ----------- ------------
------------ ------------ -------------
Change in net assets
resulting from
distributions to
shareholders (1,842,208) (3,668,202) (2,389,322)
(6,222,146) (472,629) (1,146,199)
------------------------ ----------- ----------- ------------
------------ ------------ -------------
SHARE TRANSACTIONS--
------------------------
Proceeds from sale of
shares 6,166,664 83,396,750 4,436,217
126,448,882 8,122,702 118,436,160
------------------------
Net asset value of
shares issued to
shareholders in payment
of distributions
declared 243,229 323,304 762,716
2,224,772 109,114 251,323
------------------------
Cost of shares redeemed (12,984,631) (94,856,372) (26,621,009)
(199,453,887) (22,683,907) (118,449,884)
------------------------ ----------- ----------- ------------
------------ ------------ -------------
Change in net assets
resulting from share
transactions (6,574,738) (11,136,318) (21,422,076)
(70,780,233) (14,452,091) 237,599
------------------------ ----------- ----------- ------------
------------ ------------ -------------
Change in net assets (2,862,200) (16,324,227) (20,938,774)
(81,796,346) 2,116,469 (4,472,079)
------------------------
NET ASSETS:
------------------------
Beginning of period 61,755,315 78,079,542 91,504,458
173,300,804 107,214,946 111,687,025
------------------------ ----------- ----------- ------------
------------ ------------ -------------
End of period $58,893,115 $61,755,315 $ 70,565,684
$ 91,504,458 $109,331,415 $ 107,214,946
------------------------ ----------- ----------- ------------
------------ ------------ -------------
Undistributed net
investment income
included in net assets
at end of period $ -- $ -- $ --
$ -- $ 4,203 $ 17,731
------------------------ ----------- ----------- ----------
------------ ------------ -------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
DIVIDENDS TO
DIVIDENDS TO SHAREHOLDERS
NET ASSET NET REALIZED
SHAREHOLDERS FROM NET
VALUE, NET AND UNREALIZED TOTAL FROM
FROM NET REALIZED GAIN
YEAR ENDED BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT
INVESTMENT ON INVESTMENT
DECEMBER 31, OF PERIOD INCOME INVESTMENTS OPERATIONS
INCOME TRANSACTIONS
<S> <C> <C> <C> <C>
<C> <C>
--------------------------------------------------------------------------------
----------------------------------
INVESTMENT SHARES
BAYFUNDS BOND PORTFOLIO
1993(a) $10.00 0.55 0.24 0.79
(0.55) (0.10)
1994 $10.14 0.49 (0.73) (0.24)
(0.49) --
1995(b) $ 9.41 0.28 0.60 0.88
(0.28) --
BAYFUNDS SHORT TERM YIELD PORTFOLIO
1993(a) $10.00 0.48 (0.09) 0.39
(0.48) --
1994 $ 9.91 0.43 (0.76) (0.33)
(0.43) --
1995(b) $ 9.15 0.27 0.05 0.32
(0.27) --
BAYFUNDS EQUITY PORTFOLIO
1993(a) $10.00 0.14 0.98 1.12
(0.14) --
1994 $10.98 0.09 (0.44) (0.35)
(0.09) --
1995(b) $10.54 0.04 1.74 1.78
(0.04) --
INSTITUTIONAL SHARES
BAYFUNDS BOND PORTFOLIO
1994 $10.14 0.52 (0.73) (0.21)
(0.52) --
1995(b) $ 9.41 0.29 0.60 0.89
(0.29) --
BAYFUNDS SHORT TERM YIELD PORTFOLIO
1994 $ 9.91 0.45 (0.76) (0.31)
(0.45) --
1995(b) $ 9.15 0.28 0.05 0.33
(0.28) --
BAYFUNDS EQUITY PORTFOLIO
1994 $10.98 0.11 (0.44) (0.33)
(0.11) --
1995(b) $10.54 0.05 1.74 1.79
(0.05) --
<CAPTION>
YEAR ENDED TOTAL
DECEMBER 31, DISTRIBUTIONS
<S> <C>
---------------
INVESTMENT SHAR
BAYFUNDS BOND P
1993(a) (0.65)
1994 (0.49)
1995(b) (0.28)
BAYFUNDS SHORT
1993(a) (0.48)
1994 (0.43)
1995(b) (0.27)
BAYFUNDS EQUITY
1993(a) (0.14)
1994 (0.09)
1995(b) (0.04)
INSTITUTIONAL S
BAYFUNDS BOND P
1994 (0.52)
1995(b) (0.29)
BAYFUNDS SHORT
1994 (0.45)
1995(b) (0.28)
BAYFUNDS EQUITY
1994 (0.11)
1995(b) (0.05)
</TABLE>
--------------------------------------------------------------------------------
(a) Reflects operations for the period from January 29, 1993 (date of initial
public investment) to December 31, 1993.
(b) Six months ended June 30, 1995 (unaudited).
(c) Based on net asset value, which does not reflect the sales load or
contingent deferred sales charge, if applicable.
(d) Computed on an annualized basis.
(e) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above.
(See Notes which are an integral part of the Financial Statements)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET ASSET
NET ASSETS,
VALUE, END TOTAL NET INVESTMENT EXPENSE
WAIVER/ END OF PERIOD PORTFOLIO
OF PERIOD RETURN (C) EXPENSES INCOME
REIMBURSEMENT(E) (000 OMITTED) TURNOVER RATE
--------------------------------------------------------------------------------
----------------------------------
<S> <C> <C> <C> <C>
<C> <C>
$10.14 7.97% 0.70%(d) 5.84%(d)
0.23%(d) $ 78,080 74%
$ 9.41 (2.37%) 1.19% 5.09%
-- $ 5,136 134%
$10.01 9.51% 1.30%(d) 5.95%(d)
-- $ 6,241 91%
$ 9.91 3.96% 0.60%(d) 5.19%(d)
0.16%(d) $173,301 98%
$ 9.15 (3.43%) 1.04% 4.42%
-- $ 34,993 148%
$ 9.20 3.54% 1.09%(d) 5.90%(d)
-- $ 24,972 81%
$10.98 11.28% 0.75%(d) 1.56%(d)
0.24%(d) $111,687 81%
$10.54 (3.23%) 1.26% 0.81%
-- $ 28,903 108%
$12.28 16.90% 1.30%(d) 0.67%(d)
-- $ 28,507 44%
$ 9.41 (2.14%) 0.99% 5.29%
-- $ 56,619 134%
$10.01 9.64% 1.05%(d) 6.20%(d)
-- $ 52,652 91%
$ 9.15 (3.19%) 0.80% 4.66%
-- $ 56,511 148%
$ 9.20 3.66% 0.84%(d) 6.15%(d)
-- $ 45,594 81%
$10.54 (2.98%) 1.02% 1.05%
-- $ 78,312 108%
$12.28 17.04% 1.05%(d) 0.92%(d)
-- $ 80,825 44%
--------------------------------------------------------------------------------
----------------------------------
</TABLE>
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1995 (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 (individually referred to as the "Fund,"
or collectively as the "Funds"). The following Funds comprise the Trust:
<TABLE>
<S> <C>
FUND NAME CLASSES OF SHARES
---------------------------------------------------------- -------------------
--------------
BayFunds U.S. Treasury Money Market Portfolio Investment and
Institutional
BayFunds Money Market Portfolio Investment and
Trust
BayFunds Bond Portfolio Investment and
Institutional
BayFunds Short Term Yield Portfolio Investment and
Institutional
BayFunds Equity Portfolio Investment and
Institutional
</TABLE>
The financial statements of the following Funds are presented herein:
<TABLE>
<S> <C>
FUND NAME
----------------------------------------------------------
BayFunds Bond Portfolio ("Bond Fund")
BayFunds Short Term Yield Portfolio ("Short Term Yield Fund")
BayFunds Equity Portfolio ("Equity Fund")
</TABLE>
The financial statements of the other Funds are presented separately. The assets
of each Fund are segregated and a shareholder's interest is limited to the Fund
in which shares are held.
(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.
<TABLE>
<S> <C>
INVESTMENT VALUATIONS--U.S. Government securities are generally valued at
the bid prices
as furnished by an independent pricing service. Listed corporate bonds (and
other
fixed-income and asset-backed securities), unlisted securities (and other
fixed-income
and asset-backed securities and/or private placements) and short-term
securities are
valued at the prices provided by an independent pricing service. Listed
equity securities
are valued at the last sale price reported on national securities
exchanges. Short-term
securities with remaining maturities of sixty days or less at the time of
purchase may be
valued at amortized cost, which approximates fair market value.
</TABLE>
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
REPURCHASE AGREEMENTS--It is the policy of the Funds to require a 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
under repurchase agreement transactions. Additionally, procedures have been
established
by the Funds to monitor, on a daily basis, the market value of each
repurchase
agreement's collateral to ensure that the value of collateral at least
equals the
repurchase price to be paid under the repurchase agreement transaction.
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 the guidelines and/or standards reviewed or
established by
the Board of Trustees (the "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.
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").
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 income. Accordingly, no provisions for federal
tax are
necessary.
At December 31, 1994, the Bond Fund, Short Term Yield Fund and Equity Fund,
for federal
tax purposes, had capital loss carryforwards of $2,261,500, $11,605,114 and
$2,546,743,
respectively, which will reduce the Funds' 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 Funds of any liability for federal tax. Pursuant to the
Code, such capital
loss carryforwards will expire in 2002 ($2,261,500) for Bond Fund, 2001
($70,866) and
2002 ($11,534,248) for Short Term Yield Fund and 2001 ($2,089,978) and 2002
($456,765)
for the Equity Fund.
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.
DEFERRED EXPENSES--The costs incurred by the Funds with respect to
registration of their
shares in their first fiscal year, excluding the initial expense of
registering their
shares, have been deferred and are being amortized using the straight-line
method not to
exceed a period of five years from the Funds' commencement dates.
</TABLE>
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
OTHER--Investment transactions are accounted for on the trade date.
</TABLE>
(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 shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 1995
------------------------------------------------
----------------------------------------
BOND FUND SHORT TERM
YIELD FUND EQUITY FUND
-------------------------- ------------------
---------- --------------------------
INVESTMENT SHARES SHARES AMOUNT SHARES
AMOUNT SHARES AMOUNT
----------------------------- ---------- ------------ ----------- ---
---------- ---------- ------------
<S> <C> <C> <C> <C>
<C> <C>
Shares sold 403,350 $ 3,894,956 111,450 $
1,023,892 208,892 $ 2,385,546
-----------------------------
Shares issued in payment of
distributions declared 9,664 93,979 83,018
762,716 7,867 93,343
-----------------------------
Shares redeemed (1,170,765) (11,314,736) (1,306,167)
(11,985,191) (638,655) (7,128,367)
----------------------------- ---------- ------------ ---------- ---
---------- -------- ------------
Net change resulting from
Investment Share
transactions (757,751) ($ 7,325,801) (1,111,699) ($
10,198,583) (421,896) ($ 4,649,478)
----------------------------- ---------- ------------ ---------- ---
---------- -------- ------------
</TABLE>
<TABLE>
<CAPTION>
BOND FUND SHORT TERM
YIELD FUND EQUITY FUND
-------------------------- ------------------
---------- --------------------------
INSTITUTIONAL SHARES SHARES AMOUNT SHARES
AMOUNT SHARES AMOUNT
----------------------------- ---------- ------------ ----------- ---
---------- ---------- ------------
<S> <C> <C> <C> <C>
<C> <C>
Shares sold 233,957 $ 2,271,708 371,619 $
3,412,325 508,715 $ 5,737,156
-----------------------------
Shares issued in payment of
distributions declared 15,351 149,250
1,329 15,772
-----------------------------
Shares redeemed (171,653) (1,669,895) (1,594,698)
(14,635,818) (1,361,965) (15,555,540)
----------------------------- -------- ------------ ---------- ---
---------- ---------- ------------
Net change resulting from
Institutional Share
transactions 77,655 751,063 (1,223,079)
(11,223,493) (851,921) (9,802,612)
----------------------------- -------- ------------ ---------- ---
---------- ---------- ------------
Net change resulting from
share transactions (680,096) ($ 6,574,738) (2,334,778) ($
21,422,076) (1,273,817) ($14,452,090)
----------------------------- -------- ------------ ---------- ---
---------- ---------- ------------
</TABLE>
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1994
------------------------------------------------
----------------------------------------
EQUITY FUND
BOND FUND SHORT TERM
YIELD FUND --------------------------
-------------------------- ------------------
---------- AMOUNT
INVESTMENT SHARES SHARES AMOUNT SHARES
AMOUNT SHARES -
----------------------------- ---------- ------------ ----------- ---
---------- ----------
<S> <C> <C> <C> <C>
<C> <C>
Shares sold 230,919 $ 2,260,644 1,918,640 $
18,619,735 1,287,398 $13,811,479
-----------------------------
Shares issued in payment of
distributions declared 28,437 275,587 233,107
2,224,668 22,876 240,568
-----------------------------
Shares redeemed (7,414,329) (74,732,279) (15,805,052)
(154,332,616) (8,743,159) (94,789,797)
----------------------------- --------- ------------ ----------- ---
---------- ---------- ------------
Net change resulting from
Investment Share
transactions (7,154,973) ($72,196,048) (13,653,305)
($133,488,213) (7,432,885) ($80,737,750)
----------------------------- ---------- ------------ ----------- ---
---------- ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
BOND FUND SHORT TERM
YIELD FUND EQUITY FUND
-------------------------- ------------------
---------- --------------------------
INSTITUTIONAL SHARES SHARES AMOUNT SHARES
AMOUNT SHARES AMOUNT
----------------------------- ---------- ------------ ----------- ---
---------- ---------- ------------
<S> <C> <C> <C> <C>
<C> <C>
Shares sold 8,080,115 $ 81,136,106 10,916,607
$107,829,147 9,663,093 $104,624,681
-----------------------------
Shares issued in payment of
distributions declared 5,035 47,717 11
104 1,027 10,755
-----------------------------
Shares redeemed (2,069,077) (20,124,093) (4,739,491)
(45,121,271) (2,231,618) (23,660,087)
----------------------------- ---------- ----------- ---------- ----
--------- ---------- ------------
Net change resulting from
Institutional Share
transactions 6,016,073 61,059,730 6,177,127
62,707,980 7,432,502 80,975,349
----------------------------- ---------- ------------ ---------- ----
--------- ---------- ------------
Net change resulting from
share transactions (1,138,900) ($11,136,318) (7,476,178) ($
70,780,233) (383) $ 237,599
----------------------------- ---------- ------------ ---------- ----
--------- ---------- ------------
</TABLE>
4. INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE--BayBanks Investment Management, Inc., the Funds'
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).
<TABLE>
<CAPTION>
ANNUAL
FUND RATE
----------------------------------- ----------------------
-------------
<S> <C>
Bond Fund 0.60%
Short Term Yield Fund 0.50%
Equity Fund 0.70%
</TABLE>
ADMINISTRATIVE FEE--Federated Administrative Services ("FAS") provides the Funds
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.
SHAREHOLDER SERVICES FEE--Under the terms of a Shareholder Services Agreement
with BayBank Systems, Inc., the Funds will pay BayBank Systems, Inc. up to 0.25
of 1% of the average net assets of
BAYFUNDS INCOME AND EQUITY PORTFOLIOS
--------------------------------------------------------------------------------
each Fund's Investment Shares for the period. This fee is to obtain certain
services for shareholders and to maintain shareholder accounts.
PORTFOLIO ACCOUNTING FEES--Federated Services Company ("FServ") maintains the
Funds' accounting records for which it receives a fee. The fee is based on the
level of each of the Fund's average net assets for the period, plus
out-of-pocket expenses.
ORGANIZATIONAL EXPENSES--Organizational expenses were initially borne by FAS.
The Funds have agreed to reimburse FAS for the organizational expenses during
the five year period following December 31, 1993 (the date the Funds became
effective). For the six months ended June 30, 1995, the Funds paid FAS as
follows:
<TABLE>
<CAPTION>
INITIAL
ORGANIZATIONAL
FUND ORGANIZATIONAL EXPENSES EXPENSES
REIMBURSED
----------------------------- ----------------------------- ----------------
-------------
<S> <C> <C>
Bond Fund $52,861
$2,313
Short Term Yield Fund $50,458
$2,136
Equity Fund $48,533
$2,313
</TABLE>
GENERAL--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, 1995, were as follows:
<TABLE>
<CAPTION>
FUND PURCHASES
SALES
----------------------------- ----------------------------- ----------------
-------------
<S> <C> <C>
Bond Fund $53,138,993
$57,979,224
Short Term Yield Fund $51,338,628
$54,077,324
Equity Fund $44,878,624
$57,920,074
</TABLE>
<TABLE>
<S> <C>
TRUSTEES OFFICERS
--------------------------------------------------------------------------------
-------------
Kenneth G. Condon Glen R. Johnson
Robert W. Eisenmenger President and Treasurer
Sara L. Johnson C. Christine Thomson
Ernest R. May Vice President and Assistant
Treasurer
Alvin J. Silk Victor R. Siclari
Secretary
S. Elliott Cohan
Assistant Secretary
</TABLE>
Mutual funds are not deposits or obligations of BayBank, or any bank, are not
endorsed or guaranteed by BayBank, or 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 possible loss of principal.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by the Portfolios' combined prospectus which contains
facts concerning their objectives and policies, management fees, expenses and
other information.
