<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
One Corporate Center
Rye, New York 10580-1434
SEMI-ANNUAL REPORT
MARCH 31, 1996(a)
TO OUR SHAREHOLDERS:
With the Federal Reserve Bank clearly on hold (no move at its March
Federal Open Market Committee meeting), market participants are left to wonder
if indeed the economy is poised to regain some of the strength it lost in the
last part of 1995 and early 1996. The swift and dramatic sell off in the
treasury market over the last six weeks gathered tremendous strength with the
release of the February employment report. This report indicated that non-farm
payrolls had increased 705,000 during the month, suggesting that the recession
premium built into bond prices had been reversed, and then some. With commodity
prices moving up steadily (notably oil and gold) and the housing market heating
up, one could now argue that the Fed's easing directive is complete. Of
particular note is the aforementioned employment situation which, in the Fed's
eyes, could be a precursor to a new round of wage inflation. Indeed, the March
report just released by the Bureau of Labor Statistics showed a stronger than
expected gain of 140,000 jobs, while the number from February was revised to
624,000, which is still incredibly strong. The bond market responded with a
continuation of the sell-off.
We felt that the market during the early part of the year had gotten
ahead of itself and was in the expensive area of the trading range. Still, with
the possibility of the Fed becoming more aggressive with its easing, a view
shared at that time by a majority of economists and Fed watchers, we felt that
extending on any back up in yields was the right thing to do. When it became
apparent that all of retail (the non-Wall Street dealer community) was confused
and surprised by the sudden change in market psychology, we felt it prudent to
move to the sidelines (shorten the average life of the portfolio) and wait until
more news is released which would help to define a new trading range in the
short-term Treasury market.
Despite payrolls continuing to move up strongly, and a Fed that should
be on hold for the foreseeable future, we continue to be positive on the market.
We find it hard to believe that an economy that just two months ago was rapidly
decelerating, and possibly disinflationary, with the National Purchasing Manager
- ----------
(a) The Fund's fiscal year ends September 30, 1996.
<PAGE>
Index firmly at 42% (any reading below 50% shows an economy contracting), can
turn that quickly into a dramatically "above-trend line" growth situation. We
continue to believe that the main engine of the economy, the consumer, is still
over-extending in terms of debt and living in an era of angst and corporate
downsizing. Higher long-term rates as a result of the recent market downturn
could have a detrimental effect on economic growth going forward. We feel
inflation on all fronts will remain in check and, given the fact that the
political rhetoric will begin to rise in the coming months, the Fed may indeed
find room to ease during the second half of 1996.
INVESTMENT RESULTS
From the Fund's inception on October 1, 1992 through March 31, 1996, the
Fund earned an average annualized return of 3.93%. For the six months ending
March 31, 1996, the Fund returned 2.53%. The 7-day annualized yield and the
30-day annualized yield on March 31, 1996 were 4.75% and 4.76%, respectively. As
of March 31, 1996, the Fund had net assets of $278.9 million with 5,547
shareholder accounts. The Fund maintained a stable net asset value of $1.00 per
share throughout the period.
An investment in The Gabelli U.S. Treasury Money Market Fund is neither
insured nor guaranteed by the U.S. Government. There can be no assurance that
the Fund will maintain a stable $1 per share net asset value. The Fund's
prospectus contains more complete information, including fees and expenses. The
prospectus should be read carefully before you invest or send money. Yields will
fluctuate. If the Fund's expenses had not been capped, the Fund's 7-day
annualized yield and 30-day annualized yield would have been 4.60% and 4.61%,
respectively.
MINIMUM INITIAL INVESTMENT - $10,000
The minimum initial investment is $10,000. However, shareholders of any
of the Gabelli Funds may acquire the Fund with an initial investment of $3,000.
IRAs and retirement related accounts and custodial accounts for minors require
an initial investment of only $1,000. The Fund provides checkwriting and
exchange privileges. Expenses are capped at .30% of average net assets, making
it one of the most attractive U.S. Treasury-only money market funds. The Fund is
designed as a low-cost investment vehicle for the long-term investor and is an
excellent vehicle in which to store idle cash. The Fund continues to offer Free
Check Writing until January 1, 1997.
2
<PAGE>
INTERNET
You can now visit us on the Internet. Our home page at
http://www.gabelli.com contains information about Gabelli Funds, Inc., the
Gabelli Mutual Funds, quarterly reports, closing prices, IRAs, 401(k)s and other
current news. You can also send us E-mail at [email protected].
DAILY DIVIDENDS
The Fund declares daily dividends which are reinvested quarterly unless
you request a cash distribution. 100% of the Fund's income dividends are derived
from U.S. government securities and are therefore exempt from state and local
income taxes in all states. Please check with your tax advisor.
We thank you for your investment and we will work hard to preserve your
assets and provide competitive returns in the Treasury money market funds arena.
We are available to answer any questions you may have. Call us at 1-800-GABELLI
(1-800-422-3554).
Sincerely,
/s/ RONALD S. EAKER /s/ BRUCE N. ALPERT
---------------------------------- --------------------------
RONALD S. EAKER BRUCE N. ALPERT
Vice President & Portfolio Manager Vice President & Treasurer
April 19, 1996
3
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
<TABLE>
STATEMENT OF NET ASSETS -- MARCH 31, 1996 (UNAUDITED)
===================================================================================================
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD AT DATE MATURITY
AMOUNT OF PURCHASE DATE VALUE
- ------------ ---------------- ------------------------ ------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 93.0%
U.S. TREASURY BILLS -- 93.0%
U.S. Treasury
$261,174,000 Bills............... 4.769% to 5.127% 04/04/1996 - 09/02/1996 $259,494,029
------------
TOTAL INVESTMENTS (COST $259,494,029)(a).............................. 93.0% 259,494,029
PAYABLE FOR FUND SHARES REDEEMED...................................... (0.1) (470,750)
PAYABLE TO MANAGER.................................................... (0.0) (32,745)
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES........................ 7.1 19,919,342
----- ------------
NET ASSETS (APPLICABLE TO 278,909,876 SHARES OF BENEFICIAL INTEREST
ISSUED AND OUTSTANDING, $0.001 PAR VALUE, ONE BILLION SHARES
AUTHORIZED)......................................................... 100.0% $278,909,876
===== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.............. $ 1.00
============
<FN>
- ---------------
(a) Aggregate cost for Federal income tax purposes.
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
<TABLE>
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 1996 (UNAUDITED)
==========================================================================================================
<S> <C> <C>
INVESTMENT INCOME:
Interest income.......................................................................... $6,527,849
----------
EXPENSES:
Management fee................................................................. $368,634
Transfer agent fees............................................................ 70,462
Registration and filing fees................................................... 49,429
Trustees' fees................................................................. 15,667
Amortization of organization expenses.......................................... 10,510
Legal and audit fees........................................................... 6,404
Other.......................................................................... 31,838
--------
Total expenses before fees waived by the Manager...................................... 552,944
Fees waived by the Manager............................................................ (184,317)
----------
Total Expenses -- Net................................................................. 368,627
NET INVESTMENT INCOME...................................................................... 6,159,222
----------
NET REALIZED GAIN ON INVESTMENTS........................................................... 50,846
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................................... $6,210,068
==========
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================
<CAPTION>
SIX MONTHS ENDED
3/31/96 YEAR ENDED
(UNAUDITED) 9/30/95
---------------- ---------------
<S> <C> <C>
Net investment income................................................. $ 6,159,222 $ 12,304,496
Net realized gain on investments...................................... 50,846 78,346
------------- ---------------
Net increase in net assets resulting from operations................ 6,210,068 12,382,842
Distributions to shareholders from:
Net investment income............................................... (6,159,222) (12,304,496)
Net realized gain on investments.................................... (50,846) (78,346)
Share transactions ($1.00 per share):
Shares sold......................................................... 735,152,709 1,143,159,517
Shares issued on reinvestment of dividends and distributions........ 5,918,848 11,856,303
Shares redeemed..................................................... (680,197,789) (1,123,000,143)
------------- ---------------
Net increase in net assets............................................ 60,873,768 32,015,677
NET ASSETS:
Beginning of period................................................. 218,036,108 186,020,431
------------- ---------------
End of period....................................................... $ 278,909,876 $ 218,036,108
============= ===============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
<TABLE>
FINANCIAL HIGHLIGHTS
========================================================================================================
Per share amounts for a Fund share outstanding throughout each period.
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED SEPTEMBER 30,
3/31/96 ------------------------------
(UNAUDITED) 1995 1994 1993*
---------------- -------- -------- --------
<S> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Net investment income (a)............................ 0.0251 0.0528 0.0323 0.0271
Net gain on investments.............................. 0.0002 0.0002 0.0002 0.0002
-------- -------- -------- --------
Total from investment operations................... 0.0253 0.0530 0.0325 0.0273
-------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (0.0251) (0.0528) (0.0323) (0.0271)
Net realized gains................................. (0.0002) (0.0002) (0.0002) (0.0002)
-------- -------- -------- --------
Total distributions................................ (0.0253) (0.0530) (0.0325) (0.0273)
-------- -------- -------- --------
Net asset value, end of period....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return **...................................... 2.5% 5.4% 3.3% 2.8%
======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................. $278,910 $218,036 $186,020 $187,709
Ratio of net investment income to
average net assets.............................. 5.01%+ 5.30% 3.23% 2.73%
Ratio of operating expenses to
average net assets (b).......................... 0.30%+ 0.27% 0.30% 0.30%
<FN>
- ---------------
* The Fund commenced operations on October 1, 1992.
** Total return represents aggregate total return of a hypothetical $1,000 investment at the
beginning of the period and sold at the end of the period including reinvestment of dividends.
Total return for the period of less than one year is not annualized.
+ Annualized.
(a) Net investment income before fees waived by the Manager for the six months ended March 31, 1996
and the years ended September 30, 1995, 1994 and 1993 was $0.0243, $0.0516, $0.0312 and $0.0255,
respectively.
(b) Operating expense ratios before fees waived by the Manager for the six months ended March 31, 1996
and the years ended September 30, 1995, 1994 and 1993 were 0.45%, 0.39%, 0.43% and 0.46%,
respectively.
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
================================================================================
1. SIGNIFICANT ACCOUNTING POLICIES. The Gabelli U.S. Treasury Money Market
Fund (the "Fund") is a series of The Gabelli Money Market Funds, a Delaware
business trust (the "Trust"). The Fund is a no-load, diversified, open-end
management investment company registered under the Investment Company Act of
1940, as amended (the "1940 Act"). The Fund commenced operations on October 1,
1992. The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. The following is a
summary of significant accounting policies followed by the Fund in the
preparation of its financial statements.
SECURITY VALUATION. Investments are valued at amortized cost (which
approximates market value) whereby a portfolio instrument is valued at cost and
any discount or premium is amortized on a constant basis to the maturity of the
instrument.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME. Securities transactions are
accounted for on the trade date with realized gain or loss on investments
determined using specific identification as the cost method. Interest income
(including amortization of premium and discount) is recorded as earned.
DIVIDENDS AND DISTRIBUTIONS. Dividends from investment income (including
realized capital gains and losses) are declared daily and paid monthly.
Distributions of long-term capital gains, if any, are paid annually. At March
31, 1996, the dividends payable were $142,730.
PROVISION FOR INCOME TAXES. The Fund has qualified and intends to continue
to qualify as a regulated investment company under Subchapter M of the Internal
Revenue Code of 1986, as amended. As a result, a Federal income tax provision is
not required.
DEFERRED ORGANIZATION EXPENSES. A total of $104,264 was incurred in
connection with the organization of the Fund. These costs have been deferred and
are being amortized on a straight-line basis over a period of 60 months from the
date the Fund commenced investment operations.
2. AGREEMENTS WITH AFFILIATED PARTIES. The Trust has entered into a
management agreement (the "Management Agreement") with Gabelli Funds, Inc. (the
"Manager"), which provides that the Trust will pay the Manager a fee, computed
daily and paid monthly, at the annual rate of 0.30 percent of the value of the
Fund's average daily net assets. In accordance with the Management Agreement,
the Manager provides a continuous investment program for the Fund's portfolio,
provides all facilities and personnel, including officers required for its
administrative management, and pays the compensation of all officers and
Trustees of the Fund who are its affiliates. To the extent necessary, the
Manager has undertaken to assume certain expenses of the Trust so that the total
expenses do not exceed 0.30 percent of the Fund's average daily net assets. For
the six months ended March 31, 1996, the Manager voluntarily waived management
fees of $184,317.
7
<PAGE>
THE GABELLI U.S. TREASURY
MONEY MARKET FUND
One Corporate Center
Rye, New York 10580-1434
1-800-GABELLI
[1-800-422-3554]
FAX: 1-914-921-5118
http://www.gabelli.com
e-mail: [email protected]
(Net Asset Value may be obtained daily by calling 1-800-GABELLI after 6:00 P.M.)
BOARD OF TRUSTEES
Mario J. Gabelli, CFA Thomas E. O'Connor
Chairman and President General Partner
Gabelli-O'Connor
Anthony J. Colavita Fixed Income
Attorney-at-Law Mutual Funds
Anthony J. Colavita, P.C. Management Company
Vincent D. Enright John J. Parker
Senior Vice President and Attorney-at-Law
Chief Financial Officer McCarthy, Fingar,
Brooklyn Union Gas Company Donovan, Drazen & Smith
Karl Otto Pohl
Former President
Deutsche Bundesbank
Anthonie C. van Ekris
Managing Director
BALMAC International, Inc.
OFFICERS
Mario J. Gabelli, CFA Vice President And
Chairman and President Portfolio Manager
James E. McKee Bruce N. Alpert
Secretary Vice President And
Treasurer
Ronald S. Eaker
Henley L. Smith
Vice President
DISTRIBUTOR
Gabelli & Company, Inc.
CUSTODIAN, TRANSFER AGENT AND DIVIDEND AGENT
State Street Bank and Trust Company
LEGAL COUNSEL
Willkie Farr & Gallagher
- --------------------------------------------------------------------------------
This report is submitted for the general information of the shareholders of The
Gabelli U.S. Treasury Money Market Fund. It is not authorized for distribution
to prospective investors unless preceded or accompanied by an effective
prospectus.
- --------------------------------------------------------------------------------
[PHOTO]
THE
GABELLI
U.S. TREASURY
MONEY MARKET
FUND
SEMI-ANNUAL REPORT
MARCH 31, 1996
