THE GABELLI U.S. TREASURY MONEY MARKET FUND
ANNUAL REPORT
SEPTEMBER 30, 2000(A)
[PHOTO OF JUDITH A. RANERI OMITTED]
JUDITH A. RANERI
TO OUR SHAREHOLDERS,
For the past year the Federal Reserve Board (the "Fed") has been
tightening monetary policy in an effort to slow an overheated economy to a
non-inflationary pace. The Federal Open Market Committee ("FOMC") raised the Fed
Funds rate to 6.50%, a total increase of 175 basis points from June 1999 through
May 2000. The tightening cycle began with a series of 25 basis point moves, then
accelerated to a more aggressive 50 basis point hike at the May 16 policy
meeting. Since the start of the third quarter of 2000, the Fed's tightening
cycle has begun to take effect. The economy has begun to convey signs of
slowing. However, despite the slowdown the Fed remains concerned about the
potential inflationary pressures resulting from a low unemployment rate and the
possibility of pass-through inflation due to higher energy prices.
Growth has slowed from the excessive pace evidenced during the first half
of the year. This was seen in the moderation of consumer demand, the housing
sector showing signs of softening, and the employment growth leveling off.
Another sign of slowing was the dip below 50% in the NAPM (National Association
of Purchasing Management) Index for the past two months, reflecting moderation
within the manufacturing sector. Housing activity appears to have slowed down a
bit, as seen in the 3% drop in October's new home sales. Yet there is little
evidence of a sharp, extended slowdown. Consumer confidence hovers near
historically high levels. Retail sales rose sharply during September, personal
spending remains robust and construction spending rebounded. The Producer Price
Index registered its largest one-month gain since February, while a surge in
energy prices pushed the Consumer Price Index to its largest gain since June,
both moves signaling inflation concerns. Although we have seen some moderation
in growth, final demand remains strong and high crude oil prices still threaten
an increase in "finished goods" inflation.
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(a) The Fund's fiscal year ends September 30.
<PAGE>
The Fed has most likely completed their tightening cycle for the remainder
of the year. With rising energy prices, increased tension in the Middle East and
the recent sharp decline in the stock market, speculation for near-term rate
cuts has increased. However, given such factors, the Fed is unlikely to take the
risk of cutting rates. The Fed is also concerned about how an easing might
impact the equity markets. While the next major shift in monetary policy may be
a rate cut, such action would only be warranted with an extraordinary slowing of
growth.
INVESTMENT RESULTS
For the twelve-month period ended September 30, 2000, The Gabelli U.S.
Treasury Money Market Fund's (the "Fund") total return was 5.49%. The Lipper
U.S. Treasury Money Market Average had a total return of 5.20% over the same
period. The Lipper Average reflects the average performance of mutual funds
classified in this particular category. The Fund's 7-day annualized yield and
30-day annualized yield on September 30, 2000 were 5.93% and 5.97%,
respectively.
For the five-year period ended September 30, 2000, the Fund's total return
averaged 5.07% versus an average annual total return of 4.82% for the Lipper
U.S. Treasury Money Market Average. Since inception on October 1, 1992 through
September 30, 2000, the Fund had an average annual total return of 4.60%. As of
September 30, 2000, direct shareholders total 6,243 and net assets are $614.8
million. The Fund maintained a stable net asset value of $1.00 per share
throughout the period.
MINIMUM INITIAL INVESTMENT - $10,000
The Fund's minimum initial investment is $10,000. However, shareholders of
any of the Gabelli Funds may invest in the Fund with an initial investment of
$3,000. IRAs, retirement accounts and custodial accounts for minors require an
initial investment of only $1,000. The Fund provides check writing and exchange
privileges and continues to offer these services at no charge to shareholders.
The Fund's expenses are capped at 0.30% of average net assets, making it one of
the most attractive U.S. Treasury-only money market funds. With dividends that
are exempt from state and local income taxes in all states, the Fund is an
excellent vehicle in which to store idle cash.
WWW.GABELLI.COM
Please visit us on the Internet. Our homepage at http://www.gabelli.com
contains information about Gabelli Asset Management Inc., the Gabelli Mutual
Funds, IRAs, 401(k)s, quarterly reports, closing prices and other current news.
You can send us e-mail at [email protected].
DAILY DIVIDENDS
The Fund declares daily dividends which are reinvested monthly unless a
cash distribution is requested. The Fund invests exclusively in U.S. Treasury
securities and therefore 100% of the Fund's income dividends are exempt from
state and local income taxes in all states. Please consult your tax adviser for
the applicability to your specific situation.
2
<PAGE>
We thank you for your loyalty and as always, pledge our best efforts on
your behalf as we seek to provide you with competitive returns. Please call us
at 1-800-GABELLI (1-800-422-3554) during the business day for further
information.
Sincerely,
/S/ SIGNATURE
JUDITH A. RANERI
Vice President and
Portfolio Manager
October 16, 2000
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Total returns and average
annual returns, which reflect changes in investment income, are net of expenses.
Investment returns and yields will fluctuate. An investment in The Gabelli U.S.
Treasury Money Market Fund is neither insured nor guaranteed by the U.S.
Government or the Federal Deposit Insurance Corporation. Although the Fund seeks
to preserve the value of an investment at $1.00 per share, there can be no
assurance that the Fund will maintain a stable $1.00 per share net asset value,
so it is possible to lose money by investing in the Fund. The Fund's prospectus
contains more complete information, including fees and expenses. The prospectus
should be read carefully before investing or sending money. If the Fund's
expenses had not been capped, the Fund's 7-day annualized yield and 30-day
annualized yield would have been 5.86% and 5.90%, respectively, as of September
30, 2000.
3
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
STATEMENT OF NET ASSETS -- SEPTEMBER 30, 2000
<TABLE>
-------------------------------------------------------------------------------------------------------------------
<CAPTION>
PRINCIPAL ANNUALIZED YIELD AT MATURITY MARKET
AMOUNT DATE OF PURCHASE DATE VALUE
--------- ------------------- -------- ------
<S> <C> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 99.9%
U.S. TREASURY BILLS -- 92.9%
$575,926,000 U.S. Treasury Bills 5.874% to 6.340% 10/05/00-12/28/00 $571,260,945
------------
INTEREST RATE
-------------
U.S. TREASURY NOTES -- 7.0%
43,000,000 U.S. Treasury Notes 4.000% to 6.375% 10/31/00-03/31/01 42,986,796
------------
TOTAL INVESTMENTS (Cost $614,247,741)(a) .............................................. 99.9% 614,247,741
OTHER ASSETS AND LIABILITIES (NET) .................................................... 0.1 534,007
------
NET ASSETS
(applicable to 614,865,403 shares outstanding, $0.001 par value,
one billion shares authorized) ...................................................... 100.0% $614,781,748
====== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ............................... $1.00
=====
-------------------------------------------------------
<FN>
(a) Aggregate cost for Federal tax purposes.
</FN>
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
------------------------------------------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each period:
<CAPTION>
YEAR ENDED SEPTEMBER 30,
---------------------------------------------------
2000 1999 1998 1997(C) 1996
-------- -------- -------- ------- --------
<S> <C> <C> <C> <C> <C>
OPERATING PERFORMANCE:
Net asset value, beginning of period ............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- ------- --------
Net investment income (a) ........................ 0.0526 0.0422 0.0496 0.0485 0.0492
Net realized gain on investments ................. 0.0010 0.0005 0.0005 0.0013 0.0006
-------- -------- -------- ------- --------
Total from investment operations ................. 0.0536 0.0427 0.0501 0.0498 0.0498
-------- -------- -------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income ............................ (0.0526) (0.0422) (0.0496) (0.0485) (0.0492)
Net realized gain on investments ................. (0.0010) (0.0005) (0.0005) (0.0013) (0.0006)
-------- -------- -------- ------- --------
Total distributions .............................. (0.0536) (0.0427) (0.0501) (0.0498) (0.0498)
-------- -------- -------- ------- --------
NET ASSET VALUE, END OF PERIOD ................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ======== ======== ======== ========
Total return+ .................................... 5.5% 4.4% 5.1% 5.1% 5.1%
========= ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $614,782 $480,100 $314,394 $203,542 $216,038
Ratio of net investment income to average net assets 5.29% 4.19% 4.91% 4.85% 4.92%
Ratio of operating expenses to average net assets (b) 0.30% 0.30% 0.30% 0.30% 0.30%
------------------------------------------------------------
<FN>
+ 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.
(a) Net investment income before fees waived by the Manager for the fiscal
years ended September 30, 2000, 1999, 1998, 1997 and 1996 were $0.0520,
$0.0412, $0.0475, $0.0469 and $0.0477, respectively.
(b) Operating expense ratios before fees waived by the Manager for the fiscal
years ended September 30, 2000, 1999, 1998, 1997 and 1996 were 0.37%,
0.40%, 0.46%, 0.45% and 0.45%, respectively.
(c) Gabelli Funds, LLC became the sole investment adviser of the Fund on April
15, 1997.
</FN>
</TABLE>
See accompanying notes to financial statements.
4
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS -- FOR THE YEAR ENDED SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest ................................................ $ 30,935,428
------------
EXPENSES:
Management fees ......................................... 1,667,188
Transfer agent fees ..................................... 172,899
Custodian fees .......................................... 83,803
Registration fees ....................................... 83,517
Legal and audit fees .................................... 35,155
Trustees' fees .......................................... 23,374
Shareholder communications expenses ..................... 3,387
Miscellaneous expenses .................................. 8,295
------------
TOTAL EXPENSES BEFORE FEES WAIVED BY MANAGER ............ 2,077,618
Fees waived by Manager .................................. (410,430)
------------
TOTAL EXPENSES -- NET ................................... 1,667,188
------------
NET INVESTMENT INCOME ...................................... 29,268,240
NET REALIZED GAIN ON INVESTMENTS ........................... 451,129
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $ 29,719,369
============
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
------------------------------------------------------------------------------------------------------------------
<CAPTION>
YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30,
2000 1999
-------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income .................................... $ 29,268,240 $ 17,970,183
Net realized gain on investments ......................... 451,129 230,183
-------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..... 29,719,369 18,200,366
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income .................................... (29,268,240) (17,970,183)
Net realized gain on investments ......................... (534,784) (230,183)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ...................... (29,803,024) (18,200,366)
-------------- --------------
SHARE TRANSACTIONS ($1.00 PER SHARE):
Shares sold .............................................. 2,781,236,363 2,175,277,133
Shares issued upon reinvestment of dividends and distributions 28,992,702 17,576,389
Shares redeemed .......................................... (2,675,463,174) (2,027,147,677)
-------------- --------------
NET INCREASE IN NET ASSETS 134,682,236 165,705,845
NET ASSETS:
Beginning of period ...................................... 480,099,512 314,393,667
-------------- --------------
End of period ............................................ $ 614,781,748 $ 480,099,512
============== ===============
</TABLE>
See accompanying notes to financial statements.
5
<PAGE>
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
1. ORGANIZATION. The Gabelli U.S. Treasury Money Market Fund (the "Fund"), a
series of The Gabelli Money Market Funds (the "Trust"), was organized on May 21,
1992 as a Delaware business trust. The Fund is a diversified, open-end
management investment company registered under the Investment Company Act of
1940, as amended (the "1940 Act"). The Fund's primary objective is high current
income consistent with the preservation of principal and liquidity. The Fund
commenced investment operations on October 1, 1992.
2. SIGNIFICANT ACCOUNTING POLICIES. 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 by using the identified cost method. Interest income (including
amortization of premium and accretion of 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.
PROVISION FOR INCOME TAXES. The Fund 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.
3. AGREEMENTS WITH AFFILIATED PARTIES. The Trust has entered into a management
agreement (the "Management Agreement") with Gabelli Funds, LLC (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,
oversees the administration of all aspects of the Fund's business and affairs
and pays the compensation of all Officers and Trustees of the Fund who are its
affiliates. To the extent necessary, the Manager has contractually 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. This arrangement is
renewable annually by the Manager. For the year ended September 30, 2000, the
Manager waived management fees of $410,430.
6
<PAGE>
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE GABELLI U.S. TREASURY MONEY MARKET FUND
(a series of The Gabelli Money Market Funds)
We have audited the accompanying statement of net assets of The Gabelli U.S.
Treasury Money Market Fund (the "Fund") (a series of The Gabelli Money Market
Funds) as of September 30, 2000, and the related statement of operations for the
year then ended, the statement of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of September 30, 2000 by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Gabelli U.S. Treasury Money Market Fund as of September 30, 2000, the results of
its operations for the year then ended, the changes in their net assets for each
of the two years in the period then ended, and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States.
/S/ SIGNATURE OF ERNST & YOUNG LLP
New York, New York
November 3, 2000
--------------------------------------------------------------------------------
2000 TAX NOTICE TO SHAREHOLDERS (Unaudited)
U.S. GOVERNMENT INCOME:
The percentage of the ordinary income dividend paid by the Fund during the
period from October 1, 1999 through September 30, 2000 which was derived from
U.S. Treasury securities was 100%. Such income is exempt from state and local
tax in all states. Due to the diversity in state and local tax law, it is
recommended that you consult your personal tax advisor as to the
applicability of the information provided to your specific situation.
--------------------------------------------------------------------------------
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 John J. Parker
CHAIRMAN AND CHIEF ATTORNEY-AT-LAW
INVESTMENT OFFICER MCCARTHY, FINGAR, DONOVAN,
GABELLI ASSET MANAGEMENT INC. DRAZEN & SMITH
Anthony J. Colavita Karl Otto Pohl
ATTORNEY-AT-LAW FORMER PRESIDENT
ANTHONY J. COLAVITA, P.C. DEUTSCHE BUNDESBANK
Vincent D. Enright Anthonie C. van Ekris
FORMER SENIOR VICE PRESIDENT MANAGING DIRECTOR
AND CHIEF FINANCIAL OFFICER BALMAC INTERNATIONAL, INC.
KEYSPAN ENERGY CORP.
OFFICERS
Mario J. Gabelli, CFA Ronald S. Eaker
PRESIDENT VICE PRESIDENT
Bruce N. Alpert Judith A. Raneri
VICE PRESIDENT AND VICE PRESIDENT
TREASURER AND PORTFOLIO MANAGER
James E. McKee Henley L. Smith
SECRETARY 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.
--------------------------------------------------------------------------------
GAB404Q300SR
[PHOTO OF MARIO GABELLI OMITTED]
THE
GABELLI
U.S. TREASURY
MONEY MARKET
FUND
ANNUAL REPORT
SEPTEMBER 30, 2000
