<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
President's Letter...................................................... 1
Portfolio of Investments:
Prime Money Market Fund............................................... 2
Prime Value Money Market Fund......................................... 6
Government Obligations Money Market Fund.............................. 12
100% Government Obligations Money Market Fund......................... 14
Treasury Instruments Money Market Fund................................ 16
Treasury Instruments Money Market Fund II............................. 17
100% Treasury Instruments Money Market Fund........................... 18
Tax-Free Money Market Fund............................................ 20
Municipal Money Market Fund........................................... 26
California Municipal Money Market Fund................................ 38
Statements of Assets and Liabilities.................................... 41
Statements of Operations................................................ 45
Statements of Changes in Net Assets..................................... 47
Financial Highlights:
Prime Money Market Fund............................................... 49
Prime Value Money Market Fund......................................... 50
Government Obligations Money Market Fund.............................. 51
100% Government Obligations Money Market Fund......................... 52
Treasury Instruments Money Market Fund................................ 53
Treasury Instruments Money Market Fund II............................. 54
100% Treasury Instruments Money Market Fund........................... 55
Tax-Free Money Market Fund............................................ 56
Municipal Money Market Fund........................................... 57
California Municipal Money Market Fund................................ 58
Notes to Financial Statements........................................... 59
Report of Independent Auditors.......................................... 66
Tax Information......................................................... 67
</TABLE>
<PAGE>
Dear Shareholders:
We are pleased to present the Annual Report for the Lehman Brothers
Institutional Funds Group Trust (the "Trust") for the period from the Trust's
commencement of operations on February 8, 1993, through its fiscal year-end on
January 31, 1994. This Report includes the portfolio holdings and audited
financial statements for the Money Market Funds that comprise the Trust, namely:
- PRIME MONEY MARKET FUNDS
Prime Money Market Fund
Prime Value Money Market Fund
- GOVERNMENT MONEY MARKET FUNDS
Government Obligations Money Market Fund
100% Government Obligations Money Market Fund
Treasury Instruments Money Market Fund
Treasury Instruments Money Market Fund II
100% Treasury Instruments Money Market Fund
- TAX-EXEMPT MONEY MARKET FUNDS
Tax-Free Money Market Fund
Municipal Money Market Fund
California Municipal Money Market Fund
A YEAR OF SUBSTANTIAL GROWTH AND SOLID INVESTMENT RESULTS.
Thanks to you our first year of operations was very successful. The combined
assets in the Lehman Brothers Institutional Funds Group Trust grew to more than
$9.6 billion during January 1994, falling back to $8.1 billion as of the end of
the month. By industry standards, this represents a remarkable growth record.
This growth is directly attributable to the Funds' experienced portfolio
management team, the Funds' low fees and expenses which specifically benefit our
shareholders, and Lehman Brothers' high standards for service delivery.
It is also noteworthy that since September 1993 five of our Funds have been
consistently recognized as top performers in their investment category by MONEY
MARKET REPORT-R- published by IBC/Donoghue, Inc.
INTRODUCING TWO NEW FUNDS.
We are pleased to announce the introduction of the LEHMAN BROTHERS FLOATING
RATE U.S. GOVERNMENT FUND and the LEHMAN BROTHERS SHORT DURATION U.S. GOVERNMENT
FUND. These two new Funds are offered in response to many of our investors who
expressed a need for products with higher yields than money market funds and
minimal fluctuations in net asset value. Lehman Brothers has extensive
experience in mortgage-backed securities. The firm is not only a leader in both
the primary and secondary markets for mortgage-backed securities, but our fixed
income research capabilities, which include mortgage research, placed first in
INSTITUTIONAL INVESTOR MAGAZINE'S "All-America Fixed-Income Research Team" poll
for 1993.
* * * * * * * *
In keeping with our commitment to our clients to provide superior products
and services, we hope you find the publications we send to you useful in keeping
up-to-date on the markets and the investment strategies utilized in the
management of the Funds. MARKET COMMENTARY, published every two weeks, includes
an outlook on the markets and strategy for the Funds. SCHEDULE OF INVESTMENTS, a
monthly publication, includes the portfolio holdings for each Fund. PORTFOLIO
HIGHLIGHTS is a quarterly publication with more detailed information on the
economy, markets and the Funds.
All of us at Lehman Brothers thank you for helping to make our first year of
operations so successful. We truly appreciate the confidence you have shown in
us by investing in the Lehman Brothers Institutional Funds Group Trust, and we
look forward to continuing to serve you by providing the highest quality
investment products and services.
Sincerely,
Peter Meenan
PRESIDENT
Lehman Brothers Institutional Funds
Group Trust
March 16, 1994
1
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Prime Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE+ DATE (NOTE 1)
- ----------- --------------- ----------- -------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- 45.9%
$50,000,000 Bankers Trust New York Corporation...... 3.386% 7/5/94 $ 49,287,750
50,000,000 Bankers Trust New York Corporation...... 3.542 10/3/94 48,830,833
50,000,000 The Bear Stearns Companies Inc.......... 3.291 7/18/94 49,248,500
25,000,000 The C.I.T Group Holding, Inc. .......... 3.108 3/25/94 24,888,417
50,000,000 The C.I.T Group Holding, Inc. .......... 3.316 4/15/94 49,667,445
54,582,000 Clipper Receivables Corporation......... 3.090 2/22/94 54,483,934
15,000,000 Corporate Asset Funding Company,
Inc. .................................. 3.117 3/21/94 14,938,000
50,000,000 CS First Boston, Inc. .................. 3.106 3/22/94 49,789,708
25,000,000 CS First Boston, Inc. .................. 3.116 3/22/94 24,894,514
18,750,000 CXC Inc. ............................... 3.089 2/18/94 18,722,729
36,598,000 Eiger Capital Corporation............... 3.089 2/16/94 36,551,033
25,000,000 Falcon Asset Securities................. 3.278 2/15/94 24,968,306
48,175,000 Falcon Asset Securities................. 3.129 2/24/94 48,078,971
7,000,000 General Electric Capital Corporation.... 3.283 2/16/94 6,990,580
100,000,000 General Electric Capital Corporation.... 3.188 10/21/94 100,000,000
10,000,000 Goldman Sachs Group, L.P. .............. 3.335 3/1/94 9,974,489
20,000,000 Goldman Sachs Group, L.P. .............. 3.281 3/2/94 19,947,960
7,000,000 McKenna Triangle National Corporation... 3.258 2/1/94 7,000,000
25,000,000 McKenna Triangle National Corporation... 3.087 2/9/94 24,982,889
13,000,000 McKenna Triangle National Corporation... 3.324 2/14/94 12,984,649
30,000,000 McKenna Triangle National Corporation... 3.272 7/18/94 29,551,883
35,000,000 Merrill Lynch & Company, Inc. .......... 3.085 2/2/94 34,997,005
50,000,000 Merrill Lynch & Company, Inc. .......... 3.089 2/14/94 49,944,389
20,000,000 Merrill Lynch & Company, Inc. .......... 3.254 2/15/94 19,974,956
8,000,000 Merrill Lynch & Company, Inc. .......... 3.324 2/15/94 7,989,827
7,000,000 Merrill Lynch & Company, Inc. .......... 3.304 2/17/94 6,989,888
20,000,000 Merrill Lynch & Company, Inc. .......... 3.183 5/27/94 19,798,750
25,000,000 Merrill Lynch & Company, Inc. .......... 3.273 7/20/94 24,622,097
50,000,000 Monte Rosa Capital Corporation.......... 3.088 2/10/94 49,961,500
25,457,000 Monte Rosa Capital Corporation.......... 3.089 2/15/94 25,426,508
10,033,000 Monte Rosa Capital Corporation.......... 3.089 2/16/94 10,020,124
30,000,000 Morgan Stanley Group Inc. .............. 3.408 2/7/94 29,983,251
34,600,000 National Cooperative Services
Corporation............................ 3.097 2/9/94 34,576,241
28,000,000 New Center Asset Trust.................. 3.097 2/9/94 27,980,773
25,000,000 New Center Asset Trust.................. 3.378 3/10/94 24,913,924
15,000,000 New Center Asset Trust.................. 3.348 3/15/94 14,941,900
35,000,000 New Center Asset Trust.................. 3.366 4/5/94 34,796,038
17,000,000 New Center Asset Trust.................. 3.175 4/20/94 16,883,975
20,000,000 Nissan Capital of America, Inc. ........ 3.474 2/10/94 19,982,750
25,000,000 Nissan Capital of America, Inc. ........ 3.405 2/23/94 24,948,438
30,000,000 Nissan Capital of America, Inc. ........ 3.432 3/10/94 29,895,166
20,000,000 Nissan Capital of America, Inc. ........ 3.339 3/16/94 19,920,928
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE+ DATE (NOTE 1)
- ----------- --------------- ----------- -------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
$19,000,000 Nissan Capital of America, Inc. ........ 3.354% 3/29/94 $ 18,901,875
11,000,000 Nissan Capital of America, Inc. ........ 3.173 4/12/94 10,932,625
20,000,000 Nissan Capital of America, Inc. ........ 3.348 4/12/94 19,871,278
4,000,000 Nissan Capital of America, Inc. ........ 3.175 4/20/94 3,972,700
50,000,000 Sheffield Receivables Corporation....... 3.090 2/18/94 49,927,278
25,000,000 Sheffield Receivables Corporation....... 3.090 2/22/94 24,955,083
26,000,000 The Student Loan Corporation............ 3.111 3/1/94 25,937,311
22,700,000 The Student Loan Corporation............ 3.114 3/11/94 22,625,721
15,000,000 The Student Loan Corporation............ 3.116 3/18/94 14,941,875
20,000,000 Transamerica Financial Corporation...... 3.117 3/22/94 19,915,611
10,490,000 Younkers Funding Corporation............ 3.448 2/23/94 10,468,076
19,440,000 Younkers Funding Corporation............ 3.327 3/8/94 19,377,630
-------------
TOTAL COMMERCIAL PAPER (COST $1,476,158,081).......................... 1,476,158,081
-------------
ASSET-BACKED SECURITIES -- 1.7%
40,000,000 Capital Auto Receivables Asset Trust,
Trust 93-3............................. 3.300 11/15/94 39,990,801
15,184,456 John Deere Owner Trust 93-B, Class
A-1.................................... 3.063 10/15/94 15,184,162
-------------
TOTAL ASSET-BACKED SECURITIES (COST $55,174,963)...................... 55,174,963
-------------
BANK/CORPORATE NOTES -- 33.0%
50,000,000 AT & T Capital Corporation, Variable
Rate................................... 3.500 11/1/94 49,988,780
25,000,000 AT & T Capital Corporation, Variable
Rate................................... 3.500 11/15/94 24,978,395
40,000,000 AT & T Capital Corporation, Variable
Rate................................... 3.500 1/26/95 40,000,000
10,000,000 Bank of New York (Delaware)............. 3.600 6/30/94 9,999,913
95,000,000 Bank of New York........................ 3.250 7/25/94 95,000,000
1,000,000 The Bear Stearns Companies Inc.,
Variable Rate.......................... 3.225 3/16/94 1,000,000
50,000,000 The Bear Stearns Companies Inc.,
Variable Rate.......................... 3.500 10/5/94 50,000,000
7,000,000 The Bear Stearns Companies Inc.,
Variable Rate.......................... 3.550 10/21/94 7,000,000
25,000,000 The Bear Stearns Companies Inc.,
Variable Rate.......................... 3.425 12/16/94 25,000,000
10,000,000 The Bear Stearns Companies Inc.,
Variable Rate.......................... 3.350 1/10/95 10,000,000
20,000,000 The Bear Stearns Companies Inc.,
Variable Rate.......................... 3.650 1/11/95 20,000,000
17,005,000 Commercial Credit Group Inc............. 6.250 1/15/95 17,399,945
5,000,000 FCC National Bank, Delaware............. 3.810 6/3/94 5,000,000
50,000,000 FCC National Bank, Delaware............. 3.250 7/26/94 50,000,000
75,000,000 FCC National Bank, Delaware, Variable
Rate................................... 3.290 1/11/95 75,000,000
9,400,000 Ford Motor Credit Company............... 8.750 1/15/95 9,832,674
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE DATE (NOTE 1)
- ----------- --------------- ----------- -------------
<C> <S> <C> <C> <C>
BANK/CORPORATE NOTES (CONTINUED)
$50,000,000 General Electric Capital Corporation.... 3.550% 1/19/95 $ 49,968,658
25,000,000 Goldman Sachs Group, L.P................ 3.500 2/28/94 25,000,000
25,000,000 Goldman Sachs Group, L.P................ 3.500 3/8/94 25,000,000
15,000,000 Goldman Sachs Group, L.P. .............. 3.700 3/21/94 15,007,675
15,000,000 Goldman Sachs Group, L.P., Variable
Rate................................... 3.375 10/12/94 15,000,000
22,000,000 Goldman Sachs Group, L.P., Variable
Rate................................... 3.640 12/21/94 22,000,000
6,000,000 Goldman Sachs Group, L.P., Variable
Rate................................... 3.570 1/18/95 6,000,000
20,000,000 Household Finance Corporation, Variable
Rate................................... 3.360 5/27/94 19,987,958
12,000,000 Household Finance Corporation, Variable
Rate................................... 3.550 11/1/94 11,995,422
45,000,000 Household Finance Corporation, Variable
Rate................................... 3.550 1/13/95 45,000,000
9,675,000 Morgan Stanley Group Inc., Variable
Rate................................... 3.375 7/29/94 9,686,515
30,000,000 Morgan Stanley Group Inc., Variable
Rate................................... 3.375 11/8/94 30,000,000
10,000,000 NationsBank Corporation................. 3.650 6/7/94 9,994,242
5,000,000 NationsBank Corporation................. 3.650 6/21/94 4,998,868
50,000,000 Northern Trust Corporation.............. 3.625 12/30/94 49,971,636
10,000,000 Old Kent Bank & Trust, Variable Rate.... 3.400 8/16/94 9,985,588
25,000,000 Paccar Financial Corporation, Variable
Rate................................... 3.500 11/15/94 24,978,395
50,000,000 PHH Corporation, Inc., Variable Rate.... 3.550 1/4/95 49,995,383
3,000,000 Pittsburgh National Bank................ 3.300 6/10/94 2,999,002
50,000,000 SMM Trust 1993-D, Variable Rate**....... 3.330 10/28/94 50,000,000
33,000,000 SMM Trust 1993-F, Variable Rate**....... 3.550 11/15/94 33,000,000
20,000,000 Toyota Motor Credit Corporation......... 3.800 3/14/94 20,009,914
10,000,000 Unilever Capital Corporation............ 3.450 7/11/94 10,005,189
30,000,000 Xerox Credit Corporation, Variable
Rate................................... 3.130 8/1/94 29,986,692
-------------
TOTAL BANK/CORPORATE NOTES (COST $1,060,770,844)...................... 1,060,770,844
-------------
CERTIFICATE OF DEPOSIT -- 0.4% (COST $15,001,083)
15,000,000 Old Kent Bank & Trust................... 3.300 3/14/94 15,001,083
-------------
TAXABLE MUNICIPALS -- 2.2%
17,000,000 County of Cuyahoga, Ohio................ 4.170 12/30/94 17,032,766
53,000,000 The City of New York.................... 3.460 3/9/94 53,000,000
-------------
TOTAL TAXABLE MUNICIPALS (COST $70,032,766)........................... 70,032,766
-------------
U.S. GOVERNMENT AGENCY NOTES -- 4.9%
35,000,000 Federal Farm Credit Bank, Variable
Rate................................... 3.200 9/7/94 34,977,612
45,000,000 Federal National Mortgage Association,
Variable Rate.......................... 3.400 12/20/95 45,000,000
40,000,000 Federal National Mortgage Association,
Variable Rate.......................... 3.600 10/7/96 40,000,000
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE DATE (NOTE 1)
- ----------- --------------- ----------- -------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY NOTES (CONTINUED)
$ 5,000,000 Nebraska Higher Education Loan Program,
(Letter of Credit: SLMA), Variable
Rate................................... 3.270% 3/15/95 $ 5,002,604
8,000,000 Student Loan Marketing Association,
Series CA, Variable Rate............... 3.370 1/21/98 8,044,470
23,000,000 Student Loan Marketing Association,
Series BZ, Variable Rate............... 3.190 11/24/97 23,000,000
1,000,000 Student Loan Marketing Association,
Variable Rate.......................... 3.370 11/20/97 1,001,776
-------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (COST $157,026,462)................ 157,026,462
-------------
REPURCHASE AGREEMENTS -- 11.9%
Agreement with First Boston Corporation dated 1/31/94 bearing 3.250%
to be repurchased at $109,337,870 on 2/1/94, collateralized by
109,328,000 $149,936,588 FNMA mortgage-backed securities, with various maturities
and interest rates (market value -- $111,603,868).................... 109,328,000
Agreement with Kidder Peabody & Company dated 1/31/94 bearing 3.337%
to be repurchased at $200,018,539 on 2/1/94, collateralized by
200,000,000 $386,567,764 FNMA/FHLMC mortgage-backed securities with various
maturities and interest rates (market value -- $204,456,278)......... 200,000,000
Agreement with Merrill Lynch & Company dated 1/31/94 bearing 3.230% to
be repurchased at $75,006,729 on 2/1/94, collateralized by
$268,413,285 various mortgage-backed securities, with various
75,000,000 maturities and interest rates (market value -- $76,107,834)..........
75,000,000
-------------
TOTAL REPURCHASE AGREEMENTS (COST $384,328,000)....................... 384,328,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $3,218,492,199*)............................. 100.0% 3,218,492,199
OTHER ASSETS AND LIABILITIES (NET)................................... (0.0) (1,472,960)
------ --------------
NET ASSETS........................................................... 100.0% $3,217,019,239
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration
to qualified institutional buyers.
+ For Commercial Paper, the interest rate represents annualized yield at date
of purchase.
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Prime Value Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE+ DATE (NOTE 1)
- ----------- --------------- --------- -------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- 17.1%
EURODOLLAR
$30,000,000 Bank of Tokyo........................... 3.310% 4/7/94 $ 30,001,612
7,000,000 Commerzbank AG.......................... 3.720 6/24/94 7,006,049
25,000,000 Dai Ichi Kangyo Bank.................... 3.360 2/28/94 25,004,294
10,000,000 Dai Ichi Kangyo Bank.................... 3.340 3/7/94 10,000,446
5,000,000 Industrial Bank of Japan................ 3.320 4/15/94 5,000,045
25,000,000 Industrial Bank of Japan................ 3.290 4/19/94 24,998,743
15,000,000 Norinchukin Bank........................ 3.315 4/19/94 15,000,024
25,000,000 Norinchukin Bank........................ 3.340 7/26/94 25,001,195
10,000,000 Sumitomo Bank........................... 3.380 3/1/94 10,000,582
20,000,000 Sumitomo Bank........................... 3.330 4/15/94 19,997,633
-------------
172,010,623
-------------
YANKEE
16,000,000 Bank of Tokyo........................... 3.270 4/7/94 16,001,982
10,000,000 Canadian Imperial Bank of Commerce...... 3.500 5/2/94 10,000,000
7,000,000 Credit Suisse........................... 3.730 6/10/94 7,000,000
48,000,000 Dai Ichi Kangyo Bank.................... 3.270 4/20/94 48,000,000
25,000,000 Dai Ichi Kangyo Bank.................... 3.300 4/22/94 25,000,397
5,000,000 Fuji Bank............................... 3.310 2/8/94 4,999,936
40,000,000 Fuji Bank............................... 3.250 3/7/94 40,004,072
47,000,000 Fuji Bank............................... 3.180 4/8/94 47,000,785
100,000,000 Industrial Bank of Japan................ 3.180 4/21/94 100,000,000
10,000,000 Mitsubishi Bank......................... 3.340 2/1/94 10,000,000
50,000,000 Mitsubishi Bank......................... 3.600 10/11/94 50,000,000
30,000,000 Norinchukin Bank........................ 3.310 4/7/94 30,001,075
50,000,000 Sanwa Bank.............................. 3.180 4/20/94 50,001,045
30,000,000 Sumitomo Bank........................... 3.330 3/14/94 30,001,345
20,000,000 Sumitomo Bank........................... 3.180 4/21/94 20,000,000
25,000,000 Westpac Banking......................... 3.500 5/12/94 25,007,017
-------------
513,017,654
-------------
TOTAL CERTIFICATES OF DEPOSIT (COST $685,028,277)................... 685,028,277
-------------
COMMERCIAL PAPER -- 46.0%
15,500,000 AGA Capital Inc. ....................... 3.348 3/10/94 15,447,110
22,500,000 AGA Capital Inc. ....................... 3.176 5/3/94 22,320,844
50,000,000 Alliance & Leicester Building Society... 3.106 3/21/94 49,794,000
15,000,000 Alliance & Leicester Building Society... 3.304 7/21/94 14,769,792
20,000,000 Bowater Incorporated.................... 3.089 2/15/94 19,976,044
29,317,000 Broadway Capital Corporation............ 3.118 2/15/94 29,281,543
15,000,000 Calcot Limited.......................... 3.318 3/4/94 14,957,375
10,000,000 Calcot Limited.......................... 3.269 3/10/94 9,966,597
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Value Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE+ DATE (NOTE 1)
- ----------- --------------- --------- -------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
$15,000,000 Calcot Limited.......................... 3.322% 3/18/94 $ 14,938,125
5,000,000 Calcot Limited.......................... 3.246 4/18/94 4,966,011
10,000,000 Calcot Limited.......................... 3.226 4/25/94 9,926,222
7,000,000 Calcot Limited.......................... 3.195 4/26/94 6,948,223
10,000,000 Calcot Limited.......................... 3.196 4/27/94 9,925,153
5,000,000 Calcot Limited.......................... 3.185 4/28/94 4,962,256
59,850,000 Cariplo Finance, Inc. .................. 3.334 4/25/94 59,394,641
20,000,000 Central Hispano North American Capital
Corporation............................ 3.408 2/10/94 19,983,250
10,000,000 Central Hispano North American Capital
Corporation............................ 3.303 2/14/94 9,988,264
5,000,000 Central Hispano North American Capital
Corporation............................ 3.333 2/22/94 4,990,434
18,000,000 Countrywide Funding Corporation......... 3.093 2/9/94 17,987,640
36,000,000 Countrywide Funding Corporation......... 3.142 2/23/94 35,931,140
27,000,000 Countrywide Funding Corporation......... 3.142 2/24/94 26,946,008
30,000,000 CSC Enterprises......................... 3.089 2/15/94 29,964,067
16,000,000 CSC Enterprises......................... 3.159 2/22/94 15,970,600
14,000,000 Daewoo International (America)
Corporation............................ 3.390 4/18/94 13,900,989
30,000,000 Den Danske Corporation.................. 3.294 3/11/94 29,897,400
10,000,000 Denmark, Kingdom of..................... 3.379 2/17/94 9,985,224
65,000,000 Diamond Asset Funding Corporation....... 3.112 2/25/94 64,865,667
15,138,000 Diamond Asset Funding Corporation....... 3.450 2/28/94 15,099,171
45,925,000 Falcon Asset Securitization
Corporation............................ 3.090 2/23/94 45,838,559
10,000,000 General Electric Capital Corporation.... 3.283 2/16/94 9,986,541
17,000,000 General Motors Acceptance Corporation... 3.431 2/2/94 16,998,395
40,000,000 General Motors Acceptance Corporation... 3.167 3/21/94 39,832,000
20,000,000 General Motors Acceptance Corporation... 3.235 5/26/94 19,797,333
40,000,000 Golden Managers Acceptance
Corporation............................ 3.138 2/16/94 39,947,833
10,000,000 Goldman Sachs Group, L.P. .............. 3.408 2/9/94 9,992,556
65,000,000 Matterhorn Capital Corporation.......... 3.089 2/14/94 64,927,706
25,000,000 Nationwide Building Society............. 3.308 4/7/94 24,851,945
50,000,000 Nationwide Building Society............. 3.397 7/21/94 49,211,389
5,000,000 New Center Asset Trust.................. 3.315 2/4/94 4,998,625
10,000,000 New Center Asset Trust.................. 3.096 2/7/94 9,994,850
2,000,000 New Center Asset Trust.................. 3.097 2/9/94 1,998,627
25,000,000 New Center Asset Trust.................. 3.378 3/10/94 24,913,924
35,000,000 New Center Asset Trust.................. 3.348 3/15/94 34,864,433
15,000,000 New Center Asset Trust.................. 3.366 4/5/94 14,912,588
23,000,000 New Center Asset Trust.................. 3.175 4/20/94 22,843,025
20,000,000 Nissan Capital of America, Inc. ........ 3.279 4/13/94 19,871,806
20,000,000 Nissan Capital of America, Inc. ........ 3.369 4/14/94 19,866,800
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Value Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE+ DATE (NOTE 1)
- ----------- --------------- --------- -------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
$10,000,000 Nordbanken, N.A. Inc.................... 3.367% 2/1/94 $ 10,000,000
50,000,000 Nordbanken, N.A. Inc.................... 3.366 7/19/94 49,227,667
90,000,000 Nordbanken, N.A. Inc.................... 3.325 7/25/94 88,577,550
4,360,000 NYNEX Corporation....................... 3.166 3/11/94 4,345,503
35,426,000 NYNEX Corporation....................... 3.304 3/28/94 35,248,476
50,000,000 Paine Webber Group Inc. ................ 3.272 4/4/94 49,720,139
25,000,000 Postipankki U.S. Inc.................... 3.445 2/15/94 24,966,750
8,000,000 Postipankki U.S. Inc.................... 3.407 3/1/94 7,979,155
10,000,000 Postipankki U.S. Inc.................... 3.345 3/8/94 9,968,014
11,000,000 Postipankki U.S. Inc.................... 3.356 3/14/94 10,958,658
30,000,000 Postipankki U.S. Inc.................... 3.317 4/5/94 29,827,275
20,000,000 Postipankki U.S. Inc.................... 3.287 4/6/94 19,884,089
10,000,000 Postipankki U.S. Inc.................... 3.230 5/11/94 9,912,000
10,000,000 Postipankki U.S. Inc.................... 3.311 6/10/94 9,882,825
73,400,000 Postipankki U.S. Inc.................... 3.398 7/15/94 72,283,179
40,000,000 Postipankki U.S. Inc.................... 3.356 7/21/94 39,376,667
54,100,000 Sceptre International Limited........... 3.119 2/22/94 54,001,854
3,000,000 SFC (USA) Inc. ......................... 3.292 2/28/94 2,992,710
15,539,000 Sierra Funding Corporation.............. 3.317 3/3/94 15,496,268
15,125,000 Source One Mortgage Services
Corporation............................ 3.335 2/1/94 15,125,000
10,000,000 Spintab................................. 3.243 3/30/94 9,949,016
50,000,000 Svenska Handelsbanken, Inc. ............ 3.274 6/27/94 49,345,027
13,900,000 Swedbank Inc. .......................... 3.340 2/28/94 13,865,598
10,000,000 Swedbank Inc. .......................... 3.594 4/22/94 9,922,222
50,000,000 Swedbank Inc. .......................... 3.336 7/26/94 49,202,778
20,000,000 Swedish National Housing Finance
Corporation............................ 3.357 3/9/94 19,933,400
15,315,000 Xerox Corporation....................... 3.089 2/18/94 15,292,725
23,000,000 Xerox Credit Corporation................ 3.089 2/15/94 22,972,451
30,045,000 Xerox Credit Corporation................ 3.089 2/18/94 30,001,300
-------------
TOTAL COMMERCIAL PAPER (COST $1,838,991,021)........................ 1,838,991,021
-------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Value Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE DATE (NOTE 1)
- ----------- --------------- --------- -------------
<C> <S> <C> <C> <C>
ASSET-BACKED SECURITIES -- 0.2%
(COST $9,997,700)
$10,000,000 Capital Auto Receivables Asset Trust,
Trust 93-3, Class A-1.................. 3.300% 11/15/94 $ 9,997,700
-------------
BANK/CORPORATE NOTES -- 23.9%
2,000,000 Abbey National Treasury Services,
Variable Rate.......................... 3.400 2/18/94 1,999,961
8,000,000 Abbey National Treasury Services,
Variable Rate.......................... 3.190 5/16/94 8,000,000
25,000,000 Abbey National Treasury Services,
Variable Rate.......................... 3.500 10/28/94 24,972,332
20,000,000 AT & T Capital Corporation, Variable
Rate................................... 3.500 11/1/94 19,995,512
40,000,000 AT & T Capital Corporation, Variable
Rate................................... 3.500 1/26/95 40,000,000
3,000,000 Bear Stearns Company, Inc., Variable
Rate................................... 3.225 3/16/94 3,000,000
50,000,000 Bear Stearns Company, Inc., Variable
Rate................................... 3.500 10/5/94 50,000,000
25,000,000 Bear Stearns Company, Inc., Variable
Rate................................... 3.563 11/17/94 25,000,000
20,000,000 Bear Stearns Company, Inc., Variable
Rate................................... 3.750 12/1/94 20,000,000
15,000,000 Bear Stearns Company, Inc., Variable
Rate................................... 3.350 1/10/95 15,000,000
40,000,000 Bear Stearns Company, Inc., Variable
Rate................................... 3.650 1/11/95 40,000,000
5,000,000 Chemical Banking Corporation, Variable
Rate................................... 3.725 1/3/95 5,014,142
100,000,000 Comerica Bank (Detroit), Variable
Rate................................... 3.520 1/31/95 100,000,000
40,000,000 Concord Leasing Inc., Variable Rate..... 3.325 9/21/94 40,000,000
35,000,000 FCC National Bank, Variable Rate........ 3.290 1/11/95 35,000,000
7,000,000 General Motors Acceptance Corporation... 6.250 2/25/94 7,012,656
5,000,000 General Motors Acceptance Corporation... 8.050 5/25/94 5,065,633
11,500,000 General Motors Acceptance Corporation... 6.050 6/1/94 11,584,906
5,100,000 General Motors Acceptance Corporation... 9.300 6/1/94 5,188,157
5,000,000 General Motors Acceptance Corporation... 6.000 6/9/94 5,035,360
5,000,000 General Motors Acceptance Corporation... 5.550 7/5/94 5,037,295
5,000,000 General Motors Acceptance Corporation... 5.150 7/11/94 5,025,110
2,000,000 General Motors Acceptance Corporation... 8.650 7/13/94 2,040,798
5,000,000 General Motors Acceptance Corporation... 5.000 7/18/94 5,025,988
5,000,000 General Motors Acceptance Corporation... 8.300 7/18/94 5,097,123
5,000,000 General Motors Acceptance Corporation... 8.500 7/18/94 5,109,358
5,000,000 General Motors Acceptance Corporation... 8.250 7/26/94 5,105,811
1,000,000 General Motors Acceptance Corporation... 8.100 8/8/94 1,021,121
1,000,000 General Motors Acceptance Corporation... 8.150 9/15/94 1,024,944
4,500,000 General Motors Acceptance Corporation... 8.700 10/20/94 4,654,957
2,100,000 General Motors Acceptance Corporation... 5.900 11/4/94 2,129,511
3,000,000 General Motors Acceptance Corporation... 8.600 12/8/94 3,116,207
11,300,000 General Motors Acceptance Corporation... 6.350 1/17/95 11,531,956
3,000,000 General Motors Acceptance Corporation... 9.000 1/23/95 3,137,540
9,000,000 General Motors Acceptance Corporation... 6.000 1/25/95 9,159,225
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Value Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE DATE (NOTE 1)
- ----------- --------------- --------- -------------
<C> <S> <C> <C> <C>
BANK/CORPORATE NOTES (CONTINUED)
$ 6,000,000 General Motors Acceptance Corporation... 8.950% 1/25/95 $ 6,274,467
20,000,000 General Motors Acceptance Corporation... 5.950 1/27/95 20,367,238
25,000,000 Goldman Sachs Group..................... 3.500 3/8/94 25,000,000
50,000,000 Goldman Sachs Group, Variable Rate...... 3.250 10/12/94 50,000,000
50,000,000 Goldman Sachs Group, Variable Rate...... 3.375 12/14/94 50,000,000
10,000,000 Goldman Sachs Group, Variable Rate...... 3.640 12/21/94 10,000,000
19,000,000 Goldman Sachs Group, Variable Rate...... 3.570 1/18/95 19,000,000
28,000,000 Heller Financial, Inc., Variable Rate... 3.825 10/3/94 28,060,650
15,000,000 Household Finance Corporation, Variable
Rate................................... 3.400 8/18/94 14,983,791
45,000,000 Household Finance Corporation, Variable
Rate................................... 3.550 1/13/95 45,000,000
30,000,000 Household Finance Corporation, Variable
Rate................................... 3.520 1/18/95 30,000,000
50,000,000 Merrill Lynch & Company, Inc., Variable
Rate................................... 3.600 12/20/94 50,000,000
2,000,000 Morgan Bank (Delaware), Variable Rate... 3.175 3/21/94 2,000,000
50,000,000 Morgan Stanley Group, Variable Rate..... 3.375 11/8/94 50,000,000
5,000,000 NationsBank Corporation................. 3.650 6/7/94 4,998,546
3,000,000 Pittsburgh National Bank................ 3.300 6/10/94 2,999,002
7,000,000 Pittsburgh National Bank................ 3.550 7/8/94 7,000,954
10,000,000 Pittsburgh National Bank................ 3.550 7/15/94 9,996,921
-------------
TOTAL BANK/CORPORATE NOTES (COST $955,767,172)...................... 955,767,172
-------------
INSURANCE CONTRACTS -- 1.9% (COST $75,000,000)
75,000,000 Security Life of Denver Insurance
Company, Variable Rate................. 3.350 12/31/94 75,000,000
-------------
TAXABLE MUNICIPALS -- 0.7%
17,000,000 Cuyahoga County, Ohio................... 4.170 12/30/94 17,032,767
10,000,000 San Bernardino County, California....... 3.500 3/23/94 10,000,000
-------------
TOTAL TAXABLE MUNICIPALS (COST $27,032,767)......................... 27,032,767
-------------
U.S. GOVERNMENT AGENCY NOTES -- 2.2%
35,000,000 Federal Farm Credit Bank, Variable
Rate................................... 3.200 9/7/94 34,977,612
30,000,000 Federal National Mortgage Association,
Variable Rate.......................... 3.600 10/7/96 30,000,000
10,000,000 Nebraska Higher Education Loan Program,
(Letter of Credit: SLMA), Variable
Rate................................... 3.270 3/15/95 10,005,181
Student Loan Marketing Association
(SLMA):
10,000,000 Series CA, Variable Rate................ 3.370 1/21/98 10,055,640
3,000,000 Series BZ, Variable Rate................ 3.370 11/20/97 3,005,325
-------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (COST $88,043,758)............... 88,043,758
-------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Prime Value Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ----------- -------------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 8.0%
Agreement with First Boston Corporation bearing 3.250% dated 1/31/94
to be repurchased at $68,194,156 on 2/1/94, collateralized by
$71,708,625 FNMA mortgage-backed securities, with various
$68,188,000 maturities and interest rates (market value -- $69,544,724)........
$ 68,188,000
Agreement with Greenwich Capital Markets Inc. bearing 3.230% dated
1/31/94 to be repurchased at $50,004,486 on 2/1/94, collateralized
by $49,470,000 FHLMC mortgage-backed security, 7.000% due 1/1/24
50,000,000
(market value -- $50,742,862)...................................... 50,000,000
Agreement with Kidder Peabody & Company bearing 3.337% dated 1/31/94
to be repurchased at $200,018,538 on 2/1/94, collateralized by
200,000,000 $202,680,181 FNMA/FHLMC mortgage-backed securities, with various
maturities and interest rates (market value -- $202,680,181)....... 200,000,000
-------------
TOTAL REPURCHASE AGREEMENTS (COST $318,188,000)..................... 318,188,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $3,998,048,695*)............................. 100.0% 3,998,048,695
OTHER ASSETS AND LIABILITIES (NET)................................... 0.0 649,215
------ --------------
NET ASSETS........................................................... 100.0% $3,998,697,910
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For Certificates of Deposit and Commercial Paper, the interest rate represents
annualized yield at date of purchase.
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Government Obligations Money Market Fund
<TABLE>
<CAPTION>
INTEREST MATURITY VALUE
FACE VALUE RATE DATE (NOTE 1)
- ---------- ----------- --------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 77.6%
FEDERAL FARM CREDIT BANK (FFCB):
$5,000,000 FFCB........................................... 2.940% 2/4/94 $ 4,998,671
5,000,000 FFCB........................................... 3.200 9/7/94 4,996,802
2,000,000 FFCB........................................... 3.210 9/19/94 1,958,089
-----------
11,953,562
-----------
FEDERAL HOME LOAN BANK (FHLB):
5,000,000 FHLB........................................... 2.940 2/15/94 4,993,836
7,000,000 FHLB........................................... 2.960 3/7/94 6,978,976
5,000,000 FHLB........................................... 2.990 3/18/94 5,000,000
4,390,000 FHLB........................................... 3.080 6/24/94 4,336,116
5,000,000 FHLB, Variable Rate............................ 3.350 2/3/97 5,000,000
-----------
26,308,928
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA):
1,695,000 FNMA........................................... 2.940 2/8/94 1,693,958
5,000,000 FNMA........................................... 2.960 3/16/94 4,981,247
5,000,000 FNMA........................................... 3.270 9/30/94 4,885,525
5,000,000 FNMA, Variable Rate............................ 3.270 10/25/94 4,878,453
5,000,000 FNMA, Variable Rate............................ 3.400 12/20/95 5,000,000
5,000,000 FNMA, Variable Rate............................ 3.600 10/7/96 5,000,000
-----------
26,439,183
-----------
TENNESSEE VALLEY AUTHORITY (TVA):
9,700,000 TVA............................................ 2.940 2/7/94 9,694,859
5,000,000 TVA............................................ 2.940 2/8/94 4,996,909
10,000,000 TVA............................................ 2.940 2/14/94 9,988,661
5,000,000 TVA............................................ 3.010 4/4/94 4,973,951
-----------
29,654,380
-----------
TOTAL U.S. GOVERNMENT AGENCY DISCOUNT NOTES
(COST $94,356,053).................................................... 94,356,053
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.8%
STUDENT LOAN MARKETING ASSOCIATION (SLMA):
5,000,000 Nebraska Higher Education Loan Program, (Letter
of Credit: SLMA), Variable Rate............... 3.270 3/15/95 5,002,604
450,000 SLMA, Series BZ, Variable Rate................. 3.370 11/20/97 450,800
4,000,000 SLMA, Variable Rate............................ 3.170 11/24/97 4,000,000
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $9,453,404)..................................................... 9,453,404
-----------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Government Obligations Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
REPURCHASE AGREEMENT -- 18.6% (COST $22,640,000)
<C> <S> <C> <C> <C>
$22,640,000 Agreement with First Boston Corporation bearing 3.250% dated 1/31/94 to
be repurchased at $22,642,044 on 2/1/94, collateralized by $23,400,000
FNMA mortgage-backed securities, with various maturities and interest
rates (market value -- $23,514,837)................................... $22,640,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $126,449,457*)............................... 104.0% 126,449,457
OTHER ASSETS AND LIABILITIES (NET)................................... (4.0) (4,916,813)
------ --------------
NET ASSETS........................................................... 100.0% $ 121,532,644
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
100% Government Obligations Money Market Fund
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
- --------- ----------- --------- ----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 101.8%
FEDERAL FARM CREDIT BANK (FFCB):
$1,040,000 FFCB............................................. 2.940% 2/4/94 $1,039,724
2,000,000 FFCB............................................. 2.940 2/7/94 1,998,942
480,000 FFCB............................................. 2.940 2/9/94 479,661
460,000 FFCB............................................. 2.960 3/8/94 458,609
670,000 FFCB............................................. 2.990 3/28/94 666,853
425,000 FFCB............................................. 3.010 4/8/94 422,650
1,000,000 FFCB............................................. 3.010 4/14/94 993,560
165,000 FFCB............................................. 3.020 4/18/94 163,874
1,120,000 FFCB............................................. 3.020 5/9/94 1,110,826
100,000 FFCB............................................. 3.080 6/15/94 98,835
1,155,000 FFCB............................................. 3.080 6/30/94 1,140,181
500,000 FFCB............................................. 3.150 7/21/94 492,539
5,000,000 FFCB............................................. 3.200 9/7/94 4,996,802
1,000,000 FFCB............................................. 3.210 9/19/94 979,045
----------
15,042,101
----------
FEDERAL HOME LOAN BANK (FHLB):
1,800,000 FHLB............................................. 2.940 2/2/94 1,799,842
1,020,000 FHLB............................................. 2.940 2/11/94 1,019,102
1,450,000 FHLB............................................. 2.940 2/15/94 1,448,212
1,975,000 FHLB............................................. 2.960 2/24/94 1,971,028
2,030,000 FHLB............................................. 2.960 2/25/94 2,035,338
685,000 FHLB............................................. 2.960 3/3/94 683,185
540,000 FHLB............................................. 2.960 3/9/94 538,369
1,625,000 FHLB............................................. 2.960 3/15/94 1,619,066
1,920,000 FHLB............................................. 2.990 3/18/94 1,912,512
1,010,000 FHLB............................................. 3.010 4/8/94 1,004,131
1,215,000 FHLB............................................. 3.010 4/15/94 1,207,559
2,015,000 FHLB............................................. 3.020 4/20/94 2,001,815
1,805,000 FHLB............................................. 3.080 6/6/94 1,785,446
610,000 FHLB............................................. 3.080 6/24/94 602,513
445,000 FHLB............................................. 3.080 6/30/94 439,032
1,000,000 FHLB, Variable Rate.............................. 3.350 2/3/97 1,000,000
----------
21,067,150
----------
TENNESSEE VALLEY AUTHORITY (TVA):
300,000 TVA.............................................. 2.940 2/7/94 299,842
1,170,000 TVA.............................................. 2.940 2/8/94 1,169,276
1,015,000 TVA.............................................. 2.940 2/10/94 1,014,209
1,180,000 TVA.............................................. 2.940 2/14/94 1,178,662
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
100% Government Obligations Money Market Fund
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
- --------- ----------- --------- ----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES (CONTINUED)
TENNESEE VALLEY AUTHORITY (TVA) (CONTINUED)
$ 525,000 TVA.............................................. 2.960% 2/17/94 $ 524,259
2,195,000 TVA.............................................. 3.010 4/4/94 2,183,564
----------
6,369,812
----------
TOTAL U.S. GOVERNMENT AGENCY DISCOUNT NOTES (COST $42,479,063)...........
42,479,063
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.4% (COST $150,267)
STUDENT LOAN MARKETING ASSOCIATION (SLMA):
150,000 SLMA, Series BZ, Variable Rate................... 3.370 11/20/97 150,267
----------
TOTAL INVESTMENTS (COST $42,629,330*)................................ 102.2% 42,629,330
OTHER ASSETS AND LIABILITIES (NET)................................... (2.2) (919,852)
------ --------------
NET ASSETS........................................................... 100.0% $ 41,709,478
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Treasury Instruments Money Market Fund
<TABLE>
<CAPTION>
FACE MATURITY VALUE
VALUE INTEREST RATE+ DATE (NOTE 1)
- --------- --------------- --------- ---------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 82.8%
$1,000,000 U.S. Treasury Bills.......................... 2.813% 2/10/94 $ 999,297
1,500,000 U.S. Treasury Bills.......................... 3.059 6/9/94 1,483,867
---------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $2,483,164)....................................................... 2,483,164
---------
REPURCHASE AGREEMENT -- 13.3% (COST $399,000)
399,000 Agreement with First Boston Corporation dated 1/31/94 bearing 3.150% to
be repurchased at $399,035 on 2/1/94, collateralized by $276,000 U.S.
Treasury Bonds, 11.875% due 11/15/03 (market value -- $404,234)......... 399,000
---------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $2,882,164*)................................. 96.1% 2,882,164
OTHER ASSETS AND LIABILITIES (NET)................................... 3.9 118,282
------ --------------
NET ASSETS........................................................... 100.0% $ 3,000,446
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase.
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Treasury Instruments Money Market Fund II
<TABLE>
<CAPTION>
MATURITY VALUE
FACE VALUE INTEREST RATE+ DATE (NOTE 1)
- ---------- --------------- --------- ----------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 65.7%
$5,000,000 U.S. Treasury Bills........................ 3.221% 2/3/94 $4,999,120
5,000,000 U.S. Treasury Bills........................ 3.263 2/3/94 4,999,108
1,000,000 U.S. Treasury Bills........................ 3.268 2/3/94 999,822
5,000,000 U.S. Treasury Bills........................ 3.137 2/10/94 4,996,106
1,000,000 U.S. Treasury Bills........................ 3.232 2/10/94 999,208
2,000,000 U.S. Treasury Bills........................ 3.234 2/10/94 1,998,411
5,000,000 U.S. Treasury Bills........................ 3.126 2/17/94 4,993,111
5,000,000 U.S. Treasury Bills........................ 3.066 2/24/94 4,990,320
5,000,000 U.S. Treasury Bills........................ 3.144 3/3/94 4,987,104
5,000,000 U.S. Treasury Bills........................ 3.130 3/3/94 4,987,063
5,000,000 U.S. Treasury Bills........................ 3.147 3/10/94 4,983,992
5,000,000 U.S. Treasury Bills........................ 3.103 3/17/94 4,981,331
7,000,000 U.S. Treasury Bills........................ 3.093 3/24/94 6,969,803
5,000,000 U.S. Treasury Bills........................ 3.208 4/7/94 4,971,427
10,000,000 U.S. Treasury Bills........................ 3.218 4/21/94 9,930,216
5,000,000 U.S. Treasury Bills........................ 3.309 5/5/94 4,957,892
5,000,000 U.S. Treasury Bills........................ 3.274 5/12/94 4,955,209
10,000,000 U.S. Treasury Bills........................ 3.257 5/19/94 9,904,592
5,000,000 U.S. Treasury Bills........................ 3.315 6/2/94 4,945,214
5,000,000 U.S. Treasury Bills........................ 3.059 6/9/94 4,946,222
5,000,000 U.S. Treasury Bills........................ 3.147 7/7/94 4,932,833
10,000,000 U.S. Treasury Bills........................ 3.147 7/14/94 9,859,639
10,000,000 U.S. Treasury Bills........................ 3.159 7/21/94 9,853,140
----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $125,140,883)................................................... 125,140,883
----------
REPURCHASE AGREEMENTS -- 34.5%
32,814,000 Agreement with First Boston Corporation dated 1/31/94 bearing 3.150% to
be repurchased at $32,816,871 on 2/1/94, collateralized by $23,436,000
U.S. Treasury Bonds, with various maturities and interest rates
(market value -- $33,104,522)......................................... 32,814,000
33,000,000 Agreement with Goldman Sachs & Company dated 1/31/94 bearing 3.150% to
be repurchased at $33,002,888 on 2/1/94, collateralized by $40,811,000
U.S. Treasury Bonds, Zero coupon due 2/15/98 (market value --
$33,660,097).......................................................... 33,000,000
----------
TOTAL REPURCHASE AGREEMENTS
(COST $65,814,000).................................................... 65,814,000
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $190,954,883*)............................... 100.2% 190,954,883
OTHER ASSETS AND LIABILITIES (NET)................................... (0.2) (311,455)
------ --------------
NET ASSETS........................................................... 100.0% $ 190,643,428
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
100% Treasury Instruments Money Market Fund
<TABLE>
<CAPTION>
FACE MATURITY VALUE
VALUE INTEREST RATE+ DATE (NOTE 1)
- --------- --------------- --------- -----------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 100.2%
$ 120,000 U.S. Treasury Bills........................ 3.073% 2/10/94 $ 119,909
205,000 U.S. Treasury Bills........................ 3.073 2/10/94 204,844
1,885,000 U.S. Treasury Bills........................ 3.089 2/10/94 1,883,614
350,000 U.S. Treasury Bills........................ 3.126 2/10/94 349,729
4,070,000 U.S. Treasury Bills........................ 3.170 2/10/94 4,066,825
155,000 U.S. Treasury Bills........................ 3.234 2/10/94 154,876
435,000 U.S. Treasury Bills........................ 3.073 2/17/94 434,415
100,000 U.S. Treasury Bills........................ 3.071 2/17/94 99,864
530,000 U.S. Treasury Bills........................ 3.144 2/17/94 529,272
4,725,000 U.S. Treasury Bills........................ 3.121 2/17/94 4,718,490
4,000,000 U.S. Treasury Bills........................ 3.126 2/17/94 3,994,489
1,000,000 U.S. Treasury Bills........................ 3.156 2/17/94 998,618
675,000 U.S. Treasury Bills........................ 3.149 2/17/94 674,064
2,900,000 U.S. Treasury Bills........................ 3.007 2/24/94 2,894,460
285,000 U.S. Treasury Bills........................ 3.054 2/24/94 284,437
505,000 U.S. Treasury Bills........................ 3.064 2/24/94 504,025
1,000,000 U.S. Treasury Bills........................ 3.066 2/24/94 998,065
420,000 U.S. Treasury Bills........................ 3.083 2/24/94 419,185
355,000 U.S. Treasury Bills........................ 3.103 2/24/94 354,305
410,000 U.S. Treasury Bills........................ 3.108 2/24/94 409,198
5,000,000 U.S. Treasury Bills........................ 3.112 2/24/94 4,990,145
285,000 U.S. Treasury Bills........................ 3.120 2/24/94 284,452
360,000 U.S. Treasury Bills........................ 3.123 2/24/94 359,287
1,400,000 U.S. Treasury Bills........................ 3.061 3/03/94 1,396,476
5,000,000 U.S. Treasury Bills........................ 3.130 3/03/94 4,987,063
3,000,000 U.S. Treasury Bills........................ 3.144 3/03/94 2,992,212
2,295,000 U.S. Treasury Bills........................ 3.047 3/10/94 2,287,865
970,000 U.S. Treasury Bills........................ 3.068 3/10/94 966,979
5,000,000 U.S. Treasury Bills........................ 3.069 3/10/94 4,984,352
370,000 U.S. Treasury Bills........................ 3.098 3/10/94 368,836
4,550,000 U.S. Treasury Bills........................ 3.147 3/10/94 4,535,433
4,060,000 U.S. Treasury Bills........................ 3.048 3/17/94 4,044,989
775,000 U.S. Treasury Bills........................ 3.078 3/17/94 772,126
1,000,000 U.S. Treasury Bills........................ 3.103 3/17/94 996,266
4,845,000 U.S. Treasury Bills........................ 3.138 3/17/94 4,826,613
1,900,000 U.S. Treasury Bills........................ 3.072 3/24/94 1,891,790
2,040,000 U.S. Treasury Bills........................ 3.090 4/7/94 2,028,711
4,130,000 U.S. Treasury Bills........................ 3.153 4/7/94 4,106,734
3,000,000 U.S. Treasury Bills........................ 3.208 4/7/94 2,982,856
8,615,000 U.S. Treasury Bills........................ 3.101 4/14/94 8,562,104
7,625,000 U.S. Treasury Bills........................ 3.125 4/21/94 7,573,213
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
100% Treasury Instruments Money Market Fund
<TABLE>
<CAPTION>
FACE MATURITY VALUE
VALUE INTEREST RATE+ DATE (NOTE 1)
- --------- --------------- --------- -----------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (CONTINUED)
$2,570,000 U.S. Treasury Bills........................ 3.141% 4/21/94 $ 2,552,460
9,550,000 U.S. Treasury Bills........................ 3.166 4/28/94 9,478,593
5,000,000 U.S. Treasury Bills........................ 3.189 5/5/94 4,959,313
2,400,000 U.S. Treasury Bills........................ 3.295 5/12/94 2,378,367
815,000 U.S. Treasury Bills........................ 3.201 5/26/94 806,845
1,115,000 U.S. Treasury Bills........................ 3.244 6/9/94 1,102,333
605,000 U.S. Treasury Bills........................ 3.066 6/16/94 598,126
1,415,000 U.S. Treasury Bills........................ 3.272 6/16/94 1,397,914
910,000 U.S. Treasury Bills........................ 3.121 6/23/94 898,945
5,000,000 U.S. Treasury Bills........................ 3.275 6/23/94 4,936,396
7,010,000 U.S. Treasury Bills........................ 3.147 7/7/94 6,915,832
390,000 U.S. Treasury Bills........................ 3.159 7/21/94 384,272
1,340,000 U.S. Treasury Bills........................ 3.168 7/21/94 1,320,257
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $127,760,839*)............................... 100.2% 127,760,839
OTHER ASSETS AND LIABILITIES (NET)................................... (0.2) (297,704)
------ --------------
NET ASSETS........................................................... 100.0% $ 127,463,135
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase.
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Tax-Free Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 99.2%
ALABAMA -- 2.0%
$1,100,000 Alabama Private College and University, Equipment
and
Capital Facilities Revenue, Series A,
2.200% due 7/1/05++................................ $ 1,100,000
100,000 Alabama Special Care Facilities Financing Authority
Revenue,
(Montgomery),
2.200% due 4/1/15++................................ 100,000
-----------
1,200,000
-----------
ARIZONA -- 1.2%
100,000 Pima County, Arizona, Industrial Development
Authority Revenue, (Barclays Bank, LOC),
2.250% due 12/1/22+++.............................. 100,000
600,000 Tucson, Arizona, Airport Authority Revenue,
3.100% due 6/1/94.................................. 600,674
-----------
700,674
-----------
CALIFORNIA -- 10.4%
25,000 California Health Facilities Financing Authority
Revenue, (Industrial Bank, LOC),
2.100% due 11/1/19+................................ 25,000
300,000 Chino, California, Tax and Revenue Anticipation
Notes,
3.250% due 7/29/94................................. 300,444
Irvine Ranch, California, Water District Revenue:
1,300,000 District 250, (Sumitomo Bank, LOC),
2.150% due 4/1/33+................................. 1,300,000
1,100,000 Series B, (Bank of America, LOC),
2.150% due 10/1/09+................................ 1,100,000
1,000,000 San Bernardino County, California, General
Obligation Bonds,
3.250% due 7/29/94................................. 1,002,972
200,000 Santa Clara County, California, Hospital Facilities
Authority
Lease Revenue, Series A, (National Westminster,
LOC),
1.900% due 8/1/15++................................ 200,000
2,200,000 Santa Clara County, California, Tax and Revenue
Anticipation Notes,
3.250% due 7/29/94................................. 2,207,077
100,000 Southern California Rapid Transit Revenue, District
A,
3.000% due 2/22/94................................. 100,009
-----------
6,235,502
-----------
COLORADO -- 3.3%
2,000,000 Colorado Housing Finance Authority Revenue,
(Chemical Bank, LOC),
2.200% due 5/1/97++................................ 2,000,000
-----------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Tax-Free Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
DISTRICT OF COLUMBIA -- 1.0%
$ 600,000 District of Columbia, Georgetown University Revenue
Bonds, Series C,
2.300% due 4/1/12++................................ $ 600,000
-----------
FLORIDA -- 10.4%
100,000 Bay County, Florida, Hospital Systems Revenue Bonds,
(Bay Medical
Center Project), (Citibank, LOC),
2.250% due 4/1/18+................................. 100,000
1,000,000 Florida State Board of Education, Capital Outlay,
5.300% due 6/1/94.................................. 1,008,615
2,700,000 Florida State Board of Education, Tender Option
Custody Receipts,
Capital Outlay, Series 29B,
2.400% due 6/1/10++................................ 2,700,000
1,000,000 Hialeah, Florida, Hospital Revenue, (Hialeah
Hospital Incorporated Project),
Pre-refunded,
12.000% due 2/1/04++............................... 1,030,000
400,000 Jacksonville, Florida, Health Facilities Revenue,
2.150% due 4/1/15+................................. 400,000
500,000 Orlando, Florida, Community Redevelopment Agency Tax
Revenue,
3.350% due 10/1/94................................. 502,270
500,000 Plantation, Florida, Water and Sewer Revenue,
8.400% due 3/1/94.................................. 502,125
-----------
6,243,010
-----------
GEORGIA -- 8.2%
3,400,000 Clayton County, Georgia, Multi-family Housing
Authority Revenue,
2.200% due 1/1/21++................................ 3,400,000
1,500,000 Georgia State Tender Option Custody Receipt Bonds,
2.400% due 7/1/01++................................ 1,500,000
-----------
4,900,000
-----------
HAWAII -- 3.6%
650,000 Hawaii, General Obligation Bonds,
2.400% due 11/1/98+................................ 675,673
250,000 Hawaii State Airport Systems Revenue,
6.500% due 7/1/94.................................. 253,530
1,000,000 Hawaii State Tender Option Custody Receipt Bonds,
2.400% due 7/1/01++................................ 1,000,000
200,000 Honolulu, Hawaii, City and County General Obligation
Bonds,
9.600% due 3/1/01++................................ 203,556
-----------
2,132,759
-----------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Tax-Free Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
LOUISIANA -- 1.0%
$ 100,000 East Baton Rouge Parish, Louisiana, Pollution
Control Revenue,
2.250% due 10/1/99++............................... $ 100,000
500,000 Louisiana State, General Obligation Bonds,
Pre-refunded,
9.500% due 4/1/00++................................ 515,278
-----------
615,278
-----------
MAINE -- 2.2%
310,000 Hermon, Maine, General Obligation Bonds,
5.300% due 11/1/94................................. 315,666
1,000,000 Maine State, General Obligation Bonds,
6.600% due 3/1/94.................................. 1,003,004
-----------
1,318,670
-----------
MARYLAND -- 4.2%
Maryland State Community Development Administration
Revenue:
1,500,000 2.700% due 4/1/17++................................. 1,500,000
1,010,000 2.800% due 4/1/17++................................. 1,010,018
-----------
2,510,018
-----------
MASSACHUSETTS -- 3.3%
2,000,000 Massachusetts State Housing Financing Authority,
2.750% due 6/1/94.................................. 2,000,000
-----------
MICHIGAN -- 0.0%
20,000 Delta County, Michigan, Economic Development
Corporation,
General Obligation Bonds,
2.300% due 12/1/23+................................ 20,000
-----------
MINNESOTA -- 0.2%
100,000 Golden Valley, Minnesota, Industrial Control
Development
Revenue,
2.300% due 9/1/14++................................ 100,000
-----------
NEBRASKA -- 1.7%
1,005,000 Nebraska Educational Facilities, Equipment and
Improvement
Revenue,
2.200% due 12/1/00++............................... 1,005,000
-----------
NEW HAMPSHIRE -- 1.3%
800,000 New Hampshire Higher Education and Health Authority
Revenue,
(Mary Hitchock Project), (Sakura Bank, LOC),
2.150% due 7/1/21++................................ 800,000
-----------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Tax-Free Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW YORK -- 15.9%
New York, New York, General Obligation Bonds:
$ 500,000 Series B,
2.050% due 9/1/95+.................................. $ 500,000
2,300,000 Sub-Series B-4, (Union Bank of Switzerland, LOC),
2.050% due 8/15/21+................................. 2,300,000
700,000 Sub-Series E5, (Sumitomo Bank, LOC),
2.250% due 8/1/21+................................. 700,000
500,000 Sub-Series E6,
2.250% due 8/1/10+.................................. 500,000
(Sumitomo Bank, LOC):
200,000 2.250% due 8/1/17+.................................. 200,000
800,000 2.250% due 8/1/18+.................................. 800,000
500,000 New York, New York, Revenue Anticipation Notes,
Series B,
3.500% due 6/30/94................................. 501,403
1,000,000 New York, New York, Tax Anticipation Notes,
3.125% due 4/8/94.................................. 1,000,518
3,000,000 New York State Local Assistance Revenue, Pacific
Telephone
Discount Notes, Series A, (Credit Suisse, Union
Bank of Switzerland, LOC),
2.050% due 4/1/22++................................ 3,000,000
-----------
9,501,921
-----------
NORTH CAROLINA -- 3.7%
1,000,000 North Carolina Eastern Municipal Power Authority
Revenue, Pre-refunded,
10.625% due 1/1/15++............................... 1,101,315
1,000,000 North Carolina Municipal Power Authority,
Pre-refunded,
9.375% due 1/1/05++................................ 1,089,583
-----------
2,190,898
-----------
OHIO -- 4.4%
100,000 Cincinnati, Ohio, Student Loan Funding Corporation
Revenue, (Fuji Bank, LOC),
2.550% due 12/29/98++.............................. 100,000
2,500,000 Ohio State Water Development Authority Revenue,
(Wachovia Bank, LOC),
2.100% due 5/1/07++................................ 2,500,000
-----------
2,600,000
-----------
OREGON -- 1.2%
700,000 Klamath Falls, Oregon, Electric Revenue, (Salt Caves
Hydroelectric Project),
4.750% due 5/1/94.................................. 703,131
-----------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Tax-Free Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
RHODE ISLAND -- 0.9%
$ 530,000 Central Falls, Rhode Island, General Obligation
Bonds,
2.700% due 11/15/94................................ $ 530,000
-----------
TENNESSEE -- 4.4%
1,700,000 Chattanooga, Tennessee, Industrial Development
Revenue,
(ABN Amro Bank, LOC),
2.200% due 12/15/12++.............................. 1,700,000
100,000 Metropolitan Nashville and Davison County,
Tennessee,
Health and Education Authority Revenue,
2.20% due 6/1/15+.................................. 100,000
800,000 Nashville Metropolitan Airport Authority Revenue,
2.150% due 7/1/19+................................. 800,000
-----------
2,600,000
-----------
TEXAS -- 8.1%
250,000 Harris County, Texas, District Hospital Mortgage
Revenue,
6.700% due 2/15/94................................. 250,344
Harris County, Texas, Health Facilities Authority
Revenue:
1,000,000 Series C, (Morgan Guaranty, LOC),
2.100% due 2/15/16+................................ 1,000,000
1,000,000 Series D, (Morgan Guaranty, LOC),
2.100% due 2/15/16+................................ 1,000,000
1,800,000 Houston Texas, Public Improvement Revenue, Series A,
2.200% due 5/1/12++................................ 1,800,000
300,000 North Central, Texas, Health Facilities Corporation
Revenue,
(Presbyterian Hospital), Series D, (NationsBank,
LOC),
2.200% due 12/1/15+................................ 300,000
500,000 Texas State, Tax and Revenue Anticipation Notes,
3.250% due 8/31/94................................. 501,554
-----------
4,851,898
-----------
UTAH -- 0.8%
460,000 Utah State Building Ownership Authority Revenue,
4.500% due 1/1/95.................................. 464,495
-----------
VERMONT -- 1.7%
1,000,000 Vermont State, General Obligation Bonds, Series A,
7.500% due 2/1/94.................................. 1,000,000
-----------
VIRGINIA -- 2.7%
100,000 Fairfax County, Virginia, Industrial Control
Revenue,
(Dai Ichi, Kangyo Bank, LOC),
2.300% due 1/15/22++............................... 100,000
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Tax-Free Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
VIRGINIA (CONTINUED)
$1,500,000 Virginia State Housing Development Authority
Revenue,
2.500% due 7/1/17++................................ $ 1,500,000
-----------
1,600,000
-----------
WEST VIRGINIA -- 0.6%
320,000 Clarksburg West, Virginia Water Revenue,
7.875% due 11/15/19++.............................. 337,620
-----------
WISCONSIN -- 0.8%
500,000 Wisconsin State, General Obligation Notes,
3.250% due 6/15/94................................. 500,938
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $59,261,812*)................... 99.2 % 59,261,812
OTHER ASSETS AND LIABILITIES (NET)...................... 0.8 % 472,974
------ -----------
NET ASSETS.............................................. 100.0 % $59,734,786
------ -----------
------ -----------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more than one business day's
notice.
The interest rate shown reflects the rate currently in effect.
++ Variable rate demand notes are payable upon not more than seven business
day's notice.
The interest rate shown reflects the rate currently in effect.
LOC -- Instruments supported by bank letter of credit.
</TABLE>
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S OR STANDARD OF
& POOR'S VALUE
<S> <C> <C>
Aaa AAA 13.9%
Aa AA 6.2%
MIG1/VMIG1/P1 A-1/A-1+/SP1/SP1+ 79.9%
-----
100.0%
-----
-----
# Bonds are not necessarily rated the same by both services.
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 100.2%
ALABAMA -- 0.8%
$1,000,000 Birmingham, Alabama, Medical Clinic Board Revenue,
(Morgan Bank of Delaware, LOC),
2.100% due 12/1/26+.............................................. $ 1,000,000
1,900,000 Stevenson, Alabama, Industrial Development Authority,
Environment and Pollution Control Revenue,
(Credit Suisse, LOC),
2.200% due 11/1/16+.............................................. 1,900,000
-----------
2,900,000
-----------
ALASKA -- 0.3%
1,000,000 Alaska Industrial Development Authority Revenue, Series A,
5.800% due 4/1/94................................................ 1,004,720
-----------
ARIZONA -- 3.0%
5,200,000 Arizona Educational Loan Marketing Corporation Revenue,
2.300% due 12/1/02+++............................................ 5,200,000
5,310,000 Phoenix, Arizona, Industrial Development Authority Revenue,
(First Interstate Bank, LOC),
2.550% due 2/1/24+++............................................. 5,310,000
-----------
10,510,000
-----------
CALIFORNIA -- 10.5%
Alameda County, California, Industrial Development Authority
Revenue:
700,000 Series II,
(Sumitoma Trust, LOC),
2.900% due 7/1/08+++............................................. 700,000
3,300,000 Series III,
2.900% due 7/1/08+++............................................. 3,300,000
2,150,000 Chino, California, Tax and Revenue Anticipation Notes,
3.250% due 7/29/94............................................... 2,152,573
1,500,000 Huntington Beach, California, Tax and Revenue Anticipation Notes,
3.250% due 7/29/94............................................... 1,501,857
Irvine Ranch, California, Water District Revenue,
(Sumitomo Bank, LOC):
1,900,000 2.100% due 10/1/05+............................................... 1,900,000
3,000,000 2.100% due 10/1/10+............................................... 3,000,000
2,300,000 Los Angeles, California, Regional Airports Revenue, Series E,
(Societe Generale, LOC),
2.200% due 12/1/24+.............................................. 2,300,000
2,600,000 Marin County, California, Tax and Revenue Anticipation Notes,
3.000% due 7/6/94................................................ 2,599,902
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
CALIFORNIA -- (CONTINUED)
$1,000,000 Metropolitan Southern Water District Revenue,
2.300% due 3/1/09+++............................................. $ 1,000,000
1,800,000 Monterey Peninsula, California, Water Management District,
Certificates of Participation, (Wastewater Reclamation Project),
(Sumitomo Bank, LOC),
2.250% due 7/1/22+++............................................. 1,800,000
3,800,000 Orange County, California, Water District, Certificates
of Participation, (Project B), (National Westminster, LOC),
2.100% due 8/18/15+.............................................. 3,800,000
4,400,000 Rancho Santiago, California, Community College, Tax and
Revenue Anticipation Notes,
3.150% due 11/16/94.............................................. 4,416,857
2,190,000 Riverside County, California, Board of Education, Tax and
Revenue Anticipation Notes,
3.250% due 7/15/94............................................... 2,194,455
1,080,000 Sacramento, California, Port District Lease Revenue, California
Free Trade, (Tokai Bank, LOC),
3.25% due 11/1/22++.............................................. 1,080,000
3,650,000 Sacramento County, California, Tax and Revenue
Anticipation Notes,
3.000% due 7/29/94............................................... 3,653,889
500,000 San Diego, California, Industrial Development Authority
Revenue, Series A, (Westpac Bank, LOC),
2.300% due 10/1/07+++............................................ 500,000
1,000,000 Southern California Rapid Transit Revenue, District A,
3.000% due 2/22/94............................................... 1,000,092
-----------
36,899,625
-----------
COLORADO -- 2.5%
1,000,000 Arapahoe County, Colorado, School District #5, Series D,
9.750% due 12/15/01++............................................ 1,069,587
5,000,000 Colorado Multi-family Housing Finance Authority Revenue,
(Dai Ichi Kangyo, LOC),
2.200% due 12/1/05+++............................................ 5,000,000
2,500,000 Colorado Student Loan Obligations Authority Revenue, Series A,
(Sumitomo Bank, LOC),
2.800% due 3/1/24+++............................................. 2,500,000
-----------
8,569,587
-----------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
CONNECTICUT -- 0.3%
$1,000,000 Connecticut State Housing Finance Authority Revenue,
2.900% due 11/15/94++............................................ $ 1,000,000
-----------
DELAWARE -- 0.1%
300,000 Delaware State Economic Development Facilities Authority Revenue,
2.200% due 10/1/17+.............................................. 300,000
-----------
FLORIDA -- 2.0%
4,500,000 Dade County, Florida, Solid Waste Industrial Development
Authority Revenue, Series A, (Banque Paribus, LOC),
2.750% due 12/1/13+++............................................ 4,500,000
200,000 Jacksonville, Florida, Health Facilities Authority Revenue,
2.150% due 4/1/15+............................................... 200,000
100,000 Marion County, Florida, Industrial Development Authority Revenue,
(Bankers Trust, LOC),
2.150% due 7/1/04+............................................... 100,000
100,000 Sarasota County, Florida, Health Facilities Revenue,
2.400% due 12/1/19+++............................................ 100,000
2,200,000 St. Lucie County, Florida, Pollution Control Revenue,
(Florida Power & Light, LOC),
2.300% due 5/1/27+++............................................. 2,200,000
-----------
7,100,000
-----------
GEORGIA -- 3.4%
850,000 Cobb County, Georgia, General Obligation Bonds,
3.600% due 1/1/95................................................ 854,916
1,000,000 Georgia Municipal Electric Power Authority, Series A,
Pre-refunded,
10.500% due 1/1/95............................................... 1,089,250
Georgia State Residential Finance Authority Revenue:
3,715,000 2.850% due 12/1/16++.............................................. 3,715,594
2,870,000 Series B,
2.580% due 12/1/20++............................................. 2,870,459
2,400,000 Savannah, Georgia, Economic Development Authority Revenue,
(Bank of Tokyo, LOC),
2.400% due 10/1/99+++............................................ 2,400,000
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
GEORGIA -- (CONTINUED)
$1,100,000 Savannah, Georgia, Port Authority Revenue, Pier District,
(Banque Paribus, LOC),
2.400% due 12/1/26+++............................................ $ 1,100,000
-----------
12,030,219
-----------
HAWAII -- 1.0%
3,500,000 Hawaii State Tender Option Custody Receipt,
2.400% due 7/1/01+++............................................. 3,500,000
-----------
ILLINOIS -- 2.3%
2,000,000 Chicago, Illinois, Public Building Commission Revenue,
6.800% due 1/1/95................................................ 2,070,521
Illinois Development Financing Authority Revenue,
(Industrial Bank, LOC),
1,000,000 2.575% due 4/1/18+++.............................................. 1,000,000
1,000,000 2.500% due 11/1/23+++............................................. 1,000,000
2,000,000 Pollution Control Revenue, Series D, (Mitsubishi Bank, LOC),
2.150% due 3/1/17+++............................................. 2,000,000
2,000,000 Illinois State, General Obligation Bonds,
3.500% due 6/15/94............................................... 2,004,298
-----------
8,074,819
-----------
INDIANA -- 3.2%
Indiana State Employment Development Commission Revenue:
750,000 2.500% due 1/1/13+++.............................................. 750,000
1,800,000 2.500% due 1/1/14+++.............................................. 1,800,000
1,000,000 Indianapolis, Indiana, Industrial Economic Development Revenue,
(Asahi Bank, LOC),
3.200% due 9/1/95+++............................................. 1,000,000
6,500,000 Ossian, Indiana, Economic Development Revenue, (Harris Trust,
LOC),
2.500% due 12/1/23+++............................................ 6,500,000
1,050,000 Princeton, Indiana, Industrial Development Revenue,
(Mitsubishi Bank, LOC),
2.750% due 4/30/17+++............................................ 1,050,000
-----------
11,100,000
-----------
KENTUCKY -- 4.8%
1,500,000 Kentucky Higher Education Student Loan Revenue, Series E,
(Sumitomo Bank, LOC),
2.750% due 12/1/11+++............................................ 1,500,000
1,000,000 Kentucky Housing Corporation Revenue, Series D,
2.750% due 1/1/22++.............................................. 1,000,000
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
KENTUCKY -- (CONTINUED)
$6,000,000 Kentucky Pollution Abatement and Water Resources Finance Authority
Revenue,
2.350% due 8/13/06+.............................................. $ 6,000,000
5,100,000 Louisville, Kentucky, Airport Lease Revenue, Series B,
2.450% due 2/1/19+++............................................. 5,100,000
3,100,000 Walton, Kentucky, Industrial Development Revenue,
(Clarion Mortgage Company of America), (Asahi Bank, LOC),
3.300% due 11/1/96+++............................................ 3,100,000
-----------
16,700,000
-----------
LOUISIANA -- 3.7%
Louisiana Housing Finance Authority Revenue, (Sumitomo Bank, LOC),
3,100,000 3.500% due 12/1/25+++............................................. 3,100,000
2,865,000 3.500% due 1/1/26+++.............................................. 2,865,000
1,950,000 Louisiana State Offshore Terminal and Deepwater Port Authority
Revenue,
(1st Stage),
2.300% due 9/1/06+............................................... 1,950,000
3,100,000 Louisiana State Recovery District Sales Tax Revenue,
2.200% due 7/1/97+............................................... 3,100,000
2,000,000 New Orleans, Louisiana, Aviation Board Revenue, Series B,
2.250% due 8/1/16+++............................................. 2,000,000
-----------
13,015,000
-----------
MARYLAND -- 3.9%
Maryland Community Development Administration Revenue:
2,500,000 2.700% due 4/1/17++............................................... 2,500,000
2,330,000 2.900% due 4/1/17++............................................... 2,330,060
4,800,000 2.500% due 4/1/27+++.............................................. 4,800,000
1,050,000 Maryland State Energy Financing Project Revenue, (Credit Suisse,
LOC),
2.350% due 7/1/11+............................................... 1,050,000
Montgomery County, Maryland, Housing Opportunities Authority
Revenue:
1,100,000 2.500% due 2/1/26+++.............................................. 1,100,000
2,000,000 2.650% due 7/1/35++............................................... 2,000,000
-----------
13,780,060
-----------
MASSACHUSETTS -- 0.9%
1,000,000 Massachusetts State General Obligation Bonds, Series E,
2.150% due 12/1/97+++............................................ 1,000,000
2,000,000 Massachusetts State Housing Finance Agency Revenue,
2.750% due 6/1/17+++............................................. 2,000,000
-----------
3,000,000
-----------
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MICHIGAN -- 1.5%
$1,500,000 Detroit, Michigan, General Obligation Notes, (Comerica, LOC),
3.000% due 7/1/94................................................ $ 1,501,811
800,000 Michigan Higher Education Facilities Authority Revenue, (Comerica,
LOC),
2.050% due 7/1/95+++............................................. 800,000
2,000,000 Michigan Municipal Bond Authority Revenue Notes, (Comerica, LOC),
3.000% due 5/5/94................................................ 2,001,315
1,100,000 Michigan State Strategic Funding -- Limited Obligation Revenue
(Hi-Lex Controls Incorporated), (Bank of Tokyo, LOC),
2.400% due 7/1/99+++............................................. 1,100,000
-----------
5,403,126
-----------
MINNESOTA -- 0.9%
3,000,000 Minnesota State, General Obligation Bonds,
2.400% due 8/1/07+++............................................. 3,000,000
-----------
MISSISSIPPI -- 0.1%
395,000 Mississippi Business Financing Corporation, Industrial Development
Revenue, (Air Cruisers Project), Series C, (Credit Commerciale,
LOC),
2.550% due 10/1/04+++............................................ 395,000
-----------
MISSOURI -- 3.4%
10,000,000 Missouri Higher Education Loan Authority Revenue,
2.500% due 2/15/08+++............................................ 10,000,000
2,000,000 West Plains, Missouri, Industrial Development Authority Revenue,
(Bank of Tokyo, LOC),
2.350% due 11/1/10++............................................. 2,000,000
-----------
12,000,000
-----------
NEVADA -- 1.1%
Nevada State Department Commission, Industrial Development
Revenue: (Credit Commerciale, LOC),
3,600,000 2.500% due 4/1/09+++.............................................. 3,600,000
(Kyowa Bank, LOC),
200,000 Series A, 2.600% due 12/1/09+++................................... 200,000
-----------
3,800,000
-----------
NEW MEXICO -- 1.1%
500,000 Farmington, New Mexico, Pollution Control Revenue, Series 85-A,
(Union Bank of Switzerland, LOC),
2.800% due 2/1/15++.............................................. 500,000
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW MEXICO -- (CONTINUED)
New Mexico Educational Assistance Foundation Revenue:
$1,450,000 3.200% due 12/1/94................................................ $ 1,456,482
2,000,000 4.300% due 12/1/94................................................ 2,026,001
-----------
3,982,483
-----------
NEW YORK -- 10.8%
2,300,000 Babylon, New York, Industrial Development Authority Revenue,
(Babylon Project), (Union Bank of Switzerland, LOC),
2.150% due 12/1/24++............................................. 2,300,000
5,500,000 New York City Housing Development Commission Revenue, Special
Obligations, Series 96-A, (Mitsubishi Bank, LOC),
1.800% due 8/1/15+++............................................. 5,500,000
5,900,000 New York City Municipal Water Financing Authority, Series A,
2.750% due 4/15/94............................................... 5,899,764
3,500,000 New York City, Revenue Anticipation Notes, Series B,
3.500% due 6/30/94............................................... 3,510,192
2,600,000 New York City, Tender Option Custody Receipts,
2.450% due 3/15/97+++............................................ 2,600,000
6,300,000 New York, New York, General Obligation Bonds, Series A, (Union
Bank of Switzerland, LOC),
2.050% due 8/15/22+.............................................. 6,300,000
2,800,000 New York, New York, Revenue Anticipation Notes, Series A,
3.250% due 4/15/94............................................... 2,803,498
4,200,000 New York State Energy and Pollution Control Revenue, (Niagara
Falls Project), (Citibank, LOC),
Series A, 2.050% due 12/1/23+.................................... 4,200,000
540,000 New York State Home Mortgage Agency Revenue,
3.000% due 10/1/94............................................... 540,000
4,200,000 New York State Jobs Development Authority Revenue, (Fuji Bank,
LOC),
2.200% due 3/1/05+............................................... 4,200,000
-----------
37,853,454
-----------
NORTH CAROLINA -- 3.0%
7,500,000 Bladen County, North Carolina, Industrial Facilities and Pollution
Control Revenue, (Bank of Tokyo, LOC),
2.400% due 11/1/20+++............................................ 7,500,000
2,000,000 North Carolina Eastern Municipal Power Authority Revenue, Series
D,
Pre-refunded, (Credit Suisse, LOC),
10.000% due 1/1/10++............................................. 2,191,989
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NORTH CAROLINA -- (CONTINUED)
$1,000,000 Wake County, North Carolina, Industrial Facilities and Pollution
Control Revenue,
2.200% due 5/1/15+++............................................. $ 1,000,000
-----------
10,691,989
-----------
OHIO -- 0.4%
1,500,000 Cincinnati, Ohio Student Loan Funding Corporation Revenue, Series
87-A, (Fuji Bank, LOC),
2.900% due 12/1/04++............................................. 1,499,374
-----------
OREGON -- 2.0%
Oregon State Economic Development Commission Revenue:
1,000,000 (Kydtaru Project), (Fuji Bank, LOC),
2.575% due 2/1/99+++............................................. 1,000,000
1,325,000 Series A,
2.500% due 7/1/03+++............................................. 1,325,000
1,300,000 Series B,
2.500% due 7/1/02+++............................................. 1,300,000
800,000 Portland, Oregon, General Obligation Bonds, (Bank of Tokyo, LOC),
2.450% due 12/1/14+++............................................ 800,000
1,300,000 Portland, Oregon, Pollution Control Revenue,
2.200% due 12/1/09+.............................................. 1,300,000
1,200,000 Umatilla County, Oregon, Hospital Facilities Financing Authority
Revenue, (Societe Generale, LOC),
2.200% due 12/1/24+.............................................. 1,200,000
-----------
6,925,000
-----------
PENNSYLVANIA -- 6.6%
2,300,000 Harrisburg, Pennsylvania, Multifamily Housing Redevelopment
Authority Revenue, (Chemical Bank, LOC),
2.050% due 12/1/05+++............................................ 2,300,000
1,000,000 Montgomery County, Pennsylvania, General Obligation Bonds, Series
A,
5.900% due 7/15/94............................................... 1,013,969
4,000,000 Pennsylvania and New Jersey, Delaware River Port Authority
Revenue,
9.375% due 1/1/11++.............................................. 4,353,869
14,300,000 Pennsylvania Economic Development Authority Revenue,
2.500% due 12/1/19+++............................................ 14,300,000
1,000,000 Philadelphia, Pennsylvania, Hospital and Higher Education
Authority Revenue,
2.100% due 3/1/27+++............................................. 1,000,000
-----------
22,967,838
-----------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
PUERTO RICO -- 0.2%
$ 600,000 Puerto Rico Electric Power Authority Revenue,
10.250% due 7/1/09++............................................. $ 635,681
-----------
SOUTH CAROLINA -- 2.3%
South Carolina Jobs and Economic Development Authority Revenue,
(Credit Commerciale, LOC):
90,000 2.500% due 8/1/95+++.............................................. 90,000
200,000 2.500% due 5/1/01+++.............................................. 200,000
1,420,000 2.500 % due 12/1/04+++............................................ 1,420,000
5,000,000 South Carolina State Housing Finance and Development Authority
Revenue,
3.200% due 9/1/94++.............................................. 5,000,000
1,500,000 York County, South Carolina, Pollution Control Revenue,
2.700% due 9/15/14++............................................. 1,500,000
-----------
8,210,000
-----------
TENNESSEE -- 4.2%
1,300,000 Chattanooga, Tennessee, Industrial Development Board Revenue,
(ABN Amro Bank, LOC),
2.200% due 12/15/12+++........................................... 1,300,000
5,000,000 Coffee County, Tennessee, Industrial Development Board Revenue,
(Asahi Bank, LOC),
3.450% due 12/1/01+++............................................ 5,000,000
4,500,000 Maury County, Tennessee, Industrial Development Board Revenue,
2.500% due 9/1/27+++............................................. 4,500,000
1,065,000 Memphis, Tennessee, Electric Systems Revenue,
5.900% due 1/1/95................................................ 1,098,004
Metropolitan Nashville and Davidson County, Utility Revenue,
(Chemical Bank, LOC),
1,000,000 2.200% due 12/1/07++.............................................. 1,000,000
1,750,000 Pre-refunded,
9.375% due 1/1/15++.............................................. 1,890,270
-----------
14,788,274
-----------
TEXAS -- 7.7%
3,775,000 Fort Worth, Texas, Housing Financing Corporation Revenue,
7.750% due 10/1/13++............................................. 3,775,280
1,000,000 Harris County, Texas, Health Facilities Authority Revenue, Series
C,
Pre-refunded, (Morgan Guaranty, LOC),
2.100% due 2/15/16+.............................................. 1,000,000
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
TEXAS -- (CONTINUED)
$1,750,000 Harris County, Texas, Toll Road Unlimited Tax Sub Lien Revenue,
Series F,
9.250% due 8/1/14++.............................................. $ 1,914,065
4,900,000 Mansfield, Texas, Industrial Development Corporation Revenue,
(Banque Paribus, LOC),
2.400% due 11/1/26+++............................................ 4,900,000
North Texas Higher Education Authority Student Loan Revenue,
(Student Loan Marketing Association, LOC),
1,600,000 2.250% due 3/1/05+++.............................................. 1,600,000
2,100,000 (Fuji Bank, LOC),
2.750% due 12/1/05+++............................................ 2,100,000
1,000,000 Panhandle Plains, Texas, Higher Education Authority Revenue,
Series A,
(Industrial Bank, LOC),
2.650% due 6/1/23++.............................................. 999,437
7,500,000 San Antonio, Texas, General Obligation Bonds, Series 58B,
2.400% due 8/1/03+++............................................. 7,500,000
3,000,000 Texas State Tax and Revenue Anticipation Notes,
3.250% due 8/31/94............................................... 3,009,163
-----------
26,797,945
-----------
UTAH -- 1.7%
3,500,000 Carbon County, Utah, Solid Waste Removal Authority Revenue,
2.650% due 7/1/08++.............................................. 3,500,000
2,600,000 Tooele County, Utah, Electric Power Authority Revenue, (Project
A),
2.650% due 11/1/26++............................................. 2,600,000
-----------
6,100,000
-----------
VERMONT -- 0.6%
2,100,000 Vermont Industrial Development Authority Revenue, (Ryegate
Project),
(ABN Amro Bank, LOC),
2.400% due 12/1/15+++............................................ 2,100,000
-----------
VIRGINIA -- 4.8%
Virginia State Housing Development Authority Revenue:
2,000,000 2.950% due 7/1/27++............................................... 2,000,048
13,750,000 Series K,
2.650% due 1/1/22++.............................................. 13,753,923
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
VIRGINIA -- (CONTINUED)
$1,100,000 Washington County, Virginia, Industrial Development Authority
Revenue,
Pre-refunded,
10.250% due 7/1/14++............................................. $ 1,154,306
-----------
16,908,277
-----------
WASHINGTON -- 1.4%
750,000 Everett, Washington, Water and Sewer Revenue,
2.750% due 7/1/94................................................ 749,375
1,630,000 King County, Washington, General Obligation Bonds, Series A,
8.800% due 12/1/94............................................... 1,713,842
2,500,000 Washington State Tender Option Custody Receipts,
2.400% due 10/1/01+.............................................. 2,500,000
-----------
4,963,217
-----------
WEST VIRGINIA -- 2.7%
Marion County, West Virginia, County Commission Solid Waste
Disposal Facilities Revenue, (Granite Town Project), (National
Westminster, LOC),
8,400,000 Project A,
2.300% due 10/1/17+++............................................ 8,400,000
1,200,000 Project D,
2.300% due 10/1/17+++............................................ 1,200,000
-----------
9,600,000
-----------
WISCONSIN -- 0.4%
1,000,000 Wisconsin State Custody Receipts, Series 57A,
2.400% due 11/1/09+++............................................ 1,000,000
500,000 Wisconsin State General Obligation Notes,
3.250% due 6/15/94............................................... 500,938
-----------
1,500,938
-----------
WYOMING -- 0.6%
2,000,000 Wyoming Community Development Authority Revenue,
2.800% due 6/1/14++.............................................. 2,000,636
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $351,607,262*)......................... 100.2% 351,607,262
OTHER ASSETS AND LIABILITIES (NET)............................. (0.2)% (632,219)
------ --------------
NET ASSETS..................................................... 100.0% $ 350,975,043
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more than one business day's
notice.
The interest rate shown reflects the rate currently in effect.
++ Put bonds and notes have demand features which mature within one year. The
interest rate shown reflects the rate currently in effect.
+++ Variable rate demand notes are payable upon not more than seven business
day's notice.
The interest rate shown reflects the rate currently in effect.
LOC -- Instruments supported by bank letter of credit.
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
Municipal Money Market Fund
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S OR STANDARD OF
& POOR'S VALUE
<S> <C> <C>
Aaa AAA 8.2%
Aa, Aa1, Aa2,
Aa3 AA, AA+ 10.2%
MIG1/VMIG1/P1 A-1/A-1+/SP1/SP1+ 77.4%
MIG2/VMIG2/P-2 SP2/A2 3.9%
NR NR 0.3%
-----
100.0%
-----
-----
# Bonds are not necessarily rated the same by both services.
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
January 31, 1994
California Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 98.7%
CALIFORNIA -- 92.3%
California Health Facilities Financing Authority:
$ 300,000 (Adventist Health Facilities), Series B, (Toronto,
Dominion, LOC),
2.200% due 8/1/21+++............................... $ 300,000
300,000 (Catholic Health Care), Series A,
2.100% due 7/1/09+++............................... 300,000
500,000 California Housing Finance Agency Revenue, Series F,
2.400% due 9/15/94................................. 500,000
100,000 California State Revenue Anticipation Notes,
3.500% due 6/28/94................................. 100,306
550,000 Chino, California, Tax and Revenue Anticipation
Notes,
3.250% due 7/29/94................................. 550,612
200,000 Eastern Municipal Water District, California, Water
and Sewer Revenue, Series B,
2.200% due 7/1/20+++............................... 200,000
90,000 Encinitas, California, Public Financing Authority,
2.550% due 10/1/94................................. 90,000
295,000 Fontana, California, Apartment Development Revenue,
(Citrus Avenue Apartments), Series A, (Bank of
America, LOC),
2.200% due 11/1/07+++.............................. 295,000
300,000 Hayward, California, Multifamily Housing Revenue,
(Shorewood Apartments Project), (Citibank, LOC),
2.100% due 8/1/14+++............................... 300,000
Irvine Ranch, California, Water District:
200,000 District 250, (Bank of America, LOC),
2.150% due 4/1/33+................................. 200,000
200,000 Series A, (Sumitomo Bank, LOC),
2.150% due 11/15/13+............................... 200,000
125,000 Series B, (Sumitomo Bank, LOC),
2.150% due 10/1/09+................................ 125,000
300,000 Kern County, California, High School District, (Rate
Financing Project), (Swiss Bank, LOC),
2.000% due 12/1/03+++.............................. 300,000
300,000 Los Angeles County, California, Museum of Arts,
Certificates of Participation, (Bank of America,
LOC),
2.400% due 11/1/15+++.............................. 300,000
500,000 Los Angeles County, California, Tax and Revenue
Anticipation Notes,
3.000% due 6/30/94................................. 500,288
200,000 Marin County, California, Tax and Revenue
Anticipation Notes,
3.000% due 7/6/94.................................. 199,991
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
California Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
CALIFORNIA (CONTINUED)
Orange County, California, Apartment Development
Revenue:
$ 300,000 Irvine Issue,
2.100% due 11/1/09++............................... $ 300,000
300,000 (Monarch Bay Apartments), Project T, (Mitsubishi
Bank, LOC),
2.100% due 10/1/07+++.............................. 300,000
600,000 Orange County, California, Certificates of
Participation, (Dai Ichi, Kangyo Bank, LOC),
2.100% due 12/1/15+................................ 600,000
400,000 Riverside County, California, Board of Education,
School District Authority Revenue,
3.250% due 7/15/94................................. 400,814
300,000 Riverside County, California, Certificates of
Participation, (Sanwa Bank, LOC),
1.950% due 11/1/15+++.............................. 300,000
500,000 Sacramento County, California, Certificates of
Participation, (Sanwa Bank, LOC),
2.050% due 6/1/96+++............................... 500,000
100,000 Sacramento County, California, Multifamily Housing
Revenue, Series A, (Dai Ichi, Kangyo Bank, LOC),
2.300% due 4/15/07+++.............................. 100,000
300,000 Sacramento County, California, Tax and Revenue
Anticipation Notes,
3.000% due 7/29/94................................. 300,105
100,000 San Bernardino County, California, General
Obligation Bonds,
3.250% due 7/29/94................................. 100,225
500,000 San Bernardino County, California, Housing Revenue,
Series B, (Federal Home Loan, LOC),
2.150% due 5/1/17+++............................... 500,000
200,000 San Francisco, California, City and County Tax
Revenue Anticipation Notes,
3.250% due 7/15/94................................. 200,460
300,000 San Luis, California, Coastal School District,
Certificate-86, (Credit Suisse, LOC),
2.050% due 12/1/08+++.............................. 300,000
275,000 Santa Clara County, California, Tax and Revenue
Anticipation Notes,
3.250% due 7/29/94+++.............................. 275,684
200,000 Southern California Rapid Transit Revenue, District
A,
3.000% due 2/22/94................................. 200,019
-----------
8,838,504
-----------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (continued)
January 31, 1994
California Municipal Money Market Fund
<TABLE>
<CAPTION>
VALUE
FACE VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
PUERTO RICO -- 6.4%
$ 300,000 Commonwealth of Puerto Rico, Tax and Revenue,
Project Notes,
3.000% due 7/29/94................................. $ 300,843
100,000 Puerto Rico, Electric Power Authority Revenue,
Pre-refunded,
10.250% due 7/1/09+++.............................. 105,947
200,000 Puerto Rico Health Facilities and Services Revenue,
Pre-refunded,
9.125% due 8/15/94................................. 206,428
-----------
613,218
-----------
TOTAL INVESTMENTS (COST $9,451,722*).................... 98.7 % $ 9,451,722
OTHER ASSETS AND LIABILITIES (NET)...................... 1.3 % 123,768
------ -----------
NET ASSETS.............................................. 100.0 % $ 9,575,490
------ -----------
------ -----------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more than one business day's
notice.
The interest rate shown reflects the rate currently in effect.
++ Put bonds and notes have demand features which mature within one year. The
interest rate shown reflects the rate currently in effect.
+++ Variable rate demand notes are payable upon not more than seven business
days' notice.
The interest rate shown reflects the rate currently in effect.
LOC -- Instruments supported by bank letter of credit.
</TABLE>
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S OR STANDARD OF
& POOR'S VALUE
<S> <C> <C>
Aaa AAA 4.3%
MIG1/VMIG1/P1 A-1/A-1+/SP1/SP1+ 89.4%
NR NR 6.3%
-----
100.0%
-----
-----
# Bonds are not necessarily rated the same by both services.
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
January 31, 1994
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME VALUE OBLIGATIONS OBLIGATIONS
PRIME MONEY MONEY MARKET MONEY MARKET MONEY
MARKET FUND FUND FUND MARKET FUND
-------------- -------------- ------------- -----------
ASSETS
<S> <C> <C> <C> <C>
Investments, at value
See accompanying schedules:
Securities......................................... $2,834,164,199 $3,679,860,695 $103,809,457 $42,629,330
Repurchase agreements.............................. 384,328,000 318,188,000 22,640,000 --
-------------- -------------- ------------- -----------
Total investments...................................... 3,218,492,199 3,998,048,695 126,449,457 42,629,330
Cash................................................... 110 -- 816 205
Receivable from Investment Adviser (Note 2)............ -- 629,793 112,550 84,021
Receivable from Administrator (Note 2)................. -- 73,570 1,820 115
Interest receivable.................................... 5,878,368 9,425,312 134,519 92,313
Unamortized organization costs (Note 5)................ 51,316 51,316 51,316 51,316
Other assets........................................... 448 197 -- --
-------------- -------------- ------------- -----------
Total Assets......................................... 3,224,422,441 4,008,228,883 126,750,478 42,857,300
-------------- -------------- ------------- -----------
LIABILITIES
Payable for investment securities purchased............ -- -- 5,000,000 1,000,000
Investment Advisory fee payable (Note 2)............... 191,321 -- -- --
Administration fee payable (Note 2).................... 37,046 -- -- --
Service fee payable (Note 3)........................... 52,631 4,136 3 --
Transfer Agent fee payable............................. 18,000 18,000 4,000 4,000
Custodian fees payable (Note 2)........................ 34,000 29,750 10,625 17,000
Due to custodian....................................... -- 594,321 -- --
Dividends payable...................................... 5,897,978 7,430,296 151,203 106,747
Accrued registration and filing fees................... 1,106,650 1,376,268 41,708 14,382
Accrued shareholder reports expense.................... 8,500 8,500 4,592 1,467
Organization costs payable............................. 1,531 1,531 1,482 1,482
Accrued expenses and other payables.................... 55,545 68,171 4,221 2,744
-------------- -------------- ------------- -----------
Total Liabilities.................................... 7,403,202 9,530,973 5,217,834 1,147,822
-------------- -------------- ------------- -----------
NET ASSETS............................................. $3,217,019,239 $3,998,697,910 $121,532,644 $41,709,478
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Investments, at cost (Note 1).......................... $3,218,492,199 $3,998,048,695 $126,449,457 $42,629,330
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
</TABLE>
41
<PAGE>
<TABLE>
<CAPTION>
TREASURY CALIFORNIA
TREASURY INSTRUMENTS 100% TREASURY MUNICIPAL
INSTRUMENTS MONEY INSTRUMENTS TAX-FREE MUNICIPAL MONEY
MONEY MARKET MARKET FUND MONEY MARKET MONEY MARKET MONEY MARKET MARKET
FUND II FUND FUND FUND FUND
------------ ----------- ------------- ------------- ------------ ----------
ASSETS
<S> <C> <C> <C> <C> <C> <C>
Investments, at value
See accompanying schedules:
Securities.......................... $ 2,483,164 $125,140,883 $127,760,839 $ 59,261,812 $351,607,262 $9,451,722
Repurchase agreements............... 399,000 65,814,000 -- -- -- --
------------ ----------- ------------- ------------- ------------ ----------
Total investments....................... 2,882,164 190,954,883 127,760,839 59,261,812 351,607,262 9,451,722
Cash.................................... 435 346 2,673 2,014,731 4,212,159 --
Receivable from Investment Adviser (Note
2).................................... 109,954 101,466 87,541 102,805 82,366 53,130
Receivable from Administrator (Note
2).................................... -- 31,058 7,352 2,134 13,325 429
Interest receivable..................... 35 5,759 -- 452,420 1,874,416 77,507
Unamortized organization costs (Note
5).................................... 51,316 51,316 51,316 51,316 51,316 51,316
Other assets............................ -- -- -- -- -- --
------------ ----------- ------------- ------------- ------------ ----------
Total Assets.......................... 3,043,904 191,144,828 127,909,721 61,885,218 357,840,844 9,634,104
------------ ----------- ------------- ------------- ------------ ----------
LIABILITIES
Payable for investment securities
purchased............................. -- -- -- 2,002,918 6,201,061 --
Investment Advisory fee payable (Note
2).................................... -- -- -- -- -- --
Administration fee payable (Note 2)..... 9,246 -- -- -- -- --
Service fee payable (Note 3)............ 7 7,010 10 -- -- 85
Transfer Agent fee payable.............. 3,000 3,000 3,000 4,000 4,000 3,500
Custodian fees payable (Note 2)......... 17,000 17,000 10,625 16,356 10,056 6,375
Due to custodian........................ -- -- -- -- -- 15,238
Dividends payable....................... 7,591 398,651 377,173 97,205 509,953 21,419
Accrued registration and filing fees.... 1,033 65,538 43,948 20,493 120,917 3,302
Accrued shareholder reports expense..... 3,000 3,000 5,905 3,000 3,000 3,000
Organization costs payable.............. 1,531 1,531 1,531 1,482 1,482 1,482
Accrued expenses and other payables..... 1,050 5,670 4,394 4,978 15,332 4,213
------------ ----------- ------------- ------------- ------------ ----------
Total Liabilities..................... 43,458 501,400 446,586 2,150,432 6,865,801 58,614
------------ ----------- ------------- ------------- ------------ ----------
NET ASSETS.............................. $ 3,000,446 $190,643,428 $127,463,135 $ 59,734,786 $350,975,043 $9,575,490
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Investments, at cost (Note 1)........... $ 2,882,164 $190,954,883 $127,760,839 $ 59,261,812 $351,607,262 $9,451,722
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
</TABLE>
42
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
January 31, 1994
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME VALUE OBLIGATIONS OBLIGATIONS
PRIME MONEY MONEY MARKET MONEY MARKET MONEY
MARKET FUND FUND FUND MARKET FUND
-------------- -------------- ------------- -----------
NET ASSETS consist of:
<S> <C> <C> <C> <C>
Accumulated net realized gain/(loss) on investments
sold................................................. $ 19,757 $ 1,576 $ 1,817 $ (92 )
Par value.............................................. 3,216,999 3,998,696 121,531 41,710
Paid-in capital in excess of par value................. 3,213,782,483 3,994,697,638 121,409,296 41,667,860
-------------- -------------- ------------- -----------
$3,217,019,239 $3,998,697,910 $121,532,644 $41,709,478
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
NET ASSETS:
Class A................................................ $2,866,352,823 $3,981,183,775 $121,532,344 $41,709,278
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Class B................................................ $ 350,666,316 $ 17,503,912 $ 100 $ 100
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Class C................................................ $ 100 $ 100 $ 100 $ 100
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Class D................................................ N/A $ 10,123 $ 100 N/A
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
SHARES OUTSTANDING:
Class A................................................ 2,866,335,220 3,981,182,206 121,530,527 41,709,370
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Class B................................................ 350,664,162 17,503,905 100 100
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Class C................................................ 100 100 100 100
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
Class D................................................ N/A 10,123 100 N/A
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
CLASS A SHARES:
Net asset value, offering and redemption price per
share................................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
CLASS B SHARES:
Net asset value, offering and redemption price per
share................................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
CLASS C SHARES:
Net asset value, offering and redemption price per
share................................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
CLASS D SHARES:
Net asset value, offering and redemption price per
share................................................ N/A $ 1.00 $ 1.00 N/A
-------------- -------------- ------------- -----------
-------------- -------------- ------------- -----------
</TABLE>
43
<PAGE>
<TABLE>
<CAPTION>
TREASURY CALIFORNIA
TREASURY INSTRUMENTS 100% TREASURY MUNICIPAL
INSTRUMENTS MONEY INSTRUMENTS TAX-FREE MUNICIPAL MONEY
MONEY MARKET MARKET FUND MONEY MARKET MONEY MARKET MONEY MARKET MARKET
FUND II FUND FUND FUND FUND
------------ ----------- ------------- ------------- ------------ ----------
NET ASSETS consist of:
<S> <C> <C> <C> <C> <C> <C>
Accumulated net realized gain/(loss) on
investments sold...................... $ 143 $ (10 ) $ 6,349 $ 4,796 $ 18,503 $ (65 )
Par value............................... 3,000 190,643 127,457 59,730 350,957 9,576
Paid-in capital in excess of par
value................................. 2,997,303 190,452,795 127,329,329 59,670,260 350,605,583 9,565,979
------------ ----------- ------------- ------------- ------------ ----------
$ 3,000,446 $190,643,428 $127,463,135 $ 59,734,786 $350,975,043 $9,575,490
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
NET ASSETS:
Class A................................. $ 3,000,246 $156,781,738 $127,462,935 $ 59,734,586 $350,974,743 $9,575,290
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Class B................................. $ 100 $33,861,590 $ 100 $ 100 $ 100 $ 100
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Class C................................. $ 100 $ 100 $ 100 $ 100 $ 100 $ 100
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Class D................................. N/A N/A N/A N/A $ 100 N/A
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
SHARES OUTSTANDING:
Class A................................. 3,000,103 156,781,748 127,456,586 59,729,790 350,956,240 9,575,355
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Class B................................. 100 33,861,590 100 100 100 100
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Class C................................. 100 100 100 100 100 100
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
Class D................................. N/A N/A N/A N/A 100 N/A
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
CLASS A SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
CLASS B SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
CLASS C SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
CLASS D SHARES:
Net asset value, offering and redemption
price per share....................... N/A N/A N/A N/A $ 1.00 N/A
------------ ----------- ------------- ------------- ------------ ----------
------------ ----------- ------------- ------------- ------------ ----------
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
For the Period Ended January 31, 1994*
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME VALUE OBLIGATIONS OBLIGATIONS
PRIME MONEY MONEY MARKET MONEY MARKET MONEY MARKET
MARKET FUND FUND FUND FUND
------------ ------------ ------------ ------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Interest............................................... $38,166,828 $36,485,442 $ 2,304,750 $ 866,763
------------ ------------ ------------ ------------
EXPENSES:
Investment Advisory fee (Note 2)....................... 1,165,899 1,106,003 72,100 27,323
Administration fee (Note 2)............................ 1,165,899 1,106,003 72,100 27,323
Service fee (Note 3)................................... 127,892 21,438 771 --
Transfer Agent fees (Note 2)........................... 108,360 108,360 49,281 49,281
Custodian fees (Note 2)................................ 77,193 67,336 23,880 37,719
Legal and audit fees................................... 75,431 90,963 15,491 9,719
Registration and filing fees........................... 1,174,150 1,456,128 116,215 75,363
Trustees' fees and expenses (Note 2)................... 9,589 9,589 9,589 9,589
Amortization of organization costs (Note 5)............ 12,828 12,828 12,828 12,828
Other.................................................. 22,593 10,844 9,639 1,539
Fees waived by Investment Adviser, Administrator,
Custodian and Transfer Agent and expenses reimbursed
by Investment Adviser and Administrator (Note 2)..... (2,506,373 ) (3,216,860 ) (357,224 ) (233,315 )
------------ ------------ ------------ ------------
Total expenses....................................... 1,433,461 772,632 24,670 17,369
------------ ------------ ------------ ------------
NET INVESTMENT INCOME.................................. 36,733,367 35,712,810 2,280,080 849,394
------------ ------------ ------------ ------------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS (Note 1)....... 19,757 1,576 1,817 (92 )
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS... $36,753,124 $35,714,386 $ 2,281,897 $ 849,302
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
- ------------------------------
* The Trust commenced operations on February 8, 1993.
45
<PAGE>
<TABLE>
<CAPTION>
TREASURY 100% CALIFORNIA
TREASURY INSTRUMENTS TREASURY MUNICIPAL MUNICIPAL
INSTRUMENTS MONEY INSTRUMENTS TAX-FREE MONEY MONEY
MONEY MARKET FUND MONEY MONEY MARKET MARKET
MARKET FUND II MARKET FUND MARKET FUND FUND FUND
----------- ----------- ----------- ----------- --------- ----------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C> <C>
Interest................................ $ 197,111 $3,051,762 $2,160,812 $ 389,411 $2,751,075 $ 162,028
----------- ----------- ----------- ----------- --------- ----------
EXPENSES:
Investment Advisory fee (Note 2)........ 6,589 96,737 70,084 15,640 103,318 6,746
Administration fee (Note 2)............. 6,589 96,737 70,084 15,640 103,318 6,746
Service fee (Note 3).................... 454 35,867 923 -- -- 85
Transfer Agent fees (Note 2)............ 48,281 49,539 48,281 49,159 49,281 48,781
Custodian fees (Note 2)................. 38,593 38,699 23,771 36,994 22,954 14,114
Legal and audit fees.................... 8,017 13,042 11,651 11,903 26,436 11,163
Registration and filing fees............ 62,928 127,951 104,941 80,813 195,414 5,974
Trustees' fees and expenses (Note 2).... 9,589 9,589 9,589 8,453 9,589 9,589
Amortization of organization costs (Note
5).................................... 12,828 12,828 12,828 12,828 12,828 12,828
Other................................... 5,977 32,393 5,977 5,792 7,862 5,710
Fees waived by Investment Adviser,
Administrator, Custodian and Transfer
Agent and expenses reimbursed by
Investment Adviser and Administrator
(Note 2).............................. (199,391 ) (447,890 ) (322,016 ) (219,637 ) (399,415 ) (115,356 )
----------- ----------- ----------- ----------- --------- ----------
Total expenses........................ 454 65,492 36,113 17,585 131,585 6,380
----------- ----------- ----------- ----------- --------- ----------
NET INVESTMENT INCOME................... 196,657 2,986,270 2,124,699 371,826 2,619,490 155,648
----------- ----------- ----------- ----------- --------- ----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS
(Note 1).............................. 143 (10 ) 6,349 4,796 18,503 (65 )
----------- ----------- ----------- ----------- --------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $ 196,800 $2,986,260 $2,131,048 $ 376,622 $2,637,993 $ 155,583
----------- ----------- ----------- ----------- --------- ----------
----------- ----------- ----------- ----------- --------- ----------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
For the Period Ended January 31, 1994*
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME VALUE OBLIGATIONS OBLIGATIONS
PRIME MONEY MONEY MARKET MONEY MARKET MONEY MARKET
MARKET FUND FUND FUND FUND
---------------- ---------------- -------------- ------------
Net investment income.................................. $ 36,733,367 $ 35,712,810 $ 2,280,080 $ 849,394
<S> <C> <C> <C> <C>
Net realized gain/(loss) on investments sold during the
period............................................... 19,757 1,576 1,817 (92)
---------------- ---------------- -------------- ------------
Net increase in net assets resulting from operations... 36,753,124 35,714,386 2,281,897 849,302
Distributions to shareholders from net investment
income:
Class A.............................................. (35,241,368) (35,371,441) (2,270,996) (849,394)
Class B.............................................. (1,490,671) (341,369) (9,084) --
Class C.............................................. (1,328) -- -- --
Class D.............................................. -- -- -- --
Net increase in net assets from share transactions
(Note 4):
Class A.............................................. 2,866,238,320 3,981,182,129 121,530,427 41,709,270
Class B.............................................. 350,664,162 17,503,805 -- --
Class C.............................................. -- -- -- --
Class D.............................................. -- 10,100 100 --
---------------- ---------------- -------------- ------------
Net increase in net assets............................. 3,216,922,239 3,998,697,610 121,532,344 41,709,178
NET ASSETS:
Beginning of period.................................... 97,000 300 300 300
---------------- ---------------- -------------- ------------
End of period.......................................... $ 3,217,019,239 $ 3,998,697,910 $ 121,532,644 $41,709,478
---------------- ---------------- -------------- ------------
---------------- ---------------- -------------- ------------
</TABLE>
- ------------------------------
* The Trust commenced operations on February 8, 1993.
47
<PAGE>
<TABLE>
<CAPTION>
TREASURY TREASURY 100% TREASURY
INSTRUMENTS INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND FUND
-------------- ------------- ------------- ------------- -------------
Net investment income................... $ 196,657 $ 2,986,270 $ 2,124,699 $ 371,826 $ 2,619,490
<S> <C> <C> <C> <C> <C>
Net realized gain/(loss) on investments
sold during the period................ 143 (10) 6,349 4,796 18,503
-------------- ------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations....................... 196,800 2,986,260 2,131,048 376,622 2,637,993
Distributions to shareholders from net
investment income:
Class A............................... (191,672) (2,574,727) (2,114,345) (371,826) (2,619,490)
Class B............................... (4,985) (411,543) (10,354) -- --
Class C............................... -- -- -- -- --
Class D............................... -- -- -- -- --
Net increase in net assets from share
transactions (Note 4):
Class A............................... 3,000,003 156,781,648 127,456,486 59,729,690 350,956,140
Class B............................... -- 33,861,490 -- -- --
Class C............................... -- -- -- -- --
Class D............................... -- -- -- -- 100
-------------- ------------- ------------- ------------- -------------
Net increase in net assets.............. 3,000,146 190,643,128 127,462,835 59,734,486 350,974,743
NET ASSETS:
Beginning of period..................... 300 300 300 300 300
-------------- ------------- ------------- ------------- -------------
End of period........................... $ 3,000,446 $190,643,428 $127,463,135 $ 59,734,786 $350,975,043
-------------- ------------- ------------- ------------- -------------
-------------- ------------- ------------- ------------- -------------
<CAPTION>
CALIFORNIA
MUNICIPAL
MONEY MARKET
FUND
-------------
Net investment income................... $ 155,648
<S> <C>
Net realized gain/(loss) on investments
sold during the period................ (65)
-------------
Net increase in net assets resulting
from operations....................... 155,583
Distributions to shareholders from net
investment income:
Class A............................... (155,063)
Class B............................... (585)
Class C............................... --
Class D............................... --
Net increase in net assets from share
transactions (Note 4):
Class A............................... 9,575,255
Class B............................... --
Class C............................... --
Class D............................... --
-------------
Net increase in net assets.............. 9,575,190
NET ASSETS:
Beginning of period..................... 300
-------------
End of period........................... $ 9,575,490
-------------
-------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD PERIOD PERIOD
ENDED ENDED ENDED
1/31/94* 1/31/94* 1/31/94*
---------- -------- ----------
<S> <C> <C> <C>
CLASS A CLASS B CLASS C
---------- -------- ----------
Net asset value, beginning of period...................... $ 1.00 $1.00 $ 1.00
---------- -------- ----------
Net investment income+++.................................. 0.0310 0.0110 0.0001
Dividends from net investment income...................... (0.0310 ) (0.0110 ) (0.0001 )
---------- -------- ----------
Net asset value, end of period............................ $ 1.00 $1.00 $ 1.00
---------- -------- ----------
---------- -------- ----------
Total return++............................................ 3.14% 0.99% --***
---------- -------- ----------
---------- -------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $2,866,353 $350,666 -- #
Ratio of net investment income to average net assets.... 3.16% + 2.91% + 2.81% +
Ratio of operating expenses to average net assets**..... 0.11% + 0.36% + 0.46% +
<FN>
- ------------------------
* The Prime Money Market Fund Class A, Class B and Class C Shares commenced
operations on February 8, 1993, September 2, 1993 and December 27, 1993,
respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A, Class B and Class C were
0.33%, 0.58% and 0.68%, respectively.
*** Full amount of shares offered to the public on December 27, 1993 and were
redeemed on December 28, 1993, therefore total return deemed not to be
meaningful.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A, Class B and Class C were
$0.0289, $0.0102 and $0.0001, respectively.
#Total net assets for Class C was $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD PERIOD PERIOD
ENDED ENDED ENDED
1/31/94* 1/31/94* 1/31/94*
---------- ---------- ----------
<S> <C> <C> <C>
CLASS A CLASS B CLASS D
---------- ---------- ----------
Net asset value, beginning of period...................... $ 1.00 $ 1.00 $ 1.00
---------- ---------- ----------
Net investment income+++.................................. 0.0315 0.0125 0.0021
Dividends from net investment income...................... (0.0315 ) (0.0125 ) (0.0021 )
---------- ---------- ----------
Net asset value, end of period............................ $ 1.00 $ 1.00 $ 1.00
---------- ---------- ----------
---------- ---------- ----------
Total return++............................................ 3.21% 1.26% 0.26%
---------- ---------- ----------
---------- ---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $3,981,184 $ 17,504 $ 10
Ratio of net investment income to average net assets.... 3.23% + 2.98% + 3.10% +
Ratio of operating expenses to average net assets**..... 0.07% + 0.32% + 0.20% +
<FN>
- ------------------------
* The Prime Value Money Market Fund Class A, Class B and Class D Shares
commenced operations on February 8, 1993, September 1, 1993 and January 6,
1994, respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A, Class B and Class D were
0.36%, 0.61% and 0.49%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A, Class B and Class D were
$0.0287, $0.0113 and $0.0010, respectively.
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
1/31/94* 1/31/94*
---------- ----------
<S> <C> <C>
CLASS A CLASS B
---------- ----------
Net asset value, beginning of period...................... $ 1.00 $ 1.00
---------- ----------
Net investment income+++.................................. 0.0309 0.0091
Dividends from net investment income...................... (0.0309 ) (0.0091 )
---------- ----------
Net asset value, end of period............................ $ 1.00 $ 1.00
---------- ----------
---------- ----------
Total return++............................................ 3.14% 0.90%
---------- ----------
---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $121,532 -- #
Ratio of net investment income to average net assets.... 3.18% + 2.93% +
Ratio of operating expenses to average net assets**..... 0.03% + 0.28% +
<FN>
- ------------------------
* The Government Obligations Money Market Fund Class A and Class B Shares
commenced operations on February 8, 1993, and August 16, 1993, respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were 0.53% and
0.78%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were $0.0261
and $0.0075, respectively.
# Total net assets for Class B was $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
100% GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD
ENDED
1/31/94*
--------
<S> <C>
CLASS A
--------
Net asset value, beginning of period...................... $ 1.00
--------
Net investment income+++.................................. 0.0304
Dividends from net investment income...................... (0.0304 )
--------
Net asset value, end of period............................ $ 1.00
--------
--------
Total return++............................................ 3.09%
--------
--------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $41,709
Ratio of net investment income to average net assets.... 3.11% +
Ratio of operating expenses to average net assets**..... 0.06% +
<FN>
- ------------------------
* The 100% Government Obligations Money Market Fund Class A Shares commenced
operations on February 8, 1993.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator was 0.92%.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator was $0.0220.
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
TREASURY INSTRUMENTS MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
1/31/94* 1/31/94*
---------- ----------
<S> <C> <C>
CLASS A CLASS B
---------- ----------
Net asset value, beginning of period...................... $ 1.00 $ 1.00
---------- ----------
Net investment income+++.................................. 0.0292 0.0100
Dividends from net investment income...................... (0.0292 ) (0.0100 )
---------- ----------
Net asset value, end of period............................ $ 1.00 $ 1.00
---------- ----------
---------- ----------
Total return++............................................ 2.94% 1.00%
---------- ----------
---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $ 3,000 --#
Ratio of net investment income to average net assets.... 2.99% + 2.74% +
Ratio of operating expenses to average net assets**..... 0.00% + 0.25% +
<FN>
- ------------------------
* The Treasury Instruments Money Market Fund Class A and Class B Shares
commenced operations on February 8, 1993, and April 21, 1993, respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were 3.02% and
3.27%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment loss before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were $(0.0003)
and $(0.0010), respectively.
# Total net assets for Class B was $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
1/31/94* 1/31/94*
---------- ----------
<S> <C> <C>
CLASS A CLASS B
---------- ----------
Net asset value, beginning of period...................... $ 1.00 $ 1.00
---------- ----------
Net investment income+++.................................. 0.0300 0.0198
Dividends from net investment income...................... (0.0300 ) (0.0198 )
---------- ----------
Net asset value, end of period............................ $ 1.00 $ 1.00
---------- ----------
---------- ----------
Total return++............................................ 3.04% 2.00%
---------- ----------
---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $156,782 $ 33,862
Ratio of net investment income to average net assets.... 3.12% + 2.87% +
Ratio of operating expenses to average net assets**..... 0.03% + 0.28% +
<FN>
- ------------------------
* The Treasury Instruments Money Market Fund II Class A and Class B Shares
commenced operations on February 8, 1993 and May 24, 1993, respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were 0.49% and
0.74%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were $0.0256
and $0.0166, respectively.
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
100% TREASURY INSTRUMENTS MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
1/31/94* 1/31/94*
-------- --------
<S> <C> <C>
CLASS A CLASS B
-------- --------
Net asset value, beginning of period...................... $ 1.00 $ 1.00
-------- --------
Net investment income+++.................................. 0.0292 0.0149
Dividends from net investment income...................... (0.0292 ) (0.0149 )
-------- --------
Net asset value, end of period............................ $ 1.00 $ 1.00
-------- --------
-------- --------
Total return++............................................ 2.95% 1.55%
-------- --------
-------- --------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $127,463 -- #
Ratio of net investment income to average net assets.... 3.03% + 2.78% +
Ratio of operating expenses to average net assets**..... 0.05% + 0.30% +
<FN>
- ------------------------
* The 100% Treasury Instruments Money Market Fund Class A and Class B Shares
commenced operations on February 8, 1993 and May 2, 1993, respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were 0.51% and
0.76%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were $0.0248
and $0.0124, respectively.
# Total net assets for Class B was $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD
ENDED
1/31/94*
----------
<S> <C>
CLASS A
----------
Net asset value, beginning of period...................... $ 1.00
----------
Net investment income+++.................................. 0.0228
Dividends from net investment income...................... (0.0228 )
----------
Net asset value, end of period............................ $ 1.00
----------
----------
Total return++............................................ 2.30%
----------
----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $59,735
Ratio of net investment income to average net assets.... 2.38% +
Ratio of operating expenses to average net assets**..... 0.11% +
<FN>
- ------------------------
* The Tax-Free Money Market Fund Class A Shares commenced operations on
February 8, 1993.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator was 1.52%.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator was $0.0093.
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD
ENDED
1/31/94*
----------
<S> <C>
CLASS A
----------
Net asset value, beginning of period...................... $ 1.00
----------
Net investment income+++.................................. 0.0243
Dividends from net investment income...................... (0.0243 )
----------
Net asset value, end of period............................ $ 1.00
----------
----------
Total return++............................................ 2.46%
----------
----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $350,975
Ratio of net investment income to average net assets.... 2.53% +
Ratio of operating expenses to average net assets**..... 0.13% +
<FN>
- ------------------------
* The Municipal Money Market Fund Class A Shares commenced operations on
February 8, 1993.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator was 0.51%.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator was $0.0201.
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
CALIFORNIA MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
1/31/94* 1/31/94*
---------- ----------
<S> <C> <C>
CLASS A CLASS B
---------- ----------
Net asset value, beginning of period...................... $ 1.00 $ 1.00
---------- ----------
Net investment income+++.................................. 0.0225 0.0003
Dividends from net investment income...................... (0.0225 ) (0.0003 )
---------- ----------
Net asset value, end of period............................ $ 1.00 $ 1.00
---------- ----------
---------- ----------
Total return++............................................ 2.29% --***
---------- ----------
---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $ 9,575 --#
Ratio of net investment income to average net assets.... 2.31% + 2.06% +
Ratio of operating expenses to average net assets**..... 0.09% + 0.34% +
<FN>
- ------------------------
* The California Municipal Money Market Fund Class A and Class B shares
commenced operations on February 8, 1993 and January 6, 1994, respectively.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were 1.80% and
2.05%, respectively.
*** Full amount of shares offered to the public on January 6, 1994 and were
redeemed on January 11, 1994, therefore total return deemed not to be
meaningful.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and Transfer Agent and expenses reimbursed by the
Investment Adviser and Administrator for Class A and Class B were $0.0058
and $0.0001, respectively.
# Total net assets for Class B was $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Lehman Brothers Institutional Funds Group Trust (the "Trust") was
established on November 25, 1992 as a Massachusetts business trust. It is an
open-end management investment company, which consists of ten funds: Prime Money
Market Fund, Prime Value Money Market Fund, Government Obligations Money Market
Fund, 100% Government Obligations Money Market Fund, Treasury Instruments Money
Market Fund, Treasury Instruments Money Market Fund II, 100% Treasury
Instruments Money Market Fund, Tax-Free Money Market Fund, Municipal Money
Market Fund and California Municipal Money Market Fund (the "Funds"). Fund
shares generally may not be purchased directly by individuals, but institutional
investors may purchase shares for accounts maintained by individuals. All Funds,
except Prime Value Money Market Fund, Government Obligations Money Market Fund
and Municipal Money Market Fund, currently offer three classes of shares: Class
A, Class B and Class C. The Prime Value Money Market Fund, Government
Obligations Money Market Fund and Municipal Money Market Fund also offer Class D
shares to certain individual investors. Class A shares are sold to institutional
investors that have not entered into servicing agreements. Class B, Class C and
Class D shares bear service fees. All classes of shares have identical rights
and privileges except that Class B, Class C and Class D shares possess certain
exclusive voting rights on matters relating to their respective service fees.
Shares of the Treasury Instruments Money Market Fund are not currently sold to
the public. The following is a summary of significant accounting policies
consistently followed by the Funds in the preparation of their financial
statements.
PORTFOLIO VALUATION: Securities of the Funds are valued at amortized cost,
which approximates market value. Amortized cost valuation involves valuing a
security at cost initially and, thereafter, assuming a constant amortization to
maturity of any discount or premium, as long as the effect of fluctuating
interest rates on the market value of the instrument is not significant.
REPURCHASE AGREEMENTS: The Funds may engage in repurchase agreement
transactions. The Fund values repurchase agreements at cost and accrues interest
into interest receivable. Under the terms of a typical repurchase agreement, a
Fund takes possession of the underlying debt obligation subject to an obligation
of the seller to repurchase, and the Fund to resell, the obligation at an
agreed-upon price and time, thereby determining the yield during the Fund's
holding period. This arrangement results in a fixed rate of return that is not
subject to market fluctuations during the Fund's holding period. The value of
the collateral, taken as a part of the repurchase agreement, is at least equal
at all times to the total amount of the repurchase obligations, including
interest. In the event of counterparty default, the Fund has the right to use
the collateral to offset losses incurred. There is potential loss to the Fund in
the event the Fund is delayed or prevented from exercising its rights to dispose
of the collateral securities, including the risk of a possible decline in the
value of the underlying securities during the period while the Fund seeks to
assert its rights. The Fund's Investment Adviser and Administrator, acting under
the supervision of the Board of Trustees, reviews the value of the collateral
and the creditworthiness of those banks and dealers with which the Funds enter
into repurchase agreements to evaluate potential risks.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded as of the trade date. Realized gains and losses on investments sold are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis. Investment income and realized and unrealized gains and losses
are allocated based upon the relative net assets of each class of shares.
EXPENSES: Operating expenses directly attributable to a class of shares are
charged to that class' operations. Expenses of the Funds not directly
attributable to the operations of any class of shares are prorated among the
classes to which the expense relates based on the relative net assets of each
class.
FEDERAL INCOME TAXES: The Funds intend to qualify as regulated investment
companies by complying with the requirements of the Internal Revenue Code of
1986, as amended and applicable to regulated investment companies and by
distributing substantially all of their taxable income to their shareholders.
Therefore, no Federal income tax provision is required.
59
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income of each Fund are determined on a class level and are declared daily and
paid monthly. The Funds do not expect to realize any net long-term capital gains
and therefore do not contemplate payments of any capital gains dividends.
Income dividends and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments of
income and gains on various investment securities held by the Fund, timing
differences and differing characterization of distributions made by the Fund.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER RELATED PARTY
TRANSACTIONS
Lehman Brothers Global Asset Management Inc. ("LBGAM"), serves as the
Trust's Investment Adviser pursuant to Investment Advisory Agreements dated
February 5, 1993. LBGAM is a wholly owned subsidiary of Lehman Brothers Holdings
Inc. ("Holdings"). All of the issued and outstanding common stock (representing
92% of the voting stock) of Holdings is held by American Express Company
("American Express"). The remainder of Holding's voting stock is owned by Nippon
Life Insurance Company. Under the Investment Advisory Agreements, LBGAM is
entitled to receive a monthly fee at an annual rate of 0.10% of the value of
each Fund's average daily net assets. For the period ended January 31, 1994,
LBGAM voluntarily waived and reimbursed expenses as follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
------------ --------------------
<S> <C> <C>
Prime Money Market Fund............ $1,165,899 $--
Prime Value Money Market Fund...... 1,106,003 757,799
Government Obligations Money Market
Fund.............................. 72,100 163,039
100% Government Obligations Money
Market Fund....................... 27,323 130,650
Treasury Instruments Money Market
Fund.............................. 6,589 138,230
Treasury Instruments Money Market
Fund II........................... 96,737 173,335
100% Treasury Instruments Money
Market Fund....................... 70,084 128,972
Tax-Free Money Market Fund......... 15,640 139,234
Municipal Money Market Fund........ 103,318 133,212
California Municipal Money Market
Fund.............................. 6,746 69,533
</TABLE>
For the period from February 8, 1993 (commencement of operations) to July
26, 1993, Shearson Lehman Advisors Inc. ("Shearson Advisors"), then a wholly
owned subsidiary of Holdings, served as the Trust's Sub-Investment Adviser
pursuant to Sub-Investment Advisory Agreements, dated February 5, 1993 (the
"Sub-Advisory Agreements") between Shearson Advisors, LBGAM and each Fund. Under
the Sub-Advisory Agreements, Shearson Advisors was entitled to receive, from
LBGAM, a monthly fee for its services at the annual rate of 0.05% of the value
of each Fund's average daily net assets. Upon the recommendation of LBGAM, the
Board of Trustees approved the termination of the Sub-Advisory Agreements. This
development was caused by the impending sale of certain retail brokerage and
asset management businesses of Shearson Lehman Brothers, Inc. The sale
transaction would have resulted in the termination of the Sub-Advisory
Agreements by operation of law. Effective July 26, 1993, LBGAM assumed
responsibility for the functions previously performed by the Sub-Adviser under
the Sub-Advisory Agreements.
The Boston Company Advisors, Inc. ("Boston Advisors"), an indirect wholly
owned subsidiary of Mellon Bank Corporation ("Mellon") serves as the Trust's
Administrator pursuant to an Administration Agreement. Under the Administration
Agreement, Boston Advisors is entitled to receive a monthly fee at the annual
rate of 0.10% of the value of each Fund's respective average daily net assets.
For the period ended January 31, 1994, Boston Advisors waived and reimbursed
expenses as follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
------------ --------------------
<S> <C> <C>
Prime Money Market Fund............ $1,165,899 $115,300
Prime Value Money Market Fund...... 1,106,003 192,939
</TABLE>
60
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
----------- -------------------
<S> <C> <C>
Government Obligations Money Market Fund.......... $ 72,100 $ 19,087
100% Government Obligations Money Market Fund..... 27,323 9,381
Treasury Instruments Money Market Fund............ 6,589 9,345
Treasury Instruments Money Market Fund II......... 96,737 42,443
100% Treasury Instruments Money Market Fund....... 70,084 21,978
Tax-Free Money Market Fund........................ 15,640 10,485
Municipal Money Market Fund....................... 103,318 28,669
California Municipal Money Market Fund............ 6,746 6,592
</TABLE>
No officer or employee of Lehman Brothers Inc., LBGAM, Boston Advisors or of
any parent, subsidiary or affiliate thereof receives any compensation from the
Trust for serving as an officer or Trustee of the Trust. The Trust pays each
Trustee who is not an officer or employee of Lehman Brothers Inc., LBGAM or
Boston Advisors or any parent, subsidiary, or affiliate thereof $20,000 per
annum, plus $1,250 per meeting attended, and reimburses each such Trustee for
travel and out-of-pocket expenses.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect wholly
owned subsidiary of Mellon, serves as the Funds' Custodian. The Shareholder
Services Group, Inc. ("TSSG"), a subsidiary of First Data Corporation ("FDC")
serves as the Funds' Transfer Agent. American Express retains 21.5% interest in
FDC. For the period ended January 31, 1994, Boston Safe and TSSG waived fees as
follows:
<TABLE>
<CAPTION>
BOSTON SAFE TSSG
FEES WAIVED FEES WAIVED
----------- -----------
<S> <C> <C>
Prime Money Market Fund........................... $ 41,275 $ 18,000
Prime Value Money Market Fund..................... 36,116 18,000
Government Obligations Money Market Fund.......... 12,898 18,000
100% Government Obligations Money Market Fund..... 20,638 18,000
Treasury Instruments Money Market Fund............ 20,638 18,000
Treasury Instruments Money Market Fund II......... 20,638 18,000
100% Treasury Instruments Money Market Fund....... 12,898 18,000
Tax-Free Money Market Fund........................ 20,638 18,000
Municipal Money Market Fund....................... 12,898 18,000
California Municipal Money Market Fund............ 7,739 18,000
</TABLE>
3. SERVICE AGREEMENTS
Lehman Brothers Inc. and Funds Distributor, Inc. act as Distributors of the
Trust's shares. Funds Distributor, Inc. is a wholly owned subsidiary of Lehman
Brothers Inc.
Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Funds
have adopted Service Agreements with institutional investors such as banks,
savings and loan associations and other financial institutions ("service
organizations") which may purchase Class B, Class C and Class D shares. Under
the Service Agreements each Fund compensates service organizations for servicing
shareholder accounts and covers expenses incurred in distributing Class B, Class
C and Class D shares. Service Agreement fees are paid by each Fund, with respect
to Class B, Class C and Class D, at annual rates of 0.25%, 0.35% and 0.30%,
respectively, of the value of the average daily net assets of each respective
class of shares. Lehman Brothers Inc. waived a portion of the Class D shares
service agreement fees. The rate in effect for the period ended January 31, 1994
was 0.20% of the value of the average daily net assets of Class D shares.
4. SHARES OF BENEFICIAL INTEREST
The Trustees have authority to issue an unlimited number of $.001 par value
shares of beneficial interest divided into three classes: Class A, Class B and
Class C for each Fund and a fourth class, Class D, for Prime Value
61
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Money Market, Government Obligations Money Market Fund and Municipal Money
Market Fund. Since the Funds have sold shares, issued shares as reinvestments of
dividends and redeemed shares only at a constant net asset value of $1.00 per
share, the number of shares represented by such sales, reinvestments and
redemptions is the same of the amounts shown below for such transactions.
The Table below summarizes transactions of Class A, Class B and Class C
shares, at $1.00, for the Prime Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
------------------------------------------------
CLASS A CLASS B CLASS C
--------------- ------------- ------------
<S> <C> <C> <C>
Sold........................................ 21,207,896,867 548,120,402 16,828,189
Dividend Reinvestment....................... 7,640,432 548 --
Redeemed.................................... (18,349,298,979) (197,456,788) (16,828,189)
--------------- ------------- ------------
Net increase................................ 2,866,238,320 350,664,162 0
--------------- ------------- ------------
--------------- ------------- ------------
</TABLE>
The Table below summarizes transactions of Class A, Class B and Class D
shares, at $1.00, for the Prime Value Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
------------------------------------------------
CLASS A CLASS B CLASS D
--------------- ------------- ------------
<S> <C> <C> <C>
Sold........................................ 16,321,320,158 51,179,212 10,100
Dividend Reinvestment....................... 7,546,037 -- --
Redeemed.................................... (12,347,684,066) (33,675,407) --
--------------- ------------- ------------
Net increase................................ 3,981,182,129 17,503,805 10,100
--------------- ------------- ------------
--------------- ------------- ------------
</TABLE>
The Table below summarizes transactions of Class A, Class B and Class D
shares, at $1.00, for the Government Obligations Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
------------------------------------------------
CLASS A CLASS B CLASS D
--------------- ------------- ------------
<S> <C> <C> <C>
Sold........................................ 691,207,998 1,002,462 100
Dividend Reinvestment....................... 579,010 8,677 --
Redeemed.................................... (570,256,581) (1,011,139) --
--------------- ------------- ------------
Net increase................................ 121,530,427 0 100
--------------- ------------- ------------
--------------- ------------- ------------
</TABLE>
The Table below summarizes transactions of Class A shares, at $1.00, for the
100% Government Obligations Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
------------
<S> <C> <C> <C>
Sold............................................................................ 94,083,622
Dividend Reinvestment........................................................... 1,889
Redeemed........................................................................ (52,376,241)
------------
Net increase.................................................................... 41,709,270
------------
------------
</TABLE>
62
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Table below summarizes transactions of Class A and Class B shares, at
$1.00, for the Treasury Instruments Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
---------------------------
CLASS A CLASS B
------------- ----------
<S> <C> <C>
Sold................................................ 62,369,567 860,000
Dividend Reinvestment............................... -- 4,986
Redeemed............................................ (59,369,564) (864,986)
------------- ----------
Net increase........................................ 3,000,003 0
------------- ----------
------------- ----------
</TABLE>
The Table below summarizes transactions of Class A and Class B shares, at
$1.00, for the Treasury Instruments Money Market Fund II:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
-------------------------------
CLASS A CLASS B
--------------- ------------
<S> <C> <C>
Sold.............................................. 1,213,748,675 34,177,279
Dividend Reinvestment............................. 172,105 411,598
Redeemed.......................................... (1,057,139,132) (727,387)
--------------- ------------
Net increase...................................... 156,781,648 33,861,490
--------------- ------------
--------------- ------------
</TABLE>
The Table below summarizes transactions of Class A and Class B shares, at
$1.00, for the 100% Treasury Instruments Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
----------------------------
CLASS A CLASS B
------------- -----------
<S> <C> <C>
Sold................................................ 300,937,678 1,196,815
Dividend Reinvestment............................... -- 8,667
Redeemed............................................ (173,481,192) (1,205,482)
------------- -----------
Net increase........................................ 127,456,486 0
------------- -----------
------------- -----------
</TABLE>
The Table below summarizes transactions of Class A shares, at $1.00, for the
Tax-Free Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
-------------
<S> <C>
Sold.......................................................... 159,786,350
Dividend Reinvestment......................................... 11,346
Redeemed...................................................... (100,068,006 )
-------------
Net increase.................................................. 59,729,690
-------------
-------------
</TABLE>
63
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Table below summarizes transactions of Class A and Class D shares, at
$1.00, for the Municipal Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
--------------------------
CLASS A CLASS D
--------------- -------
<S> <C> <C>
Sold................................................ 1,935,295,434 100
Dividend Reinvestment............................... 300,097 --
Redeemed............................................ (1,584,639,391) --
--------------- -------
Net increase........................................ 350,956,140 100
--------------- -------
--------------- -------
</TABLE>
The Table below summarizes transactions of Class A and Class B shares, at
$1.00, for the California Municipal Money Market Fund:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
--------------------------
CLASS A CLASS B
------------ -----------
<S> <C> <C>
Sold........................................ 21,700,100 3,949,532
Dividend Reinvestment....................... -- --
Redeemed.................................... (12,124,845) (3,949,532)
------------ -----------
Net increase................................ 9,575,255 0
------------ -----------
------------ -----------
<FN>
- ------------------------
*The Trust commenced operations on February 8, 1993.
</TABLE>
As of January 31, 1994, the Government Obligations Money Market Fund,
Treasury Instruments Money Market Fund, 100% Government Obligations Money Market
Fund, 100% Treasury Money Market Fund, Municipal Money Market Fund, Tax-Free
Money Market Fund and California Municipal Money Market Fund had each issued 100
Class B shares in the amount of $100 to Lehman Brothers. As of January 31, 1994,
the Funds had each issued 100 Class C shares in the amount of $100 to Lehman
Brothers. As of January 31, 1994, the Government Obligations Money Market Fund
and Municipal Money Market Fund had each issued 100 Class D shares in the amount
of $100 to Lehman Brothers. During the period ended January 31, 1994, there was
no income or expenses allocated to Class B, Class C and Class D shares that did
not have activity.
5. ORGANIZATION COSTS
The Funds bear all costs in connection with their organization, including
fees and expenses of registering and qualifying their shares for distribution
under Federal and state securities regulations. All such costs are being
amortized on the straight-line method over a period of five years from the
commencement of operations of the Funds. In the event that any of the initial
shares of the Funds are redeemed during such amortization period, the Funds will
be reimbursed for any unamortized organization costs in the same proportion as
the number of shares redeemed bears to the number of initial shares held at the
time of redemption.
6. CONCENTRATION OF CREDIT
The California Municipal Money Market Fund primarily invests in debt
obligations issued by the State of California and its political subdivisions,
agencies and public authorities to obtain funds for various public purposes. The
Fund is more susceptible to factors adversely affecting issuers of California
municipal securities than is a municipal money market fund that is not
concentrated in these issuers to the same extent.
7. SUBSEQUENT EVENTS
As of March 28, 1994, the Trust will begin offering two new Funds, the
Floating Rate U.S. Government Fund and the Short Duration U.S. Government Fund.
64
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of March 14, 1994, the Prime Value Money Market Fund, Government
Obligations Money Market Fund and Municipal Money Market Fund no longer offered
Class D shares.
For the period from February 8, 1993 (commencement of operations) to
February 23, 1994, Funds Distributor, Inc. served, along with Lehman Brothers
Inc., as the Trust's distributor, pursuant to a Distribution Agreement dated
February 3, 1993 between the Trust and Funds Distributor, Inc. (the
"Agreement"). The Board of Trustees approved the termination of the Agreement
effective February 23, 1994. As of that date, Lehman Brothers Inc., pursuant to
a Distribution Agreement dated February 5, 1993 between the Trust and Lehman
Brothers Inc., assumed sole responsibility for the functions previously
performed by Funds Distributor, Inc. under the Agreement.
65
<PAGE>
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees
Lehman Brothers Institutional Funds Group Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolio of investments of Lehman Brothers Institutional Funds
Group Trust (the Trust), (comprising respectively, the Prime Money Market Fund,
Prime Value Money Market Fund, Government Obligations Money Market Fund, 100%
Government Obligations Money Market Fund, Treasury Instruments Money Market
Fund, Treasury Instruments Money Market Fund II, 100% Treasury Instruments Money
Market Fund, Tax-Free Money Market Fund, Municipal Money Market Fund and the
California Municipal Money Market Fund, collectively the Funds) as of January
31, 1994, and the related statements of operations and changes in net assets,
and the financial highlights for the periods indicated therein for each Fund
class of shares. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit.
We conducted our audit in accordance with generally accepted auditing
standards. 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
January 31, 1994, by correspondence with the custodian and brokers or other
appropriate auditing procedures where replies from brokers were not received. 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 audit provides 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
each of the respective Funds constituting Lehman Brothers Institutional Funds
Group Trust at January 31, 1994, the results of their operations and changes in
their net assets and financial highlights for the periods indicated therein for
each Fund class of shares, in conformity with generally accepted accounting
principles.
Boston, Massachusetts
March 16, 1994
66
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TAX INFORMATION
YEAR ENDED JANUARY 31, 1994 (UNAUDITED)
Of the dividends paid from net investment income for the Tax-Free Money
Market Fund, the Municipal Money Market Fund and the California Municipal Money
Market Fund for the year January 31, 1994, 100% is tax exempt for regular
Federal income tax purposes.
67
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
Prime Money Market Fund
Prime Value Money Market Fund
Government Obligations Money Market Fund
100% Government Obligations Money Market Fund
Treasury Instruments Money Market Fund
Treasury Instruments Money Market Fund II
100% Treasury Instruments Money Market Fund
Tax-Free Money Market Fund
Municipal Money Market Fund
California Municipal Money Market Fund
THIS REPORT IS FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF LEHMAN
BROTHERS INSTITUTIONAL FUNDS GROUP TRUST. ITS USE IN CONNECTION WITH ANY
OFFERING OF THE TRUST'S SHARES IS AUTHORIZED ONLY IF ACCOMPANIED OR PRECEDED BY
THE TRUST'S CURRENT PROSPECTUS.
