<PAGE>
S E M I - A N N U A L R E P O R T
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J U L Y 3 1, 1 9 9 5
LEHMAN BROTHERS
INSTITUTIONAL FUNDS
GROUP TRUST
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
President's Letter...................................................... 1
Portfolios of Investments:
Prime Money Market Fund............................................... 3
Prime Value Money Market Fund......................................... 6
Government Obligations Money Market Fund.............................. 9
Cash Management Fund.................................................. 10
Treasury Instruments Money Market Fund II............................. 11
100% Treasury Instruments Money Market Fund........................... 12
Tax-Free Money Market Fund............................................ 13
Municipal Money Market Fund........................................... 18
Statements of Assets and Liabilities.................................... 28
Statements of Operations................................................ 32
Statements of Changes in Net Assets..................................... 34
Financial Highlights:
Prime Money Market Fund............................................... 38
Prime Value Money Market Fund......................................... 40
Government Obligations Money Market Fund.............................. 42
Cash Management Fund.................................................. 44
Treasury Instruments Money Market Fund II............................. 46
100% Treasury Instruments Money Market Fund........................... 48
Tax-Free Money Market Fund............................................ 49
Municipal Money Market Fund........................................... 50
Notes to Financial Statements........................................... 51
</TABLE>
<PAGE>
Dear Shareholders:
We are pleased to present the Semi-Annual Report for the Lehman Brothers
Institutional Funds Group Trust (the "Trust") for the period ended July 31,
1995. This Report includes the portfolio holdings for the Prime, Government, and
Tax-Exempt Money Market Funds currently offered by the Trust that are designed
to meet the cash management and liquidity needs of institutional investors.
THE ECONOMY
Since our last report, the pace of economic growth decelerated in two
distinct stages and, ultimately, led to a reversal of the Federal Reserve
Board's ("Fed") monetary policy and a decline in interest rates. Following the
very strong 5.1% growth of Gross Domestic Product ("GDP") in the fourth quarter
of 1994, the slower but still healthy 2.8% rate experienced in the first quarter
of 1995 was viewed to be more sustainable. The initial estimates of 2.0% to 2.5%
GDP growth for the second quarter of 1995, however, proved to be optimistic in
light of the surprisingly weak economic data, particularly in employment,
housing, and consumer durables. The stream of data was so anemic that many
observers felt that the desired "soft landing" scenario would turn into a rather
bumpy one and could unravel into a classic recession. At the same time, rates of
inflation remained manageable. These conditions enabled the fixed-income markets
to continue a powerful rally on the belief that the next monetary policy
decision by the Fed would be to ease the availability of credit in an effort to
revive the economy. During the first six months of 1995, interest rates of
various maturities fell in a range from 50 basis points to 150 basis points,
including the Fed's July 6, 1995 easing operation of 25 basis points, which was
the first time the Fed reduced rates since 1992. It was ironic that significant
signs of economic strength began to emerge immediately after the Fed's action
and this led some commentators to suggest that the easing may not have been
necessary in order to sustain a modest pace of growth.
LOOKING FORWARD
The critical question that fixed-income investors now face relates to the
extent of the rebound in consumer spending and whether it will translate into a
resumption of faster production rates and the attendant employment gains. We
subscribe to forecasts supporting a modestly improving economy (2.0% to 2.5% GDP
growth in the second half of 1995) following a small gain in the second quarter
of 1995 (1.0% or less). We believe that the Fed has so far orchestrated a "soft
landing" and will continue to pursue that strategy with a gradual easing of
short-term interest rates of 25 basis points every three months or so from the
current Fed Funds rate of 5.75%. This strategy should encourage consumption
without igniting inflation. We believe long-term rates, which are currently
around 6.90%, will most likely trade in a range between 6.25% and 7.25% over the
next six months.
PORTFOLIO STRATEGY AND PERFORMANCE RESULTS
During the period from January to April, 1995, the average maturities of the
TAXABLE MONEY MARKET FUNDS were significantly extended in order to lock in six-
to twelve-month rates which were beginning to fall as evidence of economic
weakness became more apparent. By May, the market had factored in a 50 basis
point increase in rates by the Fed and further extensions became less
attractive. As of this writing, average maturities are being held in a range of
about 40 to 60 days.
The single most influential factor in the tax-exempt money market has been
the supply of variable rate demand paper. When supply has been thin, typically
as maturity proceeds and coupon payments enter the market in the beginning of
each month, yields on variable rate securities have been driven down as low as
1.90% to 2.00%. Conversely, when supply of this paper has been plentiful,
typically at mid-month, yields have climbed as high as 4.00% to 4.10%. This
extreme rate of volatility has caused wide swings in the returns of tax-exempt
money market funds in general, a trend which we believe will continue in the
future.
1
<PAGE>
We have been hedging, to the fullest extent possible, the TAX-EXEMPT MONEY
MARKET FUNDS from these yield swings by forsaking variable interest rate paper
in favor of longer, fixed-rate notes. This strategy has allowed us not only to
smooth out returns but also to maintain a favorable position vis-a-vis our
portfolio maturities in the declining interest rate environment that has
recently developed.
The Trust continued to perform well when compared with other money market
funds offered to the institutional investor. For example, based on their July,
1995 monthly yield, PRIME VALUE MONEY MARKET FUND CLASS A was ranked third and
PRIME MONEY MARKET FUND CLASS A was tied for fourth place out of the 267 First
and Second Tier Institutional Only Funds tracked by IBC/Donoghue, Inc.'s MONEY
FUND REPORT-REGISTERED TRADEMARK- ("IBC/ Donoghue"). The GOVERNMENT OBLIGATIONS
MONEY MARKET FUND CLASS A monthly yield for July resulted in a third place
ranking among the 147 Government-Only Institutional Funds tracked by
IBC/Donoghue. The MUNICIPAL MONEY MARKET FUND CLASS A and TAX-FREE MONEY MARKET
FUND CLASS A were the number one- and two-ranked funds, respectively, of the 59
Tax-Free Institutional Funds reporting to IBC/Donoghue. Each of the Funds is
waiving a portion of its investment advisory and/or administrative fees, as more
fully described in the attached Report, and yields would have been lower if the
waivers had not been in effect. And of course, past performance is no guarantee
of future results.
* * *
We at Lehman Brothers look forward to your continued support. Our ongoing
goal is to provide you with superior products and services to meet your cash
management investment needs.
Sincerely,
Andrew D. Gordon
PRESIDENT
September 22, 1995
2
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
July 31, 1995 (unaudited)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------------ -------- ---------- --------------
<C> <S> <C> <C> <C>
BANK/CORPORATE NOTES -- 31.8%
$ 50,000,000 American Express Centurion Bank, Variable
Rate...................................... 5.875% 3/15/96 $ 50,000,000
40,000,000 American Express Centurion Bank, Variable
Rate...................................... 6.125 4/12/96 40,000,000
25,000,000 American Express Centurion Bank, Variable
Rate...................................... 6.062 5/9/96 25,000,000
25,000,000 American Express Centurion Bank, Variable
Rate...................................... 5.875 6/21/96 25,000,000
30,000,000 Bear Stearns Companies, Inc................ 7.070 2/26/96 30,000,000
50,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 5.925 12/29/95 50,000,000
30,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 6.220 2/9/96 30,000,000
20,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 7.070 2/23/96 20,000,000
50,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 6.100 6/17/96 50,000,000
50,000,000 Beta Finance Inc.**........................ 6.830 3/15/96 50,000,000
50,000,000 Beta Finance Inc.**........................ 6.200 6/26/96 50,000,000
100,000,000 Beta Finance Inc.**........................ 5.970 7/17/96 100,000,000
50,000,000 Beta Finance Inc., Variable Rate**......... 6.075 11/22/95 49,990,797
50,000,000 CIT Group Holdings, Inc., Variable Rate.... 6.200 1/12/96 49,993,259
20,000,000 CS First Boston, Inc., Variable Rate**..... 6.300 2/9/96 20,000,000
25,000,000 CS First Boston, Inc., Variable Rate**..... 6.300 2/26/96 25,000,000
50,000,000 FCC National Bank, Delaware, Variable
Rate...................................... 6.200 1/17/96 49,993,285
50,000,000 FCC National Bank, Delaware, Variable
Rate...................................... 6.050 4/11/96 49,982,650
15,000,000 First of America Bank, Michigan............ 6.350 1/22/96 15,008,307
10,000,000 First of America Bank, Michigan............ 6.730 1/30/96 10,021,023
25,000,000 First National Bank Maryland............... 6.470 8/8/95 24,999,858
10,000,000 Ford Motor Credit Company.................. 6.150 12/18/95 9,993,594
10,000,000 General Electric Capital Corporation....... 6.550 3/25/96 10,035,021
40,000,000 Goldman Sachs Group, L.P., Variable
Rate**.................................... 5.963 2/2/96 40,000,000
25,000,000 Huntington National Bank................... 6.970 10/16/95 25,001,101
40,000,000 Merrill Lynch & Company, Inc., Variable
Rate...................................... 6.013 9/8/95 40,000,000
25,000,000 Morgan Guaranty Trust Company.............. 5.990 7/18/96 25,000,000
25,000,000 NationsBank of Texas....................... 7.050 2/8/96 25,000,000
35,000,000 NBD Bank N.A............................... 6.300 8/31/95 34,999,089
100,000,000 NBD Bank N.A............................... 6.420 4/18/96 100,009,003
44,000,000 Paccar Financial Corporation............... 6.300 5/14/96 44,023,415
25,000,000 PHH Corporation, Variable Rate............. 6.200 1/19/96 24,996,662
50,000,000 Sigma Finance Corporation**................ 5.960 7/17/96 50,000,000
35,000,000 SMM Trust 1994-D, Variable Rate**.......... 5.984 10/27/95 35,000,000
161,500,000 SMM Trust 1995-I, Variable Rate**.......... 6.083 5/29/96 161,494,360
35,700,000 Wachovia Bank of North Carolina, N.A....... 4.625 5/15/96 35,296,512
--------------
TOTAL BANK/CORPORATE NOTES (COST $1,475,837,936).................. 1,475,837,936
--------------
COMMERCIAL PAPER -- 22.8%
50,000,000 AT&T Corporation........................... 6.170 8/28/95 49,768,624
46,555,000 AT&T Corporation........................... 6.140 8/29/95 46,332,673
55,000,000 AT&T Corporation........................... 5.600 12/11/95 53,870,667
15,000,000 Ciesco, L.P................................ 6.250 8/9/95 14,979,167
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------------ -------- ---------- --------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
$ 25,000,000 CoreStates Capital Corporation............. 6.020% 2/5/96 $ 25,000,000
25,000,000 CS First Boston, Inc.***................... 6.270 9/5/95 24,847,605
64,000,000 DuPont (E.I.) de Nemours & Company***...... 5.780 10/13/95 63,249,885
24,000,000 DuPont (E.I.) de Nemours & Company***...... 5.850 11/29/95 23,532,000
53,700,000 DuPont (E.I.) de Nemours & Company***...... 5.700 12/8/95 52,603,178
20,000,000 Falcon Asset Securitization
Corporation***............................ 6.275 9/12/95 19,853,583
25,000,000 Ford Motor Credit Company.................. 6.200 9/11/95 24,823,473
25,000,000 General Electric Capital Corporation....... 6.350 8/8/95 24,969,132
50,000,000 General Electric Capital Corporation....... 5.700 9/14/95 49,651,667
30,000,000 General Electric Capital Corporation....... 6.500 11/10/95 29,452,917
35,000,000 General Electric Capital Corporation....... 5.640 12/1/95 34,331,033
25,000,000 General Electric Capital Corporation....... 6.230 12/1/95 24,472,181
25,000,000 General Electric Capital Corporation....... 5.650 12/11/95 24,482,083
50,000,000 Goldman Sachs Group, L.P................... 6.180 9/5/95 49,699,583
50,000,000 Goldman Sachs Group, L.P................... 5.700 11/15/95 49,160,833
50,000,000 Goldman Sachs Group, L.P................... 5.700 11/21/95 49,113,333
25,000,000 McKenna Triangle National Corporation***... 6.260 8/7/95 24,973,916
10,000,000 McKenna Triangle National Corporation***... 5.450 12/15/95 9,794,111
8,000,000 McKenna Triangle National Corporation***... 5.500 12/15/95 7,833,778
42,275,000 Monte Rosa Capital Corporation***.......... 5.770 8/10/95 42,214,018
34,564,000 Monte Rosa Capital Corporation***.......... 5.750 8/11/95 34,508,794
20,000,000 Toyota Motor Credit Corporation............ 6.770 9/22/95 19,804,422
10,000,000 Toyota Motor Credit Corporation............ 6.160 10/2/95 9,893,911
30,000,000 Toyota Motor Credit Corporation............ 6.850 10/3/95 29,640,374
25,000,000 Toyota Motor Credit Corporation............ 6.375 11/6/95 24,570,572
20,000,000 Toyota Motor Credit Corporation............ 6.365 11/8/95 19,649,925
36,800,000 U.S. Borax Inc.***......................... 6.230 8/30/95 36,615,314
19,300,000 U.S. Borax Inc.***......................... 6.230 9/6/95 19,179,761
12,000,000 U.S. Borax Inc.***......................... 6.100 10/27/95 11,823,100
23,800,000 U.S. Borax Inc.***......................... 5.930 11/6/95 23,419,723
11,200,000 U.S. Borax Inc.***......................... 5.950 11/8/95 11,016,740
--------------
TOTAL COMMERCIAL PAPER (COST $1,059,132,076)...................... 1,059,132,076
--------------
CERTIFICATES OF DEPOSIT -- 2.4%
63,000,000 Harris Trust & Savings Bank................ 5.750 8/7/95 62,999,952
50,000,000 Harris Trust & Savings Bank................ 5.750 8/14/95 50,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $112,999,952)................. 112,999,952
--------------
U.S. GOVERNMENT AGENCY NOTES -- 2.1%
10,000,000 Federal Home Loan Bank, Variable Rate...... 5.980 5/8/97++ 10,013,339
45,000,000 Federal National Mortgage Association,
Variable Rate............................. 6.150 12/20/95 45,000,000
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------------ -------- ---------- --------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY NOTES (CONTINUED)
$ 40,000,000 Federal National Mortgage Association,
Variable Rate............................. 6.350% 10/7/96++ $ 40,000,000
--------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (COST $95,013,339)............. 95,013,339
--------------
REPURCHASE AGREEMENTS -- 40.9%
Agreement with BZW Securities Inc. dated 7/31/95 bearing 5.900% to
be repurchased at $100,016,389 on 8/1/95, collateralized by
$127,878,000 of various mortgage-backed securities, with various
100,000,000 maturities and interest rates (market value -- $102,003,917).....
100,000,000
Agreement with Goldman Sachs Group, L.P. dated 7/31/95 bearing
5.880% to be repurchased at $500,081,667 on 8/1/95,
collateralized by $584,329,310 of various mortgage-backed
500,000,000 securities, with various maturities and interest rates (market
value -- $510,000,001)........................................... 500,000,000
Agreement with Lehman Brothers Government Securities Inc. dated
7/31/95 bearing 6.000% to be repurchased at $198,049,003 on
8/1/95, collateralized by $283,749,139 of various Government
National Mortgage Association Securities, with various maturities
198,016,000 and interest rates (market value -- $201,957,201)................
198,016,000
Agreement with Merrill Lynch Government Securities Inc. dated
7/31/95 bearing 5.822% to be repurchased at $400,064,689 on
8/1/95, collateralized by $417,280,623 of various mortgage-backed
400,000,000 securities, with various maturities and interest rates (market
value -- $408,000,915)........................................... 400,000,000
Agreement with UBS Securities, Inc. dated 7/31/95 bearing 5.900%
to be repurchased at $700,114,722 on 8/1/95, collateralized by
$913,223,484 of various mortgage-backed securities, with various
700,000,000 maturities and interest rates (market value -- $714,000,099).....
700,000,000
--------------
TOTAL REPURCHASE AGREEEMENTS (COST $1,898,016,000)................ 1,898,016,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $4,640,999,303*)............................... 100.0% 4,640,999,303
OTHER ASSETS AND LIABILITIES (NET)..................................... 0.0 1,821,332
------ --------------
NET ASSETS............................................................. 100.0% $4,642,820,635
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
** Securities 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.
*** Securities are exempt from registration under Section 4(2) 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.
++ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1995 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------------ -------- ---------- --------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- 35.4%
$ 15,000,000 Atlantic Asset Securitization
Corporation***............................ 5.800% 8/11/95 $ 14,975,833
43,278,000 Atlantic Asset Securitization
Corporation***............................ 5.820 8/14/95 43,187,044
14,575,000 Countrywide Funding Corporation............ 5.800 8/8/95 14,558,562
25,000,000 Countrywide Funding Corporation............ 5.820 8/9/95 24,967,667
10,000,000 Countrywide Funding Corporation............ 5.820 8/10/95 9,985,450
39,888,000 Countrywide Funding Corporation............ 5.770 8/11/95 39,824,068
39,700,000 Countrywide Funding Corporation............ 5.820 8/18/95 39,590,891
15,000,000 DuPont (E.I.) de Nemours & Company***...... 5.750 11/28/95 14,714,896
60,000,000 DuPont (E.I.) de Nemours & Company***...... 6.090 1/9/96 58,365,850
25,000,000 Ford Motor Credit Company.................. 6.200 9/11/95 24,823,473
50,000,000 Ford Motor Credit Company.................. 5.650 9/29/95 49,537,014
50,000,000 Ford Motor Credit Company.................. 5.400 2/27/96 48,425,000
25,000,000 General Electric Capital Corporation....... 6.350 8/8/95 24,969,131
20,000,000 General Electric Capital Corporation....... 6.500 11/10/95 19,635,278
35,000,000 General Electric Capital Corporation....... 5.640 12/1/95 34,331,033
25,000,000 General Electric Capital Corporation....... 6.230 12/1/95 24,472,181
25,000,000 General Electric Capital Corporation....... 5.650 12/11/95 24,482,083
30,000,000 General Motors Acceptance Corporation...... 6.450 8/7/95 29,967,750
40,000,000 General Motors Acceptance Corporation...... 6.260 8/15/95 39,902,623
50,000,000 General Motors Acceptance Corporation...... 5.970 11/6/95 49,195,709
40,000,000 General Motors Acceptance Corporation...... 5.540 12/8/95 39,205,933
20,000,000 General Motors Acceptance Corporation...... 5.550 12/26/95 19,546,750
50,000,000 Goldman Sachs Group, L.P................... 5.700 11/21/95 49,113,333
25,000,000 Goldman Sachs Group, L.P................... 5.740 11/21/95 24,553,556
24,000,000 Lilly (Eli) & Company, Inc................. 6.080 1/8/96 23,351,466
50,000,000 Nationwide Building Society................ 5.730 9/12/95 49,665,750
50,000,000 Nordbanken N.A............................. 5.720 10/13/95 49,420,055
40,000,000 Postipankki U.S. Inc....................... 5.750 8/15/95 39,910,556
30,000,000 Postipankki U.S. Inc....................... 6.210 9/11/95 29,787,825
50,866,000 Ruby Asset Funding Corporation............. 5.750 9/29/95 50,386,659
20,000,000 SFC (USA) Inc.***.......................... 5.900 9/8/95 19,875,444
39,259,000 Sierra Funding Corporation***.............. 5.840 10/31/95 38,679,450
50,000,000 Swedbank Inc............................... 6.190 8/10/95 49,922,625
37,735,000 Swedbank Inc............................... 5.770 8/11/95 37,674,519
40,000,000 Swedbank Inc............................... 5.810 11/9/95 39,354,445
25,000,000 Toyota Motor Credit Corporation............ 6.375 11/6/95 24,570,572
18,875,000 Toyota Motor Credit Corporation............ 6.365 11/8/95 18,544,616
--------------
TOTAL COMMERCIAL PAPER (COST $1,233,475,090)...................... 1,233,475,090
--------------
BANK/CORPORATE NOTES -- 35.4%
25,000,000 American Express Centurion Bank, Variable
Rate...................................... 6.062 5/9/96 25,000,000
25,000,000 American Express Centurion Bank, Variable
Rate...................................... 5.879 7/8/96 25,000,000
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------------ -------- ---------- --------------
<C> <S> <C> <C> <C>
BANK/CORPORATE NOTES (CONTINUED)
$ 75,000,000 Bank of New York, Delaware................. 5.960% 7/15/96 $ 75,000,000
10,000,000 Bear Stearns Companies, Inc................ 7.070 2/23/96 10,000,000
30,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 6.220 2/9/96 30,000,000
30,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 6.083 2/26/96 30,000,000
50,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 6.100 6/17/96 50,000,000
50,000,000 Bear Stearns Companies, Inc., Variable
Rate...................................... 5.975 7/12/96 50,000,000
50,000,000 Beta Finance Inc.**........................ 6.200 6/26/96 50,000,000
30,000,000 Beta Finance Inc., Variable Rate**......... 6.075 11/22/95 29,994,478
25,000,000 Comerica Bank.............................. 7.500 1/17/96 25,052,199
25,000,000 CS First Boston, Inc.**.................... 6.300 2/9/96 25,000,000
50,000,000 CS First Boston, Inc., Variable Rate**..... 5.988 1/26/96 50,000,000
25,000,000 CS First Boston, Inc., Variable Rate**..... 6.175 2/26/96 25,000,000
30,000,000 FCC National Bank, Delaware, Variable
Rate...................................... 6.200 1/17/96 29,995,971
50,000,000 FCC National Bank, Delaware, Variable
Rate...................................... 6.050 4/11/96 49,982,650
40,000,000 First Bank South Dakota.................... 6.012 2/5/96 39,990,056
25,000,000 First of America Bank, Illinois............ 6.430 12/22/95 31,995,843
25,000,000 First of America Bank, Michigan............ 5.930 11/28/95 25,022,432
25,000,000 First of America Bank, Michigan............ 6.570 4/30/96 25,003,345
5,000,000 General Motors Acceptance Corporation...... 8.400 11/15/95 4,969,109
6,000,000 General Motors Acceptance Corporation...... 6.375 5/23/96 5,988,511
40,000,000 Goldman Sachs Group, L.P.**................ 5.938 11/24/95 40,000,000
40,000,000 Goldman Sachs Group, L.P., Variable
Rate**.................................... 5.963 2/2/96 40,000,000
25,000,000 Huntington National Bank................... 6.970 10/16/95 25,001,100
40,000,000 Merrill Lynch & Company, Inc., Variable
Rate...................................... 6.013 9/8/95 40,000,000
75,000,000 Morgan Guaranty Trust Company.............. 5.990 7/18/96 75,000,000
50,000,000 NationsBank of Texas....................... 5.650 12/11/95 50,000,000
25,000,000 NationsBank of Texas....................... 7.050 2/8/96 25,000,000
50,000,000 PHH Corporation, Variable Rate............. 6.200 1/19/96 49,993,324
75,000,000 PNC Bank N.A............................... 6.450 12/12/95 75,009,105
30,000,000 PNC Bank N.A., Variable Rate............... 5.825 5/20/96 29,988,356
20,000,000 SMM Trust 1994-D, Variable Rate**.......... 5.984 10/27/95 20,000,000
50,000,000 SMM Trust 1995-I, Variable Rate**.......... 5.895 6/17/96 49,985,880
--------------
TOTAL BANK/CORPORATE NOTES (COST $1,232,972,359).................. 1,232,972,359
--------------
CERTIFICATE OF DEPOSIT -- 1.4% (COST $50,000,524)
YANKEE
50,000,000 Norinchukin Bank........................... 5.810 9/12/95 50,000,524
--------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------------ -------- ---------- --------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATION -- 0.9% (COST
$30,000,000)
$ 30,000,000 Federal National Mortgage Association,
Variable Rate............................. 6.350% 10/7/96++ $ 30,000,000
--------------
REPURCHASE AGREEMENTS -- 25.5%
Agreement with Goldman Sachs Group, L.P. dated 7/31/95 bearing
5.880% to be repurchased at $500,081,667 on 8/1/95,
collateralized by $654,239,426 of various mortgage-backed
500,000,000 securities, with various maturities and interest rates (market
value -- $510,000,000)........................................... 500,000,000
Agreement with J.P. Morgan Securities Inc. dated 7/31/95 bearing
6.050% to be repurchased at $180,030,250 on 8/1/95,
collateralized by $201,539,609 of various mortgage-backed
180,000,000 securities, with various maturities and interest rates (market
value -- $183,600,000)........................................... 180,000,000
Agreement with Lehman Brothers Government Securities Inc. dated
7/31/95 bearing 6.000% to be repurchased at $209,641,935 on
8/1/95, collateralized by $1,286,955,672 of various
209,607,000 mortgage-backed securities, with various maturities and interest
rates (market value -- $213,782,348)............................. 209,607,000
--------------
TOTAL REPURCHASE AGREEMENTS (COST $889,607,000)................... 889,607,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $3,436,054,973*)............................... 98.6% 3,436,054,973
OTHER ASSETS AND LIABILITIES (NET)..................................... 1.4 48,745,001
------ --------------
NET ASSETS............................................................. 100.0% $3,484,799,974
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
** Securities 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.
*** Securities are exempt from registration under Section 4(2) 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.
++ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1995 (UNAUDITED)
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 OBLIGATIONS -- 62.9%
FEDERAL HOME LOAN BANK (FHLB):
$ 10,000,000 FHLB, Discount Note........................ 5.780% 8/1/95 $ 10,000,000
5,000,000 FHLB, Variable Rate........................ 6.400 9/18/95 5,000,000
5,000,000 FHLB, Variable Rate........................ 6.280 2/3/97++ 5,000,000
7,500,000 FHLB, Variable Rate........................ 5.980 5/8/97++ 7,510,005
--------------
27,510,005
--------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC):
5,000,000 FHLMC, Discount Note....................... 5.630 9/7/95 4,971,068
5,000,000 FHLMC, Discount Note....................... 5.600 10/27/95 4,932,333
--------------
9,903,401
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA):
10,000,000 FNMA, Discount Note........................ 5.620 12/22/95 9,776,761
5,000,000 FNMA, Medium Term Note..................... 6.460 3/27/96 5,020,184
5,000,000 FNMA, Variable Rate, Medium Term Note...... 6.400 12/20/95 5,000,000
5,000,000 FNMA, Variable Rate, Medium Term Note...... 6.350 10/7/96++ 5,000,000
--------------
24,796,945
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $62,210,351)............................................... 62,210,351
--------------
REPURCHASE AGREEMENTS -- 37.1%
Agreement with J.P. Morgan Securities Inc. dated 7/31/95 bearing
6.050% to be repurchased at $20,003,361 on 8/1/95, collateralized
by $19,793,492 of various mortgage-backed securities, with
20,000,000 various maturities and interest rates (market value --
$20,400,001)..................................................... 20,000,000
Agreement with Lehman Brothers Government Securities Inc. dated
7/31/95 bearing 6.000% to be repurchased at $16,671,778 on
8/1/95, collateralized by $17,355,140 of various mortgage-backed
16,669,000 securities, with various maturities and interest rates (market
value -- $17,002,538)............................................ 16,669,000
--------------
TOTAL REPURCHASE AGREEMENTS (COST $36,669,000).................... 36,669,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $98,879,351*)............................... 100.0% 98,879,351
OTHER ASSETS AND LIABILITIES (NET).................................. 0.0 (43,508)
------ --------------
NET ASSETS.......................................................... 100.0% $ 98,835,843
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For Discount Notes, the interest rate represents annualized yield at date
of purchase.
++ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1995 (UNAUDITED)
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------------ -------- ---------- ----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATION -- 88.4% (COST
$1,000,000)
FEDERAL HOME LOAN BANK (FHLB):
$ 1,000,000 FHLB, Variable Rate............................ 6.280% 2/3/97+ $1,000,000
----------
REPURCHASE AGREEMENT -- 10.8% (COST $122,000)
Agreement with Lehman Brothers Government Securities Inc. dated
7/31/95 bearing 6.000% to be repurchased at $122,020 on 8/1/95,
collateralized by $130,000 Government National Mortgage Association,
122,000 6.990% due 1/15/25 (market value -- $126,649)........................
122,000
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $1,122,000*)................................... 99.2% 1,122,000
OTHER ASSETS AND LIABILITIES (NET ).................................... 0.8 9,435
------ --------------
NET ASSETS............................................................. 100.0% $ 1,131,435
------ --------------
------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
July 31, 1995 (unaudited)
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
ANNUALIZED YIELD
FACE AT DATE OF MATURITY VALUE
VALUE PURCHASE DATE (NOTE 1)
----------- ---------------- ---------- ------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 52.5%
$15,000,000 U.S. Treasury Bills................... 5.680% 8/17/95 $ 14,962,134
25,000,000 U.S. Treasury Bills................... 5.965 9/7/95 24,846,732
25,000,000 U.S. Treasury Bills................... 5.500 9/14/95 24,831,944
25,000,000 U.S. Treasury Bills................... 5.425 9/21/95 24,807,865
10,000,000 U.S. Treasury Bills................... 5.845 9/21/95 9,917,196
25,000,000 U.S. Treasury Bills................... 5.840 10/5/95 24,736,389
20,000,000 U.S. Treasury Bills................... 5.750 10/12/95 19,770,000
15,000,000 U.S. Treasury Bills................... 5.460 10/19/95 14,820,275
10,000,000 U.S. Treasury Bills................... 5.685 10/19/95 9,875,246
25,000,000 U.S. Treasury Bills................... 5.440 10/26/95 24,675,111
10,000,000 U.S. Treasury Bills................... 5.740 10/26/95 9,862,877
25,000,000 U.S. Treasury Bills................... 5.420 11/16/95 24,597,264
5,000,000 U.S. Treasury Bills................... 5.980 3/7/96 4,818,109
10,000,000 U.S. Treasury Bills................... 5.775 4/4/96 9,603,771
------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $242,124,913).................. 242,124,913
------------
REPURCHASE AGREEMENTS -- 47.9%
Agreement with BZW Securities Inc. dated 7/31/95 bearing 5.850% to be
repurchased at $60,009,750 on 8/1/95, collateralized by $75,230,000
of various mortgage-backed securities, with various maturities and
60,000,000 interest rates (market value -- $61,200,703)........................
60,000,000
Agreement with Chase Securities Inc. dated 7/31/95 bearing 5.850% to
be repurchased at $60,009,750 on 8/1/95, collateralized by
$81,804,000 of various U.S. Treasury Obligations, with various
60,000,000 maturities and interest rates (market value -- $61,200,405).........
60,000,000
Agreement with Lehman Brothers Government Securities Inc. dated
7/31/95 bearing 5.860% to be repurchased at $45,007,325 on 8/1/95,
collateralized by $239,288,000 of various U.S. Treasury Strips, with
45,000,000 various maturities (market value -- $45,900,633)....................
45,000,000
Agreement with Merrill Lynch Government Securities Inc. dated 7/31/95
bearing 5.850% to be repurchased at $56,045,106 on 8/1/95,
collateralized by $57,370,000 of various U.S. Treasury Bills, with
56,036,000 various maturities (market value -- $57,158,014)....................
56,036,000
------------
TOTAL REPURCHASE AGREEMENTS (COST $221,036,000)...................... 221,036,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $463,160,913*)................................. 100.4% 463,160,913
OTHER ASSETS AND LIABILITIES (NET)..................................... (0.4) (1,634,097)
----- -------------
NET ASSETS............................................................. 100.0% $ 461,526,816
----- ----------
----- ----------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1995 (UNAUDITED)
100% TREASURY INSTRUMENTS MONEY MARKET FUND
<TABLE>
<CAPTION>
ANNUALIZED YIELD
FACE AT DATE OF MATURITY VALUE
VALUE PURCHASE DATE (NOTE 1)
---------- ---------------- ---------- -----------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 100.9%
$ 645,000 U.S. Treasury Bills..................... 5.350% 8/3/95 $ 644,804
665,000 U.S. Treasury Bills..................... 5.650 8/10/95 664,061
470,000 U.S. Treasury Bills..................... 5.690 8/10/95 469,332
295,000 U.S. Treasury Bills..................... 5.390 8/17/95 294,293
510,000 U.S. Treasury Bills..................... 5.395 8/17/95 508,777
965,000 U.S. Treasury Bills..................... 5.640 8/31/95 960,464
295,000 U.S. Treasury Bills..................... 5.300 9/7/95 293,393
105,000 U.S. Treasury Bills..................... 5.340 9/7/95 104,424
190,000 U.S. Treasury Bills..................... 5.390 9/7/95 188,948
115,000 U.S. Treasury Bills..................... 5.450 9/7/95 114,356
1,100,000 U.S. Treasury Bills..................... 5.380 9/14/95 1,092,766
200,000 U.S. Treasury Bills..................... 5.420 9/14/95 198,675
1,195,000 U.S. Treasury Bills..................... 5.340 9/21/95 1,185,960
1,845,000 U.S. Treasury Bills..................... 5.540 9/21/95 1,830,520
35,000 U.S. Treasury Bills..................... 5.350 10/5/95 34,662
1,690,000 U.S. Treasury Bills..................... 5.390 10/5/95 1,673,553
165,000 U.S. Treasury Bills..................... 5.400 10/5/95 163,391
140,000 U.S. Treasury Bills..................... 5.340 10/12/95 138,505
1,545,000 U.S. Treasury Bills..................... 5.665 10/12/95 1,527,495
450,000 U.S. Treasury Bills..................... 5.350 10/19/95 444,717
930,000 U.S. Treasury Bills..................... 5.360 10/19/95 919,061
355,000 U.S. Treasury Bills..................... 5.400 10/19/95 350,793
1,890,000 U.S. Treasury Bills..................... 5.410 10/19/95 1,867,562
55,000 U.S. Treasury Bills..................... 5.420 10/19/95 54,346
805,000 U.S. Treasury Bills..................... 5.400 10/26/95 794,616
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $16,519,474*).................................... 100.9% 16,519,474
OTHER ASSETS AND LIABILITIES (NET)....................................... (0.9) (141,641)
------ ------------
NET ASSETS............................................................... 100.0% $ 16,377,833
------ ------------
------ ------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1995 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 101.7%
CALIFORNIA -- 5.1%
$4,000,000 California State, Revenue Anticipation Warrants,
Series C,
5.750% due 4/25/96................................. $ 4,035,097
-----------
COLORADO -- 3.8%
2,995,000 Colorado State, Housing Finance Authority,
Multi-family Housing Revenue,
(Sumitomo Bank, LOC),
3.900% due 3/1/12+++............................... 2,995,000
-----------
DISTRICT OF COLUMBIA -- 5.8%
2,070,000 District of Columbia, Housing Finance Agency,
Multi-family Housing Revenue, (NationsBank
Corporation of Virginia, LOC),
4.125% due 7/1/97++................................ 2,071,360
2,500,000 District of Columbia, Revenue Notes, Abraham and
Laura Lisner Home for Aged Women, (NationsBank
Corporation of Georgia, LOC),
3.900% due 7/1/22+++............................... 2,500,000
-----------
4,571,360
-----------
FLORIDA -- 4.8%
100,000 Marion County, Florida, Industrial Development
Authority Revenue, Charter Springs Hospital,
(Bankers Trust Company, LOC),
3.800% due 7/1/04+++............................... 100,000
Orange County, Florida, Health Facilities Authority
Revenue:
600,000 Series C44,
4.850% due 10/1/06+++.............................. 600,000
2,500,000 Series C46,
4.950% due 10/1/08+++.............................. 2,500,000
580,000 Putnam County, Florida, Development Authority,
Pollution Control Revenue, (Florida Power & Light
Company Project),
3.850% due 9/1/24+................................. 580,000
-----------
3,780,000
-----------
GEORGIA -- 3.2%
1,000,000 Burke County, Georgia, Development Authority,
Pollution Control Revenue, (Georgia Power Company
Project), Series 2,
4.100% due 4/1/25+................................. 1,000,000
1,500,000 Georgia State, Municipal Electric Authority,
Subordinate General Resolution Note, Series B,
4.250% due 6/1/20++................................ 1,501,813
-----------
2,501,813
-----------
ILLINOIS -- 8.9%
1,000,000 Chicago, Illinois, Adjustable Rate Tender Notes,
Series A, Commercial Paper
Put 10/31/95, (Morgan Guaranty Trust Company, LOC),
4.600% due 10/31/96++.............................. 1,000,000
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
ILLINOIS (CONTINUED)
$2,300,000 Chicago, Illinois, General Obligation, (Sanwa Bank,
Ltd., LOC),
3.850% due 1/1/10+++............................... $ 2,300,000
235,000 Cook County, Illinois, Municipal Securities,
Treasury Receipts, Series SGA-3, (Sanwa Bank, Ltd.,
LOC),
4.000% due 11/15/23+++............................. 235,000
Illinois Health Facilities Authority Revenue:
1,500,000 (Carle Foundation Project),
3.800% due 1/1/22+++............................... 1,500,000
2,000,000 Series A,
4.500% due 8/1/15++................................ 2,000,000
-----------
7,035,000
-----------
KANSAS -- 4.7%
3,700,000 La Cygne, Kansas, Environmental Improvement Revenue,
(Kansas City Power & Light Company Project),
3.950% due 3/1/15+++............................... 3,700,000
-----------
LOUISIANA -- 1.0%
800,000 Louisiana State, Offshore Terminal Authority,
Deepwater Port Revenue,
(Loop Inc. Project), (Union Bank of Switzerland,
LOC),
3.800% due 9/1/06+................................. 800,000
-----------
MARYLAND -- 2.8%
895,000 Maryland Environmental Services Revenue, (Mid-Shore
Regional Landfill Project), (AMBAC Insured),
5.200% due 9/1/95.................................. 895,584
1,300,000 Northeast Maryland, Waste Disposal Authority,
Resource Recovery Revenue, (MBIA Insured),
3.750% due 1/1/07++................................ 1,300,000
-----------
2,195,584
-----------
MASSACHUSETTS -- 7.5%
1,200,000 Massachusetts Municipal Wholesale Electric Company,
Power Supply Systems Revenue, Series C, (Canadian
Imperial Bank of Commerce, LOC),
3.650% due 7/1/19+++............................... 1,200,000
2,750,000 Massachusetts State, Municipal Securities Treasury
Receipts, Series B, (Canadian Imperial Bank of
Commerce, LOC),
3.900% due 12/1/07+++.............................. 2,750,000
2,000,000 Massachusetts State Water Resources Authority,
Municipal Securities Receipts, (Canadian Imperial
Bank of Commerce, LOC),
3.900% due 4/1/09+++............................... 2,000,000
-----------
5,950,000
-----------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MICHIGAN -- 12.4%
$ 200,000 Dearborn, Michigan, Economic Development Corporation
Revenue, (Oakbrook Common Project), Limited
Obligation, (Mellon Bank Corporation, LOC),
3.800% due 3/1/25+++............................... $ 200,000
600,000 Delta County, Michigan, Economic Development
Corporation, Environmental Improvement Revenue,
(Dates-Mead-Escanaba Paper Company Project),
(Bank of Nova Scotia, LOC),
4.200% due 12/1/13+................................ 600,000
2,000,000 Detroit, Michigan, City School District, State
School Aid Notes,
4.500% due 5/1/96.................................. 2,009,460
1,000,000 Michigan State, Pollution Control Revenue, (Dow
Chemical Company Project),
4.150% due 8/1/03++................................ 1,000,000
6,000,000 Michigan State, Storage Tank Financial Assurance
Authority, Series I, (Canadian Imperial Bank of
Commerce, LOC),
3.900% due 12/1/04+++.............................. 6,000,000
-----------
9,809,460
-----------
NEW JERSEY -- 2.5%
2,000,000 Camden County, New Jersey, Bond Anticipation Notes,
Series A,
5.250% due 2/14/96................................. 2,004,624
-----------
NEW YORK -- 5.8%
3,560,000 Monroe County, New York, Putters, Series 24-B,
(Morgan Guaranty Trust Company, BPA),
4.150% due 6/1/05+++............................... 3,560,000
1,000,000 New York State, Dormitory Authority Revenue,
Putters, Series 14-C,
(Morgan Guaranty Trust Company, BPA),
3.750% due 7/1/10+++............................... 1,000,000
-----------
4,560,000
-----------
NORTH CAROLINA -- 2.5%
2,000,000 Greensboro, North Carolina, Public Improvement
Revenue,
General Obligation, Series B,
3.750% due 4/1/14+++............................... 2,000,000
-----------
OHIO -- 5.9%
3,800,000 Clermont County, Ohio, Hospital Facilities Revenue,
Series B,
(Mercy Health Systems, GTC),
3.850% due 9/1/21+++............................... 3,800,000
825,000 Cuyahoga County, Ohio, Industrial Development
Revenue,
(S&R Playhouse Realty Company Project),
3.950% due 12/1/09++++............................. 825,000
-----------
4,625,000
-----------
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
PENNSYLVANIA -- 8.9%
$2,000,000 Pennsylvania State Housing Finance Agency,
Single-family Housing Revenue, Series N,
4.350% due 4/1/08++................................ $ 2,000,000
1,000,000 Philadelphia, Pennsylvania, School District Revenue,
Tax and Revenue Anticipation Notes, General
Obligation,
4.500% due 6/28/96................................. 1,004,810
4,000,000 Philadelphia, Pennsylvania, Tax and Revenue
Anticipation Notes,
General Obligation, Series A,
4.500% due 6/27/96................................. 4,019,146
-----------
7,023,956
-----------
RHODE ISLAND -- 0.7%
500,000 Cranston, Rhode Island, General Obligation, (MBIA
Insured),
5.400% due 6/15/96................................. 506,332
-----------
SOUTH CAROLINA -- 3.4%
700,000 Rock Hill, South Carolina, Utility Systems Revenue,
3.850% due 1/1/22+++............................... 700,000
2,000,000 York County, South Carolina, Pollution Control
Revenue, Saluda River,
(Cooperative Finance Corporation Insured),
4.550% due 8/15/14++............................... 2,000,000
-----------
2,700,000
-----------
TENNESSEE -- 0.9%
700,000 Chattanooga, Tennessee, Industrial Development Board
Revenue, (Warehouse Row Ltd. Project), (Credit
Suisse, LOC),
3.800% due 12/15/12+++............................. 700,000
-----------
TEXAS -- 6.7%
700,000 Grapevine, Texas, Industrial Development
Corporation, Airport Revenue, Southern Air
Transportation, (Bank of Montreal, LOC),
3.850% due 3/1/10+++............................... 700,000
1,300,000 San Antonio, Texas, Customs Receipts Notes,
3.950% due 8/1/02+++............................... 1,300,000
3,300,000 Texas State, Tax and Revenue Anticipation Notes,
5.000% due 8/31/95................................. 3,302,598
-----------
5,302,598
-----------
VIRGINIA -- 1.9%
1,000,000 Virginia State, Public Building Authority, Series A,
(Correctional Facilities Project),
6.650% due 2/1/96.................................. 1,011,622
500,000 Virginia State, Public School Authority, (MBIA
Insured),
6.300% due 8/1/95.................................. 500,000
-----------
1,511,622
-----------
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
WISCONSIN -- 2.5%
$2,000,000 Wisconsin State, Public Power Systems Revenue,
Municipal Securities, Treasury Receipts, Series
SGA-10,
4.100% due 7/1/14+++............................... $ 2,000,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $80,307,446*)................... 101.7% 80,307,446
OTHER ASSETS AND LIABILITIES (NET)...................... (1.7) (1,326,729)
------ -----------
NET ASSETS.............................................. 100.0% $78,980,717
------ -----------
------ -----------
<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.
++++ Variable rate demand notes are payable upon not more than thirty business
days' notice. The interest rate shown reflects the rate currently in
effect.
AMBAC -- American Municipal Bond Assurance Corporation.
BPA -- Instruments supported by bond purchase agreement.
GTC -- Instruments guaranteed by corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
</TABLE>
NOTE:
Approximately 50.3% of the municipal bonds and notes held by the Fund have
credit enhancement features backing them. Such features may have been considered
by the rating agency in rating these securities.
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD & POOR'S OF VALUE
<S> <C> <C>
Aaa AAA 23.7%
Aa, Aa2, Aa3 AA 23.7
MIG1/VMIG1/P1 A-1/A-1+/SP-1/SP-1+ 52.6
--------
100.0%
--------
--------
# Bonds are not necessarily rated the same by both services.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
July 31, 1995 (unaudited)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 99.7%
ARIZONA -- 4.6%
$2,000,000 Cochise County, Arizona, Pollution Control Corporation, Solid
Waste Disposal Revenue, (Arizona Electric Power Inc. Project),
4.450% due 9/1/24++.............................................. $ 2,000,282
2,000,000 Flagstaff, Arizona, Industrial Development Authority, Multi-family
Housing Revenue, (Woodcrest Apartments Project), (First
Interstate Bank, LOC),
4.000% due 2/1/24+++............................................. 2,000,000
2,500,000 Maricopa County, Arizona, Pollution Control Corporation,
Pollution Control Revenue, (Arizona Public Service Company
Project),
Series D, (Bank of America, LOC),
3.750% due 5/1/24+............................................... 2,500,000
2,710,000 Phoenix, Arizona, Industrial Development Authority, Multi-family
Housing Revenue, (Ventana Palms Apartments Project), (First
Interstate Bank, LOC),
4.000% due 2/1/24+++............................................. 2,710,000
1,500,000 Special Fund of Industrial Commission, Arizona,
Commercial Paper Put 8/23/95, (FGIC Insured),
(Sumitomo Bank, BPA),
4.200% due 9/1/05++.............................................. 1,500,000
-----------
10,710,282
-----------
CALIFORNIA -- 4.1%
9,300,000 California State, Revenue Anticipation Warrants, Series C,
5.750% due 4/25/96............................................... 9,384,559
-----------
COLORADO -- 3.0%
3,000,000 Arapahoe County, Colorado, Capital Improvement Highway Revenue,
(E-470 Project), Series F, (Union Bank of Switzerland, LOC),
4.450% due 8/31/26++............................................. 3,000,000
4,000,000 Colorado State, Housing Finance Authority, Multi-family Housing
Revenue,
(Sumitomo Bank, LOC),
3.900% due 3/1/12+++............................................. 4,000,000
-----------
7,000,000
-----------
FLORIDA -- 4.8%
1,810,000 Dade County, Florida, Industrial Development Authority Revenue,
(Barnett Bank, LOC),
4.100% due 11/1/09+++............................................ 1,810,000
800,000 Dade County, Florida, Solid Waste Industrial Development Authority
Revenue, (Montenay-Dade Ltd. Project), Series A, (Banque Paribas,
LOC),
4.050% due 12/1/10+++............................................ 800,000
2,400,000 Putnam County, Florida, Development Authority, Pollution Control
Revenue, (Florida Power & Light Company Project),
3.850% due 9/1/24+............................................... 2,400,000
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
FLORIDA (CONTINUED)
$2,500,000 St. John's County, Florida, Industrial Development Authority
Revenue,
(Kredietbank, LOC),
4.000% due 12/1/16+++............................................ $ 2,500,000
3,500,000 St. Lucie County, Florida, Pollution Control Revenue,
(Florida Power & Light Company Project),
3.850% due 7/1/26+............................................... 3,500,000
-----------
11,010,000
-----------
GEORGIA -- 3.2%
3,400,000 Fulton County, Georgia, Development Authority, Industrial Revenue,
(Leggett & Platt Inc. Project), Series A, (Wachovia Bank, LOC),
4.300% due 6/1/27+++............................................. 3,400,000
4,000,000 Georgia State Residential Finance Authority, Home Ownership
Mortgage Revenue, Series C,
4.050% due 12/1/18++............................................. 4,000,960
-----------
7,400,960
-----------
HAWAII -- 6.5%
15,000,000 Secondary Market Services Corporation, Hawaii Student Loan
Revenue, Series I,
4.250% due 9/1/10++.............................................. 15,000,000
-----------
ILLINOIS -- 5.9%
1,000,000 Chicago, Illinois, Adjustable Rate Tender Notes, Commercial Paper
Put 10/31/95, Series A, (Morgan Guaranty Trust Company, LOC),
4.600% due 10/31/96.............................................. 1,000,000
1,200,000 Chicago, Illinois, O'Hare International Airport, Series B,
(Sanwa Bank, Ltd., LOC),
3.900% due 1/1/18+++............................................. 1,200,000
Illinois Development Finance Authority Revenue:
3,500,000 (Greyhill Inc. Project), Series B,
4.000% due 11/1/23+++............................................ 3,500,000
1,000,000 (Nutrasweet Company Project), (Monsanto Company Credit),
4.000% due 2/1/05+++............................................. 1,000,000
3,000,000 Illinois Health Facilities Authority Revenue,
Commercial Paper Put 8/17/95, Series A,
4.500% due 8/1/15++.............................................. 3,000,000
3,000,000 Southwestern Illinios Development Authority, Industrial
Development Revenue, (Robinson Steel Company Inc. Project),
(American National Bank & Trust Company, LOC),
4.050% due 12/1/06+++............................................ 3,000,000
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
ILLINOIS (CONTINUED)
$1,000,000 West Chicago, Illinois, Industrial Development Revenue,
(Acme Printing Inc. Project), (Bank of Tokyo Ltd., LOC),
4.125% due 5/1/99+++............................................. $ 1,000,000
-----------
13,700,000
-----------
INDIANA -- 4.5%
Indiana State, Employment Development Revenue:
500,000 (Double Eagle Industries Inc. Project),
4.150% due 1/1/13+++............................................. 500,000
150,000 (Mobel Project),
4.150% due 1/1/14+++............................................. 150,000
1,400,000 (Shadeland Ventures Project),
4.150% due 1/1/14+++............................................. 1,400,000
800,000 Indiana State, Secondary Student Loan Marketing Revenue, Series B,
(AMBAC Insured), (Mitsubishi Bank, BPA),
3.900% due 12/1/13+++............................................ 800,000
500,000 Ossian, Indiana, Industrial Economic Development Revenue,
(Harris Trust and Savings Bank, LOC),
4.000% due 12/1/23+++............................................ 500,000
7,000,000 Tippecanoe County, Indiana, Economic Development Revenue,
(Consolidated Industries Corporation Project), (Bank of New York,
LOC),
4.000% due 4/1/00+++............................................. 7,000,000
-----------
10,350,000
-----------
IOWA -- 2.0%
Iowa Finance Authority, Solid Waste Disposal Revenue,
(Cedar River Paper Company Project), Series A, (Swiss Bank, LOC):
2,700,000 3.900% due 7/1/23+................................................ 2,700,000
1,900,000 3.900% due 6/1/24+................................................ 1,900,000
-----------
4,600,000
-----------
KENTUCKY -- 3.0%
3,000,000 Kentucky Housing Corporation, Housing Revenue, Series E,
3.700% due 7/1/26++.............................................. 3,000,000
500,000 Kentucky State, Pollution Abatement and Water Resources Finance
Authority Revenue, Pollution Control, (Bank of Tokyo
Ltd./Sakura/Sanwa/Tokai, BPA),
4.300% due 8/13/06+.............................................. 500,000
3,400,000 Pulaski County, Kentucky, Solid Waste Disposal Revenue,
(National Rural Utilities -- East Kentucky Power Project), Series
B,
4.650% due 8/15/23++............................................. 3,400,311
-----------
6,900,311
-----------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MASSACHUSETTS -- 3.5%
$5,000,000 Massachusetts Bay Transportation Authority, Series A,
5.500% due 3/1/96................................................ $ 5,024,293
Massachusetts State, Housing Finance Agency, Housing Revenue:
1,000,000 Rental, Series A, (AMBAC Insured),
4.550% due 1/1/96................................................ 1,000,371
2,000,000 Single-family,
4.150% due 12/1/22++............................................. 2,000,000
-----------
8,024,664
-----------
MICHIGAN -- 4.3%
3,000,000 Detroit, Michigan, City School District, State School Aid Notes,
4.500% due 5/1/96................................................ 3,014,190
2,900,000 Michigan Higher Education Student Loan, Series XII-F, (AMBAC
Insured), (Sumitomo Bank, BPA),
3.900% due 10/1/20+++............................................ 2,900,000
Michigan State Strategic Fund:
1,100,000 (Lex Controls Inc. Project), (Bank of Tokyo Ltd., LOC),
4.000% due 7/1/99+++............................................. 1,100,000
2,000,000 Pollution Control Revenue, (Dow Chemical Company Project),
(NCNB National Bank, Corporate Credit),
4.200% due 12/1/02............................................... 2,000,000
1,000,000 Solid Waste Disposal Revenue, (S.D. Warren Company Project),
Series A, Commercial Paper Put 8/17/95, (Sumitomo Bank, LOC),
4.200% due 1/15/22++............................................. 1,000,000
-----------
10,014,190
-----------
MISSISSIPPI -- 2.2%
5,000,000 Mississippi Business Financial Corporation, Solid Waste Disposal
Revenue, (Morton International Inc. Project), Series B,
4.000% due 6/1/20+++............................................. 5,000,000
-----------
MISSOURI -- 2.2%
500,000 Kansas City, Missouri, Industrial Development Authority,
Hospital Revenue, Research Health Services System,
(MBIA Insured), (Sumitomo Bank Ltd., Corporate Credit),
3.900% due 10/15/15+............................................. 500,000
4,500,000 Missouri Higher Education Loan Authority, Series A,
(National Westminster Bank, LOC),
3.900% due 6/1/17+++............................................. 4,500,000
-----------
5,000,000
-----------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MONTANA -- 1.8%
$4,150,000 Montana State Board Investment Resource Recovery Revenue,
(Colstrip Project), (Fuji Bank Ltd., LOC),
4.050% due 12/30/15+++........................................... $ 4,150,000
-----------
NEVADA -- 2.1%
Nevada State Department, Commercial Industrial Development
Revenue:
500,000 (Halco Project), Series A, (Kyowa Bank Ltd., LOC),
4.100% due 12/1/09+++............................................ 500,000
100,000 (Kinplex Project), Series A, (Credit Commerciale de France, LOC),
4.100% due 1/1/09+++............................................. 100,000
4,200,000 (Marshmallow Lane Partners Project), (Credit Commerciale de
France, LOC),
4.000% due 4/1/09+++............................................. 4,200,000
-----------
4,800,000
-----------
NEW HAMPSHIRE -- 1.3%
3,000,000 New Hampshire State Housing Finance Authority,
Single-family Revenue, Series F,
4.300% due 7/1/26++.............................................. 3,000,000
-----------
NEW JERSEY -- 2.3%
3,000,000 Camden County, New Jersey, Bond Anticipation Notes, Series A,
5.250% due 2/14/96............................................... 3,006,937
New Jersey Economic Development Authority Revenue, (Wearbest
Sil-Tex
Mills Project):
1,610,000 Series A,
4.250% due 7/1/15+++............................................. 1,610,000
800,000 Series B,
4.250% due 7/1/01+++............................................. 800,000
-----------
5,416,937
-----------
NEW MEXICO -- 1.9%
4,334,000 Rio Arriba County, New Mexico, Industrial Revenue,
(Franklin Industries Project), (NationsBank Corporation, LOC),
4.000% due 12/1/07+++............................................ 4,334,000
-----------
NEW YORK -- 2.3%
2,200,000 Monroe County, New York, Putters, Series 24-A,
4.150% due 6/1/04+++............................................. 2,200,000
3,000,000 New York State, Dormitory Authority Revenue,
3.750% due 7/1/08+++............................................. 3,000,000
-----------
5,200,000
-----------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
OHIO -- 1.3%
$3,000,000 Ohio State, Water Development Authority, Pollution Control
Facilities Revenue, (Ohio Edison Company Project), Series A,
(Union Bank of Switzerland, LOC),
4.750% due 5/1/18++.............................................. $ 3,005,957
-----------
OREGON -- 3.3%
3,650,000 Metropolitan Service, Oregon, Waste Disposal Revenue, (Riedel
Oregon
Compost Company Project), Series A, (U.S. National Bank, LOC),
4.100% due 7/1/11+++............................................. 3,650,000
Oregon State Economic Development Commission Revenue:
2,000,000 (Kydtaru Project), (Bank of Tokyo Ltd., LOC),
4.125% due 12/1/99+++............................................ 2,000,000
850,000 Series C, (First Interstate Bank of Oregon, LOC),
4.500% due 7/1/98+++............................................. 850,000
1,155,000 (Toshi Project), Series B, (First Interstate Bank of Oregon, LOC),
4.500% due 7/1/02+++............................................. 1,155,000
-----------
7,655,000
-----------
PENNSYLVANIA -- 4.3%
2,000,000 Pennsylvania State Housing Finance Agency, Single-family Housing
Revenue, Series N,
4.350% due 4/1/08++.............................................. 2,000,000
Pennsylvania State Higher Education Assistance Agency,
Student Loan Revenue, (Sallie Mae, LOC):
800,000 Series A,
3.900% due 1/1/18+++............................................. 800,000
1,200,000 Series B,
3.900% due 7/1/18+++............................................. 1,200,000
6,000,000 Philadelphia, Pennsylvania, Tax and Revenue Anticipation Notes,
General Obligation, Series A,
4.500% due 6/27/96............................................... 6,028,439
-----------
10,028,439
-----------
SOUTH CAROLINA -- 2.6%
1,750,000 Piedmont Municipal Power Agency, Electric Revenue, Pre-refunded
1/1/96,
9.700% due 1/1/24................................................ 1,843,800
South Carolina Jobs and Economic Development Authority, Economic
Development Revenue:
(Bank of Tokyo Ltd., LOC):
1,900,000 4.500% due 12/1/06+++............................................. 1,900,000
750,000 4.500% due 12/1/07+++............................................. 750,000
1,320,000 (Osmose Wood Preserving Project), Series B,
3.900% due 12/1/04+++............................................ 1,320,000
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
SOUTH CAROLINA (CONTINUED)
South Carolina Jobs and Economic Development Authority, Economic
Development Revenue (continued):
$ 150,000 (Regal-Beloit Corporation Project), Series A,
3.900% due 5/1/01+++............................................. $ 150,000
-----------
5,963,800
-----------
TENNESSEE -- 8.9%
2,700,000 Coffee County, Tennessee, Industrial Development Board Revenue,
(Asahi Bank Ltd., LOC),
5.000% due 12/1/01+++............................................ 2,700,000
2,200,000 Collierville, Tennessee, Industrial Development Board, Industrial
Revenue, (Ardco Inc. Project), (Harris Trust and Savings Bank,
LOC),
4.000% due 4/1/09+++............................................. 2,200,000
1,500,000 Hamilton County, Tennessee, Industrial Development Board,
Industrial Revenue, (Komatsv Project), (Bank of New York, LOC),
4.000% due 12/1/17+++............................................ 1,500,000
6,600,000 McKenzie, Tennessee, Industrial Development Board, Industrial
Revenue, (Canadian Imperial Bank of Commerce, LOC),
4.000% due 2/1/01+++............................................. 6,600,000
3,000,000 Morristown, Tennessee, Industrial Development Board, Industrial
Development Revenue, (Fleet National Bank, LOC),
4.050% due 4/1/10+++............................................. 3,000,000
1,500,000 Rutherford County, Tennessee, Industrial Development Board,
Industrial Development Revenue, (Leggett & Platt Inc. Project),
Series A,
(Wachovia Bank, LOC),
4.300% due 12/1/03+++............................................ 1,500,000
1,000,000 Shelby County, Tennessee, Health Education and Housing Facilities
Board Revenue, Multi-family Housing, (Arbor Lake Project),
(Citibank, LOC),
4.050% due 3/1/10+++............................................. 1,000,000
1,950,000 Tennessee Housing Development Agency, Series F,
3.850% due 7/1/16++.............................................. 1,950,000
-----------
20,450,000
-----------
TEXAS -- 11.7%
2,655,000 Dallas, Texas, Housing Finance Corporation, Mortgage Revenue,
Series A,
3.850% due 1/1/15++.............................................. 2,655,000
1,000,000 Harris County, Texas, Health Facilities Development Corporation,
Hospital Revenue, (St. Luke's Episcopal Hospital), Series D,
4.200% due 2/15/16+.............................................. 1,000,000
2,000,000 North Texas Higher Education Authority, Student Loan Revenue,
(AMBAC Insured), (Sallie Mae, BPA),
3.900% due 4/1/20+++............................................. 2,000,000
1,900,000 San Antonio, Texas, Housing Finance Corporation, (Eagles Nest
Apartments Project), (Swiss Bank, LOC),
3.900% due 5/1/20+++............................................. 1,900,000
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
TEXAS (CONTINUED)
$3,740,000 Tarrant County, Texas, Housing Finance Corporation, Housing
Revenue,
3.850% due 7/1/12++.............................................. $ 3,740,000
15,645,000 Texas State, Tax and Revenue Anticipation Notes,
5.000% due 8/31/95............................................... 15,656,623
-----------
26,951,623
-----------
VERMONT -- 0.9%
2,000,000 Vermont Industrial Development Authority, Pollution Control
Revenue, (Bolton Valley Project), (Bank of New York, LOC),
4.150% due 12/1/11+++............................................ 2,000,000
-----------
WASHINGTON -- 0.8%
1,800,000 Student Loan Finance Association, Washington, Series A,
(National Westminster Bank, LOC),
3.850% due 1/1/04+++............................................. 1,800,000
-----------
WEST VIRGINIA -- 0.4%
1,000,000 Marion County, West Virginia, Solid Waste Disposal Facilities
Revenue, (Granttown Project), Series D, (National Westminster
Bank, LOC),
3.950% due 10/1/17+++............................................ 1,000,000
-----------
TOTAL INVESTMENTS (COST $229,850,722*)........................... 99.7% 229,850,722
OTHER ASSETS AND LIABILITIES (NET)............................... 0.3 688,934
------ -------------
NET ASSETS....................................................... 100.0% $ 230,539,656
------ -------------
------ -------------
<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.
AMBAC -- American Municipal Bond Assurance Corporation.
BPA -- Instruments supported by bond purchase agreement.
FGIC -- Federal Guaranty Insurance Corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1995 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
NOTE:
Approximately 49.0% of the municipal bonds and notes held by the Fund have
credit enhancement features backing them. Such features may have been considered
by the rating agency in rating these securities.
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD & POOR'S OF VALUE
<S> <C> <C>
Aaa AAA 3.2%
Aa, Aa2, Aa3 AA 2.6
MIG1/VMIG1/P-1 A-1/A-1+/SP-1/SP-1+ 76.3
MIG2/VMIG2/P-2 SP2 3.6
NR NR 14.3
--------
100.0%
--------
--------
# Bonds are not necessarily rated the same by both services.
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
(This page has been left blank intentionally.)
27
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS CASH
MONEY MARKET MONEY MARKET MONEY MARKET MANAGEMENT
FUND FUND FUND FUND
--------------- --------------- ------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value
See accompanying schedules:
Securities......................................... $2,742,983,303 $2,546,447,973 $ 62,210,351 $1,000,000
Repurchase agreements.............................. 1,898,016,000 889,607,000 36,669,000 122,000
--------------- --------------- ------------- ------------
Total investments...................................... 4,640,999,303 3,436,054,973 98,879,351 1,122,000
Cash................................................... 552,186 312 965 642
Receivable from Investment Adviser (Note 2)............ -- -- -- 3,501
Interest receivable.................................... 16,610,734 11,443,532 415,977 21,213
Receivable for investment securities sold.............. -- 50,115,780 -- --
Unamortized organization costs (Note 5)................ 30,543 30,543 30,593 30,593
Other assets........................................... 447 -- -- --
--------------- --------------- ------------- ------------
Total Assets......................................... 4,658,193,213 3,497,645,140 99,326,886 1,177,949
--------------- --------------- ------------- ------------
LIABILITIES:
Investment Advisory fee payable (Note 2)............... 346,063 319,720 6,998 --
Administration fee payable (Note 2).................... 105,680 83,873 2,193 26
Due to custodian....................................... -- -- -- --
Service fees payable (Note 3).......................... 76,808 5,846 2,080 --
Transfer Agent fee payable............................. 101,400 70,350 1,250 20
Custodian fees payable (Note 2)........................ 79,125 58,835 12,015 16,615
Dividends payable...................................... 14,114,743 11,921,100 441,084 5,185
Payable for investment securities purchased............ -- -- -- --
Accrued expenses and other payables.................... 548,759 385,442 25,423 24,668
--------------- --------------- ------------- ------------
Total Liabilities.................................... 15,372,578 12,845,166 491,043 46,514
--------------- --------------- ------------- ------------
NET ASSETS............................................. $4,642,820,635 $3,484,799,974 $ 98,835,843 $1,131,435
--------------- --------------- ------------- ------------
--------------- --------------- ------------- ------------
Investments, at cost (Note 1).......................... $4,640,999,303 $3,436,054,973 $ 98,879,351 $1,122,000
--------------- --------------- ------------- ------------
--------------- --------------- ------------- ------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND II FUND FUND FUND
------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value
See accompanying schedules:
Securities.......................... $242,124,913 $16,519,474 $80,307,446 $229,850,722
Repurchase agreements............... 221,036,000 -- -- --
------------- ------------ ------------ -------------
Total investments....................... 463,160,913 16,519,474 80,307,446 229,850,722
Cash.................................... 122 -- 243,720 104,433
Receivable from Investment Adviser (Note
2).................................... -- 2,925 -- --
Interest receivable..................... 37,519 -- 662,150 1,939,558
Receivable for investment securities
sold.................................. -- -- -- 2,000,000
Unamortized organization costs (Note
5).................................... 30,543 30,543 30.593 30,593
Other assets............................ -- -- -- --
------------- ------------ ------------ -------------
Total Assets.......................... 463,229,097 16,552,942 81,243,909 233,925,306
------------- ------------ ------------ -------------
LIABILITIES:
Investment Advisory fee payable (Note
2).................................... 46,606 -- 3,946 18,075
Administration fee payable (Note 2)..... 10,765 -- 1,362 3,521
Due to custodian........................ -- 71,236 -- --
Service fees payable (Note 3)........... 8,283 -- -- 803
Transfer Agent fee payable.............. 6,230 235 920 2,300
Custodian fees payable (Note 2)......... 22,366 12,700 21,723 17,150
Dividends payable....................... 1,558,638 68,208 200,668 299,484
Payable for investment securities
purchased............................. -- -- 2,009,460 3,014,190
Accrued expenses and other payables..... 49,393 22,730 25,113 30,127
------------- ------------ ------------ -------------
Total Liabilities..................... 1,702,281 175,109 2,263,192 3,385,650
------------- ------------ ------------ -------------
NET ASSETS.............................. $461,526,816 $16,377,833 $78,980,717 $230,539,656
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Investments, at cost (Note 1)........... $463,160,913 $16,519,474 $80,307,446 $229,850,722
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS CASH
MONEY MARKET MONEY MARKET MONEY MARKET MANAGEMENT
FUND FUND FUND FUND
--------------- --------------- ------------ ------------
<S> <C> <C> <C> <C>
NET ASSETS consist of:
Undistributed net investment income.................... $ 19,757 $ 1,576 $ 1,817 $ --
Accumulated net realized gain/(loss) on investments
sold................................................. (179,364) (159,654) (4,414) 10
Par value.............................................. 4,642,980 3,484,958 98,838 1,131
Paid-in capital in excess of par value................. 4,638,337,262 3,481,473,094 98,739,602 1,130,294
--------------- --------------- ------------ ------------
$4,642,820,635 $3,484,799,974 $98,835,843 $1,131,435
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
NET ASSETS:
Class A.............................................. $4,308,464,612 $3,460,283,837 $84,938,702 $1,131,125
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Class B.............................................. $ 316,304,021 $ 24,515,937 $13,288,221 $ 100*
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Class C.............................................. $ 13,480,198 $ 100 $ 608,820 $ 110*
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Class E.............................................. $ 4,571,804 $ 100 $ 100 $ 100*
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
SHARES OUTSTANDING:
Class A.............................................. 4,308,609,993 3,460,439,390 84,939,980 1,131,115
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Class B.............................................. 316,317,187 24,518,462 13,289,540 100
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Class C.............................................. 13,480,771 100 608,820 110
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Class E.............................................. 4,572,291 100 100 100
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
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 E SHARES:
Net asset value, offering and redemption price per
share................................................ $1.00 $1.00 $1.00 $1.00
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
</TABLE>
- ------------------------------
* Lehman Brothers Inc. is the sole remaining shareholder in these classes.
See Notes to Financial Statements.
30
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND II FUND FUND FUND
------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
NET ASSETS consist of:
Undistributed net investment income..... $ -- $ 6,349 $ 4,796 $ 18,620
Accumulated net realized gain/(loss) on
investments sold...................... (804) 10,185 (2,801) (22,171)
Par value............................... 461,528 16,361 78,979 230,543
Paid-in capital in excess of par
value................................. 461,066,092 16,344,938 78,899,743 230,312,664
------------- ------------ ------------ -------------
$461,526,816 $16,377,833 $78,980,717 $230,539,656
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
NET ASSETS:
Class A............................... $423,115,889 $16,377,533 $78,980,417 $228,305,621
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Class B............................... $ 38,410,727 $ 100 $ 100 $ 100
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Class C............................... $ 100 $ 100 $ 100 $ 2,233,835
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Class E............................... $ 100 $ 100 $ 100 $ 100
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
SHARES OUTSTANDING:
Class A............................... 423,116,657 16,360,999 78,978,422 228,309,225
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Class B............................... 38,410,773 100 100 100
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Class C............................... 100 100 100 2,233,782
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
Class E............................... 100 100 100 100
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
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 E SHARES:
Net asset value, offering and redemption
price per share....................... $1.00 $1.00 $1.00 $1.00
------------- ------------ ------------ -------------
------------- ------------ ------------ -------------
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JULY 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS CASH
MONEY MARKET MONEY MARKET MONEY MANAGEMENT
FUND FUND MARKET FUND FUND
------------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............................................... $130,085,451 $89,640,453 $2,183,426 $ 73,443
------------- ------------ ----------- -----------
EXPENSES:
Investment Advisory fee (Note 2)....................... 2,088,422 1,435,566 35,482 1,199
Administration fee (Note 2)............................ 2,088,422 1,435,566 35,482 1,199
Service fees (Note 3):
Class B.............................................. 512,557 44,267 8,484 --
Class C.............................................. 17,075 -- 801 --
Class E.............................................. 7,693 -- -- --
Transfer Agent fees (Note 2)........................... 402,135 268,321 6,810 --
Custodian fees (Note 2)................................ 220,823 158,910 10,525 410
Registration and filing fees........................... 243,532 171,922 25,454 23,057
Trustees' fees and expenses (Note 2)................... 20,786 20,382 525 37
Amortization of organization costs (Note 5)............ 6,414 6,414 6,414 6,414
Other.................................................. 394,589 264,432 5,905 49
Fees waived by Investment Adviser, Administrator and
Custodian and/or expenses reimbursed by Investment
Adviser (Note 2)..................................... (1,705,963) (1,177,495) (62,730) (29,247)
------------- ------------ ----------- -----------
Total expenses....................................... 4,296,485 2,628,285 73,152 3,118
------------- ------------ ----------- -----------
NET INVESTMENT INCOME.................................. 125,788,966 87,012,168 2,110,274 70,325
------------- ------------ ----------- -----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS (Note 1)....... (160,627) 166,865 -- --
------------- ------------ ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS... $125,628,339 $87,179,033 $2,110,274 $ 70,325
------------- ------------ ----------- -----------
------------- ------------ ----------- -----------
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY
TREASURY INSTRUMENTS
INSTRUMENTS MONEY TAX-FREE MUNICIPAL
MONEY MARKET MARKET MONEY MONEY
FUND II FUND MARKET FUND MARKET FUND
-------------- --------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest................................ $14,469,034 $976,246 $1,440,893 $3,634,692
-------------- --------- ----------- -----------
EXPENSES:
Investment Advisory fee (Note 2)........ 242,254 16,883 35,236 85,948
Administration fee (Note 2)............. 242,254 16,883 35,236 85,948
Service fees (Note 3):
Class B............................... 50,454 -- -- --
Class C............................... -- -- -- 2,458
Class E............................... -- -- -- --
Transfer Agent fees (Note 2)............ 47,933 4,668 7,306 14,374
Custodian fees (Note 2)................. 33,473 8,183 17,424 28,226
Registration and filing fees............ 39,914 24,154 25,619 28,984
Trustees' fees and expenses (Note 2).... 3,769 514 625 1,189
Amortization of organization costs (Note
5).................................... 6,414 6,414 6,414 6,414
Other................................... 44,816 5,089 5,138 7,750
Fees waived by Investment Adviser,
Administrator and Custodian and/or
expenses reimbursed by Investment
Adviser (Note 2)...................... (224,769) (52,398) (69,573) (104,127)
-------------- --------- ----------- -----------
Total expenses........................ 486,512 30,390 63,425 157,164
-------------- --------- ----------- -----------
NET INVESTMENT INCOME................... 13,982,522 945,856 1,377,468 3,477,528
-------------- --------- ----------- -----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS
(Note 1).............................. (804) 7,024 (483) 2,443
-------------- --------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $13,981,718 $952,880 $1,376,985 $3,479,971
-------------- --------- ----------- -----------
-------------- --------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JULY 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS CASH
MONEY MARKET MONEY MARKET MONEY MARKET MANAGEMENT
FUND FUND FUND FUND
--------------- --------------- ------------ ------------
<S> <C> <C> <C> <C>
Net investment income.................................. $ 125,788,966 $ 87,012,168 $ 2,110,274 $ 70,325
Net realized gain/(loss) on investments sold during the
period............................................... (160,627) 166,865 -- --
--------------- --------------- ------------ ------------
Net increase in net assets resulting from operations... 125,628,339 87,179,033 2,110,274 70,325
Distributions to shareholders from net investment
income:
Class A.............................................. (113,277,904) (85,978,744) (1,903,368) (70,325)
Class B.............................................. (11,931,149) (1,033,424) (194,025) --
Class C.............................................. (277,244) -- (12,881) --
Class E.............................................. (302,669) -- -- --
Net increase/(decrease) in net assets from share
transactions (Note 4):
Class A.............................................. 2,769,808,419 1,989,802,253 44,858,941 (3,608,985)
Class B.............................................. (26,355,403) 2,775,222 3,966,262 --
Class C.............................................. 6,235,881 -- 608,720 (199,997)
Class E.............................................. (3,745,608) -- -- --
--------------- --------------- ------------ ------------
Net increase/(decrease) in net assets.................. 2,745,782,662 1,992,744,340 49,433,923 (3,808,982)
NET ASSETS:
Beginning of period.................................... 1,897,037,973 1,492,055,634 49,401,920 4,940,417
--------------- --------------- ------------ ------------
End of period.......................................... $4,642,820,635 $3,484,799,974 $98,835,843 $ 1,131,435
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
Undistributed net investment income.................... $ 19,757 $ 1,576 $ 1,817 --
--------------- --------------- ------------ ------------
--------------- --------------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
TREASURY 100% TREASURY
INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND II FUND FUND FUND
-------------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
Net investment income................... $ 13,982,522 $ 945,856 $ 1,377,468 $ 3,477,528
Net realized gain/(loss) on investments
sold during the period................ (804) 7,024 (483) 2,443
-------------- ------------- ------------ -------------
Net increase in net assets resulting
from operations....................... 13,981,718 952,880 1,376,985 3,479,971
Distributions to shareholders from net
investment income:
Class A............................... (12,870,242) (945,856) (1,377,468) (3,451,587)
Class B............................... (1,112,280) -- -- --
Class C............................... -- -- -- (25,941)
Class E............................... -- -- -- --
Net increase/(decrease) in net assets
from share transactions (Note 4):
Class A............................... 54,320,243 (62,445,338) 18,630,363 134,707,949
Class B............................... 11,169,133 -- -- --
Class C............................... -- -- -- 2,233,682
Class E............................... -- -- -- --
-------------- ------------- ------------ -------------
Net increase/(decrease) in net assets... 65,488,572 (62,438,314) 18,629,880 136,944,074
NET ASSETS:
Beginning of period..................... 396,038,244 78,816,147 60,350,837 93,595,582
-------------- ------------- ------------ -------------
End of period........................... $461,526,816 $ 16,377,833 $78,980,717 $230,539,656
-------------- ------------- ------------ -------------
-------------- ------------- ------------ -------------
Undistributed net investment income..... -- $ 6,349 $ 4,796 $ 18,620
-------------- ------------- ------------ -------------
-------------- ------------- ------------ -------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED JANUARY 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS CASH
MONEY MARKET MONEY MARKET MONEY MARKET MANAGEMENT
FUND FUND FUND FUND
--------------- ---------------- ------------- -------------
<S> <C> <C> <C> <C>
Net investment income.................................. $ 101,794,050 $ 77,945,091 $ 3,673,525 $ 419,901
Net realized gain/(loss) on investments sold during the
year................................................. (18,737) (326,519) (4,414) 102
--------------- ---------------- ------------- -------------
Net increase in net assets resulting from operations... 101,775,313 77,618,572 3,669,111 420,003
Distributions to shareholders from net investment
income:
Class A.............................................. (88,718,314) (77,274,366) (3,323,563) (419,337)
Class B.............................................. (12,134,365) (670,725) (349,962) (532)
Class C.............................................. (746,966) -- -- (32)
Class E.............................................. (194,405) -- -- --
Net increase/(decrease) in net assets from share
transactions (Note 4):
Class A.............................................. (1,327,533,646) (2,510,545,069) (81,449,488) (36,969,270)
Class B.............................................. (7,991,572) 4,239,335 9,323,178 --
Class C.............................................. 7,244,790 -- -- 200,007
Class D.............................................. -- (10,123) (100) --
Class E.............................................. 8,317,899 100 100 100
--------------- ---------------- ------------- -------------
Net increase/(decrease) in net assets.................. (1,319,981,266) (2,506,642,276) (72,130,724) (36,769,061)
NET ASSETS:
Beginning of year...................................... 3,217,019,239 3,998,697,910 121,532,644 41,709,478
--------------- ---------------- ------------- -------------
End of year............................................ $1,897,037,973 $ 1,492,055,634 $ 49,401,920 $ 4,940,417
--------------- ---------------- ------------- -------------
--------------- ---------------- ------------- -------------
Undistributed net investment income.................... $ 19,757 $ 1,576 $ 1,817 --
--------------- ---------------- ------------- -------------
--------------- ---------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
<TABLE>
<CAPTION>
TREASURY 100% TREASURY
INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND II FUND FUND FUND
-------------- ------------- ------------ --------------
<S> <C> <C> <C> <C>
Net investment income................... $ 15,579,788 $ 3,069,780 $ 1,770,870 $ 6,387,890
Net realized gain/(loss) on investments
sold during the year.................. -- 3,161 (2,318) (24,497)
-------------- ------------- ------------ --------------
Net increase in net assets resulting
from operations....................... 15,579,788 3,072,941 1,768,552 6,363,393
Distributions to shareholders from net
investment income:
Class A............................... (14,277,430) (3,069,780) (1,770,323) (6,387,890)
Class B............................... (1,302,358) -- (547) --
Class C............................... -- -- -- --
Class E............................... -- -- -- --
Net increase/(decrease) in net assets
from share transactions (Note 4):
Class A............................... 212,014,666 (48,650,249) 618,269 (257,354,964)
Class B............................... (6,619,950) -- -- --
Class C............................... -- -- -- --
Class D............................... -- -- -- (100)
Class E............................... 100 100 100 100
-------------- ------------- ------------ --------------
Net increase/(decrease) in net assets... 205,394,816 (48,646,988) 616,051 (257,379,461)
NET ASSETS:
Beginning of year....................... 190,643,428 127,463,135 59,734,786 350,975,043
-------------- ------------- ------------ --------------
End of year............................. $396,038,244 $ 78,816,147 $60,350,837 $ 93,595,582
-------------- ------------- ------------ --------------
-------------- ------------- ------------ --------------
Undistributed net investment income..... -- $ 6,349 $ 4,796 $ 18,620
-------------- ------------- ------------ --------------
-------------- ------------- ------------ --------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
----------- ----------- -----------
<S> <C> <C> <C>
CLASS A CLASS A CLASS A
----------- ----------- -----------
Net asset value, beginning of period................... $ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
Net investment income.................................. 0.0300 0.0442 0.0310
Dividends from net investment income................... (0.0300) (0.0442) (0.0310)
----------- ----------- -----------
Net asset value, end of period......................... $ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
----------- ----------- -----------
Total return++......................................... 3.05% 4.52% 3.14%
----------- ----------- -----------
----------- ----------- -----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................. $4,308,465 $ 1,538,802 $ 2,866,353
Ratio of net investment income to average net
assets.............................................. 6.05%+ 4.30% 3.16%+
Ratio of operating expenses to average net assets.... 0.18%+ 0.12% 0.11%+
Ratio of operating expenses to average net assets
before fees waived by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent
and/or expenses reimbursed by the Investment Adviser
and Administrator................................... 0.26%+ 0.25% 0.33%+
Net investment income per share before waiver of fees
by the Investment Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator............ $ 0.0296 $ 0.0428 $ 0.0289
</TABLE>
- ------------------------
* The Prime Money Market Fund Class A, Class B, Class C and Class E Shares
commenced operations on February 8, 1993, September 2, 1993, December 27,
1993, and October 6, 1994, respectively.
** All shares offered to the public on December 27, 1993 were redeemed on
December 28, 1993; therefore, total return deemed not to be meaningful.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Total net assets for Class C were $100 at January 31, 1994.
See Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
SIX SIX SIX
MONTHS MONTHS MONTHS
ENDED YEAR PERIOD ENDED YEAR PERIOD ENDED PERIOD
7/31/95 ENDED ENDED 7/31/95 ENDED ENDED 7/31/95 ENDED
(UNAUDITED) 1/31/95 1/31/94* (UNAUDITED) 1/31/95 1/31/94* (UNAUDITED) 1/31/95*
--------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS B CLASS B CLASS B CLASS C CLASS C CLASS C CLASS E CLASS E
--------- --------- --------- --------- --------- --------- --------- ---------
Net asset value, beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- --------- --------- ---------
Net investment income................... 0.0288 0.0417 0.0110 0.0283 0.0407 0.0001 0.0293 0.0165
Dividends from net investment income.... (0.0288) (0.0417) (0.0110) (0.0283) (0.0407) (0.0001) (0.0293) (0.0165)
--------- --------- --------- --------- --------- --------- --------- ---------
Net asset value, end of period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- --------- --------- ---------
Total return++.......................... 2.93% 4.21% 0.99% 2.86% 4.14% -- ** 2.98% 1.66%
--------- --------- --------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- --------- --------- ---------
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)............................... $316,304 $ 342,673 $ 350,666 $ 13,480 $ 7,245 -- # $ 4,572 $ 8,318
Ratio of net investment income to
average net assets................... 5.80%+ 4.05% 2.91%+ 5.70%+ 3.95% 2.81%+ 5.90%+ 4.15%+
Ratio of operating expenses to average
net assets........................... 0.43%+ 0.37% 0.36%+ 0.53%+ 0.47% 0.46%+ 0.33%+ 0.27%+
Ratio of operating expenses to average
net assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and
Administrator........................ 0.51%+ 0.50% 0.58%+ 0.61%+ 0.60% 0.68%+ 0.41%+ 0.39%+
Net investment income per share before
waiver of fees by the Investment
Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser
and Administrator.................... $ 0.0284 $ 0.0403 $ 0.0102 $ 0.0279 $ 0.0393 $ 0.0001 $ 0.0289 $ 0.0160
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
----------- ----------- -----------
<S> <C> <C> <C>
CLASS A CLASS A CLASS A
----------- ----------- -----------
Net asset value, beginning of period................... $ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
Net investment income.................................. 0.0301 0.0442 0.0315
Dividends from net investment income................... (0.0301) (0.0442) (0.0315)
----------- ----------- -----------
Net asset value, end of period......................... $ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
----------- ----------- -----------
Total return++......................................... 3.05% 4.51% 3.21%
----------- ----------- -----------
----------- ----------- -----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................. $3,460,284 $ 1,470,317 $ 3,981,184
Ratio of net investment income to average net
assets.............................................. 6.06%+ 4.20% 3.23%+
Ratio of operating expenses to average net assets.... 0.18%+ 0.09% 0.07%+
Ratio of operating expenses to average net assets
before fees waived by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent
and/or expenses reimbursed by the Investment Adviser
and Administrator................................... 0.26%+ 0.25% 0.36%+
Net investment income per share before waiver of fees
by the Investment Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator............ $ 0.0297 $ 0.0426 $ 0.0287
</TABLE>
- ------------------------
* The Prime Value Money Market Fund Class A and Class B Shares commenced
operations on February 8, 1993 and September 1, 1993, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements.
40
<PAGE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
--------- --------- ---------
<S> <C> <C> <C>
CLASS B CLASS B CLASS B
--------- --------- ---------
Net asset value, beginning of period.... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
Net investment income................... 0.0289 0.0417 0.0125
Dividends from net investment income.... (0.0289) (0.0417) (0.0125)
--------- --------- ---------
Net asset value, end of period.......... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
--------- --------- ---------
Total return++.......................... 2.93% 4.26% 1.26%
--------- --------- ---------
--------- --------- ---------
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)............................... $ 24,516 $ 21,739 $ 17,504
Ratio of net investment income to
average net assets................... 5.81%+ 3.95% 2.98%+
Ratio of operating expenses to average
net assets........................... 0.43%+ 0.34% 0.32%+
Ratio of operating expenses to average
net assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and
Administrator........................ 0.51%+ 0.50% 0.61%+
Net investment income per share before
waiver of fees by the Investment
Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser
and Administrator.................... $ 0.0285 $ 0.0398 $ 0.0113
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
--------- --------- ---------
<S> <C> <C> <C>
CLASS A CLASS A CLASS A
--------- --------- ---------
Net asset value, beginning of period................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
Net investment income.................................. 0.0297 0.0435 0.0309
Dividends from net investment income................... (0.0297) (0.0435) (0.0309)
--------- --------- ---------
Net asset value, end of period......................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
--------- --------- ---------
Total return++......................................... 3.01% 4.45% 3.14%
--------- --------- ---------
--------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................. $ 84,939 $ 40,080 $ 121,532
Ratio of net investment income to average net
assets.............................................. 5.97%+ 4.28% 3.18%+
Ratio of operating expenses to average net assets.... 0.18%+ 0.16% 0.03%+
Ratio of operating expenses to average net assets
before fees waived by the Investment Adviser,
Administrator, Custodian and/ or Transfer Agent
and/or expenses reimbursed by the Investment Adviser
and Administrator................................... 0.36%+ 0.31% 0.53%+
Net investment income per share before waiver of fees
by the Investment Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator............ $ 0.0288 $ 0.0419 $ 0.0261
</TABLE>
- ------------------------
* The Government Obligations Money Market Fund Class A, Class B and Class C
Shares commenced operations on February 8, 1993, August 16, 1993 and April
18, 1995, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Total net assets for Class B were $100 at January 31, 1994.
See Notes to Financial Statements.
42
<PAGE>
<TABLE>
<CAPTION>
SIX
MONTHS PERIOD
ENDED YEAR PERIOD ENDED
7/31/95 ENDED ENDED 7/31/95*
(UNAUDITED) 1/31/95 1/31/94* (UNAUDITED)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
CLASS B CLASS B CLASS B CLASS C
--------- --------- --------- ---------
Net asset value, beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
Net investment income................... 0.0285 0.0410 0.0091 0.0162
Dividends from net investment income.... (0.0285) (0.0410) (0.0091) (0.0162)
--------- --------- --------- ---------
Net asset value, end of period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
--------- --------- --------- ---------
Total return++.......................... 2.88% 4.19% 0.90% 1.43%
--------- --------- --------- ---------
--------- --------- --------- ---------
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)............................... $ 13,288 $ 9,322 -- # $ 609
Ratio of net investment income to
average net assets................... 5.72%+ 4.03% 2.93%+ 5.62%+
Ratio of operating expenses to average
net assets........................... 0.43%+ 0.41% 0.28%+ 0.53%+
Ratio of operating expenses to average
net assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/ or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and
Administrator........................ 0.61%+ 0.56% 0.78%+ 0.71%+
Net investment income per share before
waiver of fees by the Investment
Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser
and Administrator.................... $ 0.0276 $ 0.0394 $ 0.0075 $ 0.0153
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
--------- --------- ---------
<S> <C> <C> <C>
CLASS A CLASS A CLASS A
--------- --------- ---------
Net asset value, beginning of period................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
Net investment income.................................. 0.0297 0.0421 0.0304
Dividends from net investment income................... (0.0297) (0.0421) (0.0304)
--------- --------- ---------
Net asset value, end of period......................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
--------- --------- ---------
Total return++......................................... 3.01% 4.26% 3.09%
--------- --------- ---------
--------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................. $ 1,131 $ 4,740 $ 41,709
Ratio of net investment income to average net
assets.............................................. 5.86%+ 3.52% 3.11%+
Ratio of operating expenses to average net assets.... 0.26%+ 0.17% 0.06%+
Ratio of operating expenses to average net assets
before fees waived by the Investment Adviser,
Administrator, Custodian and/ or Transfer Agent
and/or expenses reimbursed by the Investment Adviser
and Administrator................................... 2.70%+ 0.77% 0.92%+
Net investment income per share before waiver of fees
by the Investment Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator............ $ 0.0173 $ 0.0350 $ 0.0220
</TABLE>
- ------------------------
* The Cash Management Fund (formerly 100% Government Obligations Money Market
Fund) Class A, Class B and Class C Shares commenced operations on February 8,
1993, January 19, 1995 and January 31, 1995, respectively.
** All shares offered to the public on January 19, 1995 were redeemed on January
20, 1995; therefore, total return deemed not to be meaningful.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Total net assets for Class B and C were $100 and $110 at July 31, 1995,
respectively.
Total net assets for Class B were $100 at January 31, 1995.
See Notes to Financial Statements.
44
<PAGE>
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED PERIOD ENDED PERIOD
7/31/95 ENDED 7/31/95 ENDED
(UNAUDITED) 1/31/95* (UNAUDITED) 1/31/95*
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
CLASS B CLASS B CLASS C CLASS C
--------- --------- --------- ---------
Net asset value, beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
Net investment income................... 0.0284 0.0001 0.0280 0.0001
Dividends from net investment income.... (0.0284) (0.0001) (0.0280) (0.0001)
--------- --------- --------- ---------
Net asset value, end of period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
--------- --------- --------- ---------
Total return++.......................... -- ** -- ** 2.85% 0.01%
--------- --------- --------- ---------
--------- --------- --------- ---------
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)............................... -- # -- # -- # $ 200
Ratio of net investment income to
average net assets................... 5.61%+ 3.27%+ 5.51%+ 3.17%+
Ratio of operating expenses to average
net assets........................... 0.51%+ 0.42%+ 0.61%+ 0.52%+
Ratio of operating expenses to average
net assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/ or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and
Administrator........................ 2.95%+ 1.02%+ 3.05%+ 1.12%+
Net investment income per share before
waiver of fees by the Investment
Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser
and Administrator.................... $ 0.0160 $ 0.0001 $ 0.0156 $ 0.0001
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
-------- -------- --------
<S> <C> <C> <C>
CLASS A CLASS A CLASS A
-------- -------- --------
Net asset value, beginning of period................... $ 1.00 $ 1.00 $ 1.00
-------- -------- --------
Net investment income.................................. 0.0287 0.0424 0.0300
Dividends from net investment income................... (0.0287) (0.0424) (0.0300)
-------- -------- --------
Net asset value, end of period......................... $ 1.00 $ 1.00 $ 1.00
-------- -------- --------
-------- -------- --------
Total return++......................................... 2.90% 4.32% 3.04%
-------- -------- --------
-------- -------- --------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................. $423,116 $368,796 $156,782
Ratio of net investment income to average net
assets.............................................. 5.79%+ 4.38% 3.12%+
Ratio of operating expenses to average net assets.... 0.18%+ 0.12% 0.03%+
Ratio of operating expenses to average net assets
before fees waived by the Investment Adviser,
Administrator, Custodian and/ or Transfer Agent
and/or expenses reimbursed by the Investment Adviser
and Administrator................................... 0.27%+ 0.27% 0.49%+
Net investment income per share before waiver of fees
by the Investment Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator............ $0.0282 $ 0.0407 $ 0.0256
</TABLE>
- ------------------------
* 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.
++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements.
46
<PAGE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR PERIOD
7/31/95 ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94*
-------- -------- --------
<S> <C> <C> <C>
CLASS B CLASS B CLASS B
-------- -------- --------
Net asset value, beginning of period.... $ 1.00 $ 1.00 $ 1.00
-------- -------- --------
Net investment income................... 0.0275 0.0399 0.0198
Dividends from net investment income.... (0.0275) (0.0399) (0.0198)
-------- -------- --------
Net asset value, end of period.......... $ 1.00 $ 1.00 $ 1.00
-------- -------- --------
-------- -------- --------
Total return++.......................... 2.77% 4.05% 2.00%
-------- -------- --------
-------- -------- --------
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)............................... $38,411 $ 27,242 $ 33,862
Ratio of net investment income to
average net assets................... 5.54%+ 4.13% 2.87%+
Ratio of operating expenses to average
net assets........................... 0.43%+ 0.37% 0.28%+
Ratio of operating expenses to average
net assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/ or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and
Administrator........................ 0.52%+ 0.52% 0.74%+
Net investment income per share before
waiver of fees by the Investment
Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser
and Administrator.................... $0.0270 $ 0.0384 $ 0.0166
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
100% TREASURY INSTRUMENTS MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR PERIOD PERIOD
7/31/95 ENDED ENDED ENDED
(UNAUDITED) 1/31/95 1/31/94* 1/31/94*
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
CLASS A CLASS A CLASS A CLASS B
--------- --------- --------- ---------
Net asset value, beginning of period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
Net investment income..................................... 0.0278 0.0408 0.0292 0.0149
Dividends from net investment income...................... (0.0278) (0.0408) (0.0292) (0.0149)
--------- --------- --------- ---------
Net asset value, end of period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
--------- --------- --------- ---------
Total return++............................................ 2.81% 4.17% 2.95% 1.55%
--------- --------- --------- ---------
--------- --------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $ 16,378 $ 78,816 $ 127,463 -- #
Ratio of net investment income to average net assets.... 5.60%+ 4.06% 3.03%+ 2.78%+
Ratio of operating expenses to average net assets....... 0.18%+ 0.16% 0.05%+ 0.30%+
Ratio of operating expenses to average net assets before
fees waived by the Investment Adviser, Administrator,
Custodian and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser and
Administrator.......................................... 0.49%+ 0.33% 0.51%+ 0.76%+
Net investment income per share before waiver of fees by
the Investment Adviser, Administrator, Custodian and/or
Transfer Agent and/or expenses reimbursed by the
Investment Adviser and Administrator................... $ 0.0262 $ 0.0391 $ 0.0248 $ 0.0124
<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.
++ Total return represents aggregate total return for the periods indicated.
# Total net assets for Class B were $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED YEAR PERIOD ENDED PERIOD
7/31/95 ENDED ENDED 7/31/95 ENDED
(UNAUDITED) 1/31/95 1/31/94* (UNAUDITED) 1/31/95*
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
CLASS A CLASS A CLASS A CLASS B CLASS B
--------- --------- --------- --------- ---------
Net asset value, beginning
of period.................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
Net investment income....... 0.0194 0.0288 0.0228 0.0182 0.0030
Dividends from net
investment income.......... (0.0194) (0.0288) (0.0228) (0.0182) (0.0030)
--------- --------- --------- --------- ---------
Net asset value, end of
period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total return++.............. 1.97% 2.93% 2.30% 1.84% 0.30%
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Ratios to average net
assets/supplemental data:
Net assets, end of period
(in 000's)............... $ 78,980 $ 60,351 $ 59,735 -- # -- #
Ratio of net investment
income to average
net assets............... 3.91%+ 2.99% 2.38%+ 3.66%+ 2.74%+
Ratio of operating
expenses to average
net assets............... 0.18%+ 0.16% 0.11%+ 0.43%+ 0.41%+
Ratio of operating
expenses to average net
assets before fees waived
by the Investment
Adviser, Administrator,
Custodian and/or Transfer
Agent and/or expenses
reimbursed by the
Investment Adviser and
Administrator............ 0.38%+ 0.38% 1.52%+ 0.63%+ 0.63%+
Net investment income per
share before waiver of
fees by the Investment
Adviser, Administrator,
Custodian and/or Transfer
Agent and/or expenses
reimbursed by the
Investment Adviser and
Administrator............ $ 0.0184 $ 0.0266 $ 0.0093 $ 0.0172 $ 0.0009
<FN>
- ------------------------
* The Tax-Free Money Market Fund Class A and Class B Shares commenced
operations on February 8, 1993 and December 30, 1994, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
# Total net assets for Class B were $100 at July 31, 1995 and January 31, 1995.
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS PERIOD
ENDED YEAR PERIOD ENDED
7/31/95 ENDED ENDED 7/31/95*
(UNAUDITED) 1/31/95 1/31/94* (UNAUDITED)
--------- --------- ---------- ----------
<S> <C> <C> <C> <C>
CLASS A CLASS A CLASS A CLASS C
--------- --------- ---------- ----------
Net asset value, beginning
of period.................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------- ----------
Net investment income....... 0.0200 0.0300 0.0243 0.0093
Dividends from net
investment income.......... (0.0200) (0.0300) (0.0243) (0.0093)
--------- --------- ---------- ----------
Net asset value, end of
period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------- ----------
--------- --------- ---------- ----------
Total return++.............. 2.03% 3.04% 2.46% 0.93%
--------- --------- ---------- ----------
--------- --------- ---------- ----------
Ratios to average net
assets/supplemental data:
Net assets, end of period
(in 000's)............... $228,306 $ 93,595 $ 350,975 $ 2,234
Ratio of net investment
income to average net
assets................... 4.05%+ 2.86% 2.53%+ 3.70%+
Ratio of operating
expenses to average net
assets................... 0.18%+ 0.15% 0.13%+ 0.53%+
Ratio of operating
expenses to average net
assets before fees waived
by the Investment
Adviser, Administrator,
Custodian and/or Transfer
Agent and/or expenses
reimbursed by the
Investment Adviser and
Administrator............ 0.30%+ 0.31% 0.51%+ 0.65%+
Net investment income per
share before waiver of
fees by the Investment
Adviser, Administrator,
Custodian and/or Transfer
Agent and/or expenses
reimbursed by the
Investment Adviser and
Administrator............ $ 0.0194 $ 0.0283 $ 0.0201 $ 0.0087
<FN>
- ------------------------
* The Municipal Money Market Fund Class A and Class C Shares commenced
operations on February 8, 1993 and April 14, 1995, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 eight funds offered to
the public: Prime Money Market Fund, Prime Value Money Market Fund, Government
Obligations Money Market Fund, Cash Management Fund (formerly known as the 100%
Government Obligations Money Market Fund), Treasury Instruments Money Market
Fund II, 100% Treasury Instruments Money Market Fund, Tax-Free Money Market Fund
and Municipal Money Market Fund, (collectively the "Funds"). All the Funds
except Cash Management Fund currently offer four classes of shares: Class A,
Class B, Class C, and Class E. Class A shares are sold to institutional
investors that have not entered into servicing agreements. Class B, Class C and
Class E shares are sold to institutional investors and bear service fees. All
classes of shares have identical rights and privileges except that Class B,
Class C and Class E possess certain exclusive voting rights on matters relating
to their respective service fees. The Prime Value Money Market Fund, Government
Obligations Money Market Fund and Municipal Money Market Fund offered Class D
shares to certain individual investors, but ceased offering such shares as of
March 28, 1994. The Cash Management Fund ceased offering shares of Class B,
Class C and Class E on May 31, 1995. Shares of the Floating Rate U.S. Government
Fund and the Short Duration U.S. Government Fund were no longer sold to the
public as of July 28, 1995, and such Funds ceased to exist.
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 instruments is not significant.
REPURCHASE AGREEMENTS: Certain 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, 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 of shares.
FEDERAL INCOME TAXES: The Funds have qualified and intend to qualify each
year as regulated investment companies pursuant to the requirements of the
Internal Revenue Code of 1986, as amended. The Funds distribute substantially
all of their taxable income to their shareholders, therefore no Federal income
tax provision is required.
51
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (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 at fiscal
year end in accordance with Federal 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 a Fund, timing differences and differing characterization of distributions
made by the Fund as a whole.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER RELATED PARTY
TRANSACTIONS
Lehman Brothers Global Asset Management Inc. ("LBGAM"), serves as each
Fund's Investment Adviser pursuant to Investment Advisory Agreements dated
February 5, 1993. LBGAM is a wholly-owned subsidiary of Lehman Brothers Holdings
Inc. ("Holdings"). 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 six months ended July 31, 1995, LBGAM
voluntarily waived fees and reimbursed expenses as follows:
<TABLE>
<CAPTION>
FEES
WAIVED EXPENSES REIMBURSED
---------- --------------------
<S> <C> <C>
Government Obligations Money Market Fund...... $ 26,946 --
Cash Management Fund.......................... 1,199 $26,849
Treasury Instruments Money Market Fund II..... 18,480 --
100% Treasury Instruments Money Market Fund... 16,883 17,715
Tax-Free Money Market Fund.................... 33,592 --
Municipal Money Market Fund................... 25,209 --
</TABLE>
The Shareholder Services Group, Inc. ("TSSG"), a wholly-owned subsidiary of
First Data Corporation, serves as the Trust's Administrator pursuant to an
Administration Agreement. Under the Administration Agreement TSSG is entitled to
receive a monthly fee at the annual rate of 0.10% of the value of each Fund's
average daily net assets. TSSG also serves as the Trust's Transfer Agent and
receives additional fees for such services. For the six months ended July 31,
1995, TSSG waived fees payable to them as follows:
<TABLE>
<CAPTION>
FEES WAIVED
------------
<S> <C>
Prime Money Market Fund........................................... $1,534,923
Prime Value Money Market Fund..................................... 1,055,000
Government Obligations Money Market Fund.......................... 26,144
Cash Management Fund.............................................. 884
Treasury Instruments Money Market Fund II......................... 178,569
100% Treasury Instruments Money Market Fund....................... 12,585
Tax-Free Money Market Fund........................................ 26,004
Municipal Money Market Fund....................................... 63,198
</TABLE>
No officer or employee of Lehman Brothers Inc., LBGAM, TSSG 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 TSSG 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.
52
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect
wholly-owned subsidiary of Mellon Bank Corporation, serves as the Funds'
custodian. For the six months ended July 31, 1995, Boston Safe waived fees as
follows:
<TABLE>
<CAPTION>
FEES
WAIVED
----------
<S> <C>
Prime Money Market Fund........................................... $171,040
Prime Value Money Market Fund..................................... 122,495
Government Obligations Money Market Fund.......................... 9,640
Cash Management Fund.............................................. 315
Treasury Instruments Money Market Fund II......................... 27,720
100% Treasury Instruments Money Market Fund....................... 5,215
Tax-Free Money Market Fund........................................ 9,977
Municipal Money Market Fund....................................... 15,720
</TABLE>
3. SERVICES AGREEMENTS
Lehman Brothers Inc. acts as Distributor of the Trust's shares.
Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Funds
have adopted either Service Agreements or Service and Distribution Agreements
("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 E 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
E shares on behalf of their clients. Service Agreement fees are paid by each
Fund based on the value of the average daily net assets of each respective class
of shares at the annual rates as follows: 0.15% for the Class E shares; 0.25%
for the Class B shares; and 0.35% for the Class C shares.
4. SHARES OF BENEFICIAL INTEREST
The Trustees have authority to issue an unlimited number of $.001 par value
shares of beneficial interest currently divided into four classes for each 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 as the amounts shown below for such transactions.
The Tables below summarize transactions of each class of shares, at $1.00,
for the Funds noted:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
PRIME MONEY MARKET FUND: 7/31/95
<S> <C> <C> <C> <C>
-----------------------------------------------------------------
<CAPTION>
CLASS A CLASS B CLASS C CLASS E
--------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Sold........................ 50,414,002,639 1,210,300,879 31,669,381 265,684,929
Dividend Reinvestment....... 42,787,619 92,860 39,412 302,665
Redeemed.................... (47,686,981,839) (1,236,749,142) (25,472,912) (269,733,202)
--------------- -------------- ------------ ------------
Net increase/(decrease)..... 2,769,808,419 (26,355,403) 6,235,881 (3,745,608)
--------------- -------------- ------------ ------------
--------------- -------------- ------------ ------------
<CAPTION>
YEAR ENDED
1/31/95
-----------------------------------------------------------------
CLASS A CLASS B CLASS C CLASS E
--------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Sold........................ 50,834,385,668 1,726,597,698 294,282,614 195,210,550
Dividend Reinvestment....... 33,594,264 40,466 11,099 197,277
Redeemed.................... (52,195,513,578) (1,734,629,736) (287,048,923) (187,089,928)
--------------- -------------- ------------ ------------
Net increase/(decrease)..... (1,327,533,646) (7,991,572) 7,244,790 8,317,899
--------------- -------------- ------------ ------------
--------------- -------------- ------------ ------------
</TABLE>
53
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRIME VALUE MONEY MARKET SIX MONTHS ENDED
FUND: 7/31/95
---------------------------------
CLASS A CLASS B
--------------- --------------
<S> <C> <C> <C> <C>
Sold........................ 22,720,972,616 136,337,039
Dividend Reinvestment....... 26,880,286 --
Redeemed.................... (20,758,050,649) (133,561,817)
--------------- --------------
Net increase................ 1,989,802,253 2,775,222
--------------- --------------
--------------- --------------
<CAPTION>
YEAR ENDED
1/31/95
-----------------------------------------------------------------
CLASS A CLASS B CLASS D CLASS E
--------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Sold........................ 35,347,664,625 122,964,083 -- 100
Dividend Reinvestment....... 23,701,484 -- 23 --
Redeemed.................... (37,881,911,178) (118,724,748) (10,146) --
--------------- -------------- ------------ ------------
Net increase/(decrease)..... (2,510,545,069) 4,239,335 (10,123) 100
--------------- -------------- ------------ ------------
--------------- -------------- ------------ ------------
<CAPTION>
GOVERNMENT OBLIGATIONS MONEY SIX MONTHS ENDED
MARKET FUND: 7/31/95
-------------------------------------------------
CLASS A CLASS B CLASS C*
--------------- -------------- ------------
<S> <C> <C> <C> <C>
Sold........................ 528,675,262 35,543,737 1,969,736
Dividend Reinvestment....... 192,529 10,395 11
Redeemed.................... (484,008,850) (31,587,870) (1,361,027)
--------------- -------------- ------------
Net increase................ 44,858,941 3,966,262 608,720
--------------- -------------- ------------
--------------- -------------- ------------
<CAPTION>
YEAR ENDED
1/31/95
-----------------------------------------------------------------
CLASS A CLASS B CLASS D CLASS E
--------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Sold........................ 1,366,951,349 88,597,518 -- 100
Dividend Reinvestment....... 465,286 13,481 -- --
Redeemed.................... (1,448,866,123) (79,287,821) (100) --
--------------- -------------- ------------ ------------
Net increase/(decrease)..... (81,449,488) 9,323,178 (100) 100
--------------- -------------- ------------ ------------
--------------- -------------- ------------ ------------
</TABLE>
54
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
CASH MANAGEMENT FUND: 7/31/95
---------------------------------
CLASS A CLASS C
--------------- --------------
<S> <C> <C> <C> <C>
Sold........................ 156,211,666 --
Dividend Reinvestment....... 658 3
Redeemed.................... (159,821,309) (200,000)
--------------- --------------
Net decrease................ (3,608,985) (199,997)
--------------- --------------
--------------- --------------
<CAPTION>
YEAR ENDED
1/31/95
-----------------------------------------------------------------
CLASS A CLASS B CLASS C CLASS E
--------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Sold........................ 101,753,182 3,814,865 200,000 100
Dividend Reinvestment....... 1,426 -- 7 --
Redeemed.................... (138,723,878) (3,814,865) -- --
--------------- -------------- ------------ ------------
Net increase/(decrease)..... (36,969,270) -- 200,007 100
--------------- -------------- ------------ ------------
--------------- -------------- ------------ ------------
<CAPTION>
TREASURY INSTRUMENTS MONEY SIX MONTHS ENDED
MARKET FUND II: 7/31/95
---------------------------------
CLASS A CLASS B
--------------- --------------
<S> <C> <C> <C> <C>
Sold........................ 2,160,083,394 40,980,722
Dividend Reinvestment....... 3,532,472 955,679
Redeemed.................... (2,109,295,623) (30,767,268)
--------------- --------------
Net increase................ 54,320,243 11,169,133
--------------- --------------
--------------- --------------
<CAPTION>
YEAR ENDED
1/31/95
-------------------------------------------------
CLASS A CLASS B CLASS E
--------------- -------------- ------------
<S> <C> <C> <C> <C>
Sold........................ 3,209,159,843 138,750,163 100
Dividend Reinvestment....... 2,955,287 994,570 --
Redeemed.................... (3,000,100,464) (146,364,683) --
--------------- -------------- ------------
Net increase/(decrease)..... 212,014,666 (6,619,950) 100
--------------- -------------- ------------
--------------- -------------- ------------
<CAPTION>
SIX MONTHS
100% TREASURY INSTRUMENTS ENDED YEAR ENDED
MONEY MARKET FUND: 7/31/95 1/31/95
--------------- ------------------------------
CLASS A CLASS A CLASS E
--------------- -------------- ------------
<S> <C> <C> <C> <C>
Sold........................ 116,923,941 302,935,830 100
Dividend Reinvestment....... 62,227 70,170 --
Redeemed.................... (179,431,506) (351,656,249) --
--------------- -------------- ------------
Net increase/(decrease)..... (62,445,338) (48,650,249) 100
--------------- -------------- ------------
--------------- -------------- ------------
</TABLE>
55
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
TAX-FREE MONEY MARKET FUND: 7/31/95 1/31/95
--------------- ----------------------------------------------
CLASS A CLASS A CLASS B CLASS E
--------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Sold........................ 351,554,596 685,428,863 1,072,223 100
Dividend Reinvestment....... 206,346 232,374 272 --
Redeemed.................... (333,130,579) (685,042,968) (1,072,495) --
--------------- -------------- ------------ ------------
Net increase................ 18,630,363 618,269 -- 100
--------------- -------------- ------------ ------------
--------------- -------------- ------------ ------------
<CAPTION>
SIX MONTHS ENDED
MUNICIPAL MONEY MARKET FUND: 7/31/95
---------------------------------
CLASS A CLASS C*
--------------- --------------
<S> <C> <C> <C> <C>
Sold........................ 1,437,825,577 4,514,417
Dividend Reinvestment....... 958,373 7
Redeemed.................... (1,304,076,001) (2,280,742)
--------------- --------------
Net increase................ 134,707,949 2,233,682
--------------- --------------
--------------- --------------
<CAPTION>
YEAR ENDED
1/31/95
-------------------------------------------------
CLASS A CLASS D CLASS E
--------------- -------------- ------------
<S> <C> <C> <C> <C>
Sold........................ 4,299,613,976 -- 100
Dividend Reinvestment....... 1,655,845 -- --
Redeemed.................... (4,558,624,785) (100) --
--------------- -------------- ------------
Net increase/(decrease)..... (257,354,964) (100) 100
--------------- -------------- ------------
--------------- -------------- ------------
<FN>
- ------------------------
* The Class C shares of the Government Obligations Money Market Fund and the
Municipal Money Market Fund commenced operations on April 18, 1995 and April
14, 1995, respectively.
</TABLE>
As of July 31, 1995, the Cash Management Fund, 100% Treasury Instruments
Money Market Fund, Tax-Free Money Market Fund and Municipal Money Market Fund
had each issued 100 Class B shares in the amount of $100 to Lehman Brothers Inc.
As of July 31, 1995, the Prime Value Money Market Fund, Treasury Instruments
Money Market Fund II, 100% Treasury Instruments Money Market Fund and the
Tax-Free Money Market Fund had each issued 100 Class C shares in the amount of
$100 to Lehman Brothers Inc. As of July 31, 1995, the Prime Value Money Market
Fund, Government Obligations Money Market Fund, Cash Management Fund, Treasury
Instruments Money Market Fund II, 100% Treasury Instruments Money Market Fund,
Tax-Free Money Market Fund and Municipal Money Market Fund had each issued 100
Class E shares in the amount of $100 to Lehman Brothers Inc. During the six
months ended July 31, 1995, no income or expenses were allocated to Class B,
Class C and Class E shares that did not have capital stock activity during the
six month period.
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 each Fund. In the event that any of the initial
shares of a Fund are redeemed during such amortization period, the Fund 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.
56
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
6. CAPITAL LOSS CARRYFORWARD
At January 31, 1995, the following Funds had available for Federal income
tax purposes unused capital losses as follows:
<TABLE>
<CAPTION>
EXPIRING EXPIRING
NAME OF FUND IN 2002 IN 2003
---------------------------------------------------------- -------- --------
<S> <C> <C>
Prime Money Market Fund................................... -- $18,342
Prime Value Money Market Fund............................. -- 307,319
Government Obligations Money Market Fund.................. -- 4,414
Treasury Instruments Money Market Fund II................. $10 --
Tax Free Money Market Fund................................ -- 2,318
Municipal Money Market Fund............................... -- 20,531
</TABLE>
7. SUBSEQUENT EVENTS
On August 9, 1995, the Board of Trustees of the Trust voted to close Class
B, Class C and Class E shares of the Cash Management Fund. On August 25, 1995,
the Board of Trustees of the Trust authorized the termination of the 100%
Treasury Instruments Money Market Fund.
57
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS
---------------------------------------------------------
<TABLE>
<S> <C>
Client Service Center
(8:30 am to 5 pm, Eastern time): 800-851-3134
fax: 617-261-4330
or 617-261-4340
Dividend factors and yields: 800-238-2560
Administration/Sales/Marketing: 800-368-5556
To place a purchase or redemption
order: 800-851-3134
To change account information: 800-851-3134
Additional Prospectuses: 800-368-5556
Information on Service Agreements: 800-851-3134
LEX Help Desk 800-566-5LEX
</TABLE>
LEHMAN BROTHERS
---------------------------------------------------------
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PRIME MONEY MARKET FUND
PRIME VALUE MONEY MARKET FUND
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
CASH MANAGEMENT FUND
TREASURY INSTRUMENTS MONEY MARKET FUND II
100% TREASURY INSTRUMENTS MONEY MARKET FUND
TAX-FREE MONEY MARKET FUND
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 prospectuses.
LBO-127J5
