<PAGE>
ANNUAL REPORT
-----------------------------------------------------------------------
JANUARY 31, 1995
LEHMAN
INSTITUTIONAL FUNDS
GROUP TRUST
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
President's Letter...................................................... 1
Performance and Commentary.............................................. 3
Portfolio of Investments:
Prime Money Market Fund............................................... 5
Prime Value Money Market Fund......................................... 7
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........................................... 19
Floating Rate U.S. Government Fund.................................... 24
Short Duration U.S. Government Fund................................... 25
Money Market Funds:
Statements of Assets and Liabilities.................................. 26
Statements of Operations.............................................. 30
Statements of Changes in Net Assets................................... 32
Non-Money Market Funds:
Statements of Assets and Liabilities.................................. 36
Statements of Operations.............................................. 38
Statements of Changes in Net Assets................................... 39
Financial Highlights:
Prime Money Market Fund............................................... 40
Prime Value Money Market Fund......................................... 41
Government Obligations Money Market Fund.............................. 42
Cash Management Fund.................................................. 43
Treasury Instruments Money Market Fund II............................. 44
100% Treasury Instruments Money Market Fund........................... 45
Tax-Free Money Market Fund............................................ 46
Municipal Money Market Fund........................................... 47
Floating Rate U.S. Government Fund.................................... 48
Short Duration U.S. Government Fund................................... 49
Notes to Financial Statements........................................... 50
Report of Independent Auditors.......................................... 59
Tax Information......................................................... 60
</TABLE>
<PAGE>
Dear Shareholders:
We are pleased to present the Annual Report for the Lehman Brothers
Institutional Funds Group Trust (the "Trust") for the year ending January 31,
1995. This Report includes the portfolio holdings for each of the Money Market
and Non-Money Market Funds that are currently offered by the Trust, namely:
MONEY MARKET FUNDS
<TABLE>
<S> <C>
- PRIME MONEY MARKET FUNDS - TAX-EXEMPT MONEY MARKET FUNDS
Prime Money Market Fund Tax-Free Money Market Fund
Prime Value Money Market Fund Municipal Money Market Fund
- GOVERNMENT MONEY MARKET FUNDS
Government Obligations Money Market Fund
Cash Management Fund
Treasury Instruments Money Market Fund II
100% Treasury Instruments Money Market Fund
</TABLE>
NON-MONEY MARKET FUNDS
- GOVERNMENT FIXED INCOME FUNDS
Floating Rate U.S. Government Fund
Short Duration U.S. Government Fund
THE ECONOMY
Since our last report, the pace of economic growth accelerated, reaching an
estimated 4.50% in the fourth quarter as measured by the Gross Domestic Product
("GDP"). The economy's strength was all the more impressive in light of the
series of interest rate hikes implemented by the Federal Reserve Board ("Federal
Reserve") -- measures that were intended to slow the economy by the fourth
quarter. Although the economic strength was achieved with only minimal
inflationary pressure, the Federal Reserve tightened twice more, raising rates
an additional 125 basis points in order to temper the pace of growth and
inflationary pressures.
Toward the end of 1994, certain sectors began to exhibit some weakness,
which had many analysts wondering if this was a false signal or the beginning of
the "soft landing" for this cycle. As the growth rate for the GDP decelerates,
it is important to determine whether the new rate is substantially higher than
the 2.50% rate at which the Federal Reserve believes the expansion is
sustainable without igniting inflationary pressures. If the soft landing
scenario occurs, we believe fixed income investors may be facing their first
good buying opportunity in a year after enduring an unfavorable bond market in
1994. Short term investors have a more difficult call to make in terms of
predicting the magnitude and timing of additional Federal Reserve tightening
actions that may occur at the late stages of the cycle and which are necessary
to preserve its credibility as an inflation fighter.
As of the date of this report, we expect the Federal Reserve to raise
overnight rates by 50 basis points one more time in the second quarter of 1995,
and we expect the interest rate curve to flatten as longer maturities remain in
a range of 7.50% to 8.00%.
THE MONEY MARKET FUNDS
Throughout the period, the TAXABLE MONEY MARKET FUNDS were protected from
rising rates by adopting a very defensive short average maturity. In January
1995, however, maturities were significantly
extended in order to lock in six- to 12-month rates which were beginning to fall
as evidence of economic weakness became more prevalent.
The municipal market was influenced more by technical conditions. Rising
demand for a shrinking supply of tax exempt securities helped stabilize the
value of securities in spite of rising taxable interest rates. The TAX-EXEMPT
MONEY MARKET FUNDS were, therefore, well served by a strategy that minimized the
expensive short end of the curve in favor of longer-dated notes.
1
<PAGE>
THE NON-MONEY MARKET FUNDS
The mortgage funds were positioned defensively in anticipation of further
Federal Reserve tightenings during the period. On average the duration of both
the FLOATING RATE U.S. GOVERNMENT FUND and the SHORT DURATION U.S. GOVERNMENT
FUND was 0.5 years for the fiscal year (similar to the duration of a six-month
U.S. Treasury bill). We intend to move the durations out to the target duration
of approximately one year when we believe the Federal Reserve is finished with
its tightening moves.
The mortgage market performed well relative to other fixed-income sectors as
the supply of new mortgages declined substantially during the period. Supply was
affected by the rapid decline of prepayments and new mortgage originations which
occurred as interest rates have risen.
* * * *
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
investment needs.
<TABLE>
<S> <C> <C>
Sincerely,
Andrew D. Gordon Kirk D. Hartman
President Executive Vice President
and
Investment Officer
</TABLE>
TAX INFORMATION
YEAR ENDED JANUARY 31, 1995 (UNAUDITED)
Of the dividends paid from net investment income for the Tax-Free Money
Market Fund and the Municipal Money Market Fund for the year January 31,
1995, 100% is tax exempt for regular Federal income tax purposes.
2
<PAGE>
PERFORMANCE DISCUSSION AND ANALYSIS --NON-MONEY MARKET FUNDS
The objective of the Non-Money Market Funds is to provide a high level of
current income consistent with minimal fluctuation of net asset value. The SHORT
DURATION U.S. GOVERNMENT FUND pursues its objective by investing in U.S.
government and agency securities, primarily mortgage-backed securities. Also,
the Fund intends to invest only in securities that have short durations, i.e.,
the price sensitivity of the Fund approximates that of U.S. Treasuries with
three-month to two-year maturities. In the case of the FLOATING RATE U.S.
GOVERNMENT FUND, the Fund pursues its objective by investing in adjustable rate
("ARMs") or floating rate ("Floaters") U.S. government and agency securities,
primarily mortgage-backed securities. Due to the floating rate nature of these
securities, most have short durations (i.e., less than the duration of a
two-year U.S. Treasury).
Among the major factors that affect performance of both Funds are the level
of interest rates and prepayment rates. If interest rates rise, the value of the
Funds will decline. The effect of changes in prepayment rates on the Funds
depends on the purchase price of the individual securities, e.g., bonds
purchased above par are negatively impacted by increasing prepayments.
Additional factors affecting the SHORT DURATION U.S. GOVERNMENT FUND are spreads
in the mortgage market and prepayment rates. The FLOATING RATE U.S. GOVERNMENT
FUND is also impacted by spreads in the ARMs and Floater mortgage market. If
spreads in either pertinent market widen, the value of the affected Fund will
decline.
During 1994, the first year of operation for each Fund, yields on short-term
U.S. Treasuries increased by more than 2.00% as the Federal Reserve raised
interest rates seven times during the year. We attempted to mitigate the effect
of these interest rate increases on the Funds by keeping the duration of each
Fund below its target duration. While the net asset value of each Fund did
decline during the year, we believe the performance would have been worse if the
Funds' duration had been longer.
For the SHORT DURATION U.S. GOVERNMENT FUND we monitor the spreads of many
different security types that the Fund can purchase. In general, the spreads at
year-end were near the levels at the beginning of the year. However, during the
year there were incidents of spread-widening that detracted from the performance
of the Fund but allowed us to purchase securities at more attractive prices. We
believe that spreads did not have a material effect on Fund performance.
Prepayment rates on mortgage securities changed significantly during the
year as increasing interest rates virtually eliminated refinancings. Most of the
securities that were purchased by the SHORT DURATION U.S. GOVERNMENT FUND at the
beginning of the Fund's operation were purchased above par. Therefore, the
slowing of prepayments had a positive impact on the Fund.
For the FLOATING RATE U.S. GOVERNMENT FUND, we monitor the spreads of many
different ARMs and Floaters that can be purchased for the Fund. Spreads on ARMs
widened substantially during the year, while Floater spreads ended the year near
their levels at the beginning of the year. The majority of the Fund has been
invested in ARMs, so this spread-widening had a negative impact on the
performance of the Fund.
Prepayment rates on ARMs were relatively stable as compared with prepayment
of fixed-rate mortgage securities. Therefore, prepayments did not materially
affect the performance of the FLOATING RATE U.S. GOVERNMENT FUND.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN
BROTHERS LEHMAN
ADJUSTABLE BROTHERS 1-3
LEHMAN RATE YEAR
FLOATING LIPPER U.S. LIPPER MORTGAGE GOVERNMENT
RATE MORTGAGE ADJUSTABLE INDEX BOND INDEX
<S> <C> <C> <C> <C> <C>
3/28/94 10000 10000 10000 10000 10000
6/30/94 10060 9948 9948 9944 10000
9/30/94 10142 9960 9960 10031 10100
1/31/95 10296 10222 9820 10289 10237
</TABLE>
3
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN
LIPPER SHORT BROTHERS 1-3
U.S. YEAR
GOVERNMENT GOVERNMENT LEHMAN
FUND AVERAGE BOND INDEX SHORT-TERM
<S> <C> <C> <C>
3/28/94 10000 10000 10000
Jun-94 9920 10000 10066
Sep-94 9977 10100 10192
Jan-95 10090 10237 10354
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN
BROTHERS 1-3
YEAR
LEHMAN GOVERNMENT
SHORT-TERM LIPPER SHORT BOND INDEX
<S> <C> <C> <C>
6/29/94 10000 10000 10000
Jun-94 10001 10000 10000
Sep-94 10128 10058 10100
Dec-94 10232 10047 10100
Jan-95 10272 10171 10237
</TABLE>
The graphs above show the results of a hypothetical $10,000 invested in the
Floating Rate U.S. Government Fund (Premier Shares) and the Short Duration U.S.
Government Fund (Premier and Select Shares) from the inception of the Funds,
compared to a theoretical investment of $10,000 in the respective Index over the
same period. (Index results are calculated beginning the first day of the month
following the commencement of the Funds' operations.) The results for the Funds
reflect the waiver of a portion of fees by the Adviser and Administrator of the
Funds for the period indicated.
The Lehman Brothers 1-3 Year Government Index is an index composed of agency and
Treasury securities with maturities of one to three years. The Lehman Brothers
Adjustable Rate Mortgage Index is an index composed of all agency guaranteed
securities with coupons that periodically adjust based on a spread over a
published index.
The Lipper U.S. Mortgage Fund Average is derived from a universe of
approximately 57 mutual funds that invest at least 65% of assets in
mortgages/securities issued or guaranteed as to principal and interest by the
U.S. government and certain federal agencies. The Lipper Adjustable Rate
Mortgage Fund Average is derived from a universe of approximately 81 mutual
funds that invest at least 65% of assets in adjustable rate mortgage securities
or other securities collateralized by or representing an interest in mortgages.
The Lipper Short U.S. Government Fund Average is derived from a universe of
approximately 125 mutual funds that invest at least 65% of assets in securities
issued or guaranteed by the U.S. government, its agencies or instrumentalities
with dollar-weighted average maturities of 5 years or less.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A portfolio's share price and investment return will vary
with market conditions, and the value of shares, when redeemed, may be worth
more or less than the original cost.
+ Assumes the reinvestment of all dividends and distributions.
4
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------------ ----------- ----------- --------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- 38.8%
$ 25,000,000 Cargill Financial Services Corporation............ 6.360% 6/27/95 $ 24,330,833
24,630,000 Clipper Receivables Corporation................... 5.950 2/14/95 24,579,481
30,000,000 CS First Boston Inc............................... 5.965 3/9/95 29,819,400
45,000,000 CS First Boston Inc............................... 6.290 5/30/95 44,076,650
10,000,000 CXC Inc........................................... 5.950 2/9/95 9,987,333
38,035,000 Eiger Capital Corporation......................... 5.950 2/14/95 37,957,123
50,000,000 Eiger Capital Corporation......................... 5.900 2/17/95 49,870,000
21,200,000 Falcon Asset Securitization Corporation........... 5.900 2/8/95 21,176,627
17,800,000 Ford Motor Credit Company......................... 5.900 2/21/95 17,741,952
22,200,000 Ford Motor Credit Company......................... 6.300 3/27/95 21,998,535
25,000,000 General Electric Capital Corporation.............. 6.430 7/3/95 24,294,889
75,000,000 Goldman Sachs Group, L.P.......................... 6.430 7/5/95 72,858,438
40,000,000 McKenna Triangle National Corporation............. 5.900 2/22/95 39,864,667
20,000,000 McKenna Triangle National Corporation............. 5.900 2/28/95 19,912,700
25,000,000 McKenna Triangle National Corporation............. 6.240 4/13/95 24,700,715
11,326,000 Monte Rosa Capital Corporation.................... 5.900 2/16/95 11,298,393
56,870,000 Monte Rosa Capital Corporation.................... 5.900 2/21/95 56,685,804
30,000,000 Monte Rosa Capital Corporation.................... 5.900 2/22/95 29,897,625
50,000,000 New Center Asset Trust............................ 6.030 3/29/95 49,519,333
48,000,000 Riverwoods Funding Corporation.................... 5.800 2/1/95 48,000,000
30,231,000 Seven Hills Funding Corporation................... 5.800 2/15/95 30,163,988
20,000,000 Toyota Motor Credit Corporation................... 6.430 9/22/95 19,123,661
30,000,000 Toyota Motor Credit Corporation................... 6.430 10/3/95 28,607,167
--------------
TOTAL COMMERCIAL PAPER (COST $736,465,314)................................... 736,465,314
--------------
BANK/CORPORATE NOTES -- 15.8%
50,000,000 Bear Stearns Companies Inc., Variable Rate........ 6.988 12/29/95 50,000,000
50,000,000 Beta Finance Inc., Variable Rate.................. 5.888 11/22/95 49,976,057
50,000,000 C.I.T. Group Holdings Inc., Variable Rate......... 5.950 1/12/96 49,985,822
50,000,000 FCC National Bank, Delaware, Variable Rate........ 5.950 1/17/96 49,986,096
40,000,000 Merrill Lynch & Company Inc., Variable Rate....... 6.075 9/8/95 40,000,000
25,000,000 PHH Corporation, Inc., Variable Rate.............. 5.950 1/19/96 24,993,129
35,000,000 SMM Trust 1994-D, Variable Rate**................. 6.363 10/27/95 35,000,000
--------------
TOTAL BANK/CORPORATE NOTES (COST $299,941,104)............................... 299,941,104
--------------
U.S. GOVERNMENT AGENCY NOTES -- 5.3%
45,000,000 Federal National Mortgage Association, Variable
Rate............................................. 5.900 12/20/95 45,000,000
40,000,000 Federal National Mortgage Association,
Variable Rate.................................... 6.100 10/7/96++ 40,000,000
15,350,000 Tennessee Valley Authority........................ 3.995 7/20/95 15,150,418
--------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (COST $100,150,418)....................... 100,150,418
--------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------------ ----------- ----------- --------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- 4.1%
$ 50,000,000 NBD Bank N.A...................................... 5.840% 2/16/95 $ 50,000,207
28,000,000 NBD Bank N.A...................................... 5.850 2/21/95 28,000,140
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $78,000,347)............................. 78,000,347
--------------
TIME DEPOSIT -- 2.7% (COST $50,000,000)
50,000,000 Trust Company Bank, Atlanta....................... 5.875 2/1/95 50,000,000
--------------
TAXABLE MUNICIPAL -- 1.5% (COST $29,000,000)
29,000,000 The City of New York, Series E, Variable Rate..... 6.240 3/13/95 29,000,000
--------------
REPURCHASE AGREEMENTS -- 32.0%
Agreement with Chase Securities Inc. dated 1/31/95 bearing 5.950% to be
repurchased at $100,016,528 on 2/1/95, collateralized by $119,169,700 of
100,000,000 various mortgage-backed securities, with various maturities and interest
rates (market value -- $102,000,570)........................................ 100,000,000
Agreement with CS First Boston Corporation dated 1/31/95 bearing 5.950% to be
repurchased at $106,451,591 on 2/1/95, collateralized by $127,545,000 of
106,434,000 various mortgage-backed securities, with various maturities and interest
rates (market value -- $109,818,721)........................................ 106,434,000
Agreement with UBS Securities, Inc. dated 1/31/95 bearing 5.950% to be
repurchased at $400,066,111 on 2/1/95, collateralized by $492,288,326 of
400,000,000 various mortgage-backed securities, with various maturities and interest
rates (market value -- $408,002,757)........................................ 400,000,000
--------------
TOTAL REPURCHASE AGREEMENTS (COST $606,434,000).............................. 606,434,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $1,899,991,183*)....................................... 100.2% 1,899,991,183
OTHER ASSETS AND LIABILITIES (NET)............................................. (0.2) (2,953,210)
------ --------------
NET ASSETS..................................................................... 100.0% $1,897,037,973
------ --------------
------ --------------
<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.
+ For Commercial Paper, the interest rate represents annualized yield at date
of purchase (unaudited).
++ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------------ ---------- ---------- --------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- 42.5%
$ 25,000,000 AGA Capital, Inc.................................. 5.900% 2/21/95 $ 24,918,055
13,000,000 American Home Products Corporation................ 5.830 2/10/95 12,981,053
20,000,000 American Home Products Corporation................ 6.750 7/5/95 19,422,500
52,674,000 Atlantic Asset Securitization Corporation......... 5.680 2/14/95 52,565,960
10,053,000 Atlantic Asset Securitization Corporation......... 5.850 2/21/95 10,020,328
10,111,000 Atlantic Asset Securitization Corporation......... 5.900 2/21/95 10,077,858
10,000,000 Calcot Limited.................................... 5.970 2/10/95 9,985,075
49,000,000 Ford Motor Credit Company......................... 5.850 2/24/95 48,816,862
25,000,000 General Electric Capital Corporation.............. 6.680 7/3/95 24,294,889
40,000,000 General Motors Acceptance Corporation............. 5.500 2/1/95 40,000,000
25,000,000 General Motors Acceptance Corporation............. 6.300 4/28/95 24,623,750
40,000,000 Government Development Bank, Puerto Rico.......... 5.850 2/22/95 39,863,500
21,700,000 Internationale Nederlanden (U.S.) Funding
Corporation...................................... 6.600 6/21/95 21,143,033
35,000,000 Nationwide Building Society....................... 5.870 2/24/95 34,868,740
15,000,000 Nationwide Building Society....................... 5.880 2/27/95 14,936,300
25,000,000 Nationwide Building Society....................... 6.000 3/13/95 24,833,334
20,000,000 PaineWebber Group................................. 6.050 3/13/95 19,865,556
40,000,000 Postipankki U.S. Inc.............................. 5.880 2/17/95 39,895,467
30,000,000 Postipankki U.S. Inc.............................. 6.620 6/5/95 29,315,933
30,000,000 Ruby Asset Funding Corporation.................... 6.070 2/27/95 29,868,483
30,000,000 Ruby Asset Funding Corporation.................... 6.100 3/31/95 29,705,167
43,305,000 SFC (USA) Inc..................................... 6.100 3/31/95 42,879,408
30,000,000 Toronto-Dominion Holdings (USA), Inc.............. 6.650 6/30/95 29,174,292
--------------
TOTAL COMMERCIAL PAPER (COST $634,055,543)................................. 634,055,543
--------------
BANK/CORPORATE NOTES -- 14.7%
30,000,000 Beta Finance Inc., Variable Rate.................. 5.888 11/22/95 29,985,634
50,000,000 CS First Boston, Inc., Variable Rate.............. 6.363 1/26/96 50,000,000
30,000,000 FCC National Bank, Delaware, Variable Rate........ 5.950 1/17/96 29,991,657
40,000,000 Merrill Lynch & Company Inc.,
Variable Rate.................................... 6.075 9/8/95 40,000,000
50,000,000 PHH Corporation, Inc., Variable Rate.............. 5.950 1/19/96 49,986,258
20,000,000 SMM Trust 1994-D, Variable Rate**................. 6.363 10/27/95 20,000,000
--------------
TOTAL BANK/CORPORATE NOTES (COST $219,963,549)............................. 219,963,549
--------------
CERTIFICATES OF DEPOSIT -- 6.7%
YANKEE:
30,000,000 Dai-Ichi Kangyo Bank, Ltd......................... 7.020 7/5/95 30,004,959
25,000,000 Sumitomo Bank..................................... 5.890 2/17/95 24,999,891
20,000,000 Sumitomo Bank..................................... 5.865 2/21/95 19,999,392
25,000,000 Sumitomo Bank..................................... 6.060 3/13/95 25,000,825
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $100,005,067).......................... 100,005,067
--------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------------ ---------- ---------- --------------
<C> <S> <C> <C> <C>
TIME DEPOSIT -- 3.4% (COST $50,000,000)
$ 50,000,000 Trust Company Bank, Atlanta....................... 5.875% 2/1/95 $ 50,000,000
--------------
U.S. GOVERNMENT AGENCY NOTE -- 2.0% (COST $30,000,000)
30,000,000 Federal National Mortgage Association, Variable
Rate............................................. 6.100 10/7/96++ 30,000,000
--------------
REPURCHASE AGREEMENTS -- 30.8%
Agreement with Chase Securities Inc. dated 1/31/95 bearing 5.950% to be
repurchased at $139,022,974 on 2/1/95, collateralized by $169,528,958 of
139,000,000 various mortgage-backed securities, with various maturities and interest
rates (market value -- $141,782,058)...................................... 139,000,000
Agreement with CS First Boston Corporation dated 1/31/95 bearing
5.950% to be repurchased at $220,354,414 on 2/1/95, collateralized by
220,318,000 $313,145,263 of various mortgage-backed securities, with various
maturities and interest rates (market value -- $228,957,060).............. 220,318,000
Agreement with Greenwich Capital Markets dated 1/31/95 bearing
5.950% to be repurchased at $100,016,528 on 2/1/95, collateralized by
100,000,000 $124,665,530 of various mortgage-backed securities, with various
maturities and interest rates (market value -- $102,039,180).............. 100,000,000
--------------
TOTAL REPURCHASE AGREEMENTS (COST $459,318,000)............................ 459,318,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $1,493,342,159*)................................... 100.1% 1,493,342,159
OTHER ASSETS AND LIABILITIES (NET)......................................... (0.1) (1,286,525)
------- --------------
NET ASSETS................................................................. 100.0 % $1,492,055,634
------- --------------
------- --------------
<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.
+ For Commercial Paper, the interest rate represents annualized yield at date
of purchase (unaudited).
++ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
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 -- 50.6%
FEDERAL HOME LOAN BANK (FHLB):
$ 5,000,000 FHLB, Discount Note............................... 5.920% 2/28/95 $ 4,977,800
5,000,000 FHLB, Variable Rate Note.......................... 5.900 9/18/95 5,000,000
5,000,000 FHLB, Variable Rate Note.......................... 6.030 2/3/97+ 5,000,000
-----------
14,977,800
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA):
5,000,000 FNMA, Variable Rate, Medium Term Note............. 5.900 12/20/95 5,000,000
5,000,000 FNMA, Variable Rate, Medium Term Note............. 6.100 10/7/96+ 5,000,000
-----------
10,000,000
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $24,977,800)....................................................... 24,977,800
-----------
REPURCHASE AGREEMENTS -- 49.5%
12,200,000 Agreement with Chase Securities Inc. dated 1/31/95 bearing 5.950% to be
repurchased at $12,202,016 on 2/1/95 collateralized by $13,577,890
various mortgage-backed securities, with various maturities and interest
rates (market value -- $12,447,370)...................................... 12,200,000
12,266,000 Agreement with CS First Boston Corporation dated 1/31/95 bearing 5.950% to
be repurchased at $12,268,027 on 2/1/95 collateralized by $20,720,000
various mortgage-backed securities, with various maturities and interest
rates (market value -- $12,774,077)...................................... 12,266,000
-----------
TOTAL REPURCHASE AGREEMENTS (COST $24,466,000)............................ 24,466,000
-----------
TOTAL INVESTMENTS (COST $49,443,800*).................................. 100.1% 49,443,800
OTHER ASSETS AND LIABILITIES (NET)..................................... (0.1) (41,880)
------ ---------------
NET ASSETS............................................................. 100.0% $ 49,401,920
------ ---------------
------ ---------------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate, resets daily.
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
----------- -------- -------- --------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATION -- 20.2%
(COST $1,000,000)
$ 1,000,000 Federal Home Loan Bank, Variable Rate Note... 6.030 % 2/3/97+ $ 1,000,000
--------------
REPURCHASE AGREEMENT -- 78.4% (COST $3,871,000)
3,871,000 Agreement with Lehman Brothers Government Securities Inc. dated
1/31/95 bearing 5.750% to be repurchased at $3,871,618 on 2/1/95
collateralized by $4,140,000 U.S. Treasury Bill due 10/19/95
(market value -- $3,950,471)..................................... 3,871,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $4,871,000*)................................. 98.6% 4,871,000
OTHER ASSETS AND LIABILITIES (NET)................................... 1.4 69,417
------ --------------
NET ASSETS........................................................... 100.0% $ 4,940,417
------ --------------
------ --------------
<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
JANUARY 31, 1995
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
----------- ---------- -------- ------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 53.9%
$20,000,000 U.S. Treasury Bills.......................... 5.085% 2/2/95 $ 19,997,175
15,000,000 U.S. Treasury Bills.......................... 5.055 2/9/95 14,983,150
25,000,000 U.S. Treasury Bills.......................... 5.360 2/16/95 24,944,166
25,000,000 U.S. Treasury Bills.......................... 5.510 3/2/95 24,889,035
25,000,000 U.S. Treasury Bills.......................... 5.750 3/9/95 24,856,250
25,000,000 U.S. Treasury Bills.......................... 5.410 3/23/95 24,812,153
10,000,000 U.S. Treasury Bills.......................... 5.420 4/13/95 9,893,106
10,000,000 U.S. Treasury Bills.......................... 5.620 4/13/95 9,889,161
5,000,000 U.S. Treasury Bills.......................... 5.460 4/20/95 4,940,850
25,000,000 U.S. Treasury Bills.......................... 5.695 4/20/95 24,691,521
20,000,000 U.S. Treasury Bills.......................... 5.740 4/27/95 19,728,944
10,000,000 U.S. Treasury Bills.......................... 5.880 5/18/95 9,826,867
------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $213,452,378)................. 213,452,378
------------
REPURCHASE AGREEMENTS -- 46.4%
Agreement with Chase Securities Inc. dated 1/31/95 bearing 5.820% to
60,000,000 be repurchased at $60,009,700 on 2/1/95, collateralized by
$100,196,000 U.S. Treasury Obligations, with various maturities and
interest rates
(market value -- $61,202,922)......................................
60,000,000
70,000,000 Agreement with Lehman Brothers Government Securities Inc. dated
1/31/95 bearing 5.900% to be repurchased at $70,011,472 on 2/1/95,
collateralized by $49,794,000 U.S. Treasury Bonds, with various
maturities and interest rates (market value -- $71,347,591)........ 70,000,000
Agreement with Merrill Lynch Government Securities Inc. dated
53,957,000 1/31/95 bearing 5.750% to be repurchased at $53,965,618 on 2/1/95,
collateralized by $55,243,000 U.S. Treasury Bills, with various
maturities
(market value -- $55,039,388)......................................
53,957,000
------------
TOTAL REPURCHASE AGREEMENTS (COST $183,957,000)..................... 183,957,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $397,409,378*)............................... 100.3% 397,409,378
OTHER ASSETS AND LIABILITIES (NET)................................... (0.3) (1,371,134)
----- --------------
NET ASSETS........................................................... 100.0% $ 396,038,244
----- --------------
----- --------------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase (unaudited).
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
100% TREASURY INSTRUMENTS MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
----------- ---------- -------- -----------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 100.4%
$ 290,000 U.S. Treasury Bills.......................... 5.045% 2/2/95 $ 289,959
50,000 U.S. Treasury Bills.......................... 5.080 2/2/95 49,993
155,000 U.S. Treasury Bills.......................... 5.250 2/2/95 154,977
445,000 U.S. Treasury Bills.......................... 5.310 2/2/95 444,934
1,950,000 U.S. Treasury Bills.......................... 5.085 2/9/95 1,947,797
2,865,000 U.S. Treasury Bills.......................... 5.120 2/9/95 2,861,740
195,000 U.S. Treasury Bills.......................... 5.230 2/9/95 194,774
690,000 U.S. Treasury Bills.......................... 5.280 2/16/95 688,482
470,000 U.S. Treasury Bills.......................... 5.335 2/16/95 468,955
1,000,000 U.S. Treasury Bills.......................... 5.360 2/16/95 997,767
2,205,000 U.S. Treasury Bills.......................... 5.320 2/23/95 2,197,831
1,380,000 U.S. Treasury Bills.......................... 5.530 2/23/95 1,375,336
855,000 U.S. Treasury Bills.......................... 5.615 2/23/95 852,066
3,545,000 U.S. Treasury Bills.......................... 5.610 3/2/95 3,528,980
5,720,000 U.S. Treasury Bills.......................... 5.365 3/9/95 5,689,312
2,810,000 U.S. Treasury Bills.......................... 5.450 3/9/95 2,794,685
355,000 U.S. Treasury Bills.......................... 5.540 3/9/95 353,033
360,000 U.S. Treasury Bills.......................... 5.640 3/9/95 357,970
4,790,000 U.S. Treasury Bills.......................... 5.520 3/16/95 4,758,418
1,400,000 U.S. Treasury Bills.......................... 5.520 3/23/95 1,389,267
5,290,000 U.S. Treasury Bills.......................... 5.390 3/30/95 5,244,854
4,390,000 U.S. Treasury Bills.......................... 5.500 4/6/95 4,347,076
3,255,000 U.S. Treasury Bills.......................... 5.760 4/6/95 3,221,669
1,000,000 U.S. Treasury Bills.......................... 5.440 4/13/95 989,271
1,495,000 U.S. Treasury Bills.......................... 5.615 4/13/95 1,478,445
1,000,000 U.S. Treasury Bills.......................... 5.620 4/13/95 988,916
5,580,000 U.S. Treasury Bills.......................... 5.640 4/13/95 5,517,932
1,000,000 U.S. Treasury Bills.......................... 5.460 4/20/95 988,170
10,000,000 U.S. Treasury Bills.......................... 5.695 4/20/95 9,876,608
1,435,000 U.S. Treasury Bills.......................... 5.720 4/20/95 1,417,216
2,440,000 U.S. Treasury Bills.......................... 5.730 4/20/95 2,409,708
2,000,000 U.S. Treasury Bills.......................... 5.740 4/27/95 1,972,894
7,500,000 U.S. Treasury Bills.......................... 5.840 4/27/95 7,396,584
1,945,000 U.S. Treasury Bills.......................... 5.790 5/4/95 1,916,221
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $79,161,840*).............................. 100.4% 79,161,840
OTHER ASSETS AND LIABILITIES (NET)................................. (0.4) (345,693)
----- --------------
NET ASSETS......................................................... 100.0% $ 78,816,147
----- --------------
----- --------------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase (unaudited).
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 99.3%
ARIZONA -- 1.0%
$ 600,000 Pima County, Arizona, Industrial Revenue
Authority, (Barclays Bank, LOC), 3.600% due
12/1/22+++.................................. $ 600,000
-----------
ARKANSAS -- 0.8%
500,000 Arkansas State, Development Finance
Authority, (FGIC Insured),
(Citibank, BPA),
3.600% due 12/1/15+++....................... 500,000
-----------
CALIFORNIA -- 3.6%
460,000 California State, Revenue Anticipation Notes,
Series A,
5.000% due 6/28/95.......................... 461,690
500,000 Los Angeles County, California, Unified
School District,
4.500% due 7/10/95.......................... 501,891
1,000,000 Moreno Valley, California, Unified School
District, Tax and Revenue Anticipation
Notes,
4.500% due 6/30/95.......................... 1,001,908
200,000 Santa Clara County, California, Hospital
Facilities Authority Revenue,
El Camino Hospital, (Natwest, LOC),
3.350% due 8/1/15+++........................ 200,000
-----------
2,165,489
-----------
COLORADO -- 4.0%
1,000,000 Arapahoe County, Colorado, Capital
Improvement Highway Revenue, Series D,
(Union Bank of Switzerland, LOC),
3.850% due 8/31/26++........................ 1,000,000
1,000,000 Colorado State, Tax and Revenue Anticipation
Notes,
4.500% due 6/27/95.......................... 1,001,666
400,000 Denver, Colorado, City and County Revenue,
Children's Hospital,
(FGIC Insured), (Sakura, BPA),
3.550% due 10/1/18+++....................... 400,000
-----------
2,401,666
-----------
DISTRICT OF COLUMBIA -- 1.8%
1,100,000 District of Columbia, Hospital Revenue,
Series A, (Mitsubishi Bank, LOC), 3.800% due
7/1/20+++................................... 1,100,000
-----------
FLORIDA -- 5.1%
2,600,000 Atlantic Beach, Florida, Refunding and
Improvement, Fleet Landing, Series B,
(Barnett Bank, LOC),
4.250% due 10/1/24+......................... 2,600,000
400,000 Jacksonville, Florida, Health Facilities
Authority, (Sun Bank, BPA),
4.200% due 6/1/08+.......................... 400,000
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
FLORIDA (CONTINUED)
$ 100,000 Marion County, Florida, Industrial
Development Authority Revenue,
(Bankers Trust, LOC),
3.450% due 7/1/04+++........................ $ 100,000
-----------
3,100,000
-----------
ILLINOIS -- 10.1%
1,000,000 Chicago, Illinois, School Finance Authority
Refunding, Pre-refunded 6/1/95, (FGIC
Insured),
8.700% due 6/1/15........................... 1,034,228
1,000,000 Du Page County, Illinois, Water and Sewer
Revenue, Pre-refunded 6/1/95, (MBIA
Insured),
9.600% due 12/1/98.......................... 1,017,403
500,000 Illinois Health Facilities Authority Revenue,
Series A,
Commercial Paper Put 2/23/95,
3.800% due 8/1/15++......................... 500,000
2,500,000 Illinois State, Certificates of
Participation,
4.750% due 6/15/95.......................... 2,506,423
1,000,000 Illinois State, Sales Tax Revenue, Series A,
Pre-refunded 6/15/95,
9.375% due 6/15/15.......................... 1,042,869
-----------
6,100,923
-----------
KENTUCKY -- 1.7%
1,000,000 County of Graves, Kentucky, Revenue Bond,
Series 1988,
(Bank of New York, LOC),
3.700% due 12/1/12+++....................... 1,000,000
-----------
LOUISIANA -- 9.0%
3,000,000 Ascension Parish, Louisiana, Pollution
Control Revenue, (Shell Oil Company
Project), (Shell Oil, GTC),
3.750% due 9/1/23+.......................... 3,000,000
1,400,000 Louisiana Public Facilities Authority, Forest
Hospital, (Bankers Trust, LOC),
3.350% due 12/1/13+++....................... 1,400,000
1,000,000 Orleans, Louisiana, Levee District,
Pre-refunded 5/1/95, (MBIA Insured),
8.600% due 11/1/96.......................... 1,030,876
-----------
5,430,876
-----------
MARYLAND -- 4.0%
895,000 Maryland Environmental Services, (Shore
Regional Landfill Project),
(AMBAC Insured),
5.200% due 9/1/95........................... 898,994
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MARYLAND (CONTINUED)
$ 1,500,000 Maryland State Health and Higher Education
Facilities Authority, Series B, (Mellon
Bank, LOC),
3.750% due 7/1/24+++........................ $ 1,500,000
-----------
2,398,994
-----------
MASSACHUSETTS -- 1.2%
700,000 Massachusetts State Health and Educational
Facilities Authority, Capital Asset Program,
(Sanwa Bank, LOC),
3.350% due 1/1/35+++........................ 700,000
-----------
MICHIGAN -- 4.8%
200,000 Dearborn, Michigan, Economic Development
Corporation,
(Mellon Bank, LOC),
3.700% due 3/1/25+++........................ 200,000
1,000,000 Detroit, Michigan, City School District,
General Obligation,
Tax and Revenue Anticipation Notes,
5.000% due 5/1/95........................... 1,002,507
1,700,000 Kent Hospital Finance Authority, Series A,
(Sanwa Bank, LOC),
3.450% due 1/15/20+++....................... 1,700,000
-----------
2,902,507
-----------
MISSOURI -- 7.1%
1,700,000 Joplin, Missouri, Industrial Development
Authority,
(Sumitomo Bank, LOC),
3.750% due 12/1/05+++....................... 1,700,000
1,000,000 Missouri Environmental Impact and Energy
Resources, Pollution Control Revenue, (Swiss
Bank, LOC),
3.750% due 6/1/14++......................... 1,000,000
1,000,000 Osage Beach, Missouri, Industrial Development
Authority,
(NationsBank, LOC),
3.950% due 1/1/11++++....................... 1,000,000
600,000 West Plains, Missouri, Industrial Development
Authority,
(Bank of Tokyo, LOC),
3.950% due 11/1/10++++...................... 600,000
-----------
4,300,000
-----------
NEW JERSEY -- 1.3%
555,000 Middlesex County, New Jersey, Utilities
Authority, Sewer Revenue,
(MBIA Insured), (Bankers Trust, BPA),
3.750% due 8/15/02+++....................... 555,000
200,000 New Jersey, Economic Development Authority,
(Chemical Bank, LOC),
3.550% due 2/1/02++++....................... 200,000
-----------
755,000
-----------
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW MEXICO -- 1.2%
$ 700,000 Eddy County, New Mexico, Pollution Control
Revenue,
(Rabobank Nederland, LOC),
3.550% due 2/1/03+++........................ $ 700,000
-----------
NEW YORK -- 20.0%
3,200,000 Monroe County, New York, Series 24-B,
(Morgan Guaranty, BPA),
4.250% due 6/1/05+++........................ 3,200,000
1,550,000 New York, New York, Municipal Water Finance
Authority, Water and Sewer Systems Revenue,
Pre-refunded 6/15/95,
9.125% due 6/15/05.......................... 1,607,405
1,000,000 New York, New York, Revenue Anticipation
Notes, Series B,
4.750% due 6/30/95.......................... 1,002,937
2,000,000 New York, New York, Series B, Sub-Series B-5,
(Rabobank Nederland, BPA),
4.250% due 8/1/21+.......................... 2,000,000
1,000,000 New York State, Dormitory Authority Revenue,
(Morgan Guaranty, BPA),
4.250% due 7/1/10+++........................ 1,000,000
2,000,000 New York State, Local Government Assistance
Corporation,
(Bank of Nova Scotia, BPA),
3.700% due 4/2/21+++........................ 2,000,000
Triborough Bridge and Tunnel Authority:
180,000 Convention Center Project, Series D,
Pre-refunded 7/1/95,
8.875% due 1/1/05........................... 186,772
1,095,000 Special Obligation,
(MBIA Insured), (Bankers Trust, BPA),
3.800% due 1/1/03+++........................ 1,095,000
-----------
12,092,114
-----------
OHIO -- 6.8%
300,000 Cincinnati, Ohio, Student Loan Funding
Corporation,
(Fuji Bank, LOC),
3.600% due 12/29/98+++...................... 300,000
3,800,000 Clermont County, Ohio, Mercy Health Systems,
Series B,
(Mercy Health Systems, GTC),
3.650% due 9/1/21+++........................ 3,800,000
-----------
4,100,000
-----------
OREGON -- 1.3%
800,000 Portland, Oregon, (Fuji Bank/Bank of Tokyo,
LOC),
3.875% due 12/1/14+++....................... 800,000
-----------
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
PENNSYLVANIA -- 3.3%
$ 1,500,000 Allegheny County, Pennsylvania, Hospital
Development Authority,
(Swiss Bank, BPA),
3.400% due 9/1/95+++........................ $ 1,500,000
500,000 Philadelphia, Pennsylvania, Tax and Revenue
Anticipation Notes, Series E, (PNC Bank,
N.A., LOC),
4.750% due 6/15/95.......................... 501,505
-----------
2,001,505
-----------
SOUTH CAROLINA -- 3.3%
2,000,000 York County, South Carolina, Pollution
Control Revenue,
(Cooperative Finance Corporation, GTC),
3.500% due 8/15/14++........................ 2,000,000
-----------
TENNESSEE -- 2.8%
700,000 Chattanooga, Tennessee, Industrial
Development Revenue,
(Credit Suisse, LOC),
3.600% due 12/15/12+++...................... 700,000
1,000,000 Winchester, Tennessee, Industrial Development
Revenue,
(Industrial Bank of Japan, LOC),
4.125% due 10/1/95+++....................... 1,000,000
-----------
1,700,000
-----------
TEXAS -- 0.2%
100,000 Lubbock, Texas, Health Facilities Authority
Revenue,
(St. Joseph's Hospital),
3.800% due 7/1/13+.......................... 100,000
-----------
VIRGINIA -- 0.8%
500,000 Virginia State, Public School Authority,
(MBIA Insured),
6.300% due 8/1/95........................... 505,292
-----------
WISCONSIN -- 4.1%
2,500,000 Milwaukee, Wisconsin, Industrial Development
Revenue,
(Pharmacia Ab, GTC),
3.700% due 6/1/09+++........................ 2,500,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $59,954,366*)........... 99.3 % 59,954,366
OTHER ASSETS AND LIABILITIES (NET).............. 0.7 396,471
------ -----------
NET ASSETS...................................... 100.0 % $60,350,837
------ -----------
------ -----------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
TAX-FREE MONEY MARKET FUND
+ 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.
FGIC -- Federal Guaranty Insurance Corporation.
GTC -- Instruments guaranteed by corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
NOTE:
Approximately 81.3% 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 12.2%
Aa, Aa2, Aa3 AA 5.8
MIG1/VMIG1/P1 A-1/A-1+/SP-1/SP-1+ 82.0
--------
100.0%
--------
--------
# Bonds are not necessarily rated the same by both services.
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 98.8%
ARIZONA -- 2.1%
$2,000,000 Flagstaff, Arizona, Industrial Development
Authority,
(First Interstate Bank, LOC),
3.750% due 2/1/24+++........................ $ 2,000,000
-----------
CALIFORNIA -- 11.2%
4,000,000 California State, Revenue Anticipation Notes,
Series A,
5.000% due 6/28/95.......................... 4,014,853
3,035,000 Los Angeles, California, General Obligation,
Series A,
4.750% due 9/1/95........................... 3,043,854
1,600,000 Moreno Valley, California, Unified School
District, Tax and Revenue
Anticipation Notes,
4.500% due 6/30/95.......................... 1,603,052
1,840,000 San Mateo County, California, School
District, Tax and Revenue
Anticipation Notes,
4.500% due 6/30/95.......................... 1,843,090
-----------
10,504,849
-----------
COLORADO -- 4.3%
4,000,000 Arapahoe County, Colorado, Capital
Improvement Highway Revenue,
Series D, (Union Bank of Switzerland, LOC),
3.850% due 8/31/26++........................ 4,000,000
-----------
DISTRICT OF COLUMBIA -- 2.8%
2,500,000 District of Columbia, FGIC, Pre-refunded
6/1/95,
9.375% due 6/1/05........................... 2,590,200
-----------
FLORIDA -- 4.3%
540,000 Dade County, Florida, Solid Waste Industrial
Development Authority Revenue, Series A,
(Banque Paribas, LOC),
3.800% due 12/1/10+++....................... 540,000
3,500,000 Jacksonville, Florida, Health Facilities
Authority, (Barnett Bank, LOC),
4.250% due 6/1/20+.......................... 3,500,000
-----------
4,040,000
-----------
HAWAII -- 5.4%
5,000,000 Secondary Market Services Corporation, Hawaii
Student Loan Purchase Revenue, Series I,
4.550% due 9/1/10++......................... 5,000,000
-----------
ILLINOIS -- 16.1%
1,000,000 Illinois Development Finance Authority
Revenue,
(Industrial Bank of Japan, LOC),
4.000% due 1/1/09+++........................ 1,000,000
2,000,000 Illinois Health Facilities Authority Revenue,
Series A,
Commercial Paper Put 2/23/95,
3.800% due 8/1/15++......................... 2,000,000
2,000,000 Illinois Housing Development Authority
Revenue, Series A-2,
4.100% due 8/1/26++......................... 1,998,749
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
ILLINOIS (CONTINUED)
$4,000,000 Illinois State, Certificates of
Participation,
4.750% due 6/15/95.......................... $ 4,009,880
1,000,000 Illinois State, Sales Tax Revenue, Series A,
Pre-refunded 6/15/95,
9.375% due 6/15/15.......................... 1,042,874
1,000,000 Lisle, Illinois, Multifamily Housing Revenue,
(American National Bank, LOC),
3.850% due 12/15/25+++...................... 1,000,000
3,000,000 St. Charles, Illinois, Industrial Development
Revenue,
(Aces-Pier 1 Project), (Natwest, LOC),
3.550% due 12/15/26+++...................... 3,000,000
1,000,000 West Chicago, Illinois, Industrial
Development Revenue,
(Bank of Tokyo, LOC),
2.975% due 5/1/99+++........................ 1,000,000
-----------
15,051,503
-----------
INDIANA -- 5.7%
Indiana State Employment Development
Commission Revenue,
(Credit Commerciale, LOC):
500,000 4.000% due 1/1/13+++......................... 500,000
1,550,000 4.000% due 1/1/14+++......................... 1,550,000
3,100,000 Indianapolis, Indiana, Industrial Economic
Development Revenue,
(Asahi Bank, LOC),
4.625% due 9/1/95+++........................ 3,100,000
200,000 Ossian, Indiana, Industrial Economic
Development Revenue,
(Harris Trust, LOC),
3.800% due 12/1/23+++....................... 200,000
-----------
5,350,000
-----------
KENTUCKY -- 2.1%
2,000,000 Kentucky Pollution Abatement and Water
Resources, Finance Authority
Revenue, (Bank of Tokyo/Sakura/Tokai, BPA),
4.100% due 8/13/06+......................... 2,000,000
-----------
LOUISIANA -- 3.0%
100,000 East Baton Rouge Parish, Louisiana, Pollution
Control Revenue,
(Toronto Dominion, LOC),
3.600% due 10/1/99+++....................... 100,000
Louisiana Housing Finance Authority Revenue,
(Sumitomo Trust, LOC):
1,630,000 4.500% due 12/1/25+++........................ 1,630,000
1,100,000 4.500% due 1/1/26+++......................... 1,100,000
-----------
2,830,000
-----------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MICHIGAN -- 7.1%
$3,500,000 Detroit, Michigan, City School District,
General Obligation, Tax and Revenue
Anticipation Notes,
5.000% due 5/1/95........................... $ 3,508,776
3,170,000 Wayne County, Michigan, Downriver System,
(Comerica Bank, LOC),
4.700% due 11/1/99++........................ 3,170,000
-----------
6,678,776
-----------
NEVADA -- 2.7%
2,550,000 Nevada State Department Commission,
Industrial Development Revenue,
Series A, (Credit Commerciale, LOC),
4.000% due 4/1/09+++........................ 2,550,000
-----------
NEW YORK -- 4.8%
1,500,000 New York, New York, General Obligation Bonds,
Series B-2,
Subseries B-6, (MBIA Insured), (Westdeutsche
Landesbank, BPA),
4.250% due 8/15/05+......................... 1,500,000
3,000,000 New York, New York, Revenue Anticipation
Notes, Series B,
4.750% due 6/30/95.......................... 3,008,809
-----------
4,508,809
-----------
OHIO -- 1.7%
100,000 Ohio State, Water Development Authority,
(Mead Company), Series B,
(Swiss Bank, LOC),
3.850% due 11/1/15+......................... 100,000
1,465,000 Summit County, Ohio, Bond Anticipation Notes,
Series A,
3.700% due 3/9/95........................... 1,465,280
-----------
1,565,280
-----------
OREGON -- 2.3%
Oregon State Economic Development Commission
Revenue:
2,000,000 (Kydtaru Project), (Bank of Tokyo, LOC),
4.000% due 12/1/99+++....................... 2,000,000
100,000 Series B, (First Interstate Oregon, LOC),
3.950% due 7/1/02+++........................ 100,000
-----------
2,100,000
-----------
SOUTH CAROLINA -- 3.7%
South Carolina Jobs and Economic Development
Authority Revenue:
(Bank of Tokyo, LOC):
30,000 6.000% due 12/1/98+++........................ 30,000
1,900,000 6.000% due 12/1/06+++........................ 1,900,000
(Credit Commerciale, LOC):
200,000 4.000% due 5/1/01+++......................... 200,000
1,320,000 4.000% due 12/1/04+++........................ 1,320,000
-----------
3,450,000
-----------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
TENNESSEE -- 4.3%
$2,700,000 Coffee County, Tennessee, Industrial
Development Board Revenue,
(Asahi Bank, LOC),
4.875% due 12/1/01+++....................... $ 2,700,000
1,300,000 Metropolitan Nashville Airport Authority of
Tennessee,
(Societe Generale, BPA)
3.500% due 7/1/19+++........................ 1,300,000
-----------
4,000,000
-----------
TEXAS -- 9.3%
2,000,000 Capital Health Facilities Development,
(Credit Suisse, LOC),
3.700% due 12/1/16+++....................... 2,000,000
1,750,000 Harris County, Texas, Toll Road Unlimited Tax
Sub Lien Revenue, Series F, Pre-refunded
2/1/95,
9.250% due 8/1/14++......................... 1,802,501
1,000,000 Lubbock, Texas, Health Facilities Development
Corporation,
(Bankers Trust, LOC),
3.350% due 10/1/13+++....................... 1,000,000
2,900,000 North Texas, Higher Education, Student Loan
Association,
(Fuji Bank, LOC),
3.850% due 12/1/05+++....................... 2,900,000
1,000,000 San Antonio, Texas, Electric and Gas Revenue,
Pre-refunded 2/1/95,
11.125% due 2/1/09.......................... 1,020,000
-----------
8,722,501
-----------
VERMONT -- 4.3%
4,000,000 Vermont, Industrial Development Authority,
Pollution Control Revenue,
(Bolton Valley Project), (Bank of New York,
LOC),
3.800% due 12/1/11+++....................... 4,000,000
-----------
VIRGINIA -- 1.6%
1,500,000 Richmond, Virginia, Redevelopment and Housing
Authority Revenue,
(Bayerische Landesbank, GTC),
4.000% due 10/1/24+++....................... 1,500,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $92,441,918*)........ 98.8% 92,441,918
OTHER ASSETS AND LIABILITIES (NET)........... 1.2 1,153,664
------ ------------
NET ASSETS................................... 100.0% $ 93,595,582
------ ------------
------ ------------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1995
MUNICIPAL MONEY MARKET FUND
+ 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.
BPA -- Instruments supported by bond purchase agreement.
FGIC -- Federal Guaranty Insurance Corporation.
GTC -- Instruments guaranteed by corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
NOTE:
Approximately 60.9% 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 6.9%
Aa, Aa2, Aa3 AA 4.5
MIG1/VMIG1/P-1 A-1/A-1+/SP-1/SP-1+ 67.4
MIG2/VMIG2/P-2 SP2 5.9
NR NR 15.3
--------
100.0%
--------
--------
# Bonds are not necessarily rated the same by
both services.
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
FLOATING RATE U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE + DATE ++ (NOTE 1)
---------- ------------- -------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 83.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 51.8%
$6,089,643 FHLMC.......................................... 6.613% 12/1/18 $ 6,161,958
8,815,985 FHLMC.......................................... 6.701 6/1/22 8,846,290
8,060,957 FHLMC.......................................... 5.907 2/1/23 8,123,933
-----------
23,132,181
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 31.6%
863,023 FNMA........................................... 6.303 11/1/14 865,181
1,475,550 FNMA........................................... 5.750 4/1/15 1,491,228
1,370,343 FNMA........................................... 5.980 4/1/15 1,371,628
563,690 FNMA........................................... 7.375 7/1/18 576,197
422,478 FNMA........................................... 6.966 8/1/19 425,911
1,168,020 FNMA........................................... 6.636 8/1/20 1,192,476
2,656,895 FNMA........................................... 7.374 12/1/20 2,690,106
1,225,180 FNMA........................................... 7.450 12/1/21 1,235,901
4,233,940 FNMA........................................... 6.220 2/1/23 4,236,586
-----------
14,085,214
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $37,812,438)...................................................... 37,217,395
-----------
U.S. TREASURY OBLIGATION -- 0.3% (COST $124,981)
125,000 U.S. Treasury Bill**........................... 5.230 2/2/95 124,981
-----------
REPURCHASE AGREEMENT -- 15.1% (COST $6,772,000)
Agreement with Chase Securities Inc. dated 1/31/95 bearing 5.950% to be
repurchased at $6,773,119 on 2/1/95, collateralized by $8,064,166
various mortgage-backed securities with various maturities and interest
rates
6,772,000 (market value -- $6,907,748)............................................
6,772,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $44,709,419*)...................................... 98.8% 44,114,376
OTHER ASSETS AND LIABILITIES (NET)......................................... 1.2 523,771
------ -----------
NET ASSETS................................................................. 100.0 % $44,638,147
------ -----------
------ -----------
</TABLE>
<TABLE>
<CAPTION>
NET
NUMBER OF UNREALIZED
CONTRACTS APPRECIATION
---------- -----------
<C> <S> <C>
FUTURES CONTRACTS -- SHORT POSITION
64 Eurodollar Future, March 1995............................. $ 49,450
59 Eurodollar Future, June 1995.............................. 82,660
----------
$ 132,110
----------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
** Security pledged as collateral for futures contracts.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase (unaudited).
++ The Portfolio's duration on January 31, 1995 was approximately .75 years. The
Portfolio's average duration would typically range from 1.0 to 1.5 years
(unaudited).
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1995
SHORT DURATION U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE + DATE ++ (NOTE 1)
---------- ------------- -------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 87.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 82.2%
$1,274,729 FHLMC, Multiclass.............................. 8.250% 7/15/96 $ 1,278,912
1,905,763 FHLMC, Multiclass.............................. 6.500 12/15/98 1,863,777
5,000,000 FHLMC, Multiclass.............................. 7.000 5/15/02 4,879,688
1,052,688 FHLMC, Multiclass.............................. 6.500 2/15/04 1,040,845
8,040,377 FHLMC, Multiclass.............................. 5.750 5/15/05 7,929,822
8,369,026 FHLMC, Multiclass.............................. 5.875 10/15/09 8,247,414
2,000,000 FHLMC, Multiclass.............................. 6.000 3/15/10 1,960,000
-----------
27,200,458
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 3.6%
1,203,079 FNMA, REMIC.................................... 9.000 3/25/00 1,202,703
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 1.2%
404,806 GNMA........................................... 9.650 7/25/06 403,730
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $29,221,093)....................................................... 28,806,891
-----------
U.S. TREASURY OBLIGATION -- 0.4% (COST $124,982)
125,000 U.S. Treasury Bill**........................... 5.230 2/2/95 124,982
-----------
REPURCHASE AGREEMENT -- 12.5% (COST $4,123,000)
Agreement with Chase Securities Inc. dated 1/31/95 bearing 5.950% to be
repurchased at $4,123,681 on 2/1/95, collateralized by $4,602,824
various mortgage-backed securities, with various maturities and interest
rates
4,123,000 (market value -- $4,209,497)............................................
4,123,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $33,469,075*)...................................... 99.9% 33,054,873
OTHER ASSETS AND LIABILITIES (NET)......................................... 0.1 49,559
------ -----------
NET ASSETS................................................................. 100.0% $33,104,432
------ -----------
------ -----------
</TABLE>
<TABLE>
<CAPTION>
NET UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS (DEPRECIATION)
---------- ------------------------------------------------------------------------
<C> <S> <C>
FUTURES CONTRACTS -- SHORT POSITION
30 Eurodollar Futures, March 1995............................ $ 12,540
30 Eurodollar Futures, June 1995............................. 24,540
30 Eurodollar Futures, September 1995........................ (20,460)
------
$ 16,620
------
<FN>
------------------------
* Aggregate cost for Federal tax purposes.
** Security pledged as collateral for futures contracts.
+ For U.S. Treasury Obligations, the interest rate represents annualized yield
at date of purchase (unaudited).
++ The Portfolio's duration on January 31, 1995 was approximately .45 years. The
Portfolio's average duration would typically range from 1.0 to 1.5 years
(unaudited).
REMIC -- Real Estate Mortgage Investment Conduit.
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
--------------- --------------- -------------
ASSETS:
<S> <C> <C> <C>
Investments, at value
See accompanying schedules:
Securities............................................ $1,293,557,183 $1,034,024,159 $ 24,977,800
Repurchase agreements.................................. 606,434,000 459,318,000 24,466,000
--------------- --------------- -------------
Total investments......................................... 1,899,991,183 1,493,342,159 49,443,800
Cash...................................................... 487 1,813 1,379
Receivable from Investment Adviser (Note 2)............... -- -- --
Interest receivable....................................... 3,379,947 2,067,430 182,504
Unamortized organization costs (Note 6)................... 38,488 38,488 38,488
Other assets.............................................. 50,448 49,998 --
--------------- --------------- -------------
Total Assets............................................. 1,903,460,553 1,495,499,888 49,666,171
--------------- --------------- -------------
LIABILITIES:
Investment Advisory fee payable (Note 2).................. 780,293 132,998 24,353
Administration fee payable (Note 2)....................... 51,559 34,563 1,481
Service fees payable (Note 3)............................. 78,829 4,270 2,189
Transfer Agent fee payable................................ 81,600 59,530 3,200
Custodian fees payable (Note 2)........................... 34,935 27,545 11,430
Dividends payable......................................... 5,286,179 3,098,307 209,062
Accrued Trustees' fees and expenses (Note 2).............. 635 495 25
Organization costs payable................................ 1,531 1,531 1,481
Accrued expenses and other payables....................... 107,019 85,015 11,030
--------------- --------------- -------------
Total Liabilities........................................ 6,422,580 3,444,254 264,251
--------------- --------------- -------------
NET ASSETS................................................ $1,897,037,973 $1,492,055,634 $ 49,401,920
--------------- --------------- -------------
--------------- --------------- -------------
Investments, at cost (Note 1)............................. $1,899,991,183 $1,493,342,159 $ 49,443,800
--------------- --------------- -------------
--------------- --------------- -------------
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
CASH INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND FUND
------------- ------------ ------------ ------------- ------------
ASSETS:
<S> <C> <C> <C> <C> <C>
Investments, at value
See accompanying schedules:
Securities............................... $ 1,000,000 $213,452,378 $79,161,840 $ 59,954,366 $92,441,918
Repurchase agreements..................... 3,871,000 183,957,000 -- -- --
------------- ------------ ------------ ------------- ------------
Total investments............................ 4,871,000 397,409,378 79,161,840 59,954,366 92,441,918
Cash......................................... 429 427 2,127 25,085 221,524
Receivable from Investment Adviser (Note
2).......................................... 45,500 -- -- 16,006 --
Interest receivable.......................... 16,292 29,790 -- 540,998 1,096,753
Unamortized organization costs (Note 6)...... 38,488 38,488 38,488 38,488 38,488
Other assets................................. -- 33,450 -- -- 29,450
------------- ------------ ------------ ------------- ------------
Total Assets................................ 4,971,709 397,511,533 79,202,455 60,574,943 93,828,133
------------- ------------ ------------ ------------- ------------
LIABILITIES:
Investment Advisory fee payable (Note 2)..... -- 125,899 8,508 -- 11,444
Administration fee payable (Note 2).......... 52 10,811 2,054 1,861 2,394
Service fees payable (Note 3)................ 28 6,768 -- 15 --
Transfer Agent fee payable................... 215 16,685 3,155 2,685 5,895
Custodian fees payable (Note 2).............. 16,555 17,380 12,103 20,551 13,275
Dividends payable............................ 5,483 1,269,715 348,842 188,858 180,586
Accrued Trustees' fees and expenses (Note
2).......................................... 3 95 20 15 60
Organization costs payable................... 1,481 1,531 1,531 1,481 1,481
Accrued expenses and other payables.......... 7,475 24,405 10,095 8,640 17,416
------------- ------------ ------------ ------------- ------------
Total Liabilities........................... 31,292 1,473,289 386,308 224,106 232,551
------------- ------------ ------------ ------------- ------------
NET ASSETS................................... $ 4,940,417 $396,038,244 $78,816,147 $ 60,350,837 $93,595,582
------------- ------------ ------------ ------------- ------------
------------- ------------ ------------ ------------- ------------
Investments, at cost (Note 1)................ $ 4,871,000 $397,409,378 $79,161,840 $ 59,954,366 $92,441,918
------------- ------------ ------------ ------------- ------------
------------- ------------ ------------ ------------- ------------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JANUARY 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
--------------- --------------- -------------
NET ASSETS consist of:
<S> <C> <C> <C>
Undistributed net investment income....................... $ 19,757 $ 1,576 $ 1,817
Accumulated net realized gain/(loss) on investments
sold..................................................... (18,737) (326,519) (4,414)
Par value................................................. 1,897,037 1,492,381 49,405
Paid-in capital in excess of par value.................... 1,895,139,916 1,490,888,196 49,355,112
--------------- --------------- -------------
$1,897,037,973 $1,492,055,634 $ 49,401,920
--------------- --------------- -------------
--------------- --------------- -------------
NET ASSETS:
Class A................................................. $1,538,802,416 $1,470,316,827 $ 40,079,762
--------------- --------------- -------------
--------------- --------------- -------------
Class B.................................................. $ 342,672,753 $ 21,738,607 $ 9,321,958
--------------- --------------- -------------
--------------- --------------- -------------
Class C.................................................. $ 7,244,907 $ 100 $ 100
--------------- --------------- -------------
--------------- --------------- -------------
Class E.................................................. $ 8,317,897 $ 100 $ 100
--------------- --------------- -------------
--------------- --------------- -------------
SHARES OUTSTANDING:
Class A................................................. 1,538,801,574 1,470,637,137 40,081,039
--------------- --------------- -------------
--------------- --------------- -------------
Class B.................................................. 342,672,590 21,743,240 9,323,278
--------------- --------------- -------------
--------------- --------------- -------------
Class C.................................................. 7,244,890 100 100
--------------- --------------- -------------
--------------- --------------- -------------
Class E.................................................. 8,317,899 100 100
--------------- --------------- -------------
--------------- --------------- -------------
CLASS A SHARES:
Net asset value, offering and redemption price per
share.................................................... $1.00 $1.00 $1.00
--------------- --------------- -------------
--------------- --------------- -------------
CLASS B SHARES:
Net asset value, offering and redemption price per
share.................................................... $1.00 $1.00 $1.00
--------------- --------------- -------------
--------------- --------------- -------------
CLASS C SHARES:
Net asset value, offering and redemption price per
share.................................................... $1.00 $1.00 $1.00
--------------- --------------- -------------
--------------- --------------- -------------
CLASS E SHARES:
Net asset value, offering and redemption price per
share.................................................... $1.00 $1.00 $1.00
--------------- --------------- -------------
--------------- --------------- -------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
CASH INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET MONEY
FUND FUND II FUND FUND MARKET FUND
------------- ------------- ------------ ------------- -----------
NET ASSETS consist of:
<S> <C> <C> <C> <C> <C>
Undistributed net investment income..... $ -- $ -- $ 6,349 $ 4,796 $ 18,620
Accumulated net realized gain/(loss) on
investments sold....................... 10 -- 3,161 (2,318) (24,614)
Par value............................... 4,940 396,038 78,807 60,348 93,602
Paid-in capital in excess of par
value.................................. 4,935,467 395,642,206 78,727,830 60,288,011 93,507,974
------------- ------------- ------------ ------------- -----------
$ 4,940,417 $396,038,244 $78,816,147 $ 60,350,837 $93,595,582
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
NET ASSETS:
Class A............................... $ 4,740,110 $368,796,404 $78,815,847 $ 60,350,537 $93,595,282
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
Class B................................ $ 100 $ 27,241,640 $ 100 $ 100 $ 100
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
Class C................................ $ 200,107 $ 100 $ 100 $ 100 $ 100
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
Class E................................ $ 100 $ 100 $ 100 $ 100 $ 100
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
SHARES OUTSTANDING:
Class A............................... 4,740,100 368,796,414 78,806,337 60,348,059 93,601,276
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
Class B................................ 100 27,241,640 100 100 100
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
Class C................................ 200,107 100 100 100 100
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
Class E................................ 100 100 100 100 100
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
CLASS A SHARES:
Net asset value, offering and redemption
price per share........................ $1.00 $1.00 $1.00 $1.00 $1.00
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
CLASS B SHARES:
Net asset value, offering and redemption
price per share........................ $1.00 $1.00 $1.00 $1.00 $1.00
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
CLASS C SHARES:
Net asset value, offering and redemption
price per share........................ $1.00 $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 $1.00
------------- ------------- ------------ ------------- -----------
------------- ------------- ------------ ------------- -----------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JANUARY 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT
PRIME VALUE OBLIGATIONS
PRIME MONEY MONEY MARKET MONEY
MARKET FUND FUND MARKET FUND
------------ ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $105,358,398 $79,724,070 $3,828,853
------------ ------------ -----------
EXPENSES:
Investment Advisory fee (Note 2).......................... 2,386,734 1,858,719 86,255
Administration fee (Note 2)............................... 2,386,734 1,858,719 86,255
Service fees (Note 3):
Class B................................................. 726,035 40,846 19,702
Class C.................................................. 60,810 -- --
Class D.................................................. -- 2 --
Class E.................................................. 5,834 -- --
Transfer Agent fees (Note 2).............................. 569,849 466,212 17,137
Custodian fees (Note 2)................................... 242,329 193,087 26,681
Shareholder reports expense............................... 31,381 30,057 3,698
Registration and filing fees.............................. 120,889 127,299 30,991
Trustees' fees and expenses (Note 2)...................... 48,947 38,868 1,851
Amortization of organization costs (Note 6)............... 12,828 12,828 12,828
Other..................................................... 192,919 141,161 5,855
Fees waived by Investment Adviser, Administrator and
Custodian and expenses reimbursed by Investment Adviser
(Note 2)................................................. (3,220,941 ) (2,988,819) (135,925)
------------ ------------ -----------
Total expenses........................................... 3,564,348 1,778,979 155,328
------------ ------------ -----------
NET INVESTMENT INCOME..................................... 101,794,050 77,945,091 3,673,525
------------ ------------ -----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS (Note 1).......... (18,737 ) (326,519) (4,414)
------------ ------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...... $101,775,313 $77,618,572 $3,669,111
------------ ------------ -----------
------------ ------------ -----------
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
CASH INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MONEY MONEY
FUND FUND II MARKET FUND MARKET FUND MARKET FUND
--------- -------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $440,479 $16,084,188 $3,189,635 1$,866,871 $6,715,804
--------- -------------- ----------- ----------- -----------
EXPENSES:
Investment Advisory fee (Note 2).......................... 11,931 357,350 75,538 59,392 223,512
Administration fee (Note 2)............................... 11,931 357,350 75,538 59,392 223,512
Service fees (Note 3):
Class B................................................. 26 83,224 -- 29 --
Class C.................................................. 2 -- -- -- --
Class D.................................................. -- -- -- -- --
Class E.................................................. -- -- -- -- --
Transfer Agent fees (Note 2).............................. 45 86,329 16,995 10,764 54,876
Custodian fees (Note 2)................................... 6,420 50,464 26,749 30,765 66,709
Shareholder reports expense............................... 13,925 10,548 6,609 6,563 11,855
Registration and filing fees.............................. 33,822 32,087 31,167 43,777 78,713
Trustees' fees and expenses (Note 2)...................... 286 6,290 1,517 1,122 5,087
Amortization of organization costs (Note 6)............... 12,828 12,828 12,828 12,828 12,828
Other..................................................... 509 57,275 5,055 1,275 10,875
Fees waived by Investment Adviser, Administrator and
Custodian and expenses reimbursed by Investment Adviser
(Note 2)................................................. (71,147) (549,345) (132,141) (129,906) (360,053)
--------- -------------- ----------- ----------- -----------
Total expenses........................................... 20,578 504,400 119,855 96,001 327,914
--------- -------------- ----------- ----------- -----------
NET INVESTMENT INCOME..................................... 419,901 15,579,788 3,069,780 1,770,870 6,387,890
--------- -------------- ----------- ----------- -----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS (Note 1).......... 102 -- 3,161 (2,318) (24,497)
--------- -------------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...... $420,003 $15,579,788 $3,072,941 1$,768,552 $6,363,393
--------- -------------- ----------- ----------- -----------
--------- -------------- ----------- ----------- -----------
</TABLE>
See Notes to Financial Statements.
31
<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
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
--------------- --------------- -------------
<S> <C> <C> <C>
Net investment income....................................... $ 101,794,050 $ 77,945,091 $ 3,673,525
Net realized gain/(loss) on investments sold during the
year....................................................... (18,737) (326,519) (4,414)
--------------- --------------- -------------
Net increase in net assets resulting from operations........ 101,775,313 77,618,572 3,669,111
Distributions to shareholders from net investment income:
Class A................................................... (88,718,314) (77,274,366) (3,323,563)
Class B.................................................... (12,134,365) (670,725) (349,962)
Class C.................................................... (746,966) -- --
Class E.................................................... (194,405) -- --
Net increase/(decrease) in net assets from share
transactions (Note 5):
Class A................................................... (1,327,533,646) (2,510,545,069) (81,449,488)
Class B.................................................... (7,991,572) 4,239,335 9,323,178
Class C.................................................... 7,244,790 -- --
Class D.................................................... -- (10,123) (100)
Class E.................................................... 8,317,899 100 100
--------------- --------------- -------------
Net increase/(decrease) in net assets....................... (1,319,981,266) (2,506,642,276) (72,130,724)
NET ASSETS:
Beginning of year........................................... 3,217,019,239 3,998,697,910 121,532,644
--------------- --------------- -------------
End of year (including undistributed net investment income
of $19,757, $1,576, $1,817, $0, $0, $6,349, $4,796 and
$18,620, respectively)..................................... $1,897,037,973 $1,492,055,634 $ 49,401,920
--------------- --------------- -------------
--------------- --------------- -------------
</TABLE>
------------------------------
* Formerly 100% Government Obligations Money Market Fund.
See Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
CASH INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND* FUND II FUND FUND FUND
------------- ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Net investment income.............. $ 419,901 $ 15,579,788 $ 3,069,780 $ 1,770,870 $ 6,387,890
Net realized gain/(loss) on
investments sold during the
year............................. 102 -- 3,161 (2,318) (24,497 )
------------- ------------- ------------ ------------- ------------
Net increase in net assets
resulting from operations........ 420,003 15,579,788 3,072,941 1,768,552 6,363,393
Distributions to shareholders from
net investment income:
Class A.......................... (419,337) (14,277,430) (3,069,780) (1,770,323) (6,387,890 )
Class B........................... (532) (1,302,358) -- (547) --
Class C........................... (32) -- -- -- --
Class E........................... -- -- -- -- --
Net increase/(decrease) in net
assets from share transactions
(Note 5):
Class A.......................... (36,969,270) 212,014,666 (48,650,249) 618,269 (257,354,964)
Class B........................... -- (6,619,950) -- -- --
Class C........................... 200,007 -- -- -- --
Class D........................... -- -- -- -- (100 )
Class E........................... 100 100 100 100 100
------------- ------------- ------------ ------------- ------------
Net increase/(decrease) in net
assets........................... (36,769,061) 205,394,816 (48,646,988) 616,051 (257,379,461)
NET ASSETS:
Beginning of year.................. 41,709,478 190,643,428 127,463,135 59,734,786 350,975,043
------------- ------------- ------------ ------------- ------------
End of year (including
undistributed net investment
income of $19,757, $1,576,
$1,817, $0, $0, $6,349, $4,796
and $18,620, respectively)....... $ 4,940,417 $396,038,244 $78,816,147 $ 60,350,837 $93,595,582
------------- ------------- ------------ ------------- ------------
------------- ------------- ------------ ------------- ------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JANUARY 31, 1994*
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
--------------- --------------- -------------
<S> <C> <C> <C>
Net investment income..................................... $ 36,733,367 $ 35,712,810 $ 2,280,080
Net realized gain/(loss) on investments sold during the
period................................................... 19,757 1,576 1,817
--------------- --------------- -------------
Net increase in net assets resulting from operations...... 36,753,124 35,714,386 2,281,897
Distributions to shareholders from net investment income:
Class A................................................. (35,241,368) (35,371,441) (2,270,996)
Class B.................................................. (1,490,671) (341,369) (9,084)
Class C.................................................. (1,328) -- --
Class D.................................................. -- -- --
Net increase in net assets from share transactions (Note
5):
Class A................................................. 2,866,238,320 3,981,182,129 121,530,427
Class B.................................................. 350,664,162 17,503,805 --
Class C.................................................. -- -- --
Class D.................................................. -- 10,100 100
--------------- --------------- -------------
Net increase in net assets................................ 3,216,922,239 3,998,697,610 121,532,344
NET ASSETS:
Beginning of period....................................... 97,000 300 300
--------------- --------------- -------------
End of period............................................. $3,217,019,239 $3,998,697,910 $121,532,644
--------------- --------------- -------------
--------------- --------------- -------------
</TABLE>
------------------------------
* The Trust commenced operations on February 8, 1993.
** Formerly 100% Government Obligations Money Market Fund.
See Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY TREASURY
CASH INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND** FUND II FUND FUND FUND
------------- ------------- ------------ ------------- --------------
<S> <C> <C> <C> <C> <C>
Net investment income............................. $ 849,394 $ 2,986,270 $ 2,124,699 $ 371,826 $ 2,619,490
Net realized gain/(loss) on investments sold
during the period................................ (92) (10) 6,349 4,796 18,503
------------- ------------- ------------ ------------- --------------
Net increase in net assets resulting from
operations....................................... 849,302 2,986,260 2,131,048 376,622 2,637,993
Distributions to shareholders from net investment
income:
Class A......................................... (849,394) (2,574,727) (2,114,345) (371,826) (2,619,490)
Class B.......................................... -- (411,543) (10,354) -- --
Class C.......................................... -- -- -- -- --
Class D.......................................... -- -- -- -- --
Net increase in net assets from share transactions
(Note 5):
Class A......................................... 41,709,270 156,781,648 127,456,486 59,729,690 350,956,140
Class B.......................................... -- 33,861,490 -- -- --
Class C.......................................... -- -- -- -- --
Class D.......................................... -- -- -- -- 100
------------- ------------- ------------ ------------- --------------
Net increase in net assets........................ 41,709,178 190,643,128 127,462,835 59,734,486 350,974,743
NET ASSETS:
Beginning of period............................... 300 300 300 300 300
------------- ------------- ------------ ------------- --------------
End of period..................................... $ 41,709,478 $190,643,428 $127,463,135 $ 59,734,786 $ 350,975,043
------------- ------------- ------------ ------------- --------------
------------- ------------- ------------ ------------- --------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 1995
<TABLE>
<CAPTION>
SHORT
FLOATING DURATION
RATE U.S. U.S.
GOVERNMENT GOVERNMENT
FUND FUND
------------ ------------
ASSETS:
<S> <C> <C>
Investments, at value
See accompanying schedules:
Securities.................................... $37,342,376 $28,931,873
Repurchase agreements......................... 6,772,000 4,123,000
------------ ------------
Total investments................................. 44,114,376 33,054,873
Cash.............................................. 758 810
Receivable for variation margin................... 32,850 --
Receivable from Investment Adviser (Note 2)....... 61,158 57,100
Interest receivable............................... 324,228 157,724
Receivable for investment securities sold......... 303,369 --
Unamortized organization costs (Note 6)........... 50,000 41,667
------------ ------------
Total Assets.................................... 44,886,739 33,312,174
------------ ------------
LIABILITIES:
Administration fee payable (Note 2)............... 1,893 1,406
Service fees payable (Note 3)..................... -- 418
Transfer Agent fee payable........................ 1,856 1,355
Custodian fees payable (Note 2)................... 3,400 3,700
Payable for variation margin...................... -- 11,250
Dividends payable................................. 211,068 159,442
Organization costs payable........................ 4,578 5,856
Accrued Trustees' fees and expenses (Note 2)...... 12 10
Accrued expenses and other payables............... 25,785 24,305
------------ ------------
Total Liabilities............................... 248,592 207,742
------------ ------------
NET ASSETS........................................ $44,638,147 $33,104,432
------------ ------------
------------ ------------
Investments, at cost (Note 1)..................... $44,709,419 $33,469,075
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JANUARY 31, 1995
<TABLE>
<CAPTION>
SHORT
FLOATING DURATION
RATE U.S. U.S.
GOVERNMENT GOVERNMENT
FUND FUND
------------ ------------
NET ASSETS consist of:
<S> <C> <C>
Undistributed net investment income/(distributions
in excess of net investment income)............. $ (9,770) $ 7,857
Accumulated net realized gain/(loss) on
investments sold and futures contracts.......... (175,144) 61,727
Net unrealized depreciation of investments and
futures contracts............................... (462,933) (397,582)
Par value......................................... 4,532 3,346
Paid-in capital in excess of par value............ 45,281,462 33,429,084
------------ ------------
$44,638,147 $33,104,432
------------ ------------
------------ ------------
NET ASSETS:
Premier........................................... $44,638,048 $31,162,015
------------ ------------
------------ ------------
Select............................................ $ 98.51 $ 1,942,417
------------ ------------
------------ ------------
SHARES OUTSTANDING:
Premier........................................... 4,531,900 3,149,623
------------ ------------
------------ ------------
Select............................................ 10 196,333
------------ ------------
------------ ------------
PREMIER SHARES:
Net asset value, offering and redemption price per
share........................................... $9.85 $9.89
------------ ------------
------------ ------------
SELECT SHARES:
Net asset value, offering and redemption price per
share........................................... $9.85 $9.89
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JANUARY 31, 1995*
<TABLE>
<CAPTION>
FLOATING RATE
U.S. SHORT DURATION
GOVERNMENT U.S. GOVERNMENT
FUND FUND
-------------- ---------------
INVESTMENT INCOME:
<S> <C> <C>
Interest.......................................... $2,031,615 $1,500,450
-------------- ---------------
EXPENSES:
Investment Advisory fee (Note 2).................. 114,900 81,388
Administration fee (Note 2)....................... 38,300 27,129
Service fees -- Select Shares (Note 3)............ -- 2,840
Transfer Agent fees (Note 2)...................... 8,642 6,660
Custodian fees (Note 2)........................... 14,911 12,711
Registration and filing fees...................... 38,690 38,607
Trustees' fees and expenses (Note 2).............. 512 361
Amortization of organization costs (Note 6)....... 10,000 8,333
Other............................................. 26,772 18,233
Fees waived by Investment Adviser, Administrator
and Custodian and expenses reimbursed by
Investment Adviser (Note 2)..................... (215,489) (167,267)
-------------- ---------------
Total expenses.................................. 37,238 28,995
-------------- ---------------
NET INVESTMENT INCOME............................. 1,994,377 1,471,455
-------------- ---------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS
(Notes 1 and 4):
Net realized gain/(loss) on:
Securities...................................... (180,524) (23,903)
Futures contracts............................... 5,380 85,630
-------------- ---------------
Net realized gain/(loss) on investments during the
period.......................................... (175,144) 61,727
-------------- ---------------
Net change in unrealized
appreciation/(depreciation) of:
Securities...................................... (595,043) (414,202)
Futures contracts............................... 132,110 16,620
-------------- ---------------
Net unrealized depreciation of investments during
the period...................................... (462,933) (397,582)
-------------- ---------------
Net realized and unrealized loss on investments
during the period............................... (638,077) (335,855)
-------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $1,356,300 $1,135,600
-------------- ---------------
-------------- ---------------
<FN>
--------------------------
* The Floating Rate U.S. Government Fund and the Short Duration U.S. Government
Fund commenced operations on March 28, 1994.
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JANUARY 31, 1995*
<TABLE>
<CAPTION>
FLOATING RATE U.S. SHORT DURATION U.S.
GOVERNMENT FUND GOVERNMENT FUND
-------------------- ---------------------
Net investment income............................. $ 1,994,377 $ 1,471,455
<S> <C> <C>
Net realized gain/(loss) on investments sold
during the period............................... (175,144) 61,727
Net unrealized depreciation of investments and
futures contracts during the period............. (462,933) (397,582)
----------- -----------
Net increase in net assets resulting from
operations...................................... 1,356,300 1,135,600
Distributions to shareholders from net investment
income:
Premier......................................... (2,004,147) (1,402,859)
Select.......................................... -- (60,739)
Net increase in net assets from share transactions
(Note 5):
Premier......................................... 45,285,894 31,480,990
Select.......................................... -- 1,951,340
----------- -----------
Net increase in net assets........................ 44,638,047 33,104,332
NET ASSETS:
Beginning of period............................... 100 100
----------- -----------
End of period (including undistributed net
investment income/ (distributions in excess of
net investment income) of $(9,770) and $7,857,
respectively)................................... $ 44,638,147 $ 33,104,432
----------- -----------
----------- -----------
<FN>
--------------------------
* The Floating Rate U.S. Government Fund and the Short Duration U.S. Government
Fund commenced operations on March 28, 1994.
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
For a Share outstanding throughout each year.
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR PERIOD YEAR PERIOD YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/95 1/31/94* 1/31/95 1/31/94* 1/31/95*
---------- ----------- -------- --------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B CLASS C CLASS C CLASS E
---------- ----------- -------- --------- -------- --------- ---------
Net asset value,
beginning of year........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- -------- --------- -------- --------- ---------
Net investment income+++..................... 0.0442 0.0310 0.0417 0.0110 0.0407 0.0001 0.0165
Dividends from net investment income......... (0.0442) (0.0310) (0.0417) (0.0110) (0.0407) (0.0001) (0.0165)
---------- ----------- -------- --------- -------- --------- ---------
Net asset value, end of year................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- -------- --------- -------- --------- ---------
---------- ----------- -------- --------- -------- --------- ---------
Total return++............................... 4.52% 3.14% 4.21% 0.99% 4.14% -- *** 1.66%
---------- ----------- -------- --------- -------- --------- ---------
---------- ----------- -------- --------- -------- --------- ---------
Ratios to average net assets/ supplemental
data:
Net assets, end of year
(in 000's)................................ $1,538,802 $2,866,353 $342,673 $350,666 $ 7,245 -- # $ 8,318
Ratio of net investment income to average
net assets................................ 4.30% 3.16%+ 4.05% 2.91%+ 3.95% 2.81%+ 4.15%+
Ratio of operating expenses to average net
assets**.................................. 0.12% 0.11%+ 0.37% 0.36%+ 0.47% 0.46%+ 0.27%+
<FN>
------------------------
* 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.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A, Class B and Class C
for the year ended January 31, 1995 were 0.25%, 0.50% and 0.60%,
respectively, for Class E for the period ended January 31, 1995 was 0.39%,
and for Class A, Class B and Class C for the period ended January 31, 1994
were 0.33%, 0.58% and 0.68%, 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.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by the Investment Adviser
and Administrator for Class A, Class B and Class C for the year ended January
31, 1995 was $0.0428, $0.0403 and $0.0393, respectively, for Class E for the
period ended January 31, 1995 was $0.0160, and for Class A, Class B and Class C
for the period ended January 31, 1994 was $0.0289, $0.0102 and $0.0001,
respectively.
# Total net assets for Class C were $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR PERIOD YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/95 1/31/94* 1/31/94*
---------- ----------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B CLASS D
---------- ----------- -------- --------- ---------
Net asset value, beginning of year............................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- -------- --------- ---------
Net investment income+++......................................... 0.0442 0.0315 0.0417 0.0125 0.0021
Dividends from net investment income............................. (0.0442) (0.0315) (0.0417) (0.0125) (0.0021)
---------- ----------- -------- --------- ---------
Net asset value, end of year..................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- -------- --------- ---------
---------- ----------- -------- --------- ---------
Total return++................................................... 4.51% 3.21% 4.26% 1.26% 0.26%
---------- ----------- -------- --------- ---------
---------- ----------- -------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)............................. $1,470,317 $3,981,184 $ 21,739 $ 17,504 $ 10
Ratio of net investment income to average net assets........... 4.20% 3.23%+ 3.95% 2.98%+ 3.10%+
Ratio of operating expenses to average net assets**............ 0.09% 0.07%+ 0.34% 0.32%+ 0.20%+
<FN>
------------------------
* The Prime Value Money Market Fund Class A, Class B and Class D Shares
commenced operations on February 8, 1993, September 1, 1993 and January 6,
1994, respectively.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A and Class B for the
year ended January 31, 1995 were 0.25% and 0.50%, respectively, and for
Class A, Class B and Class D for the period ended January 31, 1994 were
0.36%, 0.61% and 0.49%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A and Class B for the
year ended January 31, 1995 was $0.0426 and $0.0398, respectively, and for
Class A, Class B and Class D for the period ended January 31, 1994 was
$0.0287, $0.0113 and $0.0010, respectively.
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/95 1/31/94*
-------- --------- -------- ---------
<S> <C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B
-------- --------- -------- ---------
Net asset value, beginning of year......................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- --------- -------- ---------
Net investment income+++................................................... 0.0435 0.0309 0.0410 0.0091
Dividends from net investment income....................................... (0.0435 ) (0.0309) (0.0410) (0.0091)
-------- --------- -------- ---------
Net asset value, end of year............................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- --------- -------- ---------
-------- --------- -------- ---------
Total return++............................................................. 4.45% 3.14% 4.19% 0.90%
-------- --------- -------- ---------
-------- --------- -------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)....................................... $40,080 $121,532 $ 9,322 -- #
Ratio of net investment income to average net assets..................... 4.28% 3.18%+ 4.03% 2.93%+
Ratio of operating expenses to average net assets**...................... 0.16% 0.03%+ 0.41% 0.28%+
<FN>
------------------------
* The Government Obligations Money Market Fund Class A and Class B Shares
commenced operations on February 8, 1993 and August 16, 1993, respectively.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A and Class B for the
year ended January 31, 1995 were 0.31% and 0.56%, respectively, and for the
period ended January 31, 1994 were 0.53% and 0.78%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A and Class B for the
year ended January 31, 1995 was $0.0419 and $0.0394, respectively, and for
the period ended January 31, 1994 was $0.0261 and $0.0075, respectively.
# Total net assets for Class B were $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
YEAR PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/95* 1/31/95*
------------ ------------- ---------- ----------
<S> <C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS C
------------ ------------- ---------- ----------
Net asset value, beginning of year........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------- ---------- ----------
Net investment income+++.................................. 0.0421 0.0304 0.0001 0.0001
Dividends from net investment income...................... (0.0421) (0.0304) (0.0001) (0.0001)
------------ ------------- ---------- ----------
Net asset value, end of year.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------- ---------- ----------
------------ ------------- ---------- ----------
Total return++............................................ 4.26% 3.09% --*** 0.01%
------------ ------------- ---------- ----------
------------ ------------- ---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)...................... $ 4,740 $ 41,709 -- # $ 200
Ratio of net investment income to average net assets.... 3.52% 3.11%+ 3.27%+ 3.17%+
Ratio of operating expenses to average net assets**..... 0.17% 0.06%+ 0.42%+ 0.52%+
<FN>
------------------------
* 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.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A, Class B and Class C
for the year ended January 31, 1995 were 0.77%, 1.02% and 1.12%,
respectively, and for Class A for the period ended January 31, 1994 were
0.92%.
*** 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.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian
and/or Transfer Agent and/or expenses reimbursed by the Investment Adviser
and Administrator for Class A, Class B and Class C for the year ended January
31, 1995 was $0.0350, $0.0001 and $0.0001, respectively, and for Class A for the
period ended January 31, 1994 was $0.0220.
# Total net assets for Class B were $100 at January 31, 1995.
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
For a Share outstanding throughout each year.
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
YEAR PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/95 1/31/94*
-------- --------- -------- ---------
<S> <C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B
-------- --------- -------- ---------
Net asset value, beginning of year......................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- --------- -------- ---------
Net investment income+++................................................... 0.0424 0.0300 0.0399 0.0198
Dividends from net investment income....................................... (0.0424) (0.0300) (0.0399) (0.0198)
-------- --------- -------- ---------
Net asset value, end of year............................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- --------- -------- ---------
-------- --------- -------- ---------
Total return++............................................................. 4.32% 3.04% 4.05% 2.00%
-------- --------- -------- ---------
-------- --------- -------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)....................................... $368,796 $156,782 $ 27,242 $ 33,862
Ratio of net investment income to average net assets..................... 4.38% 3.12%+ 4.13% 2.87%+
Ratio of operating expenses to average net assets**...................... 0.12% 0.03%+ 0.37% 0.28%+
<FN>
------------------------
* The Treasury Instruments Money Market Fund II Class A and Class B Shares
commenced operations on February 8, 1993 and May 24, 1993, respectively.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A and Class B for the
year ended January 31, 1995 were 0.27% and 0.52%, respectively, and for the
period ended January 31, 1994 were 0.49% and 0.74%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A and Class B for the
year ended January 31, 1995 was $0.0407 and $0.0384, respectively, and for
the period ended January 31, 1994 was $0.0256 and $0.0166, respectively.
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
100% TREASURY INSTRUMENTS MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR PERIOD PERIOD
ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/94*
--------- --------- ---------
<S> <C> <C> <C>
CLASS A CLASS A CLASS B
--------- --------- ---------
Net asset value, beginning of year......................................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
Net investment income+++................................................... 0.0408 0.0292 0.0149
Dividends from net investment income....................................... (0.0408) (0.0292) (0.0149)
--------- --------- ---------
Net asset value, end of year............................................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
--------- --------- ---------
Total return++............................................................. 4.17% 2.95% 1.55%
--------- --------- ---------
--------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)....................................... $ 78,816 $127,463 -- #
Ratio of net investment income to average net assets..................... 4.06% 3.03%+ 2.78%+
Ratio of operating expenses to average net assets**...................... 0.16% 0.05%+ 0.30%+
<FN>
------------------------
* The 100% Treasury Instruments Money Market Fund Class A and Class B Shares
commenced operations on February 8, 1993 and May 2, 1993, respectively.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A for the year ended
January 31, 1995 were 0.33%, and for Class A and Class B for the period
ended January 31, 1994 were 0.51% and 0.76%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A for the year ended
January 31, 1995 was $0.0391, and for Class A and Class B for the period
ended January 31, 1994 was $0.0248 and $0.0124, respectively.
# Total net assets for Class B were $100 at January 31, 1994.
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR PERIOD PERIOD
ENDED ENDED ENDED
1/31/95 1/31/94* 1/31/95*
--------- --------- ---------
<S> <C> <C> <C>
CLASS A CLASS A CLASS B
--------- --------- ---------
Net asset value, beginning of year......................................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
Net investment income+++................................................... 0.0288 0.0228 0.0263
Dividends from net investment income....................................... (0.0288) (0.0228) (0.0263)
--------- --------- ---------
Net asset value, end of year............................................... $ 1.00 $ 1.00 $ 1.00
--------- --------- ---------
--------- --------- ---------
Total return++............................................................. 2.93% 2.30% 2.63%
--------- --------- ---------
--------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)....................................... $ 60,351 $ 59,735 -- #
Ratio of net investment income to average net assets..................... 2.99% 2.38%+ 2.74%+
Ratio of operating expenses to average net assets**...................... 0.16% 0.11%+ 0.41%+
<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 expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A for the year ended
January 31, 1995 and for the period ended January 31, 1994 were 0.38% and
1.52%, respectively, and for Class B for the year ended January 31, 1995 was
0.63%.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A for the year ended
January 31, 1995 was $0.0266, and for the period ended January 31, 1994 was
$0.0093, and for Class B for the year ended January 31, 1995 was $0.0242.
# Total net assets for Class B were $100 at January 31, 1995.
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
1/31/95 1/31/94*
-------- ---------
<S> <C> <C>
CLASS A CLASS A
-------- ---------
Net asset value, beginning of year......................................... $ 1.00 $ 1.00
-------- ---------
Net investment income+++................................................... 0.0300 0.0243
Dividends from net investment income....................................... (0.0300) (0.0243)
-------- ---------
Net asset value, end of year............................................... $ 1.00 $ 1.00
-------- ---------
-------- ---------
Total return++............................................................. 3.04% 2.46%
-------- ---------
-------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)....................................... $ 93,595 $350,975
Ratio of net investment income to average net assets..................... 2.86% 2.53%+
Ratio of operating expenses to average net assets**...................... 0.15% 0.13%+
<FN>
------------------------
* The Municipal Money Market Fund Class A Shares commenced operations on
February 8, 1993.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A for the year ended
January 31, 1995 and for the period ended January 31, 1994 were 0.31% and
0.51%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or expenses reimbursed by
the Investment Adviser and Administrator for Class A for the year ended
January 31, 1995 and for the period ended January 31, 1994 was $0.0283 and
$0.0201, respectively.
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
FLOATING RATE U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
PERIOD
ENDED
1/31/95*
--------
<S> <C>
PREMIER
--------
Net asset value, beginning of period...................... $ 10.00
--------
Net investment income+++.................................. 0.43
Net realized and unrealized loss on investments........... (0.14)
--------
Net increase in net assets resulting from investment
operations............................................... 0.29
Dividends from net investment income...................... (0.44)
--------
Net asset value, end of period............................ $ 9.85
--------
--------
Total return++............................................ 2.96%
--------
--------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $44,638
Ratio of net investment income to average net assets.... 5.21%+
Ratio of operating expenses to average net assets**..... 0.10%+
Portfolio turnover rate................................... 164%
<FN>
------------------------
* The Floating Rate U.S. Government Fund Premier Shares commenced operations
on March 28, 1994.
** Annualized expense ratio before waiver of fees by the Investment Adviser,
Administrator and Custodian and expenses reimbursed by the Investment
Adviser for Premier Shares for the period ended January 31, 1995 was 0.66%.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator and Custodian and expenses reimbursed by the Investment
Adviser for Premier Shares for the period ended January 31, 1995 was $0.39.
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
SHORT DURATION U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
1/31/95* 1/31/95*
-------- --------
<S> <C> <C>
PREMIER SELECT
-------- --------
Net asset value, beginning of period...................... $ 10.00 $ 9.94
-------- --------
Net investment income+++.................................. 0.46 0.30
Net realized and unrealized loss on investments........... (0.12) (0.04)
-------- --------
Net increase in net assets resulting from investment
operations............................................... 0.34 0.26
Dividends from net investment income...................... (0.45) (0.31)
-------- --------
Net asset value, end of period............................ $ 9.89 $ 9.89
-------- --------
-------- --------
Total return++............................................ 3.54% 2.72%
-------- --------
-------- --------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).................... $31,162 $ 1,942
Ratio of net investment income to average net assets.... 5.43%+ 5.18%+
Ratio of operating expenses to average net assets**..... 0.10%+ 0.35%+
Portfolio turnover rate................................... 112% 112%
<FN>
------------------------
* The Short Duration U.S. Government Fund Premier and Select Shares commenced
operations on March 28, 1994 and June 29, 1994, respectively.
** Annualized expense ratios before waiver of fees by the Investment Adviser,
Administrator and Custodian and expenses reimbursed by Investment Adviser
for Premier and Select Shares for the period ended January 31, 1995 were
0.71% and 0.96%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated.
+++ Net investment income before waiver of fees by the Investment Adviser,
Administrator and
Custodian and expenses reimbursed by Investment Adviser for Premier and
Select Shares for the
period ended January 31, 1995 was $0.40 and $0.27, respectively.
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
Notes to Financial Statements
1. SIGNIFICANT ACCOUNTING POLICIES
Lehman Brothers Institutional Funds Group Trust (the "Trust") was
established on November 25, 1992 as a Massachusetts business trust. It is an
open-end management investment company, which consists of ten funds 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, Municipal Money Market Fund, (collectively the "Money Market Funds"),
Floating Rate U.S. Government Fund and Short Duration U.S. Government Fund
(collectively with the Money Market Funds, the "Funds"). All Money Market Funds
currently offer four classes of shares: Class A, Class B, Class C, and Class E.
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 Floating
Rate U.S. Government Fund and Short Duration U.S. Government Fund currently
offer two classes of shares: Premier and Select shares. Class A and Premier
shares are sold to institutional investors that have not entered into servicing
agreements. Class B, Class C, Class E and Select 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, Class E and Select
shares possess certain exclusive voting rights on matters relating to their
respective service fees. The Board of Trustees has authorized the issuance of a
third class of shares for the Floating Rate U.S. Government Fund and Short
Duration U.S. Government Fund, which are designated for individual investors and
may be offered through Lehman Brothers and brokerage firms not affiliated with
Lehman Brothers. As of January 31, 1995, no such shares have been offered.
Shares of the Treasury Instruments Money Market Fund and the California
Municipal Money Market Fund were no longer sold to the public as of July 29,
1994 and January 30, 1995, respectively, and such Funds ceased to exist.
On November 2, 1994, the Board of Trustees authorized the issuance of a new
class for Treasury Instrument Money Market Fund II. The new class is intended to
be distributed exclusively through the broker-dealer affiliate of a national
bank to its institutional clients. The bank's broker-dealer affiliate will be
paid a distribution fee of up to 0.50%. Also on this date, the Board of Trustees
authorized the issuance of Class G shares for the 100% Treasury Instruments
Money Market Fund. The Trust is also authorized to issue shares of the Short
Duration Municipal Fund and the New York Municipal Money Market Fund. As of
January 31, 1995, no such shares have been offered.
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 Money Market 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.
For the Floating Rate U.S. Government Fund and Short Duration U.S.
Government Fund, portfolio securities for which market quotations are readily
available will be valued on the basis of a pricing model or by prices furnished
by a pricing service. Portfolio securities for which market quotations are not
readily available and other assets will be valued at fair value using methods
determined in good faith by or under the supervision of the Trustees. Short-term
obligations having 60 days or less to maturity are valued at amortized cost.
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
50
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
interest. In the event of counterparty default, the Fund has the right to use
the collateral to offset losses incurred. There is potential loss to the Fund in
the event the Fund is delayed or prevented from exercising its rights to dispose
of the collateral securities, including the risk of a possible decline in the
value of the underlying securities during the period while the Fund seeks to
assert its rights. The Fund's Investment Adviser and Administrator, acting under
the supervision of the Board of Trustees, review 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.
FUTURES CONTRACTS: The Floating Rate U.S. Government Fund and the Short
Duration U.S. Government Fund may engage in futures transactions on U.S.
Government Securities, mortgage securities and Eurodollar securities for the
purpose of hedging against the effects of changes in interest rates and market
conditions to assist in reducing fluctuations in the net asset value. Upon
entering into a futures contract, the Fund is required to deposit with the
broker an amount of cash or cash equivalents equal to a certain percentage of
the contract amount. This is known as the "initial margin." Subsequent payments
("variation margin") are generally made or received by the Fund each day,
depending on the daily fluctuation of the value of the contract. The daily
changes in the contract are recorded as unrealized gains or losses. The Fund
recognizes a realized gain or loss when the contract is closed.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in the value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in the value of the hedged instruments. In addition,
there is the risk the Fund may not be able to enter into a closing transaction
because of an illiquid secondary market.
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 intend to qualify as regulated investment
companies by complying with the requirements of the Internal Revenue Code of
1986, as amended, and applicable to regulated investment companies and by
distributing substantially all of their taxable income to their shareholders.
Therefore, no Federal income tax provision is required.
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 Money Market Funds do not expect to realize any net long-term
capital gains and therefore do not contemplate payments of any capital gains
dividends. Net capital gain distributions, if any, will be made annually for the
Floating Rate U.S. Government Fund and the Short Duration U.S. Government Fund.
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 and January 3, 1994. LBGAM is a wholly-owned subsidiary of
Lehman Brothers Holdings Inc. ("Holdings"). As of December 31, 1994, FMR Corp.,
Nippon Life Insurance Company and Heine Securities Corporation beneficially
owned approximately 12.3%, 8.7% and 5.1%, respectively, of the outstanding
voting securities of Holdings. Under the Investment Advisory
51
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Agreements, LBGAM is entitled to receive a monthly fee at an annual rate of
0.10% of the value of each Money Market Fund's average daily net assets and
0.30% of the value of the average daily net assets for the Floating Rate U.S.
Government Fund and the Short Duration U.S. Government Fund. For the year ended
January 31, 1995, LBGAM voluntarily waived fees and reimbursed expenses as
follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
------------ -------------------
<S> <C> <C>
Prime Money Market Fund............................... $1,171,734 $--
Prime Value Money Market Fund......................... 1,388,554 --
Government Obligations Money Market Fund.............. 48,079 --
Cash Management Fund.................................. 11,931 45,500
Treasury Instruments Money Market Fund II............. 231,451 --
100% Treasury Instruments Money Market Fund........... 54,308 --
Tax-Free Money Market Fund............................ 59,392 9,042
Municipal Money Market Fund........................... 150,715 --
Floating Rate U.S. Government Fund.................... 114,900 61,158
Short Duration U.S. Government Fund................... 81,388 57,100
</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.
Prior to the close of business on May 6, 1994, The Boston Company Advisors,
Inc. served as the Trust's Administrator and received fees equivalent to the
current rate for its services.
For the year ended January 31, 1995, the Administrator waived fees as
follows:
<TABLE>
<CAPTION>
FEES WAIVED
------------
<S> <C>
Prime Money Market Fund............................................................... $1,815,227
Prime Value Money Market Fund......................................................... 1,414,970
Government Obligations Money Market Fund.............................................. 64,842
Cash Management Fund.................................................................. 9,110
Treasury Instruments Money Market Fund II............................................. 269,369
100% Treasury Instruments Money Market Fund........................................... 56,601
Tax-Free Money Market Fund............................................................ 44,947
Municipal Money Market Fund........................................................... 171,438
Floating Rate U.S. Government Fund.................................................... 27,951
Short Duration U. S. Government Fund.................................................. 19,779
</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 (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 year ended January 31, 1995, Boston Safe waived fees as
follows:
<TABLE>
<CAPTION>
FEES WAIVED
-----------
<S> <C>
Prime Money Market Fund.................................................... $233,980
Prime Value Money Market Fund.............................................. 185,295
Government Obligations Money Market Fund................................... 23,004
Cash Management Fund....................................................... 4,606
Treasury Instruments Money Market Fund II.................................. 48,525
100% Treasury Instruments Money Market Fund................................ 21,232
Tax-Free Money Market Fund................................................. 16,525
Municipal Money Market Fund................................................ 37,900
Floating Rate U.S. Government Fund......................................... 11,480
Short Duration U.S. Government Fund........................................ 9,000
</TABLE>
3. SERVICE 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, Class E and Select shares. Under the
Service Agreements each Fund compensates service organizations for servicing
shareholder accounts and covers expenses incurred in distributing Class B, Class
C, Class E and Select 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 Class E;
0.25% for the Class B and Select shares; and 0.35% for the Class C shares.
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities,
excluding short-term investments, for the year ended January 31, 1995 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Floating Rate U.S. Government Fund....................... $96,525,131 $57,982,559
Short Duration U.S. Government Fund...................... 58,737,914 29,420,123
</TABLE>
At January 31, 1995, aggregate gross unrealized appreciation for all
securities of the Funds in which there is an excess of value over tax cost and
aggregate gross unrealized depreciation for all securities in which there is an
excess of tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION
------------ ------------
<S> <C> <C>
Floating Rate U.S. Government Fund....................... $15,238 $610,281
Short Duration U.S. Government Fund...................... 207 414,409
</TABLE>
5. 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 Money
Market Fund and three classes for the Floating Rate U.S. Government Fund and the
Short Duration U.S. Government Fund. Since the Money Market Funds have sold
shares, issued shares as reinvestments of dividends and redeemed shares only at
a constant net asset value of $1.00 per share, the number of shares represented
by such sales, reinvestments and redemptions is the same of the amounts shown
below for such transactions.
53
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Tables below summarize transactions of each Class of shares, at $1.00,
for the Funds noted:
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
PRIME MONEY MARKET ------------------------------------------------------------------------
FUND: CLASS B CLASS C CLASS E
--------------- --------------- ---------------
CLASS A
---------------
<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>
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
-----------------------------------------------------
CLASS A CLASS B CLASS C
--------------- --------------- ---------------
<S> <C> <C> <C> <C>
Sold.................. 21,207,896,867 548,120,402 16,828,189
Dividend
Reinvestment.......... 7,640,432 548 --
Redeemed.............. (18,349,298,979) (197,456,788) (16,828,189)
--------------- --------------- ---------------
Net increase.......... 2,866,238,320 350,664,162 --
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
PRIME VALUE MONEY ------------------------------------------------------------------------
MARKET FUND: CLASS B CLASS D CLASS E
--------------- --------------- ---------------
CLASS A
---------------
<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>
PERIOD ENDED
1/31/94*
-----------------------------------------------------
CLASS A CLASS B CLASS D
--------------- --------------- ---------------
<S> <C> <C> <C> <C>
Sold.................. 16,321,320,158 51,179,212 10,100
Dividend
Reinvestment.......... 7,546,037 -- --
Redeemed.............. (12,347,684,066) (33,675,407) --
--------------- --------------- ---------------
Net increase.......... 3,981,182,129 17,503,805 10,100
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
54
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
GOVERNMENT OBLIGATIONS ------------------------------------------------------------------------
MONEY MARKET FUND: CLASS B CLASS D CLASS E
--------------- --------------- ---------------
CLASS A
---------------
<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
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
-----------------------------------------------------
CLASS A CLASS B CLASS D
--------------- --------------- ---------------
<S> <C> <C> <C> <C>
Sold.................. 691,207,998 1,002,462 100
Dividend
Reinvestment.......... 579,010 8,677 --
Redeemed.............. (570,256,581) (1,011,139) --
--------------- --------------- ---------------
Net increase.......... 121,530,427 -- 100
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
------------------------------------------------------------------------
CASH MANAGEMENT FUND: CLASS B CLASS C CLASS E
--------------- --------------- ---------------
CLASS A
---------------
<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>
PERIOD ENDED
1/31/94*
---------------
CLASS A
---------------
<S> <C> <C> <C> <C>
Sold.................. 94,083,622
Dividend
Reinvestment.......... 1,889
Redeemed.............. (52,376,241)
---------------
Net increase.......... 41,709,270
---------------
---------------
</TABLE>
55
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
TREASURY INSTRUMENTS MONEY MARKET FUND -----------------------------------------------------
II: CLASS B CLASS E
--------------- ---------------
CLASS A
---------------
<S> <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>
PERIOD ENDED
1/31/94*
----------------------------------
CLASS A CLASS B
--------------- ---------------
<S> <C> <C> <C>
Sold.................................. 1,213,748,675 34,177,279
Dividend Reinvestment................. 172,105 411,598
Redeemed.............................. (1,057,139,132) (727,387)
--------------- ---------------
Net increase.......................... 156,781,648 33,861,490
--------------- ---------------
--------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
100% TREASURY INSTRUMENTS MONEY MARKET ----------------------------------
FUND: CLASS E
---------------
CLASS A
---------------
<S> <C> <C> <C>
Sold.................................. 302,935,830 100
Dividend Reinvestment................. 70,170 --
Redeemed.............................. (351,656,249) --
--------------- ---------------
Net increase/(decrease)............... (48,650,249) 100
--------------- ---------------
--------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
----------------------------------
CLASS A CLASS B
--------------- ---------------
<S> <C> <C> <C>
Sold.................................. 300,937,678 1,196,815
Dividend Reinvestment................. -- 8,667
Redeemed.............................. (173,481,192) (1,205,482)
--------------- ---------------
Net increase.......................... 127,456,486 --
--------------- ---------------
--------------- ---------------
</TABLE>
56
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
------------------------------------------------------
TAX FREE MONEY MARKET FUND: CLASS B CLASS E
--------------- ---------------
CLASS A
---------------
<S> <C> <C> <C>
Sold..................................... 685,428,863 1,072,223 100
Dividend Reinvestment.................... 232,374 272 --
Redeemed................................. (685,042,968 ) (1,072,495) --
--------------- --------------- ---------------
Net increase............................. 618,269 -- 100
--------------- --------------- ---------------
--------------- --------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
---------------
CLASS A
---------------
<S> <C> <C> <C>
Sold..................................... 159,786,350
Dividend Reinvestment.................... 11,346
Redeemed................................. (100,068,006 )
---------------
Net increase............................. 59,729,690
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
------------------------------------------------------
MUNICIPAL MONEY MARKET FUND: CLASS D CLASS E
--------------- ---------------
CLASS A
---------------
<S> <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
--------------- --------------- ---------------
--------------- --------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
-----------------------------------
CLASS A CLASS D
--------------- ---------------
<S> <C> <C> <C>
Sold..................................... 1,935,295,434 100
Dividend Reinvestment.................... 300,097 --
Redeemed................................. (1,584,639,391 ) --
--------------- ---------------
Net increase............................. 350,956,140 100
--------------- ---------------
--------------- ---------------
</TABLE>
* * * * *
The Table below summarizes transactions of Premier shares for the FLOATING
RATE U.S. GOVERNMENT FUND:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/95**
----------------------------------
SHARES AMOUNT
--------------- ---------------
<S> <C> <C> <C> <C>
Sold..................................... 4,923,126 $ 49,150,877
Redeemed................................. (391,226) (3,864,983)
--------------- ---------------
Net increase............................. 4,531,900 $ 45,285,894
--------------- ---------------
--------------- ---------------
</TABLE>
57
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Table below summarizes transactions of Premier and Select shares for the
SHORT DURATION U.S. GOVERNMENT FUND:
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/95**
------------------------------------------------------------------------
PREMIER SHARES SELECT SHARES
---------------------------------- ----------------------------------
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- ------- ---------------
<S> <C> <C> <C> <C>
Sold..................................... 3,150,273 $ 31,487,472 196,486 $ 1,952,951
Dividend Reinvestment.................... 6,592 65,428 -- --
Redeemed................................. (7,242) (71,910) (163) (1,611)
--------------- --------------- ------- ---------------
Net increase............................. 3,149,623 $ 31,480,990 196,323 $ 1,951,340
--------------- --------------- ------- ---------------
--------------- --------------- ------- ---------------
<FN>
------------------------
* The Money Market Funds commenced operations on February 8, 1993.
** The Floating Rate U.S. Government Fund and the Short Duration U.S. Government
Fund commenced operations on March 28, 1994.
</TABLE>
As of January 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 January 31, 1995, the Money Market Funds, except Prime Money Market Fund
and Cash Management Fund, had each issued 100 Class C shares in the amount of
$100 to Lehman Brothers, Inc. As of January 31, 1995, the Money Market Funds,
except Prime Money Market Fund, had each issued 100 Class E shares in the amount
of $100 to Lehman Brothers, Inc. As of January 31, 1995, the Floating Rate U.S.
Government Fund had issued ten Select shares in the amount of $100 to Lehman
Brothers Inc. During the year ended January 31, 1995, there was no income or
expenses allocated to Class B, Class C, Class D, Class E and Select shares that
did not have share transactions with third parties.
6. 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.
7. CAPITAL LOSS CARRYFORWARD
At January 31, 1995, the following Funds had available for Federal income
tax purposes unused capital losses as follows:
<TABLE>
<CAPTION>
NAME OF FUND EXPIRING IN 2002 EXPIRING 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>
58
<PAGE>
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees
Lehman Brothers Institutional Funds Group Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Lehman Brothers Institutional Funds
Group Trust (the Trust), (comprising respectively, the Prime Money Market Fund,
Prime Value Money Market Fund, Government Obligations Money Market Fund, Cash
Management Fund, Treasury Instruments Money Market Fund II, 100% Treasury
Instruments Money Market Fund, Tax-Free Money Market Fund, Municipal Money
Market Fund, Floating Rate U.S. Government Fund and Short Duration U.S.
Government Fund, collectively the Funds), as of January 31, 1995, and the
related statements of operations and changes in net assets, and the financial
highlights for each of the periods indicated therein for each Fund class of
shares. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
January 31, 1995, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective Funds constituting Lehman Brothers Institutional Funds
Group Trust at January 31, 1995, the results of their operations and changes in
their net assets, and financial highlights for each of the periods indicated
therein for each Fund class of shares, in conformity with generally accepted
accounting principles.
ERNST & YOUNG LLP
Boston, Massachusetts
March 15, 1995
59
<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
Floating Rate U.S. Government Fund
Short Duration U.S. Government 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.
