SEMI-ANNUAL REPORT
JULY 31, 1996
LEHMAN BROTHERS
INSTITUTIONAL FUNDS
GROUP TRUST
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
<S> <C>
President's Letter 1
Portfolio of Investments:
Prime Money Market Fund 3
Prime Value Money Market Fund 6
Government Obligations Money Market Fund 8
Cash Management Fund 9
Treasury Instruments Money Market Fund II 10
Tax-Free Money Market Fund 11
Municipal Money Market Fund 20
Statements of Assets and Liabilities 32
Statements of Operations 36
Statements of Changes in Net Assets 38
Financial Highlights:
Prime Money Market Fund 42
Prime Value Money Market Fund 44
Government Obligations Money Market Fund 46
Cash Management Fund 48
Treasury Instruments Money Market Fund II 50
Tax-Free Money Market Fund 52
Municipal Money Market Fund 53
Notes to Financial Statements 54
</TABLE>
Dear Shareholders:
We are pleased to present the Semi-Annual Report for the Lehman Brothers
Institutional Funds Group Trust (the "Trust" or the "Funds") for the six-month
period ended July 31, 1996. This Report includes the portfolio holdings for the
Prime, Government and Tax-Exempt Money Market Funds currently offered by the
Trust that are designed to meet the cash management and liquidity needs of
institutional investors.
THE ECONOMY
The underlying strength of the U.S. economy in the first quarter of 1996 was
extremely difficult to gauge. Early in the period, economic activity appeared to
be on the verge of recession following a very anemic fourth quarter of 1995 in
which Gross Domestic Product ("GDP") growth was only 0.5%. Short-term interest
rates trended lower as most investors believed that the Federal Reserve Board
(the "Fed") would ease monetary policy by reducing the target fed funds rate,
which it did on January 31, 1996 by 25 basis points, citing "receding
inflationary pressures and a moderating economic expansion." Long-term rates,
however, had begun to rise in December as bond investors expressed
disappointment over congressional failure to reach agreement on balanced budget
legislation. As February began, the economic landscape became less clear due to
the lack of timeliness and reliability of economic data that was released in the
aftermath of the shutdown of U.S. Government operations. Faced with uncertainty
as to the strength, or even direction, of the economy, anxious fixed-income
investors engaged in a sell-off in late February after Chairman Greenspan
testified at the Humphrey-Hawkins hearings that the economy was healthier than
the data would indicate.
As March began, the most significant event was the release of the February
Employment Report which showed a huge increase in job creation. Short- and
long-term interest rates gapped upward as investors acknowledged a major shift
in economic expectations from one of modest growth with low inflation and
declining interest rates to one which was based upon faster growth, concern over
inflation, and the possibility of a pre-emptive tightening of monetary policy by
the Fed. In April, investors were looking for the economic data flow to begin to
exhibit a clear trend that was not distorted by the government shutdown, severe
weather, or the General Motors strike. As the quarter unfolded, a pattern of
strength became apparent in many sectors of the economy. Consumer sentiment was
buoyed by strong job growth, higher income, and the wealth effect of a
spectacular stock market. This elevated consumer willingness to spend on housing
and other consumer durables such as autos. Increased consumer debt also was a
factor in spurring retail sales. On the production side, inventory levels were,
for the most part, at desired levels which gave manufacturers the chance to
crank up production in order to meet the new demand. All the while, inflation
remained manageable, although slight pressure became noticeable in certain
commodities and employees' wages.
As a result of this indisputable strength, economists were obliged to revise
their estimates for GDP for the first and second quarters and the full year. The
actual first quarter GDP of 2.2% was well above early estimates of 1.5% and the
second quarter preliminary rate of growth was 4.2%. This pace, in combination
with an outlook for slower growth in the second half of 1996, would translate
into an annual rate of about 2.5% to 3.0% which we believe exceeds the Fed's
target for sustainable growth without inflation. Throughout the second quarter,
fixed-income investors became convinced that the Fed would soon adopt a more
restrictive monetary policy in light of the economic strength even though
inflation was still below 3.0% -- the only question was one of timing. As a
result of this consensus, long-term Treasury rates rose from 6.69% on March 29,
1996 to as high as 7.20% in mid-June. A strong rally in early August brought the
rate back down to 6.68% based upon weaker July data. The rate subsequently
retraced to 7.00% by late August as the market resumed its Fed tightening vigil
after new signs of strength. The three-month Treasury bill rate movement was
much more modest, rising from 5.14% to a high of 5.30% before settling back down
to 5.20%.
PORTFOLIO STRATEGY AND PERFORMANCE RESULTS
TAXABLE FUNDS
Early in the period, the average maturities of the Taxable Money Market
Funds were extended modestly in line with the Fed's policy of monetary ease.
However, as the economy strengthened and the probability for a tighter policy
loomed, the strategy was changed to shorten portfolios as much as possible in
order to provide for expected greater liquidity needs and to take advantage of
expected higher rates. In spite of the fact that the short-term yield curve is
relatively steep from one day to one year (75 basis points) in anticipation of
some Fed tightening action, it is too early to undertake a meaningful extension
without more conclusive economic data. The targeted average maturity of the
taxable funds remains at 30-45 days.
1
TAX-EXEMPT FUNDS
Unlike the taxable fixed-income market which was driven by economic and
monetary signals, the tax- exempt market was influenced more by technical
factors over the course of the period and experienced a high degree of seasonal
volatility. Rates began the second quarter at seasonally low levels due to an
infusion of cash in early April from bond coupon payments and normal maturities.
Mid-April saw a reversal as individuals made redemptions from tax-exempt funds
in order to make personal income tax payments. This forced fund managers to sell
some securities which pushed rates higher. This trend was reversed in early May
as cash from May coupon payments and maturities flowed into the market and drove
rates lower once again. By mid-May, the cash had been fully invested and rates
rose as demand eased. The June experience was similar to that of May.
We expected to see a gradual upward movement of rates in July and August as
the previously-described note proceeds were absorbed by a growing calendar of
re-issued notes. These two factors created the first buying opportunity of the
third quarter and we attempted to take advantage by extending average
maturities.
The Trust continued to perform well when compared with other money market
funds offered to the institutional investor. For example, based on total return
for the 12 months ended July 31, 1996, Prime Value Money Market Fund Class A was
ranked third and Prime Money Market Fund Class A ranked fifth place out of the
139 First Tier Institutional Only Funds tracked by IBC/Donaghue, Inc.'s Money
Fund Insight ("IBC/ Donoghue"). The Municipal Money Market Fund Class A and
Tax-Free Money market Fund Class A were the number one- and four-ranked funds,
respectively, among 71 tax-free institutional funds reporting to IBC/Donoghue.
Some or all of the funds in each category, including the Lehman Brothers Funds,
reported expense reimbursements or fee waivers from time to time without which
the reported returns would have been lower. Past performance is no guarantee of
future results.
* * * * *
As you have most likely been made aware at this time, the Board of Trustees
of Lehman Brothers Institutional Funds Group Trust (the "Trust") has unanimously
endorsed a proposal (a) to combine three of its funds with three portfolios of a
trust sponsored by Federated Investors and (b) to change the investment advisor
of three other funds from Lehman Brothers Global Asset Management to Federated
Management. Each transaction requires shareholder approval and will also involve
the election of new Trustees of the Trust.
With respect to Prime Money Market Fund, Prime Value Money Market Fund, and
Municipal Money Market Fund, shareholders will be asked to approve adoption of a
new investment advisory contract with Federated Management, an investment
advisory subsidiary of Federated Investors, and the election of the new Trustees
to the Trust.
With respect to Government Obligations Money Market Fund, Treasury
Instruments Money Market Fund II, and Tax-Free Money Market Fund (individually,
the "Fund"), shareholders of each Fund, will be asked to approve a proposed
Agreement and Plan of Reorganization between the Trust, on behalf of each Fund,
and Money Market Obligations Trust, on behalf of one of its portfolios (the
"Portfolio"), whereby a Portfolio of Money Market Obligations Trust would
acquire all of the assets of the relevant Fund in exchange for Institutional
Shares and Institutional Service Shares of the Portfolio to be distributed pro
rata by the Fund to holders of Class A Shares and Class B Shares, respectively,
in complete liquidation of the Fund.
Federated Investors, founded in 1955, is a Pittsburgh-based investment
manager with approximately $70 billion in assets under management. Federated has
been a pioneer in cash management, having created the first institutional money
market fund in 1976. Federated currently offers over 40 money market funds
managed specifically to meet the requirements of the institutional market.
Sincerely,
/s/ Andrew D. Gordon
Andrew D. Gordon
President
September 16, 1996
2
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
- ------------- -------- -------- ----------
<S> <C> <C> <C> <C>
BANK/CORPORATE NOTES -- 39.3%
$ 25,000,000 American Express Centurion Bank, Variable Rate 5.360 % 2/5/97 $ 24,998,681
100,000,000 Bank of America 4.900 2/5/97 99,974,125
50,000,000 Bear Stearns Companies, Inc., Variable Rate 5.598 12/30/96 50,000,000
100,000,000 Beta Finance Inc., Variable Rate 5.388 1/27/97 99,975,679
20,000,000 CIT Group Holdings, Inc., Variable Rate 5.310 9/26/96 19,998,098
45,000,000 CS First Boston, Inc., Variable Rate 5.570 1/7/97 45,000,000
50,000,000 FCC National Bank, Delaware 5.650 11/1/96 50,001,031
30,000,000 FCC National Bank, Delaware 5.080 2/24/97 29,988,046
25,000,000 First of America Bank, Illinois 5.070 12/18/96 25,006,294
10,000,000 General Electric Capital Corporation 5.163 1/21/97 10,000,725
10,000,000 General Electric Capital Corporation 5.119 1/22/97 9,998,691
10,000,000 General Electric Capital Corporation 5.080 2/3/97 10,000,817
10,000,000 General Electric Capital Corporation 5.004 2/5/97 9,998,254
15,000,000 General Electric Capital Corporation 4.920 2/10/97 14,999,212
10,000,000 General Electric Capital Corporation 4.948 2/10/97 9,997,844
10,000,000 General Electric Capital Corporation 4.920 2/12/97 9,998,135
10,000,000 General Electric Capital Corporation 4.915 2/13/97 9,998,125
10,000,000 General Electric Capital Corporation 4.893 2/14/97 9,996,986
10,000,000 Goldman Sachs Group, L.P., Variable Rate 5.875 1/27/97 10,012,432
95,000,000 NBD Bank N.A., Detroit 5.050 8/1/96 95,000,000
10,000,000 SMM Trust 95-D, Variable Rate 5.675 10/28/96 10,000,000
85,000,000 SMM Trust 96-I, Variable Rate 5.488 8/29/96 85,000,000
25,000,000 Southtrust Bank, Alabama, Variable Rate 5.447 1/8/97 24,996,769
25,000,000 Southtrust Bank, Alabama, Variable Rate 5.520 1/8/97 24,994,651
25,000,000 Southtrust Bank, Alabama, Variable Rate 5.416 1/13/97 24,996,712
82,000,000 Toyota Motor Credit Corporation, Variable Rate 5.300 9/3/96 81,993,347
--------------
TOTAL BANK/CORPORATE NOTES (COST $896,924,654) 896,924,654
--------------
COMMERCIAL PAPER -- 21.1%
12,000,000 Beta Finance Inc. 4.950 8/14/96 11,978,550
16,000,000 Beta Finance Inc. 4.950 8/20/96 15,958,200
43,124,000 Dakota Certificates Program 5.400 8/6/96 43,091,657
30,000,000 Dakota Certificates Program 5.400 8/22/96 29,905,500
50,597,000 Enterprise Funding Corporation 5.340 8/1/96 50,597,000
50,000,000 Greenwich Funding Corporation 5.370 8/30/96 49,783,708
14,452,000 Mont Blanc Capital Corporation 5.400 8/5/96 14,443,329
50,000,000 Mont Blanc Capital Corporation 5.375 8/12/96 49,917,882
</TABLE>
See Notes to Financial Statements.
3
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
-------- -------- -------- --------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
$ 25,000,000 Morgan Stanley Group Inc. 5.400% 8/8/96 $ 24,973,750
12,225,000 Preferred Receivables Funding Corporation 5.400 8/5/96 12,217,665
15,000,000 Ranger Funding Corporation 5.380 8/12/96 14,975,342
15,000,000 Ranger Funding Corporation 5.410 8/20/96 14,957,170
20,000,000 Ranger Funding Corporation 5.310 8/23/96 19,935,100
18,500,000 Sigma Finance, Inc. 4.950 8/5/96 18,489,825
15,000,000 Sigma Finance, Inc. 5.300 8/19/96 14,960,250
47,000,000 Sigma Finance, Inc. 5.320 11/18/96 46,242,934
50,000,000 Windmill Funding Corporation 5.370 8/19/96 49,865,750
-----------
TOTAL COMMERCIAL PAPER (COST $482,293,612) 482,293,612
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.2%
10,000,000 Federal Home Loan Bank, Variable Rate 5.480 5/8/97 10,005,783
40,000,000 Federal National Mortgage Association,
Variable Rate 5.850 10/7/96 40,000,000
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $50,005,783) 50,005,783
-----------
PROMISSORY NOTE -- 2.2% (COST $50,000,000)
50,000,000 Goldman Sachs Group, L.P. 5.190 8/5/96 50,000,000
-----------
REPURCHASE AGREEMENTS -- 34.9%
100,000,000 Agreement with Chase Securities Inc. dated
7/31/96 bearing 5.750% to be repurchased at
$100,015,972 on 8/1/96, collateralized by
$127,890,157 of various U.S. Government
Agency Obligations with various maturities
and interest rates (market value --
$102,000,367) 100,000,000
278,035,000 Agreement with Goldman Sachs Group L.P. dated
7/31/96 bearing 6.000% to be repurchased at
$278,081,339 on 8/1/96, collateralized by
$284,282,000 of various U.S. Government
Agency Obligations with various maturities
and interest rates (market value --
$283,596,503) 278,035,000
120,000,000 Agreement with Lehman Brothers Government
Securities Inc. dated 7/31/96 bearing 5.950%
to be repurchased at $120,019,833 on 8/1/96,
collateralized by $121,402,228 of various
U.S. Government Agency Obligations with
various maturities and interest rates (market
value -- $122,384,670) 120,000,000
100,000,000 Agreement with Merrill Lynch Government
Securities Inc. dated 7/31/96 bearing 5.730%
to be repurchased at $100,015,917 on 8/1/96,
collateralized by $122,940,000 of various
U.S. Government Agency Obligations with
various maturities and interest rates (market
value -- $102,004,872) 100,000,000
</TABLE>
See Notes to Financial Statements.
4
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------- ----------
<S> <C> <C>
$200,000,000 Agreement with UBS Securities, Inc. dated 7/31/96 bearing 5.750% to be
repurchased at $200,031,944 on 8/1/96, collateralized by $445,113,909 of
various U.S. Government Agency Obligations with various maturities and
interest rates (market value -- $204,000,524) $ 200,000,000
---------------
TOTAL REPURCHASE AGREEMENTS (COST $798,035,000) 798,035,000
---------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $2,277,259,049*) 99.7% 2,277,259,049
OTHER ASSETS AND LIABILITIES (NET) 0.3 7,735,467
----- ---------------
TOTAL NET ASSETS 100.0% $ 2,284,994,516
===== ===============
- --------------------
* Aggregate cost for Federal tax purposes.
+ For Commercial Paper, the interest rate represents annualized yield at
date of purchase.
</TABLE>
See Notes to Financial Statements.
5
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------ -------- -------- --------
<S> <C> <C> <C> <C>
BANK/CORPORATE NOTES -- 62.8%
$25,000,000 American Express Centurion Bank, Variable Rate 5.360% 2/5/97 $ 24,998,681
25,000,000 American Express Centurion Bank, Variable Rate 5.470 2/12/97 24,996,259
25,000,000 Bank of New York, Delaware, Variable Rate 5.775 10/25/96 25,000,000
30,000,000 Bear Stearns Companies, Inc. 5.000 2/12/97 30,000,000
35,000,000 CS First Boston, Inc. 5.625 1/7/97 35,000,000
25,000,000 Comerica Bank, Variable Rate 5.570 10/28/96 25,000,000
50,000,000 FCC National Bank, Delaware 5.080 2/24/97 49,980,077
40,000,000 First of America Bank, Michigan 5.130 11/7/96 40,011,304
39,000,000 First National Bank of Baltimore, Variable Rate 5.813 10/23/96 39,000,000
9,000,000 Ford Motor Credit Company 7.375 1/15/97 9,083,129
8,400,000 Ford Motor Credit Company 7.875 1/15/97 8,507,208
26,000,000 General Motors Acceptance Corporation 8.000 10/1/96 26,115,618
30,000,000 Northern Trust Company 5.070 2/28/97 30,000,000
50,000,000 PHH Corporation, Variable Rate 5.380 9/16/96 49,999,374
25,000,000 Southtrust Bank, Alabama, Variable Rate 5.466 1/13/97 24,996,711
-----------
TOTAL BANK/CORPORATE NOTES (COST $442,688,361) 442,688,361
-----------
COMMERCIAL PAPER -- 13.5%
20,000,000 Atlantic Asset Securitization Corporation 5.380 8/12/96 19,967,122
15,000,000 Atlantic Asset Securitization Corporation 5.400 8/13/96 14,973,000
10,000,000 Atlantic Asset Securitization Corporation 5.400 8/16/96 9,977,500
30,000,000 CXC Inc. 5.700 8/1/96 30,000,000
20,239,000 Dakota Certificates Program 5.650 8/1/96 20,239,000
-----------
TOTAL COMMERCIAL PAPER (COST $95,156,622) 95,156,622
-----------
PROMISSORY NOTE -- 7.1% (COST $50,000,000)
50,000,000 Goldman Sachs Group, L.P. 5.190 8/5/96 50,000,000
-----------
CERTIFICATE OF DEPOSIT (YANKEE) -- 3.6% (COST
$25,000,049)
25,000,000 Sumitomo Bank 5.510 8/8/96 25,000,049
-----------
REPURCHASE AGREEMENTS -- 12.0%
29,505,000 Agreement with Chase Securities Inc. dated 7/31/96 bearing 5.750%
to be repurchased at $29,509,713 on 8/1/96, collateralized by $41,233,333
of various U.S. Government Agency Obligations with various maturities and
interest rates (market value -- $30,096,572) 29,505,000
</TABLE>
See Notes to Financial Statements.
6
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
--------- --------
<S> <C> <C>
$25,000,000 Agreement with Greenwich Capital Markets Inc. dated 7/31/96 bearing 5.700%
to be repurchased at $25,003,958 on 8/1/96, collateralized by $48,413,000
of various U.S. Treasury Strips with various maturities (market value --
$25,501,558) $ 25,000,000
30,000,000 Agreement with Lehman Brothers Government Securities Inc. dated 7/31/96 bearing
5.950% to be repurchased at $30,004,958 on 8/1/96, collateralized by
$529,248,887 of various U.S. Government Agency Obligations with various
maturities and interest rates (market value -- $30,595,674) 30,000,000
-----------
TOTAL REPURCHASE AGREEMENTS (COST $84,505,000) 84,505,000
-----------
TOTAL INVESTMENTS (COST $697,350,032*) 99.0% 697,350,032
OTHER ASSETS AND LIABILITIES (NET) 1.0 7,397,839
------ ------------
TOTAL NET ASSETS 100.0% $704,747,871
====== ============
- -------------------
* Aggregate cost for Federal tax purposes.
+ For Commercial Paper, the interest rate represents annualized yield at
date of purchase.
</TABLE>
See Notes to Financial Statements.
7
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
Government Obligations Money Market Fund
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
------ -------- -------- --------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 80.0%
FEDERAL FARM CREDIT BANK (FFCB):
$ 5,000,000 FFCB, Discount Note 5.270% 9/12/96 $ 4,969,258
------------
FEDERAL HOME LOAN BANK (FHLB):
5,000,000 FHLB, Discount Note 5.345 10/16/96 4,943,581
5,000,000 FHLB, Variable Rate, Medium-Term Note 5.780 2/3/97 5,000,000
7,500,000 FHLB, Variable Rate, Medium-Term Note 5.480 5/8/97 7,504,336
-----------
17,447,917
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC):
1,950,000 FHLMC, Discount Note 5.230 8/8/96 1,948,017
5,000,000 FHLMC, Discount Note 5.330 10/21/96 4,940,038
-----------
6,888,055
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA):
5,000,000 FNMA, Discount Note 5.260 8/29/96 4,979,544
5,000,000 FNMA, Discount Note 5.285 9/23/96 4,961,096
5,000,000 FNMA, Variable Rate, Medium-Term Note 5.850 10/7/96 5,000,000
-----------
14,940,640
-----------
U.S. TREASURY BILL:
5,000,000 U.S. Treasury Bill 4.825 2/6/97 4,873,344
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $49,119,214) 49,119,214
-----------
REPURCHASE AGREEMENT -- 20.2% (COST $12,423,000)
12,423,000 Agreement with Chase Securities Inc. dated 7/31/96 bearing 5.750% to be
repurchased at $12,424,984 on 8/1/96, collateralized by $13,165,000 of
various mortgage-backed securities with various maturities and
interest rates (market value -- $12,675,607) 12,423,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $61,542,214*) 100.2% 61,542,214
OTHER ASSETS AND LIABILITIES (NET) (0.2) (116,419)
----- -----------
NET ASSETS 100.0% $61,425,795
===== ===========
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes.
+ For Discount Notes, the interest rate represents annualized yield at
date of purchase.
See Notes to Financial Statements
8
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
------ -------- -------- --------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATION -- 96.1%
(COST $1,000,000)
FEDERAL HOME LOAN BANK (FHLB):
$1,000,000 FHLB, Variable Rate 5.780% 2/3/97 $1,000,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $1,000,000*) 96.1% 1,000,000
OTHER ASSETS AND LIABILITIES (NET) 3.9 40,110
---- -----------
NET ASSETS 100.0% $1,040,110
===== ===========
- -------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements
9
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
ANNUALIZED
FACE YIELD AT DATE MATURITY VALUE
VALUE OF PURCHASE DATE (NOTE 1)
------ ------------- -------- --------
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 57.5%
$10,000,000 U.S. Treasury Bill 4.935% 8/8/96 $ 9,990,404
20,000,000 U.S. Treasury Bill 5.020 8/22/96 19,942,571
10,000,000 U.S. Treasury Bill 4.810 8/29/96 9,962,589
5,000,000 U.S. Treasury Bill 4.850 9/5/96 4,976,423
10,000,000 U.S. Treasury Bill 5.040 10/3/96 9,911,800
5,000,000 U.S. Treasury Bill 5.175 10/10/96 4,949,687
10,000,000 U.S. Treasury Bill 5.155 10/24/96 9,879,717
5,000,000 U.S. Treasury Bill 4.805 2/6/97 4,873,869
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $74,487,060) 74,487,060
-----------
REPURCHASE AGREEMENTS -- 42.6%
28,000,000 Agreement with Chase Securities Inc. dated
7/31/96 bearing 5.625% to be repurchased at
$28,004,375 on 8/1/96, collateralized by
$28,880,000 U.S. Treasury Bills with various
maturities and interest rates (market value
-- $28,560,427) 28,000,000
27,109,000 Agreement with Merrill Lynch Government
Securities Inc. dated 7/31/96 bearing 5.600%
to be repurchased at $27,113,217 on 8/1/96,
collateralized by $35,312,000 U.S. Treasury
Bills with various maturities and interest 27,109,000
rates (market value -- $27,654,651) TOTAL -----------
REPURCHASE AGREEMENTS (COST $55,109,000) 55,109,000
TOTAL INVESTMENTS (COST $129,596,060*) 100.1% 129,596,060
OTHER ASSETS AND LIABILITIES (NET) (0.1) (135,741)
------ -----------
NET ASSETS 100.0% $129,460,319
====== ===========
- --------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
10
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------- ---------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES -- 98.5%
ALABAMA -- 7.7%
$2,565,000 Alabama State, Housing Finance Authority, Multi-family Housing Revenue, (Royal
Gardens Apartments),
(Southtrust Bank, Alabama, LOC),
3.700% due 7/1/20+++ $ 2,565,000
1,400,000 Cullman, Alabama, Industrial Development Board, Industrial Revenue, (Pressac
Project), (NBD Bank N.A., LOC),
3.850% due 10/1/04+++ 1,400,000
1,000,000 Pell City, Alabama, Industrial Development Board, Industrial Development
Revenue, (General Signal Corporation),
(Wachovia Bank, Atlanta, LOC),
3.700% due 10/1/00+++ 1,000,000
3,850,000 Phenix City, Alabama, Industrial Development Board, (Georgia Kraft Project),
(Deutsche Bank, LOC),
3.600% due 12/1/15+ 3,850,000
----------
8,815,000
----------
ALASKA -- 0.4%
430,000 North Slope Boro, Alaska, General Obligation, Series G,
(AMBAC Insured),
7.500% due 6/30/97 443,702
----------
ARIZONA -- 1.7%
2,000,000 Maricopa County, Arizona, Pollution Control Revenue, (Arizona Public Service
Company), Series F, (Bank of America, LOC),
3.650% due 5/1/29+ 2,000,000
----------
CALIFORNIA -- 0.9%
1,000,000 San Bernardino County, California, Tax and Revenue Anticipation Notes, (Toronto
Dominion Bank, Landesbank Hessen, NY, LOC),
4.500% due 6/30/97 1,005,489
----------
CONNECTICUT -- 1.9%
1,200,000 Connecticut State, General Obligation, Putters, Series 27,
(Morgan Guaranty Trust Company, BPA),
3.600% due 3/15/12+++ 1,200,000
1,000,000 Connecticut State, Special Assessment Unemployment Compensation, Advance
Fund Revenue, (Connecticut Unemployment), Series C,
(FGIC Insured),
3.900% due 11/15/01++ 1,000,000
----------
2,200,000
----------
</TABLE>
See Notes to Financial Statements
11
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
DISTRICT OF COLUMBIA -- 4.0%
$2,500,000 District of Columbia, Health, Hospital and Nursing Home Revenue, (Abraham
& Laura Lisner Home for Aged Women),
(NationsBank Corporation of Georgia, LOC),
3.750% due 7/1/22+++ $ 2,500,000
2,070,000 District of Columbia, Housing Finance Agency, Multi-family Housing Revenue,
(NationsBank Corporation of Virginia, LOC),
3.750% due 7/1/97++ 2,070,000
-----------
4,570,000
-----------
FLORIDA -- 14.0%
1,700,000 Dade County, Florida, Industrial Development Authority, Industrial
Development Revenue, (Dolphins Stadium Project), Series B,
(Societe Generale, LOC),
3.650% due 1/1/16+++ 1,700,000
3,000,000 Jacksonville, Florida, Electric Authority Revenue, Municipal Securities
Treasury Receipts, Series SGA-17, (Societe Generale, BPA),
3.750% due 10/1/20+++ 3,000,000
2,500,000 Jacksonville, Florida, Industrial Development Revenue, (Trailer Marine
Project), (Bank of America, LOC),
3.400% due 2/1/14++++ 2,500,000
100,000 Marion County, Florida, Industrial Development Authority Revenue, Charter
Springs Hospital, (Bankers Trust Company, LOC),
3.600% due 7/1/04+++ 100,000
Orange County, Florida, Health Facilities Authority Revenue:
3,600,000 (Adventist Health System/Sunbelt), (Banque Paribas, LOC),
3.950% due 11/15/14+++ 3,600,000
2,600,000 Municipal Securities Treasury Receipts, Series SAK-12, (MBIA Insured),
(Credit Suisse, NY, BPA),
3.800% due 3/27/06+++ 2,600,000
1,555,000 Series D, (Citibank, BPA),
3.600% due 12/1/05++ 1,555,000
1,000,000 Palm Beach County, Florida, School District, Tax Anticipation Notes,
4.500% due 9/27/96 1,000,998
-----------
16,055,998
-----------
GEORGIA -- 2.0%
2,300,000 Burke County, Georgia, Development Authority, Pollution Control Revenue,
(Georgia Power Company Plant Vogtle Project), Series 2, (Georgia Power Company,
GTC),
3.650% due 4/1/25+ 2,300,000
-----------
</TABLE>
See Notes to Financial Statements
12
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
ILLINOIS -- 5.9%
$2,900,000 Chicago, Illinois, Municipal Securities Treasury Receipts, Series SAK-13,
(Credit Suisse, BPA),
3.800% due 7/1/13+++ $ 2,900,000
2,000,000 Chicago, Illinois, Park District, General Obligation, (FGIC Insured),
4.400% due 1/1/97 2,006,844
1,000,000 Cook County, Illinois, Municipal Securities Treasury Receipts, Series SGA-3,
(MBIA Insured), (Societe Generale, BPA),
3.800% due 11/15/23+++ 1,000,000
350,000 Darien, Illinois, Industrial Development Revenue, (Kinder Care Learning
Centers), Series C, (Toronto Dominion Bank, LOC),
3.950% due 2/1/01+++ 350,000
500,000 De Kalb, Illinois, Industrial Development Revenue, (Kinder Care Learning
Centers), Series C, (Toronto Dominion Bank, LOC),
3.950% due 2/1/01+++ 500,000
----------
6,756,844
----------
KANSAS -- 0.3%
400,000 Kansas State, Department of Transportation, Highway Revenue, Series B, (State
of Kansas, BPA),
3.550% due 9/1/14+++ 400,000
----------
KENTUCKY -- 1.7%
1,000,000 Kentucky Housing Corporation, Housing Revenue, Series B,
(Landesbank Hessen, LOC),
3.650% due 7/1/11++ 1,000,000
1,000,000 Graves County, Kentucky, (Seaboard Farms Project),
(Bank of New York, LOC),
3.800% due 12/1/12+++ 1,000,000
----------
2,000,000
----------
LOUISIANA -- 1.3%
1,200,000 Ascension Parish, Louisiana, Pollution Control Revenue, (Shell Oil Company
Project), (Shell Oil Company, GTC),
3.600% due 9/1/23+ 1,200,000
250,000 Baton Rouge, Louisiana, Sales and Use Tax, Series A, (FSA Insured),
9.000% due 8/1/97 261,830
----------
1,461,830
----------
</TABLE>
See Notes to Financial Statements
13
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MARYLAND -- 3.4%
$3,000,000 Maryland State, Community Development Administration, Department of Housing
and Community Development, (Single-family Program), Series 1,
3.450% due 4/1/17++ $ 3,000,000
300,000 Maryland State, Health & Higher Education Facilities Authority
Revenue, (Pooled Loan Program), Series B,
(First National Bank of Chicago, LOC),
3.650% due 4/1/23+++ 300,000
560,000 Saint Mary's County, Maryland, General Obligation, (MBIA Insured),
7.000% due 3/1/97 570,590
-----------
3,870,590
-----------
MASSACHUSETTS -- 4.4%
1,000,000 Massachusetts State, Water Pollution Abatement Trust, Water Pollution
Abatement Revenue, (Pooled Loan Program), Series 2,
4.400% due 2/1/97 1,004,634
1,000,000 New Bedford, Massachusetts, Revenue Anticipation Notes,
(Fleet National Bank, BPA),
4.500% due 6/30/97 1,004,820
Springfield, Massachusetts, Bond Anticipation Notes,
(Fleet National Bank, BPA):
1,000,000 4.250% due 2/14/97 1,002,345
1,000,000 4.500% due 6/27/97 1,004,343
1,000,000 4.600% due 7/11/97 1,004,527
-----------
5,020,669
-----------
MICHIGAN -- 0.3%
400,000 Dearborn, Michigan, Economic Development Corporation Revenue, (Oakbrook
Common Project), Limited Obligation,
(Mellon Bank N.A., LOC),
3.700% due 3/1/23+++ 400,000
-----------
MISSOURI -- 4.0%
Missouri State, Health & Educational Facilities Authority Revenue:
400,000 (Christian Health Services), Series B,
(Morgan Guaranty Trust Company, LOC),
3.450% due 11/1/19+++ 400,000
(Sisters of Mercy Health Systems):
750,000 Series A,
3.600% due 12/1/96 750,000
1,700,000 Series B, (ABN/AMRO Bank, LOC),
3.500% due 6/1/14+++ 1,700,000
900,000 Series D, (ABN/AMRO Bank, LOC),
3.500% due 6/1/19+++ 900,000
</TABLE>
See Notes to Financial Statements
14
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES
MISSOURI-(CONTINUED)
$ 900,000 (Washington University Project), Series A,
(Morgan Guaranty Trust Company, LOC),
3.600% due 9/1/10+++ $ 900,000
----------
4,650,000
----------
NEW JERSEY -- 3.0%
1,000,000 Jersey City, New Jersey, Bond Anticipation Notes, General Obligation,
4.750% due 9/27/96 1,001,135
1,400,000 New Jersey State, Economic Development Authority, Port Facility Revenue,
(Trailer Marine Crowley), (Chemical Bank, LOC),
3.300% due 9/1/22+++ 1,400,000
1,045,000 New Jersey State, Housing and Mortgage Finance Agency, Long Option Period,
Series C-76, (MBIA Insured), (Citibank, BPA),
3.500% due 10/1/15++ 1,045,000
-----------
3,446,135
-----------
NEW MEXICO -- 5.4%
1,700,000 Farmington, New Mexico, Pollution Control Revenue, (Arizona Public Service
Company), Series A, (Union Bank of Switzerland, LOC),
3.600% due 5/1/24+ 1,700,000
4,440,000 New Mexico, Mortgage Finance Authority, Long Option Period, Series B, (FGIC
Insured), (Citibank, BPA),
3.600% due 7/1/17++ 4,440,000
-----------
6,140,000
-----------
NEW YORK -- 1.6%
1,000,000 Nassau County, New York, Revenue Anticipation Notes,
General Obligation, Series A,
3.500% due 3/5/97 1,000,859
800,000 New York, New York, General Obligation, Series E-3,
(Industrial Bank of Japan Ltd., LOC),
3.700% due 5/15/97+ 800,000
-----------
1,800,859
-----------
NORTH CAROLINA -- 0.8%
900,000 North Carolina State, Medical Care Commission, Hospital Revenue, (Baptist
Hospital Project), Series B, (Wachovia Bank, NC, BPA),
3.550% due 6/1/22+++ 900,000
-----------
</TABLE>
See Notes to Financial Statements
15
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
PENNSYLVANIA -- 3.2%
$2,500,000 Pennsylvania State, Certificates of Participation, Municipal Securities
Treasury Receipts, Series SAK-9, (AMBAC Insured),
(Credit Suisse, NY, LOC),
3.800% due 8/20/99+++ $ 2,500,000
200,000 Pennsylvania State, Turnpike Commission, Turnpike Revenue, Series O, (FGIC
Insured),
4.250% due 12/1/96 200,617
1,000,000 Philadelphia, Pennsylvania, Tax and Revenue Anticipation Notes,
General Obligation, Series A,
4.500% due 6/30/97 1,004,820
-----------
3,705,437
-----------
RHODE ISLAND -- 1.1%
1,250,000 Rhode Island State, Housing and Mortgage Finance Corporation,
Multi-family Housing, Series A, (AMBAC Insured),
4.600% due 7/1/97 1,256,647
-----------
SOUTH CAROLINA -- 0.3%
300,000 South Carolina State, Jobs and Economic Development Authority,
Hospital Facilities Revenue, (Florence Housing Project), Series A,
(Credit Commerciale de France, LOC),
3.700% due 11/1/07+++ 300,000
-----------
TENNESSEE -- 4.2%
Chattanooga, Tennessee, Industrial Development Board, Industrial Development
Revenue:
1,300,000 (Market Street Ltd. Project), (Credit Suisse, LOC),
3.600% due 12/15/12+++ 1,300,000
3,500,000 (Warehouse Row Ltd. Project), (ABN/AMRO Bank, LOC),
3.600% due 12/15/12+++ 3,500,000
-----------
4,800,000
-----------
TEXAS -- 13.3%
815,000 Austin, Texas, Electric, Water and Sewer Revenue,
14.250% due 11/15/06++ 880,601
870,000 Austin, Texas, Utility System Revenue, Series A,
7.100% due 11/15/96 878,823
100,000 El Paso, Texas, Water and Sewer Revenue,
5.100% due 3/1/97 100,964
500,000 Grapevine, Texas, Industrial Development Corporation, Airport Revenue,
(Southern Air Transportation), (Bank of Montreal, LOC),
3.600% due 3/1/10+++ 500,000
</TABLE>
See Notes to Financial Statements
16
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
Texas (CONTINUED)
$2,700,000 Lubbock, Texas, Health Facilities Development Corporation,
Health Facilities Revenue, (Charter Plains Hospital),
(Bankers Trust Company, LOC),
3.600% due 10/1/13+++ $ 2,700,000
San Antonio, Texas, Airport Systems Revenue, Long Option Period, (AMBAC
Insured), (Citibank, BPA):
2,975,000 Series CR-127,
3.500% due 7/1/09++ 2,975,000
1,420,000 Series CR-131,
3.500% due 7/1/13++ 1,420,000
500,000 Texas State, A & M University Revenue, Municipal Securities Treasury Receipts,
Series SGA-21, (Societe Generale, BPA),
3.800% due 5/15/16+++ 500,000
2,600,000 Texas State, Tax and Revenue Anticipation Notes, Series A,
4.750% due 8/30/96 2,602,669
200,000 Texas State, Texas Parks and Wildlife Department, Recreational Revenue, General
Obligation,
4.500% due 10/1/96 200,392
2,500,000 Texas State, Water Development Board Revenue, Municipal Securities Treasury
Receipts, Series SGA-23, (Societe Generale, BPA),
3.800% due 7/15/17+++ 2,500,000
-----------
15,258,449
-----------
UTAH -- 0.9%
1,000,000 Intermountain Power Agency, Utah, Power Supply Revenue, Series C, Pre-refunded,
8.625% due 7/1/21++ 1,062,182
-----------
WASHINGTON -- 1.7%
500,000 King County, Washington, General Obligation, Series B,
4.000% due 1/1/97 500,800
1,400,000 Washington State, Housing Finance Commission, (Single-family Program), Series
1N-S, (FGIC Insured),
3.750% due 12/1/17++ 1,400,000
-----------
1,900,800
-----------
WISCONSIN -- 7.4%
2,000,000 West Milwaukee, Wisconsin, West Allis School District, Tax and Revenue
Anticipation Promissory Notes,
4.500% due 8/21/96 2,000,602
</TABLE>
See Notes to Financial Statements
17
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
Wisconsin (CONTINUED)
Wisconsin State, Public Power, Inc., Power Supply Systems Revenue, Municipal
Securities Treasury Receipts, (AMBAC Insured),
(Societe Generale, BPA):
$4,500,000 Series SGA-2,
3.800% due 7/1/21+++ $ 4,500,000
2,000,000 Series SGA-10,
3.800% due 7/1/14+++ 2,000,000
-----------
8,500,602
-----------
WYOMING -- 1.7%
2,000,000 Uinta County, Wyoming, Pollution Control Revenue,
(Chevron U.S.A. Inc. Project), (Chevron Corporation, GTC),
3.800% due 6/15/97++ 2,000,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $113,021,233*) 98.5% 113,021,233
OTHER ASSETS AND LIABILITIES (NET) 1.5 1,669,761
---- -----------
NET ASSETS 100.0% $114,690,994
====== ===========
</TABLE>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more than one
business day's notice.
The interest rate shown reflects the rate currently in effect.
++ Put bonds and notes have demand features which mature within one
year.
The interest rate shown reflects the rate currently in effect.
+++ Variable rate demand notes are payable upon not more than seven
business days' notice.
The interest rate shown reflects the rate currently in effect.
++++ Variable rate demand notes are payable upon not more than thirty
business days' notice.
The interest rate shown reflects the rate currently in effect.
AMBAC -- American Municipal Bond Assurance Corporation
BPA -- Instruments supported by bond purchase agreements
FGIC -- Federal Guaranty Insurance Corporation
FSA -- Financial Security Assurance
GTC -- Instruments guaranteed by corporation
LOC -- Instruments supported by bank letter of credit
MBIA -- Municipal Bond Investors Assurance
See Notes to Financial Statements
18
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
NOTE:
Approximately 85.0% of the municipal bonds and notes held by the Fund have
credit enhancement features backing them. Such features may have been
considered by the rating agency in rating these securities.
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS #
PERCENT
MOODY'S STANDARD & POOR'S OF VALUE
- --------------------------------------------------------------------------------
Aaa AAA 17.7%
Aa, Aa2, Aa3 AA 4.0
MIG1/VMIG1/P1 A-1/A-1+/SP-1/SP-1+ 70.1
NR NR 8.2
------
100.0%
======
# Bonds are not necessarily rated the same by both services. [001b]
See Notes to Financial Statements
19
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES -- 99.4%
ALABAMA -- 6.5%
$ 500,000 Alabama State Solid Waste Industrial Development Authority Revenue, (Pine
City Fiber Company Project), (Barclays Bank, LOC),
3.750% due 12/1/23+++ $ 500,000
2,200,000 Cullman, Alabama, Industrial Development Board, Industrial Revenue,
(Pressac Project), (NBD Bank N.A., LOC),
3.850% due 6/1/02+++ 2,200,000
3,000,000 Troy, Alabama, Industrial Development Board Revenue, (Hudson Sauces Inc.
Project), Series A, (AmSouth Bancorporation,
Birmingham, Alabama, LOC),
3.950% due 3/1/11+++ 3,000,000
7,000,000 Tuscaloosa County, Alabama, Industrial Development Authority, Solid Waste
Disposal Revenue, (Tuscaloosa Steel Corporation Project), (Bayerische
Landesbank, LOC),
3.650% due 9/1/20+++ 7,000,000
-----------
12,700,000
-----------
ARKANSAS -- 0.5%
1,000,000 Arkadelphia, Arkansas, Industrial Development Authority Revenue, (Siplast
Inc. Project), (Den Danske Bank, LOC),
3.850% due 4/1/11+++ 1,000,000
-----------
CALIFORNIA -- 3.3%
2,000,000 California Higher Education Loan Authority, Student Loan Revenue, Series
1987A, (SLMA, LOC),
3.750% due 7/1/02++ 2,000,000
3,025,000 California State Housing Finance Agency, Home Mortgage Revenue, Series J,
4.000% due 7/24/97 3,025,000
1,500,000 San Bernardino County, California, Tax and Revenue Anticipation
Notes, (Toronto Dominion Bank, Landesbank Hessen,
NY, LOC),
4.500% due 6/30/97 1,508,233
-----------
6,533,233
-----------
DISTRICT OF COLUMBIA -- 1.2%
2,400,000 District of Columbia, Housing Finance Agency, Multi-family Housing Revenue,
(Tyler House Project), (PNC Bank N.A., LOC),
3.850% due 8/1/25+++ 2,400,000
-----------
FLORIDA -- 7.4%
2,000,000 Broward County, Florida, Housing Finance Authority Revenue, Long Option Period,
Home Mortgage, Series D-5,
3.800% due 5/1/16++ 2,000,000
</TABLE>
See Notes to Financial Statements.
20
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
FLORIDA (CONTINUED)
$1,500,000 Hillsborough County, Florida, Industrial Development Authority, Pollution
Control Revenue, (Tampa Electric Company, Gannon),
3.650% due 5/15/18+++ $ 1,500,000
1,200,000 Jacksonville, Florida, Health Facilities Authority, Hospital Revenue,
(Baptist Medical Center Project), (MBIA Insured),
3.650% due 6/1/08+ 1,200,000
4,800,000 Okeechobee County, Florida, Solid Waste Revenue, (Chambers Waste Systems
of Florida), (Morgan Guaranty Trust Company, LOC),
3.800% due 3/1/06+++ 4,800,000
1,500,000 Orange County, Florida, Health Facilities Authority Revenue, Municipal
Securities Treasury Receipts, Series SAK-11,
(Credit Suisse, New York, LOC),
3.800% due 6/7/05+++ 1,500,000
1,000,000 Orange County, Florida, Housing Finance Authority, Single-family Mortgage
Revenue, Series B, (FNMA, GNMA Collateral),
3.650% due 4/1/29++ 1,000,000
2,400,000 St. John's County, Florida, Industrial Development Authority Revenue,
(Kredietbank, LOC),
3.800% due 12/1/16+++ 2,400,000
-----------
14,400,000
-----------
GEORGIA -- 2.6%
1,500,000 Bowdon, Georgia, Development Authority Industrial Revenue, (Trintex
Corporation Project), (First Union National Bank, LOC),
3.900% due 5/1/06+++ 1,500,000
1,000,000 Elbert County, Georgia, Development Authority, Industrial Revenue, (Seaboard
Farms), (Bank of New York, LOC),
3.650% due 7/1/05+++ 1,000,000
2,600,000 Savannah, Georgia, Economic Development Authority, (Home Depot Inc. Project),
Series A, (Home Depot Inc., GTC),
3.800% due 8/1/25+++ 2,600,000
-----------
5,100,000
-----------
HAWAII -- 1.3%
2,600,000 Secondary Market Services Corporation, Hawaii Student Loan Revenue, Senior
Series II, (National Westminster Bank, LOC),
3.650% due 9/1/10+++ 2,600,000
-----------
ILLINOIS -- 1.3%
900,000 Illinois Development Finance Authority, Industrial Revenue, (Bimba
Manufacturing Company Project), (Harris Trust & Savings Bank, LOC),
3.750% due 5/1/16+++ 900,000
</TABLE>
See Notes to Financial Statements
21
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------- --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
ILLINOIS (CONTINUED)
$ 700,000 Illinois Student Assistance Commission, Student Loan Revenue, Series A, (Bank
of America, LOC),
3.750% due 3/1/16+++ $ 700,000
700,000 Southwestern, Illinois, Development Authority, Industrial Revenue, (Robinson
Steel Company Inc. Project),
3.800% due 12/1/06+++ 700,000
250,000 Will and Kendall Counties, Illinois, Community Consolidated School District,
(AMBAC Insured),
5.500% due 1/1/97 252,235
-----------
2,552,235
-----------
INDIANA -- 1.9%
Indiana Secondary Market, Educational Loans, (AMBAC Insured):
1,000,000 Education Loan Revenue, Series B,
3.650% due 12/1/14+++ 1,000,000
800,000 Student Loan Revenue, Series B,
3.650% due 12/1/13+++ 800,000
Indiana State, Employment Development Revenue:
400,000 (Double Eagle Industries Inc. Project),
3.950% due 1/1/13 +++ 400,000
150,000 (Mobel Project), (Credit Commerciale de France, LOC),
3.950% due 1/1/14 +++ 150,000
1,300,000 (Shadeland Ventures Project), (Credit Commerciale de France, LOC),
3.950% due 1/1/14 +++ 1,300,000
-----------
3,650,000
-----------
IOWA -- 2.5%
5,000,000 Iowa Finance Authority, Solid Waste Disposal Revenue, (Cedar River Paper
Company Project), Series A, (Swiss Bank, LOC),
3.800% due 7/1/23+ 5,000,000
-----------
KENTUCKY -- 2.9%
2,000,000 Kentucky Housing Corporation, Housing Revenue, Series C,
3.700% due 7/1/28++ 2,000,000
3,600,000 Mayfield, Kentucky, Industrial Development Revenue, (Seaboard Farms of
Kentucky, Inc.), (Bank of New York, LOC),
3.800% due 8/1/19+++ 3,600,000
-----------
5,600,000
-----------
LOUISIANA -- 1.0%
2,000,000 Louisiana Public Facilities Authority Revenue, Student Loan Authority, Series
A-2,
5.300% due 9/1/96 2,002,924
-----------
</TABLE>
See Notes to Financial Statements
22
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MAINE -- 3.1%
$ 580,000 Ellsworth, Maine, General Obligation, (MBIA Insured),
4.750% due 11/1/96 $ 581,491
485,000 Lewiston, Maine, General Obligation, Series A, (FSA Insured),
6.000% due 3/1/97 492,230
5,000,000 Maine Public Utilities Financing Bank, Public Utilities Revenue, (Maine Public
Service Company Project), (Bank of New York, LOC),
3.850% due 4/1/21+++ 5,000,000
-----------
6,073,721
-----------
MARYLAND -- 4.6%
1,500,000 Carroll County, Maryland, Economic Development Revenue, (Evapco Inc. Project),
Series B, (NationsBank of Maryland, LOC),
3.800% due 1/1/11+++ 1,500,000
Maryland State, Community Development Administration,
Department of Housing and Community Development:
2,850,000 Multi-family Harbor City Program, Series C,
4.000% due 6/1/20+++ 2,850,000
1,500,000 Single-family Program, Series 2,
3.550% due 4/1/26++ 1,500,000
3,050,000 Montgomery County, Maryland, Housing Opportunity Commission,
Multi-family Housing Revenue, Series B,
3.900% due 11/14/96 3,050,000
-----------
8,900,000
-----------
MASSACHUSETTS -- 3.1%
670,000 Marblehead, Massachusetts, General Obligation Bond,
4.250% due 2/1/97 672,786
790,000 Massachusetts Educational Financing Authority, Education Loan Revenue, Issue
D, Series A, (MBIA Insured),
6.250% due 1/1/97 797,361
1,500,000 Massachusetts State, Housing Finance Agency, Housing Revenue,
Series A, (MBIA Insured),
3.950% due 12/1/96 1,501,929
1,100,000 New Bedford, Massachusetts, Revenue Anticipation Notes,
(Fleet National Bank, BPA),
4.500% due 6/30/97 1,105,302
Springfield, Massachusetts, Bond Anticipation Notes,
(Fleet National Bank, BPA):
1,000,000 4.500% due 6/27/97 1,004,343
1,000,000 4.600% due 7/11/97 1,004,527
-----------
6,086,248
-----------
</TABLE>
See Notes to Financial Statements.
23
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIAL BONDS AND NOTES-(CONTINUED)
MICHIGAN -- 0.2%
$ 400,000 Grand Rapids, Michigan, Water Supply Revenue,
(Societe Generale, LOC),
3.450% due 1/1/20+++ $ 400,000
----------
MISSISSIPPI -- 4.3%
1,276,000 Greenville, Mississippi, Industrial Development Revenue, (Mebane Parking
Corporation Project), (First Union National Bank, LOC),
3.900% due 7/1/99+++ 1,276,000
Mississippi Business Financial Corporation, Industrial Development Authority
Revenue:
300,000 (Air Cruisers Project), Series C,
3.850% due 10/1/04+++ 300,000
1,500,000 (Mississippi Banking Company Project), (First National Bank of Maryland,
LOC),
3.850% due 8/1/15 +++ 1,500,000
5,400,000 (Schuller International Inc. Project), (Bank of New York, LOC),
3.850% due 8/1/07 +++ 5,400,000
-----------
8,476,000
-----------
NEVADA -- 0.6%
370,000 Nevada State, General Obligation Revenue Bond,
8.500% due 12/1/96 376,005
700,000 Nevada State Department, Commercial Industrial Development Revenue, (Kinplex
Project), Series A, (Credit Commerciale de France, LOC),
3.850% due 1/1/09 +++ 700,000
-----------
1,076,005
-----------
NEW HAMPSHIRE -- 0.5%
1,000,000 New Hampshire State Housing Finance Authority, Single-family Revenue, Mortgage
Acquisition, Series A,
3.650% due 7/1/26++ 1,000,000
-----------
NEW JERSEY -- 1.9%
New Jersey Economic Development Authority Revenue,
(Wearbest Sil-Tex Mills Project), (Bank of New York, LOC):
20,000 Series A,
3.900% due 7/1/15+++ 20,000
780,000 Series B,
3.900% due 7/1/01+++ 780,000
3,000,000 New Jersey State, Housing and Mortgage Finance Agency, Long Option Period,
Series D-34, (MBIA Insured), (Citibank, BPA),
3.500% due 10/1/19 ++ 3,000,000
-----------
3,800,000
-----------
</TABLE>
See Notes to Financial Statements.
24
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW MEXICO -- 2.1%
New Mexico Educational Assistance Foundation, Student Loan Revenue:
$1,955,000 Series A, (AMBAC Insured), (Guaranteed Student Loans),
6.050% due 4/1/97 $ 1,980,876
1,000,000 Series 1-A, (Guaranteed Student Loans),
5.100% due 12/1/96 1,004,374
1,200,000 Santa Fe, New Mexico, Single-family Mortgage Revenue,
(FNMA, GNMA Collateral),
4.000% due 11/1/28++ 1,200,000
-----------
4,185,250
-----------
NEW YORK -- 3.2%
2,000,000 Nassau County, New York, Revenue Anticipation Notes,
General Obligation, Series A,
3.500% due 3/5/97 2,001,716
New York, New York, General Obligation, (Chemical Bank, LOC):
2,000,000 3.700% due 8/1/22+++ 2,000,000
1,200,000 3.700% due 8/1/23+++ 1,200,000
1,000,000 New York State Job Development Authority, Series C-1,
(Sumitomo Bank, LOC),
3.700% due 3/1/00+++ 1,000,000
-----------
6,201,716
-----------
NORTH DAKOTA -- 0.8%
1,500,000 North Dakota State Housing Finance Agency, Home Mortgage Revenue, Series
C,
3.850% due 4/3/97 1,500,000
OHIO -- 3.1% -----------
2,000,000 Brookville, Ohio, Industrial Development Revenue, (Green Tokai Company
Project), (Tokai Bank, LOC),
3.850% due 4/1/98+++ 2,000,000
1,000,000 Cincinnati, Ohio, Student Loan Funding Corporation, Student Loan Revenue,
Series C,
5.250% due 7/1/97 1,010,188
3,005,000 Ohio Housing Finance Agency, Single-family Mortgage Revenue, Long Option
Period, Series A-17,
3.400% due 2/1/16++ 3,005,000
-----------
6,015,188
-----------
OREGON -- 2.9%
3,900,000 Metropolitan Service, Oregon, Waste Disposal Revenue, (Riedel Oregon Compost
Company Project), Series A, (U.S. National Bank, LOC),
3.850% due 7/1/11 +++ 3,900,000
</TABLE>
See Notes to Financial Statements
25
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPLE BONDS AND NOTES (CONTINUED)
OREGON (CONTINUED)
Oregon State Economic Development Commission Revenue,
(First Interstate Bank of Oregon, LOC):
$ 990,000 Series B,
4.050% due 7/1/03+++ $ 990,000
805,000 Series C,
4.050% due 7/1/03+++ 805,000
-----------
5,695,000
-----------
PENNSYLVANIA -- 7.2%
Allegheny County, Pennsylvania, Development Authority, Hospital Revenue:
2,500,000 Presbyterian Health Center, Series A,
3.500% due 3/1/20+ 2,500,000
3,700,000 Presbyterian Health Center, Series B, (MBIA Insured),
3.500% due 3/1/20+ 3,700,000
3,665,000 Pennsylvania State, Certificates of Participation, Municipal Securities
Treasury Receipts, Series SAK-9, (AMBAC Insured), (Credit Suisse, NY, LOC),
3.800% due 8/20/99+++ 3,665,000
100,000 Pennsylvania State, Higher Education Assistance Agency, Student Loan Revenue,
Series A, (SLMA, LOC),
3.650% due 1/1/18+++ 100,000
2,000,000 Philadelphia, Pennsylvania, School District,
Tax and Revenue Anticipation Notes,
4.500% due 6/30/97 2,008,784
2,000,000 Philadelphia, Pennsylvania, Tax and Revenue Anticipation Notes,
General Obligation, Series A,
4.500% due 6/30/97 2,009,640
-----------
13,983,424
-----------
SOUTH CAROLINA -- 4.4%
South Carolina Jobs and Economic Development Authority:
Economic Development Revenue:
600,000 4.650% due 12/1/06+++ 600,000
400,000 (Kent Manufacturing Project), Series A,
(Credit Commerciale de France, LOC),
3.850% due 4/8/99+++ 400,000
1,200,000 (Old Claussens Project), (Bank of Tokyo, Ltd., LOC),
4.650% due 12/1/06+++ 1,200,000
1,255,000 (Osmose Wood Preserving Project), Series B,
3.850% due 12/1/04+++ 1,255,000
250,000 (Regal-Beloit Corporation Project), Series A,
(Credit Commerciale de France, LOC),
3.850% due 5/1/01+++ 250,000
</TABLE>
See Notes to Financial Statements.
26
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
South Carolina (CONTINUED)
South Carolina Jobs and Economic Development Authority (continued):
Economic Development Revenue (continued):
$ 700,000 (Rice Street Association Project), (Bank of Tokyo, Ltd., LOC),
4.650% due 12/1/07+++ $ 700,000
400,000 (Seacord Corporation/John O. Cram Project), Series B,
(Credit Commerciale de France, LOC),
3.950% due 9/1/03+++ 400,000
Hospital Facilities Revenue:
1,600,000 (Chambers Oakridge Landfill), (Morgan Guaranty Trust
Company, LOC),
3.800% due 12/1/01+++ 1,600,000
50,000 (Edens 321 Partnership), (South Carolina National Bank, LOC),
3.950% due 2/1/08+++ 50,000
800,000 (Jewish Community Center), (Bank of Tokyo, LOC),
3.850% due 12/1/99+++ 800,000
South Carolina, Student Loan Educational Assistance Authority Revenue:
250,000 6.800% due 9/1/96 250,565
1,000,000 6.900% due 9/1/96 1,002,639
-----------
8,508,204
-----------
TENNESSEE -- 9.8%
1,900,000 Collierville, Tennessee, Industrial Development Board, Industrial Revenue,
(ARCO Inc. Project), (Harris Trust and Savings Bank, LOC),
3.750% due 4/1/09+++ 1,900,000
2,400,000 Franklin County, Tennessee, Development Board, Industrial Revenue, (Franklin
Industries Inc. Project), (NationsBank Trust, LOC),
3.850% due 12/1/08+++ 2,400,000
5,200,000 McKenzie, Tennessee, Industrial Development Board, Industrial Revenue, (Noma
Outdoor Products Inc. Project),
3.800% due 2/1/01+++ 5,200,000
5,500,000 Metropolitan Government, Nashville and Davidson Counties, Tennessee, Series
SGA-11,
3.750% due 5/15/21+++ 5,500,000
500,000 Metropolitan Nashville Apartment Authority, Tennessee, (FGIC Insured),
4.800% due 7/1/97 503,326
1,700,000 Monroe County, Tennessee, Industrial Development Board, Industrial Revenue,
(American Transit Corporation Project),
3.800% due 8/1/06+++ 1,700,000
2,000,000 Oak Ridge, Tennessee, Industrial Development Board, Solid Waste Revenue,
(Sun Trust Bank of Atlanta, LOC),
3.800% due 1/1/06+++ 2,000,000
-----------
19,203,326
-----------
</TABLE>
See Notes to Financial Statements.
27
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
TEXAS -- 7.1%
$ 225,000 Llano, Texas, Independent School District, General Obligation,
(MBIA Insured),
6.300% due 8/1/96 $ 225,000
1,630,000 Mesquite, Texas, Housing Finance Corporation, Single-family Mortgage Revenue,
Series A,
3.700% due 1/1/15++ 1,630,000
500,000 Panhandle Plains, Texas, Higher Education Authority Inc., Student Loan Revenue,
Series A, (SLMA, LOC),
3.650% due 6/1/23+++ 500,000
2,775,000 Tarrant County, Texas, Housing Finance Corporation, Housing Revenue,
3.700% due 7/1/12++ 2,775,000
5,000,000 Texas State, Tax and Revenue Anticipation Notes, Series A,
4.750% due 8/30/96 5,005,175
3,300,000 Texas State, Veterans Housing Assistance Fund II, Series E,
3.900% due 12/1/26++ 3,300,000
400,000 Travis County, Texas, Housing Finance Corporation, Multi-family Housing
Revenue, (Primecrest Limited Project), Series B,
(Bank of America, LOC),
3.750% due 3/1/20+++ 400,000
-----------
13,835,175
-----------
UTAH -- 0.8%
1,535,000 Utah School District Finance Cooperative Revenue,
8.375% due 2/15/10++ 1,574,009
-----------
VERMONT -- 2.1%
1,900,000 Burlington, Vermont, Industrial Development Authority,
(Bank of New York, LOC),
3.450% due 12/1/11+++ 1,900,000
2,300,000 Vermont Industrial Development Authority, Industrial Revenue, (Burlington
Properties Project),
3.800% due 11/1/11+++ 2,300,000
-----------
4,200,000
-----------
VIRGINIA -- 0.3%
500,000 Fairfax County, General Obligation, Series C,
4.700% due 10/1/96 500,974
-----------
WASHINGTON -- 1.2%
2,250,000 Washington State, Housing Finance Commission, Single-family Program, Series
1A-S, (FGIC Insured),
3.800% due 12/1/28++ 2,250,000
-----------
</TABLE>
See Notes to Financial Statements.
28
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------ --------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
WEST VIRGINIA -- 0.1%
$ 200,000 West Virginia State, Housing Development, Housing Revenue, Series A,
7.000% due 11/1/96 $ 201,518
-----------
WISCONSIN -- 2.6%
5,000,000 West Milwaukee, Wisconsin, West Allis School District, Tax and Revenue
Anticipation Promissory Notes,
4.500% due 8/21/96 5,001,451
-----------
WYOMING -- 1.0%
2,000,000 Uinta County, Wyoming, Pollution Control Revenue,
(Chevron U.S.A. Inc., Project), (Chevron Corporation, GTC),
3.800% due 6/15/97++ 2,000,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $194,205,601*) 99.4% 194,205,601
OTHER ASSETS AND LIABILITIES (NET) 0.6 1,152,600
----- -----------
NET ASSETS 100.0% $195,358,201
===== ===========
</TABLE>
- --------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more than one business
day's notice.
The interest rate shown reflects the rate currently in effect.
++ Put bonds and notes have demand features which mature within one year.
The interest rate shown reflects the rate currently in effect.
+++ Variable rate demand notes are payable upon not more than seven
business days' notice.
The interest rate shown reflects the rate currently in effect.
AMBAC -- American Municipal Bond Assurance Corporation
BPA -- Instruments supported by bond purchase agreements
FGIC -- Federal Guaranty Insurance Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance
GNMA -- Government National Mortgage Association
GTC -- Instruments guaranteed by corporation
LOC -- Instruments supported by bank letter of credit
MBIA -- Municipal Bond Investors Assurance
SLMA -- Student Loan Marketing Association
See Notes to Financial Statements
29
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1996 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
NOTE:
Approximately 61.8% 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#
PERCENT
MOODY'S STANDARD & POOR'S OF VALUE
------- ----------------- --------
Aaa AAA 12.1%
Aa, Aa2, Aa3 AA/AA+ 4.5
MIG1/VMIG1/P-1 A-1/A-1+/SP-1/SP-1+ 70.0
NR NR 13.4
-----
100.0%
=====
# Bonds are not necessarily rated the same by both services.
See Notes to Financial Statements
30
[This Page Intentionally Left Blank]
31
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
-------------- ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments, at value
See accompanying schedules:
Securities $1,479,224,049 $612,845,032 $49,119,214
Repurchase agreements 798,035,000 84,505,000 12,423,000
-------------- ------------ ------------
Total investments 2,277,259,049 697,350,032 61,542,214
Cash 510 294 284
Receivable from Investment Adviser (Note 2) -- -- --
Interest receivable 13,479,563 9,641,897 192,763
Unamortized organization costs (Note 5) 18,298 18,298 18,326
-------------- ------------ ------------
Total Assets 2,290,757,420 707,010,521 61,753,587
-------------- ------------ ------------
LIABILITIES:
Investment Advisory fee payable (Note 2) 721,273 288,794 12,161
Administration fee payable (Note 2) 68,982 27,428 2,188
Service fee payable (Note 3) 71,692 2,935 2,108
Transfer Agent fees payable 42,260 17,470 1,270
Custodian fees payable (Note 2) 45,365 33,010 11,845
Registration and filing fees payable 20,331 19,133 19,133
Accrued Trustees' fees and expenses (Note 2) 5,370 2,550 145
Dividends payable 4,641,291 1,802,575 270,888
Payable for Fund shares redeemed -- -- 3,784
Accrued expenses and other payables 146,340 68,755 4,270
-------------- ------------ ------------
Total Liabilities 5,762,904 2,262,650 327,792
-------------- ------------ ------------
NET ASSETS $ 2,284,994,516 $ 704,747,871 $ 61,425,795
============== ============ ============
Investments, at cost (Note 1) $ 2,277,259,049 $ 697,350,032 $ 61,542,214
============== ============ ============
</TABLE>
See Notes to Financial Statements
32
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
--------- ------------ ------------ ------------
<S> <C> <C> <C>
$1,000,000 $ 74,487,060 $113,021,233 $194,205,601
-- 55,109,000 -- --
- ------------ ------------ ------------ ------------
1,000,000 129,596,060 113,021,233 194,205,601
45,935 985 1,060,278 40,070
4,098 -- -- --
19,250 11,657 795,149 1,542,746
18,326 18,298 18,326 18,326
- ------------ ------------ ------------ ------------
1,087,609 129,627,000 114,894,986 195,806,743
- ------------ ------------ ------------ ------------
-- 6,143 14,057 26,627
35 3,636 3,187 5,030
-- 4,194 -- 670
25 2,175 1,800 2,865
16,620 18,538 21,470 12,700
24,158 19,133 19,133 19,133
5 18 190 260
4,713 102,194 139,140 374,306
-- -- -- --
1,943 10,650 5,015 6,951
---------- ------------ ------------ ------------
47,499 166,681 203,992 448,542
---------- ------------ ------------ ------------
$ 1,040,110 $ 129,460,319 $ 114,690,994 $ 195,358,201
========== ============ ============ ============
$ 1,000,000 $ 129,596,060 $ 113,021,233 $ 194,205,601
========== ============ ============ ============
</TABLE>
See Notes to Financial Statements
33
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
----------- ------------ ------------
<S> <C> <C> <C>
NET ASSETS consist of:
Undistributed net investment income $ 19,757 $ 1,576 $ 1,817
Accumulated net realized loss on investments sold (500,890) (879,895) (4,414)
Par value 2,285,476 705,626 61,428
Paid-in capital in excess of par value 2,283,190,173 704,920,564 61,366,964
-------------- ------------- ------------
$2,284,994,516 $704,747,871 $61,425,795
============== ============ ===========
NET ASSETS:
Class A $1,964,272,037 $690,953,510 $52,938,349
============== ============ ===========
Class B $ 298,777,662 $ 13,794,161 $ 6,745,595
============== ============ ===========
Class C $ 16,581,279 $ 100 $ 1,741,751
============== ============ ===========
Class E $ 5,363,538 $ 100 $ 100
============== ============ ===========
SHARES OUTSTANDING:
Class A 1,964,717,743 691,819,489 52,939,627
============== ============ ===========
Class B 298,810,859 13,806,501 6,746,915
============== ============ ===========
Class C 16,582,887 100 1,741,750
============== ============ ===========
Class E 5,364,160 100 100
============== ============ ===========
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.
34
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
---------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 10 $ -- $ 4,796 $ 24,329
-- (202) (7,834) (26,703)
1,040 129,461 114,694 195,361
1,039,060 129,331,060 114,579,338 195,165,214
- ---------- ------------ ------------ -------------
$1,040,110 $129,460,319 $114,690,994 $ 195,358,201
========== ============ ============ =============
1,040,110 $111,066,603 $114,690,694 $ 193,476,364
========== ============ ============ =============
N/A $ 18,393,500 $ 100 $ 100
============ ============ =============
N/A $ 116 $ 100 $ 1,881,637
============ ============ =============
N/A $ 100 $ 100 $ 100
============ ============ =============
1,040,100 111,066,786 114,693,732 193,478,854
========== ============ ============ =============
N/A 18,393,529 100 100
============ ============ =============
N/A 116 100 1,881,521
============ ============ =============
N/A 100 100 100
============ ============ =============
$1.00 $1.00 $1.00 $1.00
========== ============ ============ =============
N/A $1.00 $1.00 $1.00
============ ============ =============
N/A $1.00 $1.00 $1.00
============ ============ =============
N/A $1.00 $1.00 $1.00
============ ============ =============
</TABLE>
See Notes to Financial Statements.
35
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JULY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
------------ ------------ ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest $91,500,371 $43,592,723 $2,447,586
----------- ----------- ----------
EXPENSES:
Investment Advisory fee (Note 2) 3,370,421 1,597,566 90,612
Administration fee (Note 2) 1,685,211 798,783 45,306
Service fee (Note 3):
Class B 335,213 24,604 18,080
Class C 24,339 -- 3,043
Class E 11,125 -- --
Transfer Agent fees (Note 2) -- -- 7,306
Custodian fees (Note 2) 231,149 116,016 15,099
Trustees' fees and expenses (Note 2) 32,567 15,788 821
Amortization of organization costs (Note 5) 6,096 6,096 6,108
Other 176,900 1,052 3,079
Fees waived by Investment Adviser, Administrator
and Custodian and/or expenses reimbursed by
Investment Adviser (Note 2) (2,467,913) (1,167,345) (86,686)
----------- ----------- ----------
Total expenses 3,405,108 1,392,560 102,768
----------- ----------- ----------
NET INVESTMENT INCOME 88,095,263 42,200,163 2,344,818
----------- ----------- ----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS
(Note 1) (323,088) (638,893) --
----------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $87,772,175 $41,561,270 $2,344,818
=========== =========== ==========
</TABLE>
See Notes to Financial Statements.
36
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
---------- ----------- ------------ ------------
<S> <C> <C> <C>
$66,007 $5,231,959 $2,101,283 $2,986,101
- ------- ---------- ---------- ----------
2,380 199,292 118,185 163,289
1,190 99,646 59,092 81,645
-- 43,963 -- --
-- 24,065 -- 2,963
-- -- -- --
-- 15,783 9,405 12,973
440 24,111 26,388 30,199
84 1,667 1,005 1,144
6,108 6,096 6,108 6,108
-- 28,043 4,077 5,083
(5,549) (195,089) (117,889) (153,472)
- ------- ---------- ---------- ----------
4,653 247,577 106,371 149,932
- ------- ---------- ---------- ----------
61,354 4,984,382 1,994,912 2,836,169
- ------- ---------- ---------- ----------
-- 602 (7,504) (26,703)
- ------- ---------- ---------- ----------
$61,354 $4,984,984 $1,987,408 $2,809,466
======= ========== ========== ==========
</TABLE>
See Notes to Financial Statements.
37
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JULY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
------------ ------------ ------------
<S> <C> <C> <C>
Net investment income $ 88,095,263 $ 42,200,163 $ 2,344,818
Net realized gain/(loss) on investments sold
during the period (323,088) (638,893) --
-------------- -------------- -------------
Net increase in net assets resulting from
operations 87,772,175 41,561,270 2,344,818
Distributions to shareholders from net
investment income:
Class A (80,692,233) (41,706,247) (1,942,375)
Class B (6,686,372) (493,916) (359,956)
Class C (339,679) -- (42,485)
Class E (376,979) -- (2)
Net increase/(decrease) in net assets from share
transactions (Note 4):
Class A (1,954,611,944) (2,062,806,751) (72,451,950)
Class B (25,676,621) (6,568,913) (7,912,934)
Class C 3,327,449 -- (964,715)
Class E (6,447,744) -- --
-------------- -------------- ------------
Net increase/(decrease) in net assets (1,983,731,948) (2,070,014,557) (81,329,599)
NET ASSETS:
Beginning of period 4,268,726,464 2,774,762,428 142,755,394
-------------- --------------- ------------
End of period $ 2,284,994,516 $ 4,747,871 $ 61,425,795
=============== =============== ============
Undistributed net investment income at
end of period $ 19,757 $ 1,576 $ 1,817
=============== =============== ============
</TABLE>
See Notes to Financial Statements.
38
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
---------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 61,354 $ 4,984,382 $ 1,994,912 $ 2,836,169
-- 602 (7,504) (26,703)
- ---------- ------------- ------------ -------------
61,354 4,984,984 1,987,408 2,809,466
(61,354) (3,811,146) (1,994,910) (2,809,923)
-- (848,484) (2) --
-- (324,752) -- (26,246)
-- -- -- --
(69,553) (72,309,630) 25,314,693 58,382,640
-- (9,513,109) -- --
-- (24,501,233) -- (87,043)
-- -- -- --
- ---------- ------------- ------------ -------------
(69,553) (106,323,370) 25,307,189 58,268,894
1,109,663 235,783,689 89,383,805 137,089,307
- ---------- ------------- ------------ -------------
$1,040,110 $ 129,460,319 $114,690,994 $195,358,201
========== ============= ============ ============
$ 10 $ -- $ 4,796 $ 24,329
========== ============= ============ ============
</TABLE>
See Notes to Financial Statements.
39
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED JANUARY 31, 1996
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
------------ ------------ ------------
<S> <C> <C> <C>
Net investment income $ 261,679,856 $ 171,047,983 $ 5,051,901
Net realized gain/(loss) on investments sold
during the year (159,065) 85,517 --
-------------- -------------- ------------
Net increase in net assets resulting from operations 261,520,791 171,133,500 5,051,901
Distributions to shareholders from net investment
income:
Class A (238,538,736) (169,378,776) (4,398,709)
Class B (21,823,102) (1,669,207) (591,902)
Class C (649,583) -- (60,017)
Class E (668,435) -- (1,273)
Distributions from net realized gains:
Class A -- -- --
Class C -- -- --
Net increase/(decrease) in net assets from share
transactions (Note 4):
Class A 2,380,528,113 1,283,989,103 85,310,538
Class B (18,185,110) (1,367,826) 5,336,571
Class C 6,010,548 -- 2,706,365
Class E 3,494,005 -- --
-------------- -------------- ------------
Net increase/(decrease) in net assets 2,371,688,491 1,282,706,794 93,353,474
NET ASSETS:
Beginning of year 1,897,037,973 1,492,055,634 49,401,920
-------------- -------------- ------------
End of year $4,268,726,464 $2,774,762,428 $142,755,394
============== ============== ============
Undistributed net investment income at
end of year $ 19,757 $ 1,576 $ 1,817
============== ============== ============
</TABLE>
See Notes to Financial Statements.
40
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
---------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 164,575 $ 23,125,866 $ 2,933,272 $ 6,815,881
-- (804) 1,988 30,323
- ------------- ------------ ------------- -------------
164,575 23,125,062 2,935,260 6,846,204
(164,555) (20,827,192) (2,933,268) (6,749,439)
(5) (1,678,955) (4) --
(5) (619,719) -- (60,733)
-- -- -- --
(10) -- -- (5,653)
-- -- -- (56)
(3,630,447) (185,419,998) 29,030,980 41,494,938
(100) 664,998 -- --
(200,107) 24,501,249 -- 1,968,464
(100) -- -- --
- ------------- ------------ ------------- -------------
(3,830,754) (160,254,555) 29,032,968 43,493,725
4,940,417 396,038,244 60,350,837 93,595,582
- ------------- ------------ ------------- -------------
$ 1,109,663 $ 235,783,689 $ 89,383,805 $ 137,089,307
============= ============= ============= =============
$ 10 $ -- $ 4,796 $ 24,329
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
41
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED YEAR YEAR PERIOD ENDED YEAR
7/31/96 ENDED ENDED ENDED 7/31/96 ENDED
(UNAUDITED) 1/31/96 1/31/95 1/31/94* (UNAUDITED) 1/31/96
----------- ------- ------- -------- ----------- -------
CLASS A CLASS A CLASS A CLASS A CLASS B CLASS B
----------- ------- ------- -------- ----------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- ----------- ----------- --------- ---------
Net investment income 0.0260 0.0592 0.0442 0.0310 0.0248 0.0567
Dividends from net investment
income (0.0260) (0.0592) (0.0442) (0.0310) (0.0248) (0.0567)
---------- ----------- ----------- ----------- --------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== =========== =========== =========== ========= =========
Total return++ 2.64% 6.08% 4.52% 3.14% 2.51% 5.38%
========== =========== =========== =========== ========= =========
Ratios to average net assets/
supplemental data:
Net assets, end of period (in 000's) $1,964,272 $ 3,919,186 $1,538,802 $2,866,353 $298,778 $324,474
Ratio of net investment income to
average net assets 5.25%+ 5.90% 4.30% 3.16%+ 5.00%+ 5.65%
Ratio of operating expenses to
average net assets 0.18%+ 0.17% 0.12% 0.11%+ 0.43%+ 0.42%
Ratio of operating expenses to
average net assets before fees
waived by the Investment
Adviser, Administrator,
Custodian and/or Transfer Agent
and/or expenses
reimbursed by the Investment
Adviser and Administrator 0.33%+ 0.25% 0.25% 0.33%+ 0.58%+ 0.50%
Net investment income per share
before waiver of fees by the
Investment Adviser,
Administrator, Custodian
and/or Transfer Agent and/or
expenses reimbursed by the
Investment Adviser and
Administrator $ 0.0253 $ 0.0583 $ 0.0428 $ 0.0289 $ 0.0241 $ 0.0558
- -------------------
* The Prime Money Market Fund Class A, Class B, Class C and Class E
shares commenced operations on
February 8, 1993, September 2, 1993, December 27, 1993, and October 6,
1994, respectively.
** All shares offered to the public on December 27, 1993 were redeemed on
December 28, 1993; therefore, total return deemed not to be meaningful.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
# Total net assets for Class C Shares were $100 at January 31, 1994.
</TABLE>
See Notes to FInancial Statements.
42
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
YEAR PERIOD ENDED YEAR YEAR PERIOD ENDED YEAR PERIOD
ENDED ENDED 7/31/96 ENDED ENDED ENDED 7/31/96 ENDED ENDED
1/31/95 1/31/94* (UNAUDITED) 1/31/96 1/31/95 1/31/94* (UNAUDITED) 1/31/96 1/31/95*
------- -------- ----------- ------- ------- -------- ----------- ------- --------
CLASS B CLASS B CLASS C CLASS C CLASS C CLASS C CLASS E CLASS E CLASS E
------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------- --------- --------- --------- --------- --------- --------- --------- ---------
0.0417 0.0110 0.0243 0.0557 0.0407 0.0001 0.0253 0.0577 0.0165
(0.0417) (0.0110) (0.0243) (0.0557) (0.0407) (0.0001) (0.0253) (0.0577) (0.0165)
- -------- --------- --------- --------- --------- --------- --------- --------- ---------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ========= ========= ========= ========= ========= ========= ========= =========
4.21% 0.99% 2.45% 5.71% 4.14% -- ** 2.56% 5.94% 1.66%
======== ========= ========= ========= ========= ========= ========= ========= =========
$342,673 $350,666 $ 16,581 $ 13,255 $ 7,245 -- # $ 5,364 $ 11,811 $ 8,318
4.05% 2.91%+ 4.90%+ 5.55% 3.95% 2.81%+ 5.10%+ 5.75% 4.15%+
0.37% 0.36%+ 0.53%+ 0.52% 0.47% 0.46%+ 0.33%+ 0.32% 0.27%+
0.50% 0.58%+ 0.68%+ 0.60% 0.60% 0.68%+ 0.48%+ 0.40% 0.39%+
$ 0.0403 $ 0.0102 $ 0.0236 $ 0.0548 $ 0.0393 $ 0.0001 $ 0.0246 $ 0.0568 $ 0.0160
</TABLE>
See Notes to Financial Statements.
43
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR YEAR
7/31/96 ENDED ENDED
(UNAUDITED) 1/31/96 1/31/95
----------- ------- -------
CLASS A CLASS A CLASS A
----------- ------- -------
<S> <C> <C> <C>
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
--------- ----------- -----------
Net investment income 0.0262 0.0594 0.0442
Dividends from net investment income (0.0262) (0.0594) (0.0442)
--------- ----------- -----------
ONet asset value, end of period $ 1.00 $ 1.00 $ 1.00
========= =========== ===========
Total return++ 2.65% 6.10% 4.51%
========= =========== ===========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's) $ 690,954 $2,754,390 $1,470,317
Ratio of net investment income to average net assets 5.29%+ 5.93% 4.20%
Ratio of operating expenses to average net assets 0.17%+ 0.17% 0.09%
Ratio of operating expenses to average net assets before
fees waived by the Investment Adviser, Administrator, Custodian
and/or Transfer Agent and/or expenses
reimbursed by the Investment Adviser and Administrator 0.32%+ 0.25% 0.25%
Net investment income per share before waiver of fees by the
Investment Adviser, Administrator, Custodian and/or Transfer
Agent and/or expenses reimbursed by the
Investment Adviser and Administrator $ 0.0255 $ 0.0585 $ 0.0426
- ------------------
* The Prime Value Money Market Fund Class A and Class B shares commenced
operations on February 8, 1993 and September 1, 1993, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
</TABLE>
See Notes to Finanacial Statements.
44
<TABLE>
<CAPTION>
SIX
MONTHS
PERIOD ENDED YEAR YEAR PERIOD
ENDED 7/31/96 ENDED ENDED ENDED
1/31/94* (UNAUDITED) 1/31/96 1/31/95 1/31/94*
-------- ----------- ------- ------- --------
CLASS A CLASS B CLASS B CLASS B CLASS B
------- ------- ------- ------- -------
<S> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------- --------- --------- --------- ---------
0.0315 0.0249 0.0569 0.0417 0.0125
(0.0315) (0.0249) (0.0569) (0.0417) (0.0125)
- ---------- --------- --------- --------- ---------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========= ========= ========= =========
3.21% 2.52% 5.84% 4.26% 1.26%
========== ========= ========= ========= =========
$3,981,184 $ 13,794 $ 20,372 $ 21,739 $ 17,504
3.23%+ 5.04%+ 5.68% 3.95% 2.98%+
0.07%+ 0.42%+ 0.42% 0.34% 0.32%+
0.36%+ 0.57%+ 0.50% 0.50% 0.61%+
$ 0.0287 $ 0.0242 $ 0.0560 $ 0.0398 $ 0.0113
</TABLE>
See Notes to Financial Statements.
45
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
Government Obligations Money Market Fund
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED YEAR YEAR PERIOD ENDED
7/31/96 ENDED ENDED ENDED 7/31/96
(UNAUDITED) 1/31/96 1/31/95 1/31/94* (UNAUDITED)
----------- ------- ------- -------- -----------
CLASS A CLASS A CLASS A CLASS A CLASS B
----------- ------- ------- ------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
Net investment income 0.0260 0.0585 0.0435 0.0309 0.0247
Dividends from net investment income (0.0260) (0.0585) (0.0435) (0.0309) (0.0247)
--------- --------- --------- --------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= =========
Total return++ 2.63% 6.01% 4.45% 3.14% 2.49%
========= ========= ========= ========= =========
Ratios to average net assets/
supplemental data:
Net assets, end of period (in 000's) $ 52,938 $125,390 $ 40,080 $121,532 $ 6,746
Ratio of net investment income to
average net assets 5.22%+ 5.82% 4.28% 3.18%+ 4.97%+
Ratio of operating expenses to average net
assets 0.18%+ 0.18% 0.16% 0.03%+ 0.43%+
Ratio of operating expenses to average net
assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/or Transfer Agent and/or
expenses reimbursed by the Investment
Adviser and Administrator 0.37%+ 0.32% 0.31% 0.53%+ 0.62%+
Net investment income per share
before waiver of fees by the
Investment Adviser, Administrator,
Custodian and/or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and Administrator $ 0.0251 $ 0.0571 $ 0.0419 $ 0.0261 $ 0.0238
- -------------------
* The Government Obligations Money Market Fund Class A, Class B, Class C
and Class E shares commenced operations February 8, 1993, August 16,
1993, April 18, 1995, and October 10, 1995, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
# Total net assets for Class B Shares were $100 at January 31, 1994.
Total net assets for Class E Shares were $100 at July 31, 1996 and
January 31, 1996.
</TABLE>
See Notes to Financial Statements.
46
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
YEAR YEAR PERIOD ENDED PERIOD ENDED PERIOD
ENDED ENDED ENDED 7/31/96 ENDED 7/31/96 ENDED
1/31/96 1/31/95 1/31/94* (UNAUDITED) 1/31/96* (UNAUDITED) 1/31/96*
------- ------- -------- ----------- -------- ----------- --------
CLASS B CLASS B CLASS B CLASS C CLASS C CLASS E CLASS E
------- ------- ------- ----------- ------- ----------- --------
<S> <C> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------- -------- --------- --------- --------- --------- ---------
0.0560 0.0410 0.0091 0.0242 0.0432 0.0252 0.0173
(0.0560) (0.0410) (0.0091) (0.0242) (0.0432) (0.0252) (0.0173)
- -------- -------- --------- --------- --------- --------- ---------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ========= ========= ========= ========= =========
5.76% 4.19% 0.90% 2.45% 4.40% 2.55% 1.74%
======== ======== ========= ========= ========= ========= =========
$ 14,659 $ 9,322 -- # $ 1,742 $ 2,706 -- # -- #
5.57% 4.03% 2.93%+ 4.87%+ 5.47%+ 5.07%+ 5.67%+
0.43% 0.41% 0.28%+ 0.53%+ 0.53%+ 0.33%+ 0.33%+
0.57% 0.56% 0.78%+ 0.72%+ 0.67%+ 0.52%+ 0.47%+
$ 0.0546 $ 0.0394 $ 0.0075 $ 0.0233 $ 0.0421 $ 0.0243 $ 0.0168
</TABLE>
See Notes to Financial Statements.
47
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
7/31/96 ENDED ENDED ENDED
(UNAUDITED) 1/31/96 1/31/95 1/31/94*
----------- ------- ------- --------
CLASS A CLASS A CLASS A CLASS A
----------- ------- ------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- --------- ---------
Net investment income 0.0258 0.0585 0.0421 0.0304
Less distributions:
Dividends from net investment income (0.0258) (0.0585) (0.0421) (0.0304)
Distributions from net realized gains -- (0.0000)+++ -- --
-------- -------- --------- ---------
Total distributions (0.0258) (0.0585) (0.0421) (0.0304)
-------- -------- --------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ========= ========= =========
Total return++ 2.62% 6.01% 4.26% 3.09%
======== ========= ========= =========
Ratios to average net assets/
supplemental data:
Net assets, end of period (in 000's) $ 1,040 $ 1,110 $ 4,740 $ 41,709
Ratio of net investment income to average net assets 5.16%+ 5.62% 3.52% 3.11%+
Ratio of operating expenses to average net assets 0.39%+ 0.26% 0.17% 0.06%+
Ratio of operating expenses to average net assets
before fees waived by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and Administrator 0.86%+ 1.76% 0.77% 0.92%+
Net investment income per share before waiver of
fees by the Investment Adviser,
Administrator, Custodian and/or Transfer Agent
and/or expenses reimbursed by the
Investment Adviser and Administrator $ 0.0235 $ 0.0429 $ 0.0350 $ 0.0220
- ---------------------
* The Cash Management Fund Class A shares commenced operations on
February 8, 1993.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
+++ Amount represents less than $0.0001 per share.
</TABLE>
See Notes to Finanicial Statements.
48
[This Page Intentionally Left Blank]
49
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR YEAR PERIOD
7/31/96 ENDED ENDED ENDED
(UNAUDITED) 1/31/96 1/31/95 1/31/94*
----------- ------- ------- --------
CLASS A CLASS A CLASS A CLASS A
----------- ------- ------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- ---------
Net investment income 0.0251 0.0566 0.0424 0.0300
Dividends from net investment income (0.0251) (0.0566) (0.0424) (0.0300)
--------- --------- --------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= =========
Total return++ 2.54% 5.80% 4.32% 3.04%
========= ========= ========= =========
Ratios to average net assets/supplemental
data:
Net assets, end of period (in 000's) $ 111,067 $183,376 $368,796 $156,782
Ratio of net investment income to average
net assets 5.07%+ 5.69% 4.38% 3.12%+
Ratio of operating expenses to average net
assets 0.18%+ 0.18% 0.12% 0.03%+
Ratio of operating expenses to average net
assets before fees waived by the
Investment Adviser, Administrator,
Custodian and/or Transfer Agent and/or
expenses reimbursed by the Investment
Adviser and Administrator 0.38%+ 0.27% 0.27% 0.49%+
Net investment income per share before
waiver of fees by the Investment Adviser,
Administrator, Custodian and/or Transfer
Agent and/or expenses reimbursed by the
Investment Adviser and Administrator $ 0.0242 $ 0.0557 $ 0.0407 $0.0256
- ---------------------
* The Treasury Instruments Money Market Fund II Class A, Class B and
Class C shares commenced operations on February 8, 1993, May 24, 1993
and August 10, 1995, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
# Total net assets for Class C Shares were $116 at July 31, 1996.
</TABLE>
See Notes to Financial Statements.
50
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED YEAR YEAR PERIOD ENDED PERIOD
7/31/96 ENDED ENDED ENDED 7/31/96 ENDED
(UNAUDITED) 1/31/96 1/31/95 1/31/94* (UNAUDITED) 1/31/96*
----------- ------- ------- -------- ----------- --------
CLASS B CLASS B CLASS B CLASS B CLASS C CLASS C
----------- ------- ------- -------- ----------- --------
<S> <C> <C> <C> <C> <C>
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- --------- --------- --------- --------- --------- ---------
0.0239 0.0541 0.0399 0.0198 0.0234 0.0248
(0.0239) (0.0541) (0.0399) (0.0198) (0.0234) (0.0248)
- --------- --------- --------- --------- --------- ---------
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= ========= =========
2.40% 5.54% 4.05% 2.00% 2.38% 2.50%
========= ========= ========= ========= ========= =========
$ 18,394 $ 27,907 $ 27,242 $ 33,862 -- # $ 24,501
4.82%+ 5.44% 4.13% 2.87%+ 4.72%+ 5.34%+
0.43%+ 0.43% 0.37% 0.28%+ 0.53%+ 0.53%+
0.63%+ 0.52% 0.52% 0.74%+ 0.73%+ 0.62%+
$ 0.0230 $ 0.0532 $ 0.0384 $ 0.0166 $ 0.0225 $ 0.0244
</TABLE>
See Notes to Financial Statements.
51
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED YEAR YEAR PERIOD ENDED YEAR PERIOD
7/31/96 ENDED ENDED ENDED 7/31/96 ENDED ENDED
(UNAUDITED) 1/31/96 1/31/95 1/31/94* (UNAUDITED) 1/31/96 1/31/95*
----------- ------- ------- -------- ----------- ------- --------
CLASS A CLASS A CLASS A CLASS A CLASS B CLASS B CLASS B
----------- ------- ------- -------- ----------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- --------- ---------
Net investment income 0.0169 0.0386 0.0288 0.0228 0.0156 0.0361 0.0030
Dividends from net investment
income (0.0169) (0.0386) (0.0288) (0.0228) (0.0156) (0.0361) (0.0030)
--------- --------- --------- --------- --------- --------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= ========= ========= =========
Total return++ 1.69% 3.94% 2.93% 2.30% 1.57% 3.69% 0.30%
========= ========= ========= ========= ========= ========= =========
Ratios to average net assets/
supplemental data:
Net assets, end of period
(in 000's) $ 114,691 $ 89,384 $ 60,351 $ 59,735 -- # -- # -- #
Ratio of net investment income
to average net assets 3.38%+ 3.86% 2.99% 2.38%+ 3.13%+ 3.61% 2.74%+
Ratio of operating expenses to
average net assets 0.18%+ 0.18% 0.16% 0.11%+ 0.43%+ 0.43% 0.41%+
Ratio of operating expenses to
average net assets before fees
waived by the Investment
Adviser, Administrator,
Custodian and/or Transfer
Agent and/or expenses
reimbursed by the Investment
Adviser and Administrator 0.38%+ 0.35% 0.38% 1.52%+ 0.63%+ 0.60% 0.63%+
Net investment income per share
before waiver of fees by the
Investment Adviser,
Administrator, Custodian
and/or Transfer Agent and/
or expenses reimbursed by the
Investment Adviser and
Administrator $ 0.0159 $ 0.0369 $ 0.0266 $ 0.0093 $ 0.0146 $ 0.0344 $0.0009
- ----------------------
* The Tax-Free Money Market Fund Class A and Class B shares commenced
operations on February 8, 1993 and December 30, 1994, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
# Total net assets for Class B Shares were $100 at July 31, 1996, January
31, 1996 and January 31, 1995, respectively.
</TABLE>
See Notes to Financial Statements.
52
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX SIX
MONTHS MONTHS
ENDED YEAR YEAR PERIOD ENDED PERIOD
7/31/96 ENDED ENDED ENDED 7/31/96 ENDED
(UNAUDITED) 1/31/96 1/31/95 1/31/94* (UNAUDITED) 1/31/96*
----------- ------- ------- -------- ----------- --------
CLASS A CLASS A CLASS A CLASS A CLASS C CLASS C
----------- ------- ------- -------- ----------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- --------
Net investment income 0.0174 0.0396 0.0300 0.0243 0.0156 0.0284
Less distributions:
Dividends from net investment
income (0.0174) (0.0396) (0.0300) (0.0243) (0.0156) (0.0284)
Distributions from net realized
gains -- (0.0000)+++ -- -- -- (0.0000)+++
--------- --------- --------- --------- --------- --------
Total distributions (0.0174) (0.0396) (0.0300) (0.0243) (0.0156) (0.0284)
--------- --------- --------- --------- --------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= ========= ========
Total return++ 1.76% 4.03% 3.04% 2.46% 1.58% 2.88%
========= ========= ========= ========= ========= ========
Ratios to average net assets/
supplemental data:
Net assets, end of period (in
000's) $ 193,476 $135,120 $ 93,595 $350,975 $ 1,882 $ 1,969
Ratio of net investment income to
average net assets 3.48%+ 3.95% 2.86% 2.53%+ 3.13%+ 3.60%+
Ratio of operating expenses to
average net assets 0.18%+ 0.18% 0.15% 0.13%+ 0.53%+ 0.53%+
Ratio of operating expenses to
average net assets before fees
waived by the Investment
Adviser, Administrator,
Custodian and/or Transfer Agent
and/or expenses
reimbursed by the Investment
Adviser and Administrator 0.37%+ 0.30% 0.31% 0.51%+ 0.72%+ 0.65%+
Net investment income per share
before waiver of fees by
the Investment Adviser,
Administrator, Custodian and/or
Transfer Agent and/or expenses
reimbursed by the Investment
Adviser and Administrator $ 0.0165 $ 0.0384 $ 0.0283 $ 0.0201 $ 0.0147 $ 0.0275
- ---------------------
* The Municipal Money Market Fund Class A and Class C shares commenced
operations on February 8, 1993 and April 18, 1995, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods
indicated.
+++ Amount represents less than $0.0001 per share.
</TABLE>
See Notes to Financial Statements.
53
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION AND 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 seven funds offered to
the public: Prime Money Market Fund, Prime Value Money Market Fund, Government
Obligations Money Market Fund, Cash Management Fund, Treasury Instruments Money
Market Fund II, Tax-Free Money Market Fund and Municipal Money Market Fund
(collectively, the "Funds"). All the Funds, except Cash Management Fund,
currently offer four classes of shares: Class A, Class B, Class C and Class E.
Cash Management Fund currently offers Class A Shares only. Class A shares are
sold to institutional investors that have not entered into servicing agreements.
Class B, Class C and Class E shares are sold to institutional investors and bear
service fees. All classes of shares have identical rights and privileges except
that Class B, Class C and Class E possess certain exclusive voting rights on
matters relating to their respective service fees.
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. The following is a
summary of significant accounting policies consistently followed by the Funds in
the preparation of their financial statements.
Portfolio valuation: Securities of the Funds are valued at amortized cost,
which approximates market value. Amortized cost valuation involves valuing a
security at cost initially, and, thereafter, assuming a constant amortization to
maturity of any discount or premium, as long as the effect of fluctuating
interest rates on the market value of the instruments is not significant.
Repurchase agreements: Certain Funds may engage in repurchase agreement
transactions. The Fund values repurchase agreements at cost and accrues interest
into interest receivable. Under the terms of a typical repurchase agreement, a
Fund takes possession of the underlying debt obligation subject to an obligation
of the seller to repurchase, and the Fund to resell, the obligation at an
agreed-upon price and time, thereby determining the yield during the Fund's
holding period. This arrangement results in a fixed rate of return that is not
subject to market fluctuations during the Fund's holding period. The value of
the collateral, taken as a part of the repurchase agreement, is at least equal
at all times to the total amount of the repurchase obligations, including
interest. In the event of counterparty default, the Fund has the right to use
the collateral to offset losses incurred. There is potential loss to the Fund in
the event the Fund is delayed or prevented from exercising its rights to dispose
of the collateral securities, including the risk of a possible decline in the
value of the underlying securities during the period while the Fund seeks to
assert its rights. The Trust's Investment Adviser, acting under the supervision
of the Board of Trustees, reviews the value of the collateral and the
creditworthiness of those banks and dealers with which the Fund enters into
repurchase agreements to evaluate potential risks.
Securities transactions and investment income: Securities transactions are
recorded as of the trade date. Realized gains and losses on investments sold are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis. Investment income and realized 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 pro-rated among the
classes to which the expense relates based on the relative net assets of each
class of shares.
54
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Federal income taxes: The Funds have qualified and intend to qualify each
year as regulated investment companies pursuant to the requirements of the
Internal Revenue Code of 1986, as amended. The Funds distribute substantially
all of their taxable income to their shareholders, therefore, no Federal income
tax provision is required.
Dividends and distributions to shareholders: Dividends from net investment
income of each Fund are determined on a class level, declared daily and paid
monthly. The Funds do not expect to realize any net long-term capital gains and,
therefore, do not contemplate payments of any capital gains dividends.
Income dividends and capital gain distributions, if any, 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 a 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 1, 1996. LBGAM is a wholly-owned subsidiary of Lehman Brothers Holdings
Inc. ("Holdings"). Under the Investment Advisory Agreements, LBGAM is entitled
to receive a monthly fee at the annual rate of 0.20% of the value of each Fund's
average daily net assets. For the six months ended July 31, 1996, LBGAM
voluntarily waived fees and reimbursed expenses as follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
----------- -------------------
<S> <C> <C>
Prime Money Market Fund $1,125,006 --
Prime Value Money Market Fund 527,344 --
Government Obligations Money Market Fund 42,668 --
Cash Management Fund 2,380 $ 1,936
Treasury Instruments Money Market Fund II 107,860 --
Tax-Free Money Market Fund 63,450 --
Municipal Money Market Fund 80,156 --
</TABLE>
First Data Investor Services Group, Inc. ("FDISG"), a wholly-owned
subsidiary of First Data Corporation, serves as the Trust's Administrator
pursuant to an Administration Agreement. Under the Administration Agreement,
FDISG 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. FDISG also serves as the Trust's
Transfer Agent and receives additional fees for such services. For the six
months ended July 31, 1996, FDISG waived fees as follows:
<TABLE>
<CAPTION>
FEES WAIVED
-----------
<S> <C>
Prime Money Market Fund $1,197,437
Prime Value Money Market Fund 567,001
Government Obligations Money Market Fund 32,273
Cash Management Fund 838
Treasury Instruments Money Market Fund II 70,917
Tax-Free Money Market Fund 42,204
Municipal Money Market Fund 58,281
</TABLE>
55
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
No officer or employee of Lehman Brothers Inc. ("Lehman Brothers"), LBGAM,
FDISG 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, LBGAM, FDISG or any parent, subsidiary or affiliate thereof $20,000
per annum, plus $1,250 per meeting attended, and reimburses each such Trustee
for travel and out-of-pocket expenses.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect
wholly-owned subsidiary of Mellon Bank Corporation, serves as the Funds'
custodian. For the six months ended July 31, 1996, Boston Safe waived fees as
follows:
<TABLE>
<CAPTION>
FEES WAIVED
-----------
<S> <C>
Prime Money Market Fund $145,470
Prime Value Money Market Fund 73,000
Government Obligations Money Market Fund 11,745
Cash Management Fund 395
Treasury Instruments Money Market Fund II 16,312
Tax-Free Money Market Fund 12,235
Municipal Money Market Fund 15,035
</TABLE>
3. SERVICE AGREEMENTS
Lehman Brothers acts as Distributor of the Trust's shares. Pursuant to Rule
12b-1 under the Investment Company Act of 1940, as amended, the Funds have
adopted either Service Agreements or Service and Distribution Agreements
("Service Agreements") with institutional investors such as banks, savings and
loan associations and other financial institutions ("Service Organizations")
which may purchase Class B, Class C and Class E shares. Under the Service
Agreements, each Fund compensates Service Organizations for providing certain
services to the Funds and holders of Class B, Class C and Class E shares.
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: 0.25% for the Class B shares, 0.35% for the Class C shares and 0.15%
for the Class E shares.
4. SHARES OF BENEFICIAL INTEREST
The Trustees have authority to issue an unlimited number of $0.001 par
value shares of beneficial interest currently divided into four classes for each
Fund, except for the Cash Management Fund. Since the Funds have sold shares,
issued shares as reinvestments of dividends and redeemed shares only at a
constant net asset value of $1.00 per share, the number of shares represented by
such sales, reinvestments and redemptions is the same as the amounts shown below
for such transactions.
The tables below summarize transactions of each class of shares, at $1.00:
<TABLE>
<CAPTION>
PRIME MONEY SIX MONTHS ENDED
MARKET FUND: 7/31/96
-------------------------------------------------------------------
CLASS A CLASS B CLASS C CLASS E
------- ------- ------- -------
<S> <C> <C> <C> <C>
SOLD $ 24,625,827,257 $ 1,563,824,289 $ 22,543,809 $ 296,678,659
Dividend Reinvestment 39,930,733 37,982 53,151 376,977
Redeemed (26,620,369,934) (1,589,538,892) (19,269,511) (303,503,380)
--------------- -------------- ----------- ------------
Net increase/(decrease) $ (1,954,611,944) $ (25,676,621) $ 3,327,449 $ (6,447,744)
================ =============== ============ =============
</TABLE>
56
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PRIME MONEY YEAR ENDED
MARKET FUND:(CONTINUED) 1/31/96
-----------------------------------------------------------------------
CLASS A CLASS B CLASS C CLASS E
------- ------- ------- -------
<S> <C> <C> <C> <C>
SOLD $97,578,640,948 $2,718,357,901 $56,321,073 $603,114,534
Dividend Reinvestment 95,915,354 175,069 107,551 668,432
Redeemed (95,294,028,189) (2,736,718,080) (50,418,076) (600,288,961)
--------------- -------------- ----------- ------------
Net increase/(decrease) $ 2,380,528,113 $ (18,185,110) $ 6,010,548 $ 3,494,005
================= ================ ============= =============
</TABLE>
<TABLE>
<CAPTION>
PRIME VALUE MONEY SIX MONTHS ENDED
MARKET FUND: 7/31/96
-----------------------------------------
CLASS A CLASS B
------- -------
<S> <C> <C>
Sold $ 13,473,760,953 $ 119,424,275
Dividend Reinvestment 16,873,117 1,030
Redeemed (15,553,440,821) (125,994,218)
--------------- ------------
Net decrease $ (2,062,806,751) $ (6,568,913)
================ ==============
YEAR ENDED
1/31/96
----------------------------------------
CLASS A CLASS B
------- -------
Sold $ 47,981,427,671 $ 253,136,580
Dividend Reinvestment 59,366,207 900
Redeemed (46,756,804,775) (254,505,306)
--------------- ------------
Net increase/(decrease) $ 1,283,989,103 $ (1,367,826)
================= =============
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT OBLIGATIONS SIX MONTHS ENDED
MONEY MARKET FUND: 7/31/96
------------------------------------------------
CLASS A CLASS B CLASS C
------- ------- -------
<S> <C> <C> <C>
Sold $ 428,783,136 $ 34,450,012 $ 2,640,809
Dividend Reinvestment 380,964 4,496 4,651
Redeemed (501,616,050) (42,367,442) (3,610,175)
------------ ----------- ----------
Net decrease $ (72,451,950) $ (7,912,934) $ (964,715)
============= ============ ===========
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/96
----------------------------------------------------------
CLASS A CLASS B CLASS C* CLASS E*
------- ------- -------- --------
<S> <C> <C> <C> <C>
Sold $1,069,873,758 $ 58,867,348 $ 5,589,114 $ 588,760
Dividend Reinvestment 454,193 18,871 7 1,314
Redeemed (985,017,413) (53,549,648) (2,882,756) (590,074)
------------ ----------- ---------- --------
Net increase $ 85,310,538 $ 5,336,571 $ 2,706,365 $ --
============== ============ =========== ==========
</TABLE>
57
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
CASH MANAGEMENT FUND: 7/31/96
-------------
CLASS A
-------------
<S> <C>
Sold $ 172,127,998
Dividend Reinvestment 1,581
Redeemed (172,199,132)
------------
Net decrease $ (69,553)
=============
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/96
------------------------------------------------
CLASS A CLASS B CLASS C CLASS E
------- ------- ------- -------
<S> <C> <C> <C> <C>
Sold $ 390,296,226 $ -- $ -- $ --
Dividend Reinvestment 1,563 -- 4 --
Redeemed (393,928,236) (100) (200,111) (100)
------------ ---- -------- ----
Net decrease $ (3,630,447) $ (100) $(200,107) $ (100)
============== ======= ========= ======
</TABLE>
<TABLE>
<CAPTION>
TREASURY INSTRUMENTS MONEY SIX MONTHS ENDED
MARKET FUND II: 7/31/96
-----------------------------------------------
CLASS A CLASS B CLASS C
------- ------- -------
<S> <C> <C> <C>
Sold $ 895,100,806 $ 245,315,947 $ --
Dividend Reinvestment 2,628,065 458,851 240,469
Redeemed (970,038,501) (255,287,907) (24,741,702)
------------ ------------ -----------
Net decrease $ (72,309,630) $ (9,513,109) $(24,501,233)
============== ============= ============
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/96
-----------------------------------------------
CLASS A CLASS B CLASS C*
------- ------- --------
<S> <C> <C> <C>
Sold $ 5,000,089,634 $ 225,104,138 $ 25,311,812
Dividend Reinvestment 7,213,775 1,476,228 554,788
Redeemed (5,192,723,407) (225,915,368) (1,365,351)
-------------- ------------ ----------
Net increase/(decrease) $ (185,419,998) $ 664,998 $ 24,501,249
=============== ============= ============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS
TAX-FREE MONEY ENDED
MARKET FUND: 7/31/96
----------
CLASS A
----------
<S> <C>
Sold $ 555,527,357
Dividend Reinvestment 1,081,523
Redeemed (531,294,187)
-------------
Net increase $ 25,314,693
=============
</TABLE>
58
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
TAX-FREE MONEY YEAR ENDED
MARKET FUND (CONTINUED): 1/31/96
--------------------------------------
CLASS A CLASS B
------- -------
<S> <C> <C>
SOLD $ 768,188,301 $ --
Dividend Reinvestment 558,812 31
Redeemed (739,716,133) (31)
------------ ---------
Net increase $ 29,030,980 $ --
============= =========
MUNICIPAL MONEY SIX MONTHS ENDED
MARKET FUND: 7/31/96
---------------------------------------
CLASS A CLASS C
------- -------
SOLD $ 1,437,048,956 $ 2,941,160
Dividend Reinvestment 552,219 --
Redeemed (1,379,218,535) (3,028,203)
-------------- ----------
Net increase/(decrease) $ 58,382,640 $ (87,043)
=============== ===========
YEAR ENDED
1/31/96
--------------------------------------
CLASS A CLASS C*
------- --------
Sold $ 2,859,696,960 $ 7,263,120
Dividend Reinvestment 1,821,819 4
Redeemed (2,820,023,841) (5,294,660)
-------------- ----------
Net increase $ 41,494,938 $ 1,968,464
=============== ===========
- ----------------------
* The Class C shares of the Government Obligations Money Market Fund, Treasury
Instruments Money Market Fund II and the Municipal Money Market Fund commenced
operations on April 18, 1995, August 10, 1995 and April 18, 1995,
respectively. The Class E shares of the Government Obligations Money Market
Fund commenced operations on October 10, 1995.
</TABLE>
As of July 31, 1996, the following Funds had each issued 100 shares to the
following classes in the amount of $100 for Lehman Brothers:
<TABLE>
<CAPTION>
CLASS
-----
<S> <C>
Prime Value Money Market Fund C, E
Government Obligations Money Market Fund E
Treasury Instruments Money Market Fund II E
Tax-Free Money Market Fund B, C, E
Municipal Money Market Fund B, E
</TABLE>
During the six months ended July 31, 1996, no income or expenses were
allocated to Class B, Class C or Class E shares that did not have capital stock
activity during the period.
59
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. ORGANIZATION COSTS
The Funds bear all costs in connection with their organization including
fees and expenses of registering and qualifying their shares for distribution
under Federal and state securities regulations. All such costs are being
amortized on the straight-line method over a period of five years from the
commencement of operations of each Fund. In the event that any of the initial
shares of a Fund are redeemed during such amortization period, the Fund will be
reimbursed for any unamortized organization costs in the same proportion as the
number of shares redeemed bears to the number of initial shares held at the time
of redemption.
6. CAPITAL LOSS CARRYFORWARD
At January 31, 1996, the following Funds had available for Federal income
tax purposes unused capital losses as follows:
<TABLE>
<CAPTION>
NAME OF FUND EXPIRING IN 2003 EXPIRING IN 2004
------------ ---------------- ----------------
<S> <C> <C>
Prime Money Market Fund $ 18,342 $159,460
Prime Value Money Market Fund 239,613 --
Government Obligations Money Market Fund 4,414 --
Treasury Instruments Money Market Fund II 10 804
Tax Free Money Market Fund 330 --
</TABLE>
7. SUBSEQUENT EVENT
On September 6, 1996, the Board of Trustees unanimously endorsed a proposal
(a) to combine three of the Funds with three portfolios of a trust sponsored by
Federated Investors and (b) to change the investment advisor of three other
Funds from LBGAM to Federated Management. Each transaction requires shareholder
approval and will also involve the election of new Trustees of the Trust.
With respect to the Prime Money Market Fund, Prime Value Money Market Fund
and Municipal Money Market Fund, shareholders will be asked to approve adoption
of a new investment advisory contract with Federated Management, an investment
advisory subsidiary of Federated Investors, and the election of the new Trustees
to the Trust.
With respect to Government Obligations Money Market Fund, Treasury
Instruments Money Market Fund II, and Tax-Free Money Market Fund (individually,
the "Fund"), shareholders of each Fund will be asked to approve a proposed
Agreement and Plan of Reorganization between the Trust, on behalf of each Fund,
and Money Market Obligations Trust, on behalf of one of its portfolios (the
"Portfolio"), whereby a Portfolio of Money Market Obligations Trust would
acquire all of the assets of the relevant Fund in exchange for Institutional
Shares and Institutional Service Shares of the Portfolio to be distributed pro
rata by the Fund to holders of Class A Shares and Class B Shares, respectively,
in complete liquidation of the Fund.
60
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
TAX-FREE MONEY MARKET FUND
MUNICIPAL MONEY MARKET FUND
THIS REPORT IS FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF LEHMAN
BROTHERS INSTITUTIONAL FUNDS GROUP TRUST. ITS USE IN CONNECTION WITH ANY
OFFERING OF THE TRUST'S SHARES IS AUTHORIZED ONLY IF ACCOMPANIED OR PRECEDED BY
THE TRUST'S CURRENT PROSPECTUSES.
LB0010I6
