ANNUAL REPORT
JANUARY 31, 1996
LEHMAN BROTHERS
INSTITUTIONAL FUNDS
GROUP TRUST
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
<S> <C>
President's Letter 1
Tax Information 2
Portfolio of Investments:
Prime Money Market Fund 3
Prime Value Money Market Fund 7
Government Obligations Money Market Fund 10
Cash Management Fund 11
Treasury Instruments Money Market Fund II 12
Tax-Free Money Market Fund 13
Municipal Money Market Fund 20
Statements of Assets and Liabilities 28
Statements of Operations 32
Statements of Changes in Net Assets 34
Financial Highlights:
Prime Money Market Fund 38
Prime Value Money Market Fund 40
Government Obligations Money Market Fund 41
Cash Management Fund 42
Treasury Instruments Money Market Fund II 43
Tax-Free Money Market Fund 44
Municipal Money Market Fund 45
Notes to Financial Statements 46
Report of Independent Auditors 53
Special Meeting of Shareholders 54
</TABLE>
<PAGE>
Dear Shareholders:
We are pleased to present the Annual Report for the Lehman Brothers
Institutional Funds Group Trust (the "Trust" or the "Funds") for the fis-
cal year ended January 31, 1996. This Report includes the portfolio hold-
ings for the Prime, Government and Tax-Exempt Money Market Funds currently
offered by the Trust that are designed to meet the cash management and li-
quidity needs of institutional investors.
THE ECONOMY
After the U.S. economy recorded a strong 3.2% gain in Gross Domestic
Product ("GDP") (new basis) in the third quarter of 1995, economists and
investors generally felt that the pace would decelerate in the fourth
quarter to approximately 1.5% to 2.0%. As the economy weakened, the pri-
mary challenge was to determine the extent of the slowdown and to gauge
the probability of Federal Reserve Board (the "Fed") monetary policy in-
tervention. To complicate the analysis, a secondary challenge was to as-
sess the outlook for passage of congressional legislation which would
achieve a federal balanced budget and to estimate its impact on the econ-
omy and interest rates.
Data released in October and November gradually depicted a weakening
economy which eventually led the Fed to ease its monetary policy by lower-
ing the fed funds rate by 25 basis points at its Federal Open Market Com-
mittee meeting on December 19, 1995. Throughout much of the quarter, many
investors believed that the Fed would defer changes in its monetary policy
until Congress and the President were able to resolve their differences in
order to pass legislation which would balance the budget by the year 2002.
The fixed-income markets staged an impressive rally throughout the quarter
based upon the combination of weak economic data and optimism for a
budget-related Fed easing. When the budget negotiations unraveled in late
November, congressional leaders applied hard-line tactics which severely
limited spending appropriations for normal government operations which, in
turn, led to the partial closing of government offices. Congressional
leaders also refused to raise the prescribed limit on the size of U.S.
Government debt which forced the Treasury Department to shuffle its debt
obligations in order to avoid a default on maturing Treasury securities.
In spite of the failed negotiations, market participants were confident
enough to bet that conditions warranted further monetary ease which oc-
curred on January 31, 1996. During the rally, short-term rates (3-month
T-bills) declined from 5.57% on July 28, 1995 to 4.86% on February 2, 1996
while long-term rates (30-year T-bonds) declined from 6.86% to 6.16%. The
targeted fed funds rate is now 5.25%, 50 basis points lower.
PORTFOLIO STRATEGY AND PERFORMANCE RESULTS
Taxable Funds
During the first half of the year, the average maturities of the Tax-
able Money Market Funds were extended in order to lock in short rates
which were beginning to fall as the economy weakened. At the time, there
was also a positively-sloped short-term yield curve which provided an
extra incentive. Over the second half, rates gradually declined as ex-
pected. However, a negative slope developed in the yield curve as over-
night rates held constant at 5.50% from July until late December. Faced
with the loss of current yield associated with extension trades while
still believing that rates would gradually fall further, we began to use a
blend of long and short securities in an effort to cushion the decline in
net yield. As opportunities arise, we will continue to extend maturities
subject to liquidity considerations.
Tax-Exempt Funds
For the past several years the Tax-Exempt Money Market Funds managers
were able to anticipate swings in yields by assessing market supply. The
year 1995, however, proved to be a dramatic exception to this rule as the
measure of the market became not supply but lack of supply. As overall new
issuance decreased, portfolio managers were forced to accept even lower
rates in order to stay fully invested. This situation was exacerbated by
the fact that overall dollar levels of investment in tax-exempt money mar-
ket securities increased.
1
<PAGE>
Faced with this supply squeeze, tax-exempt yields fluctuated dramati-
cally from month to month. These fluctuations were not confined to abso-
lute yields but were also seen on the spreads versus fully taxable invest-
ments. In 1995, investors also realized that tax-exempt portfolios would
not automatically outperform fully-taxable portfolios on an after-tax
basis as was usually the case.
The aforementioned volatility became apparent early in the second half
of the year. In order to remain competitive within this environment, the
Lehman Brothers Institutional Funds emphasized longer maturity notes which
represented better value at the time of purchase and ultimately aided per-
formance as interest rates headed lower. This maturity extension allowed
the Funds to hedge against much of the extreme yield volatility that was
experienced in the very short end of the curve.
Looking ahead to 1996, we see a continuation of the supply squeeze and
anticipate a continuation of the same strategies for both of the Lehman
Brothers Tax-Exempt Funds.
The Trust continued to perform well when compared with other money
market funds offered to the institutional investor. For example, based on
the full year 1995 total return, Prime Value Money Market Fund Class A was
ranked second and Prime Money Market Fund Class A was tied for third place
out of the 117 First Tier Institutional Only Funds tracked by IBC/Dona-
ghue, Inc.'s Money Fund Insight ("IBC/Donoghue"). The Government Obliga-
tions Money Market Fund Class A 1995, total return, resulted in a first
place tie among the 153 Government-Only Institutional Funds tracked by IB-
C/Donoghue. The Municipal Money Market Fund Class A and Tax-Free Money
Market Fund Class A were the number one- and two-ranked funds, respec-
tively, among 62 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. And of course,
past performance is no guarantee of future results.
* * * * *
We at Lehman Brothers look forward to your continued support. Our on-
going goal is to provide you with superior products and services to meet
your cash management investment needs.
Sincerely,
/s/ Andrew D. Gordon
Andrew D. Gordon
President
March 18, 1996
TAX INFORMATION
YEAR ENDED JANUARY 31, 1996 (UNAUDITED)
Of the dividends paid from net investment income for the Tax-Free
Money Market Fund and the Municipal Money Market Fund for the year
January 31, 1996, 100% is tax exempt for regular Federal income tax
purposes.
2
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
<S> <C> <C> <C> <C>
COMMERCIAL PAPER -- 48.9%
COMMERCIAL PAPER -- DIS-
COUNT NOTES -- 43.3%
$ 25,000,000 AT&T Corporation 5.560% 3/12/96 $24,845,555
15,500,000 Beta Finance Inc. 5.270 4/18/96 15,325,285
11,000,000 Beta Finance Inc. 5.270 4/22/96 10,869,567
47,443,000 Clipper Receivables Corpo-
ration 5.550 2/12/96 47,362,545
41,871,000 Clipper Receivables Corpo-
ration 5.520 2/15/96 41,781,117
30,000,000 Clipper Receivables Corpo-
ration 5.550 2/16/96 29,930,625
77,994,000 Clipper Receivables Corpo-
ration 5.480 2/21/96 77,756,552
20,139,000 Clipper Receivables Corpo-
ration 5.450 3/8/96 20,029,242
30,000,000 CXC Inc. 5.400 3/21/96 29,779,500
26,000,000 CXC Inc. 5.350 3/25/96 25,795,214
25,000,000 CXC Inc. 5.270 4/18/96 24,718,201
30,000,000 CXC Inc. 5.270 4/24/96 29,635,492
15,000,000 CXC Inc. 5.270 4/25/96 14,815,550
50,000,000 DuPont (E.I.) de Nemours &
Company 5.470 5/16/96 49,202,291
30,000,000 DuPont (E.I.) de Nemours &
Company 5.470 5/17/96 29,516,816
78,634,000 Eiger Capital Corporation 5.450 2/28/96 78,312,583
28,319,000 Enterprise Funding Corpo-
ration 5.460 3/4/96 28,181,558
21,112,000 Enterprise Funding Corpo-
ration 5.430 3/5/96 21,006,915
18,532,000 Enterprise Funding Corpo-
ration 5.460 3/12/96 18,419,573
11,049,000 Enterprise Funding Corpo-
ration 5.410 4/12/96 10,931,110
10,023,000 Enterprise Funding Corpo-
ration 5.230 5/3/96 9,889,037
59,950,000 Falcon Asset Securitiza-
tion Corporation 5.430 3/6/96 59,642,556
50,000,000 General Electric Capital
Corporation 5.520 4/11/96 49,463,334
50,000,000 General Electric Capital
Corporation 5.520 4/12/96 49,455,667
10,000,000 McKenna Triangle National
Corporation 5.410 3/12/96 9,939,889
43,000,000 McKenna Triangle National
Corporation 5.400 3/14/96 42,729,100
44,944,000 McKenna Triangle National
Corporation 5.220 5/1/96 44,357,481
35,000,000 Merrill Lynch & Company,
Inc. 5.680 2/29/96 34,914,955
50,000,000 Merrill Lynch & Company,
Inc. 5.700 2/29/96 49,708,757
50,000,000 Merrill Lynch & Company,
Inc. 5.420 4/4/96 49,525,750
19,394,000 Mont Blanc Capital Corpo-
ration 5.450 2/22/96 19,332,343
46,466,000 Mont Blanc Capital Corpo-
ration 5.450 2/29/96 46,269,036
24,992,000 Monte Rosa Capital Corpo-
ration 5.450 2/26/96 24,897,412
23,000,000 Morgan Stanley Group Inc. 5.270 4/29/96 22,703,709
12,150,000 Preferred Receivables
Funding Corporation 5.610 3/6/96 12,085,625
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
<S> <C> <C> <C> <C>
COMMERCIAL PAPER
(CONTINUED)
COMMERCIAL PAPER --
DISCOUNT NOTES --
(CONTINUED)
$ 20,000,000 Preferred Receivables
Funding Corporation 5.580% 3/13/96 $ 19,872,900
24,125,000 Preferred Receivables
Funding Corporation 5.600 3/15/96 23,963,631
17,400,000 Preferred Receivables
Funding Corporation 5.530 4/12/96 17,210,229
10,900,000 Preferred Receivables
Funding Corporation 5.270 4/26/96 10,764,371
19,725,000 Preferred Receivables
Funding Corporation 5.220 5/3/96 19,461,868
12,100,000 Preferred Receivables
Funding Corporation 5.550 5/15/96 11,905,997
10,425,000 Preferred Receivables
Funding Corporation 5.510 5/17/96 10,255,865
10,000,000 Ranger Funding Corporation 5.680 2/16/96 9,976,334
30,000,000 Ranger Funding Corporation 5.450 4/1/96 29,727,500
35,000,000 Ranger Funding Corporation 5.430 4/3/96 34,672,692
45,000,000 Riverwoods Funding Corpo-
ration 5.720 2/8/96 44,949,950
24,000,000 Riverwoods Funding Corpo-
ration 5.680 2/15/96 23,946,987
35,000,000 Sheffield Receivables Cor-
poration 5.660 2/16/96 34,917,459
18,000,000 Sigma Finance, Inc. 5.650 2/29/96 17,920,900
43,000,000 Sigma Finance, Inc. 5.400 3/11/96 42,748,450
10,500,000 Sigma Finance, Inc. 5.600 3/25/96 10,413,433
29,500,000 Sigma Finance, Inc. 5.420 4/9/96 29,368,553
20,000,000 Sigma Finance, Inc. 5.650 4/9/96 19,615,989
66,000,000 Sigma Finance, Inc. 5.100 7/30/96 64,317,000
37,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.450 2/8/96 36,960,790
25,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.700 2/13/96 24,952,500
25,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.700 2/20/96 24,924,791
62,540,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.530 2/23/96 62,328,650
25,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.680 2/27/96 24,897,444
10,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.500 3/8/96 9,945,000
35,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.610 3/12/96 34,781,834
1,847,931,059
COMMERCIAL PAPER -- INTEREST BEARING
NOTES -- 5.6%
25,000,000 CoreStates Capital Corpo-
ration 5.620 2/5/96 25,000,000
50,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.850 3/6/96 50,000,000
25,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.813 3/15/96 25,000,000
65,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.625 4/1/96 65,000,000
75,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.500 4/26/96 75,000,000
240,000,000
TOTAL COMMERCIAL PAPER (COST $2,087,931,059) 2,087,931,059
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
<S> <C> <C> <C> <C>
BANK/CORPORATE NOTES --
30.9%
$ 50,000,000 American Express Centurion
Bank, Variable Rate 5.625% 3/15/96 $ 50,000,000
40,000,000 American Express Centurion
Bank, Variable Rate 5.625 4/12/96 40,000,000
25,000,000 American Express Centurion
Bank, Variable Rate 5.625 5/9/96 25,000,000
25,000,000 American Express Centurion
Bank, Variable Rate 5.598 6/21/96 25,000,000
25,000,000 American Express Centurion
Bank, Variable Rate 5.620 2/5/97 24,997,404
20,000,000 Bear Stearns Companies,
Inc. 7.070 2/23/96 20,000,000
30,000,000 Bear Stearns Companies,
Inc., Variable Rate 5.970 2/9/96 30,000,000
30,000,000 Bear Stearns Companies,
Inc., Variable Rate 6.208 2/26/96 30,000,000
50,000,000 Bear Stearns Companies,
Inc., Variable Rate 5.913 6/17/96 50,000,000
50,000,000 Bear Stearns Companies,
Inc., Variable Rate 5.629 12/30/96 50,000,000
50,000,000 Beta Finance Inc. 6.830 3/15/96 50,000,000
100,000,000 Beta Finance Inc., Vari-
able Rate 5.513 1/27/97 99,950,951
20,000,000 CIT Group Holdings, Inc.,
Variable Rate 5.560 9/26/96 19,991,917
20,000,000 CS First Boston, Inc.,
Variable Rate 5.925 2/9/96 20,000,000
25,000,000 CS First Boston, Inc.,
Variable Rate 5.917 2/26/96 25,000,000
45,000,000 CS First Boston, Inc.,
Variable Rate 5.625 1/7/97 45,000,000
50,000,000 FCC National Bank, Dela-
ware 5.650 11/1/96 50,003,070
50,000,000 FCC National Bank, Dela-
ware, Variable Rate 5.800 4/11/96 49,995,217
10,000,000 General Electric Capital
Corporation 6.550 3/25/96 10,007,833
10,000,000 General Electric Capital
Corporation 5.163 1/21/97 10,001,488
10,000,000 General Electric Capital
Corporation 5.119 1/22/97 9,997,322
40,000,000 Goldman Sachs Group, L.P.,
Variable Rate 6.088 2/2/96 40,000,000
10,000,000 Goldman Sachs Group, L.P.,
Variable Rate 5.750 1/27/97 10,025,072
50,000,000 Merrill Lynch & Company,
Inc., Variable Rate 5.860 3/13/96 50,009,768
50,000,000 Merrill Steers Enhanced
Trust 96, Series A-20,
Variable Rate 5.625 3/15/96 50,000,000
25,000,000 NationsBank of Texas 7.050 2/8/96 25,000,000
44,000,000 Paccar Financial Corpora-
tion 6.300 5/14/96 44,008,404
10,000,000 SMM Trust 95-D, Variable
Rate 5.550 10/28/96 10,000,000
161,500,000 SMM Trust 95-I, Variable
Rate 5.583 5/29/96 161,497,796
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.555 1/8/97 24,988,567
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.595 1/8/97 24,993,095
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.595 1/13/97 24,993,084
82,000,000 Toyota Motor Credit Corpo-
ration, Variable Rate 5.550 9/3/96 81,956,654
35,700,000 Wachovia Bank of North
Carolina, N.A. 4.625 5/15/96 35,554,294
TOTAL BANK/CORPORATE NOTES (COST $1,317,971,936) 1,317,971,936
CERTIFICATES OF DEPOSIT --
2.7%
65,000,000 Harris Trust & Savings
Bank 5.490 2/23/96 64,999,572
15,000,000 NBD Bank N.A. 5.520 2/2/96 14,999,997
35,000,000 NBD Bank N.A. 5.500 2/5/96 34,999,945
TOTAL CERTIFICATES OF DEPOSIT (COST $114,999,514) 114,999,514
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
<S> <C> <C> <C> <C>
TIME DEPOSIT -- 2.3%
(COST $100,000,000)
$100,000,000 Huntington National Bank 5.750% 2/1/96 $100,000,000
U.S. GOVERNMENT AGENCY OBLIGATIONS --
1.2%
10,000,000 Federal Home Loan Bank,
Variable Rate 5.730 5/8/97 10,009,541
40,000,000 Federal National Mortgage
Association, Variable
Rate 6.100 10/7/96 40,000,000
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $50,009,541) 50,009,541
REPURCHASE AGREEMENTS --
14.9%
200,000,000 Agreement with BZW Securities Inc. dated 1/31/96
bearing 6.020% to be repurchased at $200,033,444
on 2/1/96, collateralized by $238,392,950 of
various U.S. Government Agency Obligations with
various maturities and interest rates (market
value -- $204,000,001) 200,000,000
134,514,000 Agreement with CS First Boston, Inc. dated
1/31/96 bearing 6.030% to be repurchased at
$134,536,531 on 2/1/96, collateralized by
$147,350,000 Federal National Mortgage Associa-
tion, 6.365% due 4/1/34 (market value --
$138,215,066) 134,514,000
300,000,000 Agreement with UBS Securities, Inc. dated 1/31/96
bearing 6.000% to be repurchased at $300,050,000
on 2/1/96, collateralized by $511,465,089 of
various U.S. Government Agency Obligations with
various maturities and interest rates (market
value -- $306,003,815) 300,000,000
TOTAL REPURCHASE AGREEMENTS (COST $634,514,000) 634,514,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $4,305,426,050*) 100.9% 4,305,426,050
OTHER ASSETS AND LIABILITIES (NET) (0.9) (36,699,586)
TOTAL NET ASSETS 100.0% $4,268,726,464
</TABLE>
* Aggregate cost for Federal tax purposes.
+ For Commercial Paper -- Discount Notes, the interest rate represents an-
nualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
6
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE+ DATE (NOTE 1)
<S> <C> <C> <C> <C>
COMMERCIAL PAPER -- 46.0%
COMMERCIAL PAPER--DISCOUNT
NOTES--42.4%
$10,000,000 AB Spintab-Swedmortgage 5.650% 3/20/96 $ 9,924,666
30,000,000 AB Spintab-Swedmortgage 5.700 3/21/96 29,767,250
10,000,000 AB Spintab-Swedmortgage 5.700 3/25/96 9,916,083
20,000,000 AB Spintab-Swedmortgage 5.580 4/16/96 19,767,500
50,000,000 AB Spintab-Swedmortgage 5.490 4/18/96 49,412,875
26,500,000 AB Spintab-Swedmortgage 5.500 4/19/96 26,184,208
20,000,000 AB Spintab-Swedmortgage 5.380 4/23/96 19,754,911
25,106,000 Atlantic Asset Securitiza-
tion Corporation 5.580 2/1/96 25,106,000
75,457,000 Atlantic Asset Securitiza-
tion Corporation 5.520 2/13/96 75,318,159
52,139,000 Atlantic Asset Securitiza-
tion Corporation 5.520 2/14/96 52,035,070
41,000,000 Countrywide Funding Corpo-
ration 5.550 2/12/96 40,930,471
36,100,000 Countrywide Funding Corpo-
ration 5.590 2/14/96 36,027,128
73,000,000 Countrywide Funding Corpo-
ration 5.540 2/15/96 72,842,726
50,000,000 Falcon Asset Securitiza-
tion Corporation 5.430 3/6/96 49,743,583
25,000,000 Ford Motor Credit Company 5.650 2/21/96 24,921,528
50,000,000 Ford Motor Credit Company 5.400 2/27/96 49,805,000
50,000,000 General Electric Capital
Corporation 5.520 4/12/96 49,455,667
23,500,000 General Motors Acceptance
Corporation 5.740 2/5/96 23,485,012
44,000,000 General Motors Acceptance
Corporation 5.560 5/1/96 43,388,400
55,000,000 Merrill Lynch & Company,
Inc. 5.680 2/29/96 54,757,022
50,000,000 Merrill Lynch & Company,
Inc. 5.420 4/4/96 49,525,750
14,987,000 Monte Rosa Capital Corpo-
ration 5.450 2/28/96 14,925,741
10,000,000 Nationwide Building Soci-
ety 5.580 5/3/96 9,857,400
30,000,000 Nationwide Building Soci-
ety 5.050 7/2/96 29,364,542
34,495,000 Old Line Funding Corpora-
tion 5.600 2/2/96 34,489,634
55,535,000 Old Line Funding Corpora-
tion 5.600 2/9/96 55,465,890
46,350,000 Old Line Funding Corpora-
tion 5.600 2/15/96 46,249,060
40,747,000 Old Line Funding Corpora-
tion 5.480 2/20/96 40,629,151
18,150,000 Preferred Receivables
Funding Corporation 5.600 3/8/96 18,048,360
10,000,000 Ranger Funding Corporation 5.410 3/29/96 9,914,342
30,000,000 Standard Credit Corpora-
tion, Series I, (Dakota) 5.420 2/22/96 29,905,150
35,000,000 Swedbank Inc. 5.410 4/15/96 34,610,780
11,591,000 Windmill Funding Corpora-
tion 5.500 2/21/96 11,555,583
30,000,000 Windmill Funding Corpora-
tion 5.470 2/28/96 29,876,925
1,176,961,567
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
<S> <C> <C> <C> <C>
COMMERCIAL PAPER
(CONTINUED)
COMMERCIAL PAPER -- INTEREST
BEARING NOTES -- 3.6%
$25,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.813% 3/15/96 $ 25,000,000
25,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.625 4/1/96 25,000,000
50,000,000 Goldman Sachs Group, L.P.,
Promissory Note 5.500 4/26/96 50,000,000
100,000,000
TOTAL COMMERCIAL PAPER (COST $1,276,961,567) 1,276,961,567
BANK/CORPORATE NOTES --
44.9%
25,000,000 American Express Centurion
Bank, Variable Rate 5.625 5/9/96 25,000,000
25,000,000 American Express Centurion
Bank, Variable Rate 5.625 7/8/96 25,000,000
25,000,000 American Express Centurion
Bank, Variable Rate 5.620 2/5/97 24,997,404
25,000,000 American Express Centurion
Bank, Variable Rate 5.595 2/12/97 24,992,768
25,000,000 Bank of New York, Dela-
ware, Variable Rate 5.650 10/25/96 25,000,000
10,000,000 Bear Stearns Companies,
Inc. 7.070 2/23/96 10,000,000
30,000,000 Bear Stearns Companies,
Inc., Variable Rate 5.970 2/9/96 30,000,000
30,000,000 Bear Stearns Companies,
Inc., Variable Rate 6.208 2/26/96 30,000,000
50,000,000 Bear Stearns Companies,
Inc., Variable Rate 5.913 6/17/96 50,000,000
50,000,000 Bear Stearns Companies,
Inc., Variable Rate 5.702 7/12/96 50,000,000
35,000,000 CS First Boston, Inc. 5.625 1/7/97 35,000,000
25,000,000 CS First Boston, Inc.,
Variable Rate 5.925 2/9/96 25,000,000
25,000,000 CS First Boston, Inc.,
Variable Rate 5.917 2/26/96 25,000,000
25,000,000 Comerica Bank, Variable
Rate 5.500 10/28/96 25,000,000
50,000,000 FCC National Bank, Dela-
ware, Variable Rate 5.800 4/11/96 49,995,217
40,000,000 First Bank South Dakota,
Variable Rate 5.575 2/5/96 39,999,787
23,000,000 First of America Bank,
Michigan 6.530 4/17/96 23,018,247
50,000,000 First of America Bank,
Michigan 5.360 4/23/96 50,001,034
25,000,000 First of America Bank,
Michigan 6.570 4/30/96 25,001,092
25,000,000 First National Bank of
Baltimore 5.720 10/31/96 25,009,999
39,000,000 First National Bank of
Baltimore, Variable Rate 5.688 10/23/96 39,000,000
9,000,000 Ford Motor Credit Company 7.375 1/15/97 9,173,726
6,000,000 General Motors Acceptance
Corporation 6.375 5/23/96 5,995,652
8,000,000 General Motors Acceptance
Corporation 6.625 5/24/96 8,016,739
15,000,000 General Motors Acceptance
Corporation 5.650 6/18/96 14,984,788
5,000,000 General Motors Acceptance
Corporation 5.150 11/25/96 4,966,703
40,000,000 Goldman Sachs Group, L.P.,
Variable Rate 6.088 2/2/96 40,000,000
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
<S> <C> <C> <C> <C>
BANK/CORPORATE NOTES
(CONTINUED)
$150,000,000 Household Credit Card,
Trust 96, Series A4,
Variable Rate 5.655% 1/15/97 $ 150,000,000
50,000,000 Merrill Steers Enhanced
Trust 96, Series A-20,
Variable Rate 5.625 3/15/96 50,000,000
25,000,000 NationsBank of Texas 7.050 2/8/96 25,000,000
50,000,000 PHH Corporation, Variable
Rate 5.630 9/16/96 49,996,893
30,000,000 PNC Bank NA, Variable Rate 5.575 5/20/96 29,995,668
50,000,000 PNC Bank NA, Variable Rate 5.549 1/6/97 49,963,856
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.603 4/19/96 24,999,397
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.555 1/8/97 24,988,567
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.595 1/8/97 24,993,095
25,000,000 Southtrust Bank, Alabama,
Variable Rate 5.595 1/13/97 24,993,084
50,000,000 SMM Trust 95-1, Variable
Rate 5.645 6/17/96 49,993,973
TOTAL BANK/CORPORATE NOTES (COST $1,245,077,689) 1,245,077,689
TIME DEPOSIT -- 3.6% (COST
$100,000,000)
100,000,000 HUNTINGTON NATIONAL BANK 5.750 2/1/96 100,000,000
U.S. GOVERNMENT AGENCY OBLIGATION --
1.1% (COST $30,000,000)
30,000,000 Federal National Mortgage
Association,
Variable Rate 6.100 10/7/96 30,000,000
REPURCHASE AGREEMENT -- 6.4% (COST $178,764,000)
178,764,000 Agreement with CS First Boston, Inc. dated
1/31/96 bearing 6.030% to be repurchased at
$178,793,943 on 2/1/96, collateralized by
$226,798,776 of various U.S. Government Agency
Obligations with various maturities and interest
rates (market value -- $185,460,514) 178,764,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $2,830,803,256*) 102.0% 2,830,803,256
OTHER ASSETS AND LIABILITIES (NET) (2.0) (56,040,828)
TOTAL NET ASSETS 100.0% $2,774,762,428
</TABLE>
* Aggregate cost for Federal tax purposes.
+ For Commercial Paper -- Discount Notes, the interest rate represents an-
nualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
9
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
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 --
38.6%
FEDERAL HOME LOAN BANK
(FHLB):
$10,000,000 FHLB, Discount Note 5.800% 2/1/96 $ 10,000,000
5,000,000 FHLB, Discount Note 5.190 4/24/96 4,940,171
5,000,000 FHLB, Variable Rate 6.030 2/3/97 5,000,000
7,500,000 FHLB, Variable Rate 5.730 5/8/97 7,507,155
27,447,326
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC):
5,000,000 FHLMC, Discount Note 5.360 2/20/96 4,985,855
7,770,000 FHLMC, Discount Note 5.190 3/13/96 7,724,073
12,709,928
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA):
5,000,000 FNMA, Discount Note 5.160 4/12/96 4,949,117
5,000,000 FNMA, Medium-Term Note 6.460 3/27/96 5,004,645
5,000,000 FNMA, Medium-Term Note,
Variable Rate 6.100 10/7/96 5,000,000
14,953,762
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $55,111,016) 55,111,016
REPURCHASE AGREEMENT--61.5% (COST $87,768,000)
87,768,000 Agreement with CS First Boston, Inc. dated
1/31/96 bearing 6.030% to be repurchased at
$87,782,701 on 2/1/96, collateralized by
$97,295,000 of various U.S. Government Agency
Obligations with various maturities and interest
rates (market value -- $89,910,658) 87,768,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $142,879,016*) 100.1% 142,879,016
OTHER ASSETS AND LIABILITIES (NET) (0.1) (123,622)
NET ASSETS 100.0% $142,755,394
</TABLE>
* Aggregate cost for Federal tax purposes.
+ For Discount Notes, the interest rate represents annualized yield at
date of purchase (unaudited).
See Notes to Financial Statements.
10
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
FACE INTEREST MATURITY VALUE
VALUE RATE DATE (NOTE 1)
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATION --
90.1% (COST $1,000,000)
FEDERAL HOME LOAN BANK
(FHLB):
$ 1,000,000 FHLB, Variable Rate 6.030% 2/3/97 $1,000,000
REPURCHASE AGREEMENT--10.6% (COST $118,000)
118,000 Agreement with Lehman Brothers Government Securi-
ties Inc. dated 1/31/96 bearing 5.900% to be
repurchased at $118,019 on 2/1/96,
collateralized by $120,000 U.S. Treasury Note,
6.375% due 7/15/99 (market value -- $124,387) 118,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $1,118,000*) 100.7% 1,118,000
OTHER ASSETS AND LIABILITIES (NET) (0.7) (8,337)
NET ASSETS 100.0% $1,109,663
</TABLE>
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
11
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
ANNUALIZED
YIELD AT
DATE OF
FACE PURCHASE MATURITY VALUE
VALUE (UNAUDITED) DATE (NOTE 1)
<S> <C> <C> <C> <C>
U.S. TREASURY
OBLIGATIONS--50.6%
$20,000,000 U.S. Treasury Bills 5.680% 2/8/96 $ 19,979,389
25,000,000 U.S. Treasury Bills 5.290 2/22/96 24,922,854
5,000,000 U.S. Treasury Bills 5.980 3/7/96 4,970,931
25,000,000 U.S. Treasury Bills 5.290 3/14/96 24,845,708
10,000,000 U.S. Treasury Bills 5.775 4/4/96 9,898,938
35,000,000 U.S. Treasury Bills 5.280 4/11/96 34,640,666
TOTAL U.S. TREASURY OBLIGATIONS
(COST $119,258,486) 119,258,486
REPURCHASE AGREEMENTS--49.6%
56,933,000 Agreement with Chase Securities Inc. dated 1/31/96
bearing 5.900% to be repurchased at $56,942,331
on 2/1/96, collateralized by $59,940,000 U.S.
Treasury Bills due 3/14/96 (market value --
$58,074,068) 56,933,000
60,000,000 Agreement with Goldman Sachs Group L.P. dated
1/31/96 bearing 5.850% to be repurchased at
$60,009,750 on 2/1/96, collateralized by
$61,562,000 U.S. Treasury Bills due 3/14/96
(market value -- $61,200,200) 60,000,000
TOTAL REPURCHASE AGREEMENTS (COST $116,933,000) 116,933,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $236,191,486*) 100.2% 236,191,486
OTHER ASSETS AND LIABILITIES (NET) (0.2) (407,797)
NET ASSETS 100.0% $ 235,783,689
</TABLE>
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
12
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES -- 98.4%
ALABAMA -- 4.7%
$4,200,000 Phenix City, Alabama, Industrial Development
Board, (Georgia Kraft Project), (Canadian Impe-
rial Bank of Commerce, LOC),
3.800% due 12/1/15+ $ 4,200,000
ALASKA -- 2.1%
1,900,000 Alaska State, Housing Finance Corporation, Series
A, (Credit Suisse/ Westdeustche Landesbank,
BPA),
3.100% due 6/1/26+++ 1,900,000
ARIZONA -- 3.9%
Maricopa County, Arizona:
1,200,000 Pollution Control Revenue, (Arizona Public Ser-
vice Company), Series F, (Bank of America, LOC),
3.700% due 5/1/29+ 1,200,000
500,000 Tax Anticipation Notes,
4.500% due 7/31/96 501,601
1,800,000 Tempe, Arizona, Industrial Development Authority,
Multi-family Housing Revenue, (Elliots Crossing
Project), (Citibank, LOC),
3.150% due 10/1/08+++ 1,800,000
3,501,601
CALIFORNIA -- 4.5%
4,000,000 California State, Revenue Anticipation Warrants,
Series C,
(Bank of America, LOC),
5.750% due 4/25/96 4,011,002
COLORADO -- 0.9%
825,000 Colorado State, Student Obligation Bond, Student
Loan Revenue, Series C, (SLMA, LOC),
3.050% due 9/1/02+++ 825,000
DISTRICT OF COLUMBIA -- 2.3%
2,070,000 District of Columbia, Housing Finance Agency,
Multi-family Housing Revenue, (NationsBank Cor-
poration of Virginia, LOC),
4.125% due 7/1/97++ 2,070,614
FLORIDA -- 12.0%
1,300,000 Jacksonville, Florida, Health Facilities Author-
ity, Hospital Revenue, (Baptist Medical Center
Project), (MBIA Insured), (Sun Bank N.A., BPA),
3.700% due 6/1/08+ 1,300,000
2,500,000 Jacksonville, Florida, Industrial Development Rev-
enue, (Trailer Marine Project), (Bank of Amer-
ica, LOC),
3.600% due 2/1/14++++ 2,500,000
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
FLORIDA (CONTINUED)
$ 100,000 Marion County, Florida, Industrial Development Au-
thority Revenue, Charter Springs Hospital,
(Bankers Trust Company, LOC),
3.250% due 7/1/04+++ $ 100,000
Orange County, Florida, Health Facilities Author-
ity Revenue:
2,600,000 Series C-46, (MBIA Insured), (Sakura Bank, BPA),
4.950% due 10/1/08+++ 2,600,000
1,640,000 Series D, (Citibank, BPA),
3.600% due 12/1/05++ 1,640,000
1,000,000 Palm Beach County, Florida, School District, Tax
Anticipation Notes,
4.500% due 9/27/96 1,004,183
1,600,000 University Athletic Association Inc., Capital Im-
provement Revenue, (University of Florida Sta-
dium Project), (Sun Bank N.A., LOC),
3.400% due 2/1/20+ 1,600,000
10,744,183
GEORGIA -- 1.7%
1,500,000 Georgia State, Municipal Electric Authority, Sub-
ordinate General Resolution Note, Series B,
(Credit Suisse, LOC),
4.250% due 6/1/20++ 1,500,719
ILLINOIS -- 5.8%
1,100,000 Chicago, Illinois, Adjustable Rate Tender Notes,
Series A, (Morgan Guaranty Trust Company, LOC),
3.750% due 10/31/96++ 1,100,000
1,000,000 Cook County, Illinois, Municipal Securities, Trea-
sury Receipts, Series SGA-3, (MBIA Insured),
(Societe Generale, BPA),
3.300% due 11/15/23+++ 1,000,000
Illinois Health Facilities Authority Revenue:
1,075,000 (Bensenville Home Society), Series A,
(American National Bank & Trust Company, LOC),
3.200% due 2/15/19+++ 1,075,000
2,000,000 Series A,
3.900% due 8/1/15++ 2,000,000
5,175,000
LOUSIANA -- 6.3%
4,000,000 Ascension Parish, Louisiana, Pollution Control
Revenue,
(Shell Oil Company Project), (Shell Oil Company,
GTC),
3.600% due 9/1/23+ 4,000,000
1,100,000 Lake Charles, Louisiana, Port Facilities Revenue,
(Citgo Petroleum Corporation), (Westdeutsche
Landesbank, LOC),
3.150% due 8/1/07+++ 1,100,000
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
LOUSIANA (CONTINUED)
$ 500,000 Louisiana Public Facilities Authority, Hospital
Revenue, (Willis-Knighton Medical Project),
(AMBAC Insured), (Mellon Bank N.A., BPA),
3.100% due 9/1/23+++ $ 500,000
5,600,000
MARYLAND -- 2.0%
1,800,000 Frederick County, Maryland, (Sheppard Pratt Resi-
dential Project), (Societe Generale, LOC),
3.100% due 7/1/25+++ 1,800,000
MASSACHUSETTS -- 3.2%
1,850,000 Fall River, Massachusetts, Revenue Anticipation
Notes, (Fleet National Bank, BPA),
4.250% due 6/28/96 1,855,239
1,000,000 Massachusetts State Water Pollution Abatement,
Loan Program, Series 2,
4.400% due 2/1/97 1,009,217
2,864,456
MICHIGAN -- 2.4%
200,000 Dearborn, Michigan, Economic Development Corpora-
tion Revenue, (Oakbrook Common Project), Limited
Obligation, (Mellon Bank N.A., LOC),
3.150% due 3/1/25+++ 200,000
2,000,000 Detroit, Michigan, City School District, State
School Aid Notes,
4.500% due 5/1/96 2,003,108
2,203,108
MINNESOTA -- 1.8%
1,600,000 Minnesota State, Housing Finance Agency, Single
Family Mortgage Revenue, Series T,
3.500% due 1/1/17++ 1,600,000
MISSOURI -- 2.0%
750,000 Missouri State Health & Educational Facilities Au-
thority Revenue, (Sisters of Mercy Health Sys-
tems), Series A,
3.600% due 12/1/96 750,000
1,000,000 Osage Beach, Missouri, Industrial Development Au-
thority, (NationsBank Corporation of Georgia,
LOC),
3.800% due 1/1/11++++ 1,000,000
1,750,000
NEW JERSEY -- 3.9%
2,000,000 Camden County, New Jersey, Bond Anticipation
Notes, Series A,
5.250% due 2/14/96 2,000,305
1,000,000 Jersey City, New Jersey, Bond Anticipation Notes,
General Obligation,
4.750% due 9/27/96 1,004,760
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW JERSEY -- 3.9%
$ 500,000 New Jersey State Housing and Mortgage Finance
Agency, Long Option Period, Series C-76, (MBIA
Insured), (Citibank, BPA),
3.900% due 10/1/15++ $ 500,000
3,505,065
NEW MEXICO -- 3.3%
1,000,000 Eddy County, New Mexico, Pollution Control Reve-
nue, (IMC Fertilizer Inc. Project), (Rabobank
Nederland, LOC),
3.100% due 2/1/03+++ 1,000,000
1,950,000 New Mexico, Mortgage Finance Authority, Long Op-
tion Period, Series B, (FGIC Insured),
3.500% due 7/1/17++ 1,950,000
2,950,000
NEW YORK -- 5.6%
1,000,000 Nassau County, New York, Tax Anticipation Notes,
Series B, General Obligation,
4.500% due 4/15/96 1,001,187
1,000,000 New York, New York, General Obligation, Series
B-8, (Mitsubishi Bank Ltd., LOC),
3.350% due 8/15/24+++ 1,000,000
3,000,000 New York, New York, Revenue Anticipation Notes,
Series B, (Bank of Nova Scotia, Canadian Impe-
rial Bank of Commerce, Chemical Bank, Citibank,
Commerzbank AG, Morgan Guaranty Trust Company,
Union Bank of Switzerland, LOC),
4.750% due 6/28/96 3,013,932
5,015,119
NORTH CAROLINA -- 0.9%
800,000 Greensboro, North Carolina, Enterprise Systems
Revenue, Series B, (Credit Locale de France,
LOC),
3.000% due 6/1/22+++ 800,000
OHIO -- 0.9%
800,000 Clermont County, Ohio, Hospital Facilities Reve-
nue, Series B, (Mercy Health Systems, GTC),
3.200% due 9/1/21+++ 800,000
OKLAHOMA -- 1.7%
1,500,000 Oklahoma State, Water Resource Board, (Swiss Bank,
New York, BPA),
3.800% due 9/1/24++ 1,500,000
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
PENNSYLVANIA -- 4.8%
$1,200,000 Berks County, Pennsylvania, Industrial Development
Authority, (Lutheran Home at Topton Project),
(Meridian Bank, LOC),
3.475% due 9/1/25+++ $ 1,200,000
2,065,000 Pennsylvania State Housing Finance Agency, Single
Family Housing Revenue, Series N, (Bank of Amer-
ica, BPA),
3.900% due 4/1/08++ 2,065,000
1,000,000 Philadelphia, Pennsylvania, School District Tax
and Revenue Anticipation Notes, General Obliga-
tion,
4.500% due 6/28/96 1,002,145
4,267,145
RHODE ISLAND -- 0.6%
500,000 Cranston, Rhode Island, General Obligation, (MBIA
Insured),
5.400% due 6/15/96 502,680
SOUTH CAROLINA -- 2.3%
700,000 Rock Hill, South Carolina, Utility Systems Reve-
nue, (FGIC Insured), (FGIC, BPA),
3.150% due 1/1/22+++ 700,000
350,000 South Carolina Jobs and Economic Development Au-
thority, Hospital Facilities Revenue, (Florence
Housing Project), Series A,
(Credit Commerciale de France, LOC),
3.250% due 11/1/07+++ 350,000
1,000,000 South Carolina State, Public Service Authority,
Electric Revenue and Electric Systems, Pre-
refunded,
7.000% due 7/1/96 1,012,950
2,062,950
SOUTH DAKOTA -- 2.3%
2,005,000 South Dakota Housing Development Authority, Home-
ownership Mortgage, Series 85-A,
6.500% due 5/1/96 2,019,517
TEXAS -- 5.8%
San Antonio, Texas, Airport Systems Revenue, Long
Option Period, (AMBAC Insured), (Citibank, BPA):
2,000,000 CR-129,
3.900% due 7/1/11++ 2,000,000
2,500,000 CR-130,
3.900% due 7/1/12+++ 2,500,000
700,000 Tarrant County, Texas, Health Facilities Develop-
ment Corporation, Health System Revenue, Harris
Methodist Health Systems,
(Fuji Bank Ltd., LOC), Pre-refunded,
4.200% due 3/1/96 700,000
5,200,000
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
VIRGINIA -- 1.1%
$1,000,000 Virginia State, Public Building Authority, (Cor-
rectional Facilities Project), Series A,
6.650% due 2/1/96 $ 1,000,000
WISCONSIN -- 6.7%
2,000,000 Pleasant Prairie, Wisconsin, Pollution Control
Revenue, Series B, (Wisconsin Electric Power
Company, GTC),
3.200% due 9/1/30+++ 2,000,000
2,000,000 West Milwaukee, Wisconsin, West Allis School Dis-
trict, Tax and Revenue Anticipation Notes,
4.500% due 8/21/96 2,006,078
2,000,000 Wisconsin State, Public Power Systems Revenue, Mu-
nicipal Securities, Treasury Receipts, Series
SGA-10, (AMBAC Insured),
(Societe Generale, BPA),
3.300% due 7/1/14+++ 2,000,000
6,006,078
WYOMING -- 2.9%
2,600,000 Converse County, Wyoming, Pollution Control Reve-
nue, (Pacificorp Projects), (AMBAC Insured),
(Bank of New York, BPA),
3.800% due 11/1/24+ 2,600,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $87,974,237*) 98.4% 87,974,237
OTHER ASSETS AND LIABILITIES (NET) 1.6 1,409,568
NET ASSETS 100.0% $89,383,805
</TABLE>
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more than one busi-
ness 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 busi-
ness 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
GTC -- Instruments guaranteed by corporation
LOC -- Instruments supported by bank letter of credit
MBIA -- Municipal Bond Investors Assurance
SLMA -- Student Loan Mortgage Association
See Notes to Financial Statements.
18
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
TAX-FREE MONEY MARKET FUND
NOTE:
Approximately 76.1% of the municipal bonds and notes held by the Fund have
credit enhancement features backing them. Such features may have been con-
sidered by the rating agency in rating these securities.
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS #
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD & POOR'S OF VALUE
<S> <C> <C>
Aaa AAA 12.6%
Aa, Aa2, Aa3 AA 7.8
MIG1/VMIG1/P1 A-1/A-1+/SP-1/SP-1+ 74.3
NR NR 5.3
100.0%
</TABLE>
# Bonds are not necessarily rated the same by both services.
See Notes to Financial Statements.
19
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES--99.3%
ALABAMA--5.1%
$7,000,000 Tuscaloosa County, Alabama, Industrial Development
Authority, Solid Waste Disposal Revenue, (Tus-
caloosa Steel Corporation Project), (Bayerische
Landesbank, LOC),
3.300% due 9/1/20+++ $ 7,000,000
ARIZONA -- 2.4%
3,300,000 Cochise County, Arizona, Pollution Control Corpo-
ration, Solid Waste Disposal Revenue, (Arizona
Electric Power Inc. Project),
3.900% due 9/1/24++ 3,300,177
CALIFORNIA -- 2.4%
3,300,000 California State, Revenue Anticipation Warrants,
Series C, (Bank of America, LOC),
5.750% due 4/25/96 3,310,276
DISTRICT OF COLUMBIA -- 5.4%
5,000,000 District of Columbia, General Obligation, Series
B-2, (Landesbank Hessen, LOC),
3.600% due 6/1/03+ 5,000,000
2,400,000 District of Columbia, Housing Finance Agency,
Multi-family Housing Revenue, (Tyler House
Project), (PNC Bank N.A., LOC),
3.550% due 8/1/25+++ 2,400,000
7,400,000
FLORIDA -- 2.9%
3,000,000 Jacksonville, Florida, Health Facilities Authority
Revenue, (River Garden Project), (Banque
Paribas, LOC),
3.900% due 2/1/18+ 3,000,000
1,000,000 St. John's County, Florida, Industrial Development
Authority Revenue, (Kredietbank, LOC),
3.450% due 12/1/16+++ 1,000,000
4,000,000
GEORGIA -- 3.3%
570,000 Fulton County, Georgia, Development Authority, In-
dustrial Revenue, (Molnlycke Inc. Project), Se-
ries A, (Svenska Handelsbanken, LOC), 3.550% due
5/1/97+++ 570,000
4,000,000 Savannah, Georgia, Economic Development Authority,
(Home Depot Project), Series A, (Home Depot,
GTC),
3.450% due 8/1/25+++ 4,000,000
4,570,000
ILLINOIS -- 0.7%
1,000,000 Illinois Development Finance Authority Revenue,
(Nutrasweet Company Project), (Monsanto Company,
GTC),
3.400% due 11/1/23+++ 1,000,000
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
INDIANA -- 2.8%
Indiana State, Employment Development Revenue:
$ 400,000 (Double Eagle Industries Inc. Project),
3.650% due 1/1/13+++ $ 400,000
150,000 (Mobel Project), (Credit Commerciale de France,
LOC),
3.650% due 1/1/14+++ 150,000
1,300,000 (Shadeland Ventures Project), (Credit Commer-
ciale de France, LOC), 3.650% due 1/1/14+++ 1,300,000
2,000,000 Tippecanoe County, Indiana, Economic Development
Revenue, (Consolidated Industries Corporation
Project),
(Bank of New York, LOC),
3.350% due 4/1/00+++ 2,000,000
3,850,000
LOUISIANA -- 1.5%
2,000,000 Louisiana Public Facilities Authority Revenue,
Student Loan Authority, Series A-2,
5.300% due 9/1/96 2,020,094
MARYLAND -- 2.2%
3,050,000 Montgomery County, Maryland, Housing Opportunity
Commission, Multi-family Housing Revenue, Series
B,
3.900% due 11/14/96 3,050,000
MASSACHUSETTS -- 8.4%
5,000,000 Massachusetts Bay Transportation Authority, Series
A,
5.500% due 3/1/96 5,003,308
Massachusetts State, Housing Finance Agency, Hous-
ing Revenue:
500,000 Rental, Series A, (AMBAC Insured),
4.550% due 7/1/96 501,099
1,500,000 Series A, (MBIA Insured),
3.950% due 12/1/96 1,504,807
2,000,000 Single Family Mortgage Revenue, (FGIC Insured),
4.150% due 12/1/22++ 2,000,000
2,500,000 Massachusetts State Port Authority, Series B, AMT,
(Landesbank Hessen, LOC),
3.700% due 7/1/18+ 2,500,000
11,509,214
MICHIGAN -- 3.2%
3,000,000 Detroit, Michigan, City School District, State
School Aid Notes,
4.500% due 5/1/96 3,004,662
1,400,000 Midland County, Michigan, Economic Development
Corporation, (Dow Chemical Company Project), Se-
ries A, (Dow Chemical Company, GTC),
3.550% due 12/1/23+ 1,400,000
4,404,662
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
MISSISSIPPI -- 5.8%
Mississippi Business Financial Corporation, Indus-
trial Development Authority Revenue:
$4,500,000 (Mississippi Banking Company Project),
(First National Bank of Maryland, LOC),
3.550% due 8/1/15+++ $ 4,500,000
2,000,000 (Schuller International Inc. Project), (Bank of
New York, LOC),
3.600% due 8/1/07+++ 2,000,000
1,500,000 Solid Waste Disposal Revenue, (Morton Interna-
tional Inc. Project), Series B, (Morton Interna-
tional Inc., BPA),
3.300% due 6/1/20+++ 1,500,000
8,000,000
MISSOURI -- 0.4%
500,000 Kansas City, Missouri, Industrial Development Au-
thority, Hospital Revenue, Research Health Ser-
vices System, (MBIA Insured), (Sumitomo Bank
Ltd., GTC),
3.550% due 10/15/15+ 500,000
NEVADA -- 0.1%
100,000 Nevada State Department, Commercial Industrial De-
velopment Revenue, (Kinplex Project), Series A,
(Credit Commerciale de France, LOC), 3.350% due
1/1/09+++ 100,000
NEW JERSEY -- 6.0%
3,000,000 Camden County, New Jersey, Bond Anticipation
Notes, Series A,
5.250% due 2/14/96 3,000,458
New Jersey Economic Development Authority Revenue,
(Wearbest Sil-Tex Mills Project), (Bank of New
York, LOC):
1,590,000 Series A,
3.600% due 7/1/15+++ 1,590,000
800,000 Series B,
3.600% due 7/1/01+++ 800,000
2,785,000 New Jersey State Housing and Mortgage Finance
Agency, Long Option Period, Series D-34, (MBIA
Insured), (Citibank, BPA),
4.000% due 10/1/19++ 2,785,000
8,175,458
NEW MEXICO -- 0.9%
1,200,000 Santa Fe, New Mexico, Single Family Mortgage Reve-
nue, Series 95-B, (FNMA, GNMA Collateral),
4.000% due 11/1/28++ 1,200,000
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW YORK -- 2.1%
$2,000,000 New York, New York, Revenue Anticipation Notes,
Series B, (Bank of Nova Scotia, Canadian Impe-
rial Bank of Commerce, Chemical Bank, Citibank,
Commerzbank AG, Morgan Guaranty Trust Company,
Union Bank of Switzerland, LOC),
4.750% due 6/28/96 $ 2,010,866
815,000 New York State Job Development Authority Revenue,
Series B,
3.600% due 3/1/03+ 815,000
2,825,866
OHIO -- 2.2%
3,000,000 Ohio State, Water Development Authority, Pollution
Control Facilities Revenue, (Ohio Edison Company
Project), Series A, (Union Bank of Switzerland,
LOC),
4.750% due 5/1/18++ 3,001,957
OREGON -- 4.3%
3,900,000 Metropolitan Service, Oregon, Waste Disposal Reve-
nue, (Riedel Oregon Compost Company Project),
Series A, (U.S. National Bank, LOC),
3.350% due 7/1/11+++ 3,900,000
Oregon State Economic Development Commission Reve-
nue, (First Interstate Bank of Oregon, LOC):
1,155,000 Series B,
3.750% due 7/1/03+++ 1,155,000
850,000 Series C,
3.750% due 7/1/03+++ 850,000
5,905,000
PENNSYLVANIA -- 1.5%
100,000 Pennsylvania State Higher Education Assistance
Agency, Student Loan Revenue, Series A, (SLMA,
LOC),
3.250% due 1/1/18+++ 100,000
2,000,000 Pennsylvania State Housing Finance Agency, Single
Family Housing Revenue, Series N, (Bank of Amer-
ica, BPA),
3.900% due 4/1/08++ 2,000,000
2,100,000
SOUTH CAROLINA -- 3.6%
South Carolina Jobs and Economic Development Au-
thority, Economic Development Revenue:
600,000 4.350% due 12/1/06+++ 600,000
500,000 (Kent Manufacturing Project), Series A,
(Credit Commerciale de France, LOC),
3.350% due 4/8/99+++ 500,000
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
SOUTH CAROLINA (CONTINUED)
$1,200,000 (Old Claussens Project), (Bank of Tokyo, Ltd.,
LOC),
4.350% due 12/1/06+++ $ 1,200,000
1,170,000 (Osmose Wood Preserving Project), Series B,
3.350% due 12/1/04+++ 1,170,000
150,000 (Regal-Beloit Corporation Project), Series A,
(Credit Commerciale de France, LOC),
3.350% due 5/1/01+++ 150,000
700,000 (Rice Street Association Project), (Bank of
Tokyo, Ltd., LOC),
4.350% due 12/1/07+++ 700,000
450,000 (Seacord Corporation/John O. Cram Project), Se-
ries B,
(Credit Commerciale de France, LOC),
3.500% due 9/1/03+++ 450,000
250,000 South Carolina, Student Loan Educational Assis-
tance Authority Revenue,
6.800% due 9/1/96 253,880
5,023,880
TENNESSEE -- 4.9%
2,200,000 Collierville, Tennessee, Industrial Development
Board, Industrial Revenue, (Ardco Inc. Project),
(Harris Trust & Savings Bank, LOC),
3.350% due 4/1/09+++ 2,200,000
1,500,000 Hamilton County, Tennessee, Industrial Development
Board, Industrial Revenue, (Komatsv Project),
(Bank of New York, LOC),
3.450% due 12/1/17+++ 1,500,000
2,000,000 Oak Ridge, Tennessee, Industrial Development
Board, Solid Waste Revenue, (Sun Trust Bank of
Atlanta, LOC),
3.450% due 1/1/06+++ 2,000,000
1,000,000 Shelby County, Tennessee, Health, Education and
Housing Facilities Board, Multi-family Housing
Revenue, (Arbor Lake Project),
(Citibank, LOC),
3.300% due 3/1/10+++ 1,000,000
6,700,000
TEXAS -- 14.2%
2,100,000 Harris County, Texas, Health Facilities Develop-
ment Corporation, Hospital Revenue, (Methodist
Hospital), (Morgan Guaranty Trust Company, BPA),
3.700% due 12/1/25++ 2,100,000
1,755,000 Mesquite, Texas, Housing Finance Corporation, Sin-
gle Family Mortgage Revenue, Series A,
3.600% due 1/1/15++ 1,755,000
900,000 North Texas Higher Education Authority, Student
Loan Revenue, (SLMA, LOC),
3.250% due 3/1/99+++ 900,000
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
TEXAS (CONTINUED)
San Antonio, Texas, Airport Systems Revenue, Long
Option Period, (AMBAC Insured), (Citibank, BPA):
$2,975,000 CR-127,
3.900% due 7/1/09++ $ 2,975,000
1,420,000 CR-131,
3.900% due 7/1/13++ 1,420,000
3,055,000 Tarrant County, Texas, Housing Finance Corpora-
tion, Housing Revenue,
3.600% due 7/1/12++ 3,055,000
Texas State, Veterans Housing Assistance, Fund II:
3,000,000 Series D,
3.850% due 12/1/26++ 3,000,000
3,300,000 Series E,
3.900% due 12/1/26++ 3,300,000
1,000,000 Travis County, Texas, Certificates of Obligation,
8.200% due 3/1/96 1,003,404
19,508,404
UTAH -- 0.7%
900,000 Utah State Board of Regents, Student Loan Revenue,
Series A, AMT, (SLMA, LOC),
3.250% due 11/1/23+++ 900,000
VERMONT -- 1.5%
2,000,000 Burlington, Vermont, Industrial Development Au-
thority, (Bank of New York, LOC),
3.450% due 12/1/11+++ 2,000,000
VIRGINIA -- 0.4%
500,000 Fairfax County, Virginia, General Obligation, Se-
ries C, 4.700% due 10/1/96 503,880
WASHINGTON -- 6.0%
4,000,000 Pilchuck Development Public Corporation, (Kohkoku
USA Project), (Fuji Bank, LOC),
3.475% due 11/1/99+++ 4,000,000
1,245,000 Port Seattle, Washington, Series A, (AMBAC In-
sured),
5.500% due 2/1/96 1,245,000
1,800,000 Student Loan Finance Association, Washington, Se-
ries A, (National Westminster Bank, LOC),
3.150% due 1/1/04+++ 1,800,000
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
<S> <C> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
WASHINGTON (CONTINUED)
Washington State, Public Power Supply System:
$ 400,000 (Nuclear Power No. 2), Series A,
4.200% due 7/1/96 $ 400,963
800,000 (Nuclear Power No. 3), Series B,
6.900% due 7/1/96 810,726
8,256,689
WISCONSIN -- 3.7%
5,000,000 West Milwaukee, Wisconsin, West Allis School Dis-
trict, Tax and Revenue Anticipation Notes,
4.500% due 8/21/96 5,014,653
WYOMING -- 0.7%
1,000,000 Sweetwater County, Wyoming, Pollution Control Rev-
enue, (Pacificorp Projects), (AMBAC Insured),
(Bank of New York, BPA),
3.800% due 11/1/24+ 1,000,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $136,130,210*) 99.3% 136,130,210
OTHER ASSETS AND LIABILITIES (NET) 0.7 959,097
NET ASSETS 100.0% $137,089,307
</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 busi-
ness days' notice. The interest rate shown reflects the rate currently
in effect.
AMBAC -- American Municipal Bond Assurance Corporation
AMT -- Alternative Minimum Tax
BPA -- Instruments supported by bond purchase agreements
FNMA -- Federal National Mortgage Association
FGIC -- Federal Guaranty Insurance Corporation
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 Mortgage Association
See Notes to Financial Statements.
26
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 1996
MUNICIPAL MONEY MARKET FUND
NOTE:
Approximately 69.1% of the municipal bonds and notes held by the Fund have
credit enhancement features backing them. Such features may have been con-
sidered by the rating agency in rating these securities.
SUMMARY OF MUNICIPAL BONDS BY COMBINED RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD & POOR'S OF VALUE
<S> <C> <C>
Aaa AAA 13.0%
Aa, Aa2, Aa3 AA 4.7
MIG1/VMIG1/P1 A-1/A-1+/SP-1/SP-1+ 77.2
NR NR 5.1
100.0%
</TABLE>
# Bonds are not necessarily rated the same by both services.
See Notes to Financial Statements.
27
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 1996
<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 $3,670,912,050 $2,652,039,256 $ 55,111,016
Repurchase agreements 634,514,000 178,764,000 87,768,000
Total investments 4,305,426,050 2,830,803,256 142,879,016
Cash 4,781 382,661 419
Receivable from Investment
Adviser (Note 2) -- -- --
Interest receivable 13,127,990 12,231,873 334,319
Receivable for investment
securities sold -- -- --
Unamortized organization costs
(Note 5) 24,394 24,394 24,434
Other assets 448 -- --
Total Assets 4,318,583,663 2,843,442,184 143,238,188
LIABILITIES:
Investment Advisory fee payable
(Note 2) 443,958 253,709 7,463
Administration fee payable
(Note 2) 114,040 65,170 2,244
Due to custodian -- -- --
Service fee payable (Note 3) 76,727 4,319 3,986
Transfer Agent fees payable
(Note 2) 66,300 38,475 1,305
Custodian fees payable (Note 2) 86,720 58,227 12,475
Registration and filing fees
payable 353,960 251,672 30,000
Accrued Trustees' fees and
expenses (Note 2) 7,555 4,895 150
Dividends payable 11,500,252 8,573,628 420,340
Payable for investment securities
purchased 36,960,790 59,269,692 --
Accrued expenses and other
payables 246,897 159,969 4,831
Total Liabilities 49,857,199 68,679,756 482,794
NET ASSETS $4,268,726,464 $2,774,762,428 $142,755,394
Investments, at cost (Note 1) $4,305,426,050 $2,830,803,256 $142,879,016
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
<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 $119,258,486 $87,974,237 $136,130,210
118,000 116,933,000 -- --
1,118,000 236,191,486 87,974,237 136,130,210
853 751 -- 636,167
-- -- -- 32,938
15,609 19,081 887,514 1,381,511
-- -- 817,010 --
24,434 24,394 24,434 24,434
4,597 3,065 -- --
1,163,493 236,238,777 89,703,195 138,205,260
-- 2,418 4,479 --
154 5,595 1,802 2,805
-- -- 73,175 --
-- 10,406 -- 595
212 3,580 1,060 1,735
16,615 20,690 21,106 17,143
30,000 30,000 29,000 30,000
5 695 130 295
4,856 358,787 184,404 236,840
-- -- -- 817,010
1,988 22,917 4,234 9,530
53,830 455,088 319,390 1,115,953
$1,109,663 $235,783,689 $89,383,805 $137,089,307
$1,118,000 $236,191,486 $87,974,237 $136,130,210
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JANUARY 31, 1996
<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 (177,802) (241,002) (4,414)
Par value 4,268,885 2,775,002 142,758
Paid-in capital in excess of par
value 4,264,615,624 2,772,226,852 142,615,233
$4,268,726,464 $2,774,762,428 $142,755,394
NET ASSETS:
Class A $3,919,185,764 $2,754,390,013 $125,390,300
Class B $ 324,474,411 $ 20,372,215 $ 14,658,529
Class C $ 13,254,868 $ 100 $ 2,706,465
Class E $ 11,811,421 $ 100 $ 100
SHARES OUTSTANDING:
Class A 3,919,329,687 2,754,626,240 125,391,577
Class B 324,487,480 20,375,414 14,659,849
Class C 13,255,438 100 2,706,465
Class E 11,811,904 100 100
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.
30
<PAGE>
<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
-- (804) (330) --
1,110 235,785 89,379 137,065
1,108,543 235,548,708 89,289,960 136,927,913
$1,109,663 $235,783,689 $89,383,805 $137,089,307
$1,109,663 $183,375,648 $89,383,505 $135,120,106
N/A $ 27,906,592 $ 100 $ 100
N/A $ 24,501,349 $ 100 $ 1,969,001
N/A $ 100 $ 100 $ 100
1,109,653 183,376,416 89,379,039 135,096,214
N/A 27,906,638 100 100
N/A 24,501,349 100 1,968,564
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.
31
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
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>
INVESTMENT INCOME:
Interest $270,322,907 $176,094,141 $5,239,855
EXPENSES:
Investment Advisory fee (Note 2) 4,452,829 2,885,657 87,394
Administration fee (Note 2) 4,452,829 2,885,657 87,394
Service fee (Note 3):
Class B 960,077 72,893 26,709
Class C 41,105 -- 3,897
Class E 17,459 -- 35
Transfer Agent fees (Note 2) 700,916 452,101 14,222
Custodian fees (Note 2) 513,981 343,968 25,397
Registration and filing fees 356,789 254,451 32,709
Trustees' fees and expenses
(Note 2) 54,393 43,139 1,208
Amortization of organization
costs (Note 5) 12,563 12,563 12,573
Other 730,093 469,003 16,862
Fees waived by Investment Adviser,
Adminstrator and Custodian
and/or expenses reimbursed by
Investment Adviser (Note 2) (3,649,983) (2,373,274) (120,446)
Total expenses 8,643,051 5,046,158 187,954
NET INVESTMENT INCOME 261,679,856 171,047,983 5,051,901
NET REALIZED GAIN/(LOSS) ON
INVESTMENTS (Note 1) (159,065) 85,517 --
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $261,520,791 $171,133,500 $5,051,901
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
<S> <C> <C> <C>
$172,405 $23,979,891 $3,070,140 $7,132,330
2,930 408,362 76,038 172,515
2,930 408,362 76,038 172,515
-- 77,085 -- --
-- 41,889 -- 5,923
-- -- -- --
-- 72,018 13,130 26,809
1,253 62,395 36,502 61,725
30,829 32,239 32,329 32,329
106 7,219 1,227 2,590
12,573 12,563 12,573 12,573
1,269 112,090 14,750 31,784
(44,060) (380,197) (125,719) (202,314)
7,830 854,025 136,868 316,449
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
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
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.
34
<PAGE>
<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.
35
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED JANUARY 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
<S> <C> <C> <C>
Net investment income $ 101,794,050 $ 77,945,091 $ 3,673,525
Net realized gain/(loss) on
investment sold during the
year (18,737) (326,519) (4,414)
Net increase in net assets
resulting from operations 101,775,313 77,618,572 3,669,111
Distributions to shareholders
from net investment income:
Class A (88,718,314) (77,274,366) (3,323,563)
Class B (12,134,365) (670,725) (349,962)
Class C (746,966) -- --
Class E (194,405) -- --
Net increase/(decrease) in net
assets from share transac-
tions (Note 4):
Class A (1,327,533,646) (2,510,545,069) (81,449,488)
Class B (7,991,572) 4,239,335 9,323,178
Class C 7,244,790 -- --
Class D -- (10,123) (100)
Class E 8,317,899 100 100
Net increase/(decrease) in net
assets (1,319,981,266) (2,506,642,276) (72,130,724)
NET ASSETS:
Beginning of year 3,217,019,239 3,998,697,910 121,532,644
End of year $ 1,897,037,973 $ 1,492,055,634 $ 49,401,920
Undistributed net investment
income at end of year $ 19,757 $ 1,576 $ 1,817
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
<TABLE>
<CAPTION>
TREASURY
CASH INSTRUMENTS TAX-FREE MUNICIPAL
MANAGEMENT MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND II FUND FUND
<S> <C> <C> <C>
$ 419,901 $ 15,579,788 $ 1,770,870 $ 6,387,890
102 -- (2,318) (24,497)
420,003 15,579,788 1,768,552 6,363,393
(419,337) (14,277,430) (1,770,323) (6,387,890)
(532) (1,302,358) (547) --
(32) -- -- --
-- -- -- --
(36,969,270) 212,014,666 618,269 (257,354,964)
-- (6,619,950) -- --
200,007 -- -- --
-- -- -- (100)
100 100 100 100
(36,769,061) 205,394,816 616,051 (257,379,461)
41,709,478 190,643,428 59,734,786 350,975,043
$ 4,940,417 $ 396,038,244 $ 60,350,837 $ 93,595,582
-- -- $ 4,796 $ 18,620
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/96 1/31/95
CLASS A CLASS A CLASS A CLASS B CLASS B
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.0592 0.0442 0.0310 0.0567 0.0417
Dividends from net
investment income (0.0592) (0.0442) (0.0310) (0.0567) (0.0417)
Net asset value, end of
year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 6.08% 4.52% 3.14% 5.83% 4.21%
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's) $ 3,919,186 $ 1,538,802 $ 2,866,353 $ 324,474 $ 342,673
Ratio of net invest-
ment income to
average net assets 5.90% 4.30% 3.16%+ 5.65% 4.05%
Ratio of operating
expenses to average
net assets 0.17% 0.12% 0.11%+ 0.42% 0.37%
Ratio of operating
expenses to average
net assets before
fees waived by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator 0.25% 0.25% 0.33%+ 0.50% 0.50%
Net investment income
per share before
waiver of fees by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator $ 0.0583 $ 0.0428 $ 0.0289 $ 0.0558 $ 0.0403
</TABLE>
* The Prime Money Market Fund Class A, Class B, Class C and Class E
shares commenced operations on February 8, 1993, September 2, 1993, De-
cember 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 indi-
cated.
# Total net assets for Class C shares were $100 at January 31, 1994.
See Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
PERIOD YEAR YEAR PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
1/31/94* 1/31/96 1/31/95 1/31/94* 1/31/96 1/31/95*
CLASS B CLASS C 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
0.0110 0.0557 0.0407 0.0001 0.0577 0.0165
(0.0110) (0.0557) (0.0407) (0.0001) (0.0577) (0.0165)
$ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
0.99% 5.71% 4.14% -- ** 5.94% 1.66%
$350,666 $ 13,255 $ 7,245 -- # $ 11,811 $ 8,318
2.91%+ 5.55% 3.95% 2.81%+ 5.75% 4.15%+
0.36%+ 0.52% 0.47% 0.46%+ 0.32% 0.27%+
0.58%+ 0.60% 0.60% 0.68%+ 0.40% 0.39%+
$ 0.0102 $ 0.0548 $ 0.0393 $ 0.0001 $ 0.0568 $ 0.0160
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/96 1/31/95 1/31/94*
CLASS A CLASS A CLASS A CLASS B CLASS B CLASS B
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.0594 0.0442 0.0315 0.0569 0.0417 0.0125
Dividends from net
investment income (0.0594) (0.0442) (0.0315) (0.0569) (0.0417) (0.0125)
Net asset value, end of
year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 6.10% 4.51% 3.21% 5.84% 4.26% 1.26%
Ratios to average net
assets/ supplemental
data:
Net assets, end of year
(in 000's) $2,754,390 $1,470,317 $3,981,184 $ 20,372 $ 21,739 $ 17,504
Ratio of net invest-
ment income to
average net assets 5.93% 4.20% 3.23%+ 5.68% 3.95% 2.98%+
Ratio of operating
expenses to average
net assets 0.17% 0.09% 0.07%+ 0.42% 0.34% 0.32%+
Ratio of operating
expenses to average
net assets before
fees waived by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator 0.25% 0.25% 0.36%+ 0.50% 0.50% 0.61%+
Net investment income
per share before
waiver of fees by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator $ 0.0585 $ 0.0426 $ 0.0287 $ 0.0560 $ 0.0398 $0.0113
</TABLE>
* The Prime Value Money Market Fund Class A and Class B shares commenced
operations on February 8, 1993 and September 1, 1993, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indi-
cated.
See Notes to Financial Statements.
40
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR YEAR PERIOD YEAR YEAR PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/96 1/31/95 1/31/94* 1/31/96* 1/31/96*
CLASS A CLASS A CLASS A CLASS B CLASS B CLASS B CLASS C CLASS E
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C><C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment in-
come 0.0585 0.0435 0.0309 0.0560 0.0410 0.0091 0.0432 0.0173
Dividends from net
investment in-
come (0.0585) (0.0435) (0.0309) (0.0560) (0.0410) (0.0091) (0.0432) (0.0173)
Net asset value, end
of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 6.01% 4.45% 3.14% 5.76% 4.19% 0.90% 4.40% 1.74%
Ratios to average
net assets/ sup-
plemental data:
Net assets, end of
year (in 000's) $ 125,390 $ 40,080 $ 121,532 $ 14,659 $ 9,322 -- # $ 2,706 -- #
Ratio of net
investment in-
come to average
net assets 5.82% 4.28% 3.18%+ 5.57% 4.03% 2.93%+ 5.47%+ 5.67%+
Ratio of operat-
ing expenses to
average net as-
sets 0.18% 0.16% 0.03%+ 0.43% 0.41% 0.28%+ 0.53%+ 0.33%+
Ratio of operat-
ing expenses to
average net as-
sets before
fees waived by
the Investment
Adviser, Admin-
istrator, Cus-
todian and/or
Transfer Agent
and/or expenses
reimbursed by
the Investment
Adviser and Ad-
ministrator 0.32% 0.31% 0.53%+ 0.57% 0.56% 0.78%+ 0.67%+ 0.47%+
Net investment
income per
share before
waiver of fees
by the Invest-
ment Adviser,
Administrator,
Custodian
and/or Transfer
Agent and/ or
expenses reim-
bursed
by the Invest-
ment Adviser
and Administra-
tor $ 0.0571 $ 0.0419 $ 0.0261 $ 0.0546 $ 0.0394 $ 0.0075 $ 0.0421 $0.0168
</TABLE>
* 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 indi-
cated.
# Total net assets for Class B shares were $100 at January 31, 1994.
Total net assets for Class E shares were $100 at January 31, 1996.
See Notes to Financial Statements.
41
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
CASH MANAGEMENT FUND
<TABLE>
<CAPTION>
YEAR YEAR PERIOD PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/95* 1/31/95*
CLASS A CLASS A CLASS A CLASS B CLASS C
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.0585 0.0421 0.0304 0.0001 0.0001
Less distributions:
Dividends from net
investment income (0.0585) (0.0421) (0.0304) (0.0001) (0.0001)
Distributions from
net realized gains (0.0000)+++ -- -- -- --
Total distributions (0.0585) (0.0421) (0.0304) (0.0001) (0.0001)
Net asset value, end of
year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 6.01% 4.26% 3.09% -- ** 0.01%
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's) $ 1,110 $ 4,740 $ 41,709 -- # $ 200
Ratio of net invest-
ment income to
average net assets 5.62% 3.52% 3.11%+ 3.27%+ 3.17%+
Ratio of operating
expenses to average
net assets 0.26% 0.17% 0.06%+ 0.42%+ 0.52%+
Ratio of operating
expenses to average
net assets before
fees waived by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator 1.76% 0.77% 0.92%+ 1.02%+ 1.12%+
Net investment income
per share before
waiver of fees by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator $ 0.0429 $ 0.0350 $ 0.0220 $ 0.0001 $ 0.0001
</TABLE>
* The Cash Management Fund Class A, Class B and Class C shares commenced
operations on February 8, 1993, January 19, 1995, and January 31,
1995, respectively.
** All shares offered to the public on January 19, 1995 were redeemed on
January 20, 1995; therefore, total return deemed not to be meaningful.
+ Annualized.
++ Total return represents aggregate total return for the periods indi-
cated.
+++ Amount represents less than $0.0001 per share.
# Total net assets for Class B shares were $100 at January 31, 1995.
See Notes to Financial Statements.
42
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
YEAR YEAR PERIOD YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/96 1/31/95 1/31/94* 1/31/96*
CLASS A CLASS A CLASS A CLASS B CLASS B CLASS B CLASS C
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment in-
come 0.0566 0.0424 0.0300 0.0541 0.0399 0.0198 0.0248
Dividends from net
investment in-
come (0.0566) (0.0424) (0.0300) (0.0541) (0.0399) (0.0198) (0.0248)
Net asset value, end
of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 5.80% 4.32% 3.04% 5.54% 4.05% 2.00% 2.50%
Ratios to average
net assets/ sup-
plemental data:
Net assets, end of
year (in 000's) $ 183,376 $ 368,796 $ 156,782 $ 27,907 $ 27,242 $ 33,862 $ 24,501
Ratio of net
investment in-
come to average
net assets 5.69% 4.38% 3.12%+ 5.44% 4.13% 2.87%+ 5.34%+
Ratio of operat-
ing expenses to
average net as-
sets 0.18% 0.12% 0.03%+ 0.43% 0.37% 0.28%+ 0.53%+
Ratio of operat-
ing expenses to
average net as-
sets before
fees waived by
the Investment
Adviser,
Administrator,
Custodian
and/or Transfer
Agent and/or
expenses reim-
bursed by the
Investment Ad-
viser and
Administrator 0.27% 0.27% 0.49%+ 0.52% 0.52% 0.74%+ 0.62%+
Net investment
income per
share before
waiver of fees
by the
Investment Ad-
viser, Adminis-
trator, Custo-
dian and/or
Transfer Agent
and/or expenses
reimbursed by
the Investment
Adviser and Ad-
ministrator $ 0.0557 $ 0.0407 $ 0.0256 $ 0.0532 $ 0.0384 $ 0.0166 $ 0.0244
</TABLE>
* 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 indi-
cated.
See Notes to Financial Statements.
43
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR YEAR PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/96 1/31/95*
CLASS A CLASS A CLASS A CLASS B CLASS B
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.0386 0.0288 0.0228 0.0361 0.0030
Dividends from net
investment income (0.0386) (0.0288) (0.0228) (0.0361) (0.0030)
Net asset value, end of
year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 3.94% 2.93% 2.30% 3.69% 0.30%
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's) $ 89,384 $ 60,351 $ 59,735 -- # -- #
Ratio of net invest-
ment income to
average net assets 3.86% 2.99% 2.38%+ 3.61% 2.74%+
Ratio of operating
expenses to average
net assets 0.18% 0.16% 0.11%+ 0.43% 0.41%+
Ratio of operating
expenses to average
net assets before
fees waived by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator 0.35% 0.38% 1.52%+ 0.60% 0.63%+
Net investment income
per share before
waiver of fees by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator $ 0.0369 $ 0.0266 $ 0.0093 $ 0.0344 $ 0.0009
</TABLE>
* The Tax-Free Money Market Fund Class A and Class B shares commenced op-
erations on February 8, 1993 and December 30, 1994, respectively.
+ Annualized.
++ Total return represents aggregate total return for the periods indi-
cated.
# Total net assets for Class B shares were $100 at January 31, 1996 and
January 31, 1995.
See Notes to Financial Statements.
44
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR.
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED
1/31/96 1/31/95 1/31/94* 1/31/96*
CLASS A CLASS A CLASS A CLASS C
<S> <C> <C> <C> <C>
Net asset value,
beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.0396 0.0300 0.0243 0.0284
Less distributions:
Dividends from net
investment income (0.0396) (0.0300) (0.0243) (0.0284)
Distributions from
net realized gains (0.0000)+++ -- -- (0.0000)+++
Total distributions (0.0396) (0.0300) (0.0243) (0.0284)
Net asset value, end of
year $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total return++ 4.03% 3.04% 2.46% 2.88%
Ratios to average net
assets/supplemental
data:
Net assets, end of year
(in 000's) $ 135,120 $ 93,595 $ 350,975 $ 1,969
Ratio of net invest-
ment income to
average net assets 3.95% 2.86% 2.53%+ 3.60%+
Ratio of operating
expenses to average
net assets 0.18% 0.15% 0.13%+ 0.53%+
Ratio of operating
expenses to average
net assets before
fees waived by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and Admin-
istrator 0.30% 0.31% 0.51%+ 0.65%+
Net investment income
per share before
waiver of fees by the
Investment Adviser,
Administrator, Cus-
todian and/or Trans-
fer Agent and/or
expenses reimbursed
by the Investment
Adviser and
Administrator $ 0.0384 $ 0.0283 $ 0.0201 $ 0.0275
</TABLE>
* 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 indi-
cated.
+++ Amount represents less than $0.0001 per share.
See Notes to Financial Statements.
45
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Lehman Brothers Institutional Funds Group Trust (the "Trust") was es-
tablished on November 25, 1992 as a Massachusetts business trust. It is an
open-end management investment company, which consists of seven funds of-
fered 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 Cash Management
Fund ceased offering shares of Class B, Class C and Class E on May 31,
1995, and on August 9, 1995 such classes of shares ceased to exist. Shares
of the Floating Rate U.S. Government Fund, Short Duration U.S. Government
Fund and the 100% Treasury Instruments Money Market Fund were no longer
sold to the public as of July 31, 1995, July 31, 1995 and August 25, 1995,
respectively, and such Funds ceased operations.
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 finan-
cial 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 agree-
ment transactions. The Fund values repurchase agreements at cost and ac-
crues interest into interest receivable. Under the terms of a typical re-
purchase agreement, a Fund takes possession of the underlying debt obliga-
tion subject to an obligation of the seller to repurchase, and the Fund to
resell, the obligation at an agreed-upon price and time, thereby determin-
ing the yield during the Fund's holding period. This arrangement results
in a fixed rate of return that is not subject to market fluctuations dur-
ing 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 collat-
eral 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 dis-
pose of the collateral securities, including the risk of a possible de-
cline in the value of the underlying securities during the period while
the Fund seeks to assert its rights. The Fund's Investment Adviser, acting
under the supervision of the Board of Trustees, reviews the value of the
collateral and the creditworthiness of those banks and dealers with which
the 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 invest-
ments 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.
46
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (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; there-
fore, no Federal income tax provision is required.
Dividends and distributions to shareholders: Dividends from net in-
vestment income of each Fund are determined on a class level and are de-
clared 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 deter-
mined at fiscal year-end in accordance with Federal income tax regulations
which may differ from generally accepted accounting principles. These dif-
ferences are primarily due to differing treatments of income and gains on
various investment securities held by the Fund, timing differences and
differing characterization of distributions made by the Fund as a whole.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER RELATED PARTY
TRANSACTIONS
Lehman Brothers Global Asset Management Inc. ("LBGAM") serves as each
Fund's Investment Adviser pursuant to Investment Advisory Agreements dated
February 5, 1993. LBGAM is a wholly-owned subsidiary of Lehman Brothers
Holdings Inc. ("Holdings"). Under the Investment Advisory Agreements,
LBGAM is entitled to receive a monthly fee at the annual rate of 0.10% of
the value of each Fund's average daily net assets. For the year ended Jan-
uary 31, 1996, LBGAM voluntarily waived fees and reimbursed expenses as
follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
<S> <C> <C>
Government Obligations Money Market Fund $33,786 --
Cash Management Fund 2,930 $37,850
Treasury Instruments Money Market Fund II 29,151 --
Tax-Free Money Market Fund 48,697 --
Municipal Money Market Fund 44,040 --
</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 Agree-
ment, 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 year ended January 31, 1996, FDISG waived fees as fol-
lows:
<TABLE>
<CAPTION>
FEES WAIVED
<S> <C>
Prime Money Market Fund $3,282,923
Prime Value Money Market Fund 2,127,361
Government Obligations Money Market Fund 64,488
Cash Management Fund 2,165
Treasury Instruments Money Market Fund II 301,631
Tax-Free Money Market Fund 56,170
Municipal Money Market Fund 127,184
</TABLE>
47
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (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 or FDISG or any parent, subsidiary or affiliate
thereof $20,000 per annum, plus $1,250 per meeting attended, and reim-
burses 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 year ended January 31, 1996, Boston Safe waived fees as
follows:
<TABLE>
<CAPTION>
FEES WAIVED
<S> <C>
Prime Money Market Fund $367,060
Prime Value Money Market Fund 245,913
Government Obligations Money Market Fund 22,172
Cash Management Fund 1,115
Treasury Instruments Money Market Fund II 49,415
Tax-Free Money Market Fund 20,852
Municipal Money Market Fund 31,090
</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 inves-
tors such as banks, savings and loan associations and other financial in-
stitutions ("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.
48
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The tables below summarize transactions of each class of shares, at
$1.00:
<TABLE>
<CAPTION>
PRIME MONEY YEAR ENDED
MARKET FUND: 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>
YEAR ENDED
1/31/95
CLASS A CLASS B CLASS C CLASS E
<S> <C> <C> <C> <C>
Sold $ 50,834,385,668 $ 1,726,597,698 $ 294,282,614 $ 195,210,550
Dividend
Reinvestment 33,594,264 40,466 11,099 197,277
Redeemed (52,195,513,578) (1,734,629,736) (287,048,923) (187,089,928)
Net increase/
(decrease) $ (1,327,533,646) $ (7,991,572) $ 7,244,790 $ 8,317,899
</TABLE>
<TABLE>
<CAPTION>
PRIME VALUE MONEY YEAR ENDED
MARKET FUND: 1/31/96
CLASS A CLASS B
<S> <C> <C>
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>
YEAR ENDED
1/31/95
CLASS A CLASS B CLASS D CLASS E
<S> <C> <C> <C> <C>
Sold $ 35,347,664,625 $ 122,964,083 $ -- $100
Dividend
Reinvestment 23,701,484 -- 23 --
Redeemed (37,881,911,178) (118,724,748) (10,146) --
Net increase/
(decrease) $ (2,510,545,069) $ 4,239,335 $(10,123) $100
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT
OBLIGATIONS
MONEY MARKET YEAR ENDED
FUND: 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>
49
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
GOVERNMENT
OBLIGATIONS
MONEY MARKET
FUND
(CONTINUED):
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS D CLASS E
<S> <C> <C> <C> <C>
Sold $1,366,951,349 $88,597,518 $ -- $100
Dividend
Reinvestment 465,286 13,481 -- --
Redeemed (1,448,866,123) (79,287,821) (100) --
Net increase/
(decrease) $ (81,449,488) $ 9,323,178 $(100) $100
</TABLE>
<TABLE>
<CAPTION>
CASH MANAGEMENT YEAR ENDED
FUND: 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>
YEAR ENDED
1/31/95
CLASS A CLASS B CLASS C CLASS E
<S> <C> <C> <C> <C>
Sold $ 101,753,182 $ 3,814,865 $200,000 $100
Dividend
Reinvestment 1,426 -- 7 --
Redeemed (138,723,878) (3,814,865) -- --
Net increase/
(decrease) $ (36,969,270) $ -- $200,007 $100
</TABLE>
<TABLE>
<CAPTION>
TREASURY
INSTRUMENTS
MONEY MARKET YEAR ENDED
FUND II: 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>
YEAR ENDED
1/31/95
CLASS A CLASS B CLASS E
<S> <C> <C> <C>
Sold $ 3,209,159,843 $ 138,750,163 $100
Dividend
Reinvestment 2,955,287 994,570 --
Redeemed (3,000,100,464) (146,364,683) --
Net increase/
(decrease) $ 212,014,666 $ (6,619,950) $100
</TABLE>
50
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
TAX-FREE MONEY YEAR ENDED
MARKET FUND: 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 $ --
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
CLASS A CLASS B CLASS E
<S> <C> <C> <C>
Sold $ 685,428,863 $ 1,072,223 $100
Dividend Rein-
vestment 232,374 272 --
Redeemed (685,042,968) (1,072,495) --
Net increase $ 618,269 $ -- $100
</TABLE>
<TABLE>
<CAPTION>
MUNICIPAL MONEY YEAR ENDED
MARKET FUND: 1/31/96
CLASS A CLASS C*
<S> <C> <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
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
1/31/95
CLASS A CLASS D CLASS E
<S> <C> <C> <C>
Sold $ 4,299,613,976 $ -- $100
Dividend
Reinvestment 1,655,845 -- --
Redeemed (4,558,624,785) (100) --
Net increase/
(decrease) $ (257,354,964) $(100) $100
</TABLE>
* 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.
51
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of January 31, 1996, the following Funds had each issued 100 shares
to the following classes in the amount of $100 to Lehman Brothers:
<TABLE>
<CAPTION>
CLASS
<S> <C>
Prime Value Money Market Fund C, E
Treasury Instruments Money Market Fund II E
Tax-Free Money Market Fund C, E
Municipal Money Market Fund B, E
</TABLE>
During the year ended January 31, 1996, no income or expenses were al-
located to Class B, Class C and Class E shares that did not have capital
stock activity during the year.
5. ORGANIZATION COSTS
The Funds bear all costs in connection with their organization includ-
ing fees and expenses of registering and qualifying their shares for dis-
tribution 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 num-
ber of initial shares held at the time of redemption.
6. CAPITAL LOSS CARRYFORWARD
At January 31, 1996, the following Funds had available for Federal in-
come 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
The Board of Trustees of the Trust and shareholders approved a new In-
vestment Advisory Agreement stating that, effective February 1, 1996,
LBGAM is entitled to receive a monthly advisory fee at the annual rate of
0.20% of the value of each Fund's average daily net assets.
52
<PAGE>
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees
Lehman Brothers Institutional Funds Group Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Lehman Brothers Institutional
Funds Group Trust (the Trust), (comprising respectively, the Prime Money
Market Fund, Prime Value Money Market Fund, Government Obligations Money
Market Fund, Cash Management Fund, Treasury Instruments Money Market Fund
II, Tax-Free Money Market Fund and Municipal Money Market Fund, collec-
tively the Funds), as of January 31, 1996, and the related statements of
operations for the year then ended and the statements of changes in net
assets for each of the two years in the period then ended, and the finan-
cial highlights for each of the periods indicated therein for each Fund
class of shares. These financial statements and financial highlights are
the responsibility of the Trust's management. Our responsibility is to ex-
press an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and fi-
nancial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclo-
sures in the financial statements. Our procedures included confirmation of
securities owned as of January 31, 1996 by correspondence with the custo-
dian and brokers. An audit also includes assessing the accounting princi-
ples used and significant estimates made by management, as well as evalu-
ating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights re-
ferred to above present fairly, in all material respects, the financial
position of each of the respective Funds constituting Lehman Brothers In-
stitutional Funds Group Trust at January 31, 1996, the results of their
operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended, and financial highlights
for each of the periods indicated therein for each Fund class of shares,
in conformity with generally accepted accounting principles.
Ernst & Young LLP
Boston, Massachusetts
March 8, 1996
53
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
On January 31, 1996, the Trust held a Special Meeting of Shareholders.
At the meeting, the following matters, all of which were approved with the
exception of Proposal No. 4 with respect to Government Obligations Money
Market Fund, were voted on:
PROPOSAL NO. 1
The election of six (6) Trustees of the Trust:
<TABLE>
<CAPTION>
NAME FOR ABSTAINED
<S> <C> <C>
Charles F. Barber 5,306,561,708.810 93,908,649.360
James A. Carbone 5,322,540,007.570 77,930,350.600
Burt N. Dorsett 5,322,540,007.500 77,930,350.600
Andrew D. Gordon 5,283,347,829.220 117,122,528.950
Edward J. Kaier 5,322,540,007.570 77,930,350.600
S. Donald Wiley 5,322,540,007.570 77,930,350.600
</TABLE>
PROPOSAL NO. 2
To approve or disapprove a proposed new investment advisory agreement
for each Fund between the Trust, on behalf of such Fund, and LBGAM, each
Fund's Investment Adviser, to increase the advisory fee from 0.10% to
0.20% of the value of each Fund's average daily net assets:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAINED
<S> <C> <C> <C>
Prime Money Market
Fund 2,549,904,507.450 999,906,434.570 184,702,339.870
Prime Value Money
Market Fund 1,204,869,675.450 89,079,771.140 1,429,134.020
Government Obliga-
tions Money
Market Fund 65,580,363.420 19,007,960.100 0.000
Cash Management
Fund 1,040,116.100 0.000 0.000
Treasury Instru-
ments Money
Market Fund II 154,657,883.200 18,753.000 2,507,999.310
Tax-Free Money
Market Fund 46,310,619.000 3,695,237.320 1,409,476.010
Municipal Money
Market Fund 68,475,021.920 7,845,630.420 29,435.870
</TABLE>
PROPOSAL NO. 3
To approve or disapprove the modification of each Fund's (except the
Cash Management Fund's) investment restriction regarding borrowing:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAINED
<S> <C> <C> <C>
Prime Money Market
Fund 2,733,877,490.410 998,911,502.000 1,724,289.480
Prime Value Money
Market Fund 1,094,168,282.890 170,076,050.890 31,134,246.830
Government Obliga-
tions Money
Market Fund 65,580,363.420 19,007,960.100 0.000
Treasury Instru-
ments Money
Market Fund II 153,882,817.520 793,818.680 2,507,999.310
Tax-Free Money
Market Fund 47,720,095.010 3,695,237.320 0.000
Municipal Money
Market Fund 67,823,971.180 7,875,066.290 651,050.740
</TABLE>
54
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) (CONTINUED)
PROPOSAL NO. 4
To approve or disapprove the modification of each Fund's (except the
Cash Management Fund's) investment restriction regarding making loans:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAINED
<S> <C> <C> <C>
Prime Money Market
Fund 2,696,493,094.380 1,038,020,187.510 0.000
Prime Value Money
Market Fund 1,039,744,642.660 226,478,010.920 29,155,927.030
Government Obliga-
tions Money
Market Fund 51,710,363.420 32,877,960.100 0.000
Treasury Instru-
ments Money
Market Fund II 153,882,817.520 793,818.680 2,507,999.310
Tax-Free Money
Market Fund 47,720,095.010 3,695,237.320 0.000
Municipal Money
Market Fund 75,023,971.180 675,066.290 651,050.740
</TABLE>
PROPOSAL NO. 5
To ratify or reject the selection of Ernst & Young LLP as the indepen-
dent public accountants being employed by the Trust for the fiscal year
ending January 31, 1996:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAINED
<S> <C> <C>
5,335,616,713.200 49,959,168.960 14,894,476.010
</TABLE>
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PRIME MONEY MARKET FUND
PRIME VALUE MONEY MARKET FUND
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
CASH MANAGEMENT FUND
TREASURY INSTRUMENTS MONEY MARKET FUND II
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 PRE-
CEDED BY THE TRUST'S CURRENT PROSPECTUSES.
