[1784 FUNDS LOGO]
SEMI-ANNUAL
REPORT
TO SHAREHOLDERS
NOVEMBER 30, 1996
<PAGE>
TABLE OF CONTENTS
Letter to Shareholders 1
Performance Highlights 2
Terms You Need To Know 4
Fund Objectives 5
Investment Adviser's Report 6
Financial Statements 10
THE 1784 FUNDS:
[BULLET] are not insured by the FDIC or any other governmental agency;
[BULLET] are not guaranteed by The First National Bank of Boston or any of
its affiliates;
[BULLET] are not deposits or obligations of The First National Bank of
Boston or any of its affiliates;
[BULLET] involve investment risks, including possible loss of the principal
amount invested.
BankBoston companies serve as investment adviser, custodian and shareholder
servicing agent accountant for the 1784 Funds. The 1784 Funds are distributed by
SEI Financial Services Company, a party independent of BankBoston or any of
its affiliates.
[1784 FUNDS LOGO]
SOUND CHOICES. STRAIGHT TALK.
INVESTMENT MANAGEMENT STRENGTH.
<PAGE>
1784 FUNDS NOVEMBER 30, 1996
[PHOTO OF ALLEN CROESSMANN, MANAGING DIRECTOR AND ROBERT NESHER, PRESIDENT]
WE ARE PLEASED TO PROVIDE YOU WITH THIS SEMI-ANNUAL REPORT ON THE 1784 FUNDS -
AND TO EXTEND A WARM WELCOME TO FORMER BAYFUNDS SHAREHOLDERS. THESE FUNDS WERE
MERGED INTO THE 1784 FUNDS IN NOVEMBER AS PART OF THE COMBINATION OF BANK OF
BOSTON AND BAYBANK. TODAY, THE 1784 FUNDS STAND AT $5.4 BILLION IN ASSETS,
REPRESENTING 40,000 ACCOUNTS.
ON DECEMBER 9 WE'LL ADD AN ADDITIONAL 1784 FUND, THE 1784 PRIME MONEY MARKET
FUND, BRINGING THE TOTAL FAMILY TO 15 FUNDS. YOU CAN LEARN MORE ABOUT THESE
FUNDS BY CALLING 1-800-252-1784, OR BY DISCUSSING THEM WITH YOUR INVESTMENT
COUNSELOR.
IN FACT, THIS MAY BE AN EXCELLENT TIME TO REVIEW YOUR PORTFOLIO AND INVESTMENT
APPROACH WITH AN INVESTMENT COUNSELOR. AS YOU WILL READ IN THE INVESTMENT
ADVISER'S REPORT, WE MAY WELL SEE GREATER VOLATILITY IN THE FINANCIAL MARKETS IN
COMING MONTHS. AT THESE TIMES, IT IS MORE IMPORTANT THAN EVER TO BE CURRENT WITH
YOUR OBJECTIVES AND COMFORTABLE WITH YOUR STRATEGY. REMEMBER, A STEADY,
LONG-TERM INVESTMENT APPROACH HAS PROVEN ITSELF TO BE THE MOST EFFECTIVE
STRATEGY.
IF YOU DO NOT HAVE AN INVESTMENT COUNSELOR AND WOULD LIKE AN APPOINTMENT WITH
ONE, OR IF YOU HAVE ANY QUESTIONS ABOUT YOUR ACCOUNT, WE INVITE YOU TO CALL
1-800-252-1784-- NOW WITH EXPANDED HOURS: 8 A.M. TO 8 P.M., MONDAY THROUGH
FRIDAY, AND 9 A.M. TO 4 P.M., SATURDAY AND SUNDAY.
THANK YOU FOR CHOOSING THE 1784 FUNDS TO MEET YOUR FINANCIAL GOALS.
SINCERELY,
/S/ SIGNATURE
Robert Nesher
President
1784 Funds
/S/SIGNATURE
Allen Croessmann
Managing Director, Investment Services
The First National Bank of Boston
1
<PAGE>
<TABLE>
<CAPTION>
PERFORMANCE HIGHLIGHTS OF THE FUNDS
TOTAL NET ASSETS TOTAL RETURN* NAV SHARE PRICE YIELD INCOME
----------------------------------------------------------------------------------------
11-30-96 11-30-96 HIGH LOW 30-DAY 7-DAY DISTRIBUTIONS
(IN MILLIONS) PER SHARE
- ---------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1784 U.S. Treasury Money Market $429.3 2.40% $1.00 $1.00 $1.00 N/A 4.73% $ 02
1784 Tax-Free Money Market 669.8 1.59 1.00 1.00 1.00 N/A 3.29 .02
- ---------------------------------------------------------------------------------------------------------------------------
BOND FUNDS
- ---------------------------------------------------------------------------------------------------------------------------
1784 Short-Term Income $142.6 4.81% $10.11 $10.11 $9.89 5.72% N/A $.29
1784 U.S. Government
Medium-Term Income 198.1 6.26 9.59 9.59 9.24 5.92 N/A .29
1784 Income 332.0 7.83 10.26 10.30 9.81 6.14 N/A .32
1784 Tax-Exempt
Medium-Term Income 229.0 5.95 10.26 10.26 9.89 4.71 N/A .25
1784 Connecticut
Tax-Exempt Income 92.6 5.57 10.47 10.47 10.08 4.70 N/A .25
1784 Massachusetts
Tax-Exempt Income 126.9 5.57 10.08 10.08 9.67 4.76 N/A .24
1784 Rhode Island
Tax-Exempt Income 46.4 5.57 10.36 10.36 9.96 4.77 N/A .25
- ---------------------------------------------------------------------------------------------------------------------------
STOCK FUNDS
- ---------------------------------------------------------------------------------------------------------------------------
1784 Asset Allocation $ 21.8 9.92% $12.99 $13.11 $11.80 N/A N/A $.16
1784 Growth and Income 381.1 11.02 16.51 16.51 13.94 N/A N/A .05
1784 Growth 244.5 4.87 11.79 11.83 9.82 N/A N/A .03
1784 International Equity 431.3 3.59 12.42 12.49 11.55 N/A N/A --
<FN>
* RETURNS ARE FOR THE SIX MONTH PERIOD ENDED NOVEMBER 30, 1996 AND HAVE NOT
BEEN ANNUALIZED.
</FN>
</TABLE>
PERFORMANCE DATA REPRESENT PAST RESULTS AND ARE NO GUARANTEE OF FUTURE RESULTS.
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. YIELD
FLUCTUATES. YIELD REFLECTS THE PORTFOLIO'S EARNING POWER, NET OF FUND EXPENSES.
MONEY MARKET FUNDS SEEK TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE,
BUT THERE IS NO ASSURANCE THAT THIS WILL BE SO ON A CONTINUING BASIS.
INVESTMENTS IN THE FUNDS ARE NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT.
2
<PAGE>
1784 FUNDS
TOTAL RETURNS FOR THE PERIOD JUNE 1, 1996 -- NOVEMBER 30, 1996*
[BAR GRAPH]
1784 FUNDS
U.S. TREASURY MONEY MARKET 2.40
TAX-FREE MONEY MARKET 1.59
SHORT-TERM INCOME 4.81
U.S. GOVERNMENT MEDIUM TERM INCOME 6.26
INCOME 7.83
TAX EXEMPT MEDIUM TERM INCOME 5.95
CONNECTICUT TAX EXEMPT INCOME 5.57
MASSACHUSETTS TAX EXEMPT INCOME 5.57
RHODE ISLAND TAX EXEMPT INCOME 5.57
ASSET ALLOCATION 9.92
GROWTH AND INCOME 11.02
GROWTH 4.87
INTERNATIONAL EQUITY 3.59
PERCENT (%)
* RETURNS ARE FOR THE SIX MONTH PERIOD ENDED NOVEMBER 30, 1996 AND HAVE NOT
BEEN ANNUALIZED.
3
<PAGE>
TERMS YOU NEED TO KNOW
ADVISER is an organization employed by a mutual fund to give professional advice
on the fund's investments and asset management practices (also called the
investment adviser).
ASSETS are the investment holdings and cash owned by a mutual fund.
AVERAGE-WEIGHTED-MATURITY is an average of the maturity dates of the various
securities in a mutual fund based on the dollar value of those securities. It is
calculated by multiplying the market value of each portfolio security by the
time remaining to its maturity, adding these calculations, and then dividing the
total by the market value of the portfolio.
CAPITAL APPRECIATION is the increase in the market value of a mutual fund's
securities, as reflected in the net asset value of the fund's shares. Capital
appreciation (or growth) is a specific long-term objective of many mutual funds.
DIVERSIFICATION is the practice of investing broadly across a number of
securities to reduce risk; a hallmark of mutual fund investing.
DURATION is a weighted average term-to-maturity of a mutual fund security's cash
flow.
EXPENSE RATIO is a fund's cost of doing business -- disclosed in the prospectus
- -- as a percent of its assets.
INCOME is the dividends, interest, and/or short-term capital gains paid to a
mutual fund's shareholders. Income is earned on a fund's investment portfolio
after deducting operating expenses.
INVESTMENT OBJECTIVE is the goal -- long-term capital growth or current income,
for example -- that an investor and mutual fund pursue together.
LIQUIDITY is the ability to redeem (sell back) all or part of your mutual fund
shares on any business day and receive the current value (which may be more or
less than the original cost).
MANAGEMENT FEE is the amount paid by a mutual fund to the investment adviser for
its services.
NET ASSET VALUE (NAV) is the market worth of one share of a mutual fund. This
figure is derived by taking a fund's total assets -- securities, cash and any
accrued earnings -- deducting liabilities, and dividing the total by the number
of shares outstanding.
PRINCIPAL is the basic amount of money you invest, not to be confused with
reinvested dividends or capital gains.
TOTAL RETURN is the change in value of an investment from the beginning to the
end of a period, assuming the reinvestment of all distributions. This is
calculated using a formula set by the Securities and Exchange Commission.
YIELD is the percentage rate at which a fund's portfolio earns income,
calculated using a formula set by the Securities and Exchange Commission.
4
<PAGE>
1784 FUNDS
FUND OBJECTIVES
MONEY MARKET FUNDS
- --------------------------------------------------------------------------------
[BULLET] 1784 U.S. TREASURY MONEY MARKET FUND
To preserve principal value and maintain a high degree of liquidity while
providing current income.
[BULLET] 1784 TAX-FREE MONEY MARKET FUND
To preserve principal value and maintain a high degree of liquidity while
providing current income exempt from Federal income taxes.
BOND FUNDS
- --------------------------------------------------------------------------------
[BULLET] 1784 SHORT-TERM INCOME FUND
To maximize current income. Preservation of
capital is a secondary objective.
[BULLET] 1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND
To provide current income consistent with the preservation of capital.
[BULLET] 1784 INCOME FUND
To maximize current income. Preservation of
capital is a secondary objective.
[BULLET] 1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND
To provide current income, exempt from federal income taxes, consistent with
the preservation of capital.
[BULLET] 1784 CONNECTICUT TAX-EXEMPT INCOME FUND
To provide current income, exempt from both federal and Connecticut personal
income taxes. Preservation of capital is a secondary objective.
[BULLET] 1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND
To provide current income, exempt from both federal and Massachusetts
personal income taxes, consistent with the preservation of capital.
[BULLET] 1784 RHODE ISLAND TAX-EXEMPT INCOME FUND
To provide current income, exempt from federal income tax, Rhode Island
personal income tax and Rhode Island business corporation tax. Preservation
of capital is a secondary objective.
STOCK FUNDS
- --------------------------------------------------------------------------------
[BULLET] 1784 ASSET ALLOCATION FUND
To achieve a favorable total rate of return through current income and
capital appreciation consistent with preservation of capital, derived
from investing in fixed income and equity securities.
[BULLET] 1784 GROWTH AND INCOME FUND
To provide long-term growth of capital with
a secondary objective of income.
[BULLET] 1784 GROWTH FUND
To provide long-term growth of capital. Dividend income, if any, is
incidental to this objective.
[BULLET] 1784 INTERNATIONAL EQUITY FUND
To provide long-term growth of capital. Dividend income, if any, is
incidental to this objective.
(CONTINUED)
5
<PAGE>
NOVEMBER 30, 1996
INVESTMENT ADVISER'S REPORT
[PHOTO DEPICTING EDWARD G. RILEY, JR., CHIEF INVESTMENT OFFICER]
A relatively stable--some would say lackluster--economy provided the backdrop
for strong equity and bond market performance over the past six months. Slow to
moderate economic growth and continued low inflation combined to hold interest
rates down, which resulted in an increase of 15.6% in the Dow Jones Industrial
Average since June 1.
Signs of accelerating economic growth sparked fears of inflation and pushed
market interest rates temporarily upward last spring. In effect, the bond market
demonstrated that, to some extent, it has become a self-correcting force in the
economy. Since then, the Federal Reserve has held short-term interest rates at
the same level and long-term interest rates have declined to about where they
were at the beginning of 1996.
Several factors explain the economy's current 2.5% modest annual growth
rate. Perhaps the most obvious is the age of this economic expansion, which has
lasted for nearly six years. During the early part of the typical economic
recovery, pent-up demand for consumer goods, especially durable goods like
appliances and autos, fuels the growth in sales and profits that result in
expansion. Later, as demand is fulfilled, the pace of growth slows--as it has in
this situation.
But other forces are at work, too. For one thing, higher interest rates
last spring curbed the mortgage refinancing trend that had cut monthly payments
and put additional spendable cash in consumer pockets. As a result, demand
declined further. Consumer debt (and bankruptcies) are rising. And the maturing
generation of baby boomers is increasingly focused on investing for college
costs and retirement, which means consumption is declining, further dampening
demand.
While these factors have tempered economic growth, they have also helped to
keep inflation at exceptionally low levels. This combination of positive,
sustainable growth coupled with modest inflation--resulting in low interest
rates--has provided very potent fuel for the stock market.
STOCK MARKET REVIEW
- --------------------------------------------------------------------------------
In the past six months, the stock market has soared 15.6%, with the Dow Jones
Industrial Average breaking 6500 by the end of November. Along with the economic
factors propelling this advance--the sustainable economic growth and low
inflation cited above--the stock market has benefited even more from
unprecedented liquidity. Simply put, an enormous amount of cash has flowed into
the market in the past few years, most of it from equity mutual funds. Estimates
are that mutual fund inflows will total more than $220 billion during 1996,
nearly double the pace of 1995's $128 billion,
6
<PAGE>
1784 FUNDS
the previous record. Where is this money coming from? Much of it represents the
retirement savings of relatively inexperienced investors with 401(k) plans.
Leading the market upward have been large-capitalization companies,
particularly those in the health care and financial sectors. We've also seen a
significant improvement in foreign markets, and particularly Europe, which have
generally lagged the U.S. in recent years.
Of course, the key question for most investors is where is the market
headed? Can these positive trends be sustained? We believe they can and continue
to position the 1784 Stock Funds for a rising market. But we are well aware that
a range of indicators urge a "go-slower" approach. For example, the
price/earnings ratio of the Standard & Poor's 500, one common measure of the
relative value of stocks, has been at this level only 5% of the time since 1925.
Moreover, we've already gone six years without a major setback, the last being
in 1990, when the market slid 20%.
That said, if inflation and interest rates remain at their current low
level, then the market can sustain the high valuation levels, and we expect few
signs of serious trouble in either area for the short-term.
[LINE GRAPH DEPICTING DOW JONES INDUSTRIAL AVERAGE
FROM MAY 31, 1996 TO NOVEMBER 30, 1996]
5/96 5643.18
6/96 5654.63
7/96 5528.91
8/96 5616.21
9/96 5882.17
10/96 6029.38
11/96 6521.70
More importantly, we remain long-term investors rather than market-timers or
trend spotters. And we continue to believe that equities and equity mutual funds
should be the cornerstone of any growth-oriented investor's portfolio.
(CONTINUED)
7
<PAGE>
INVESTMENT ADVISER'S REPORT (CONTINUED)
BOND MARKET REVIEW
- --------------------------------------------------------------------------------
Bond prices have also benefited from the benign inflation picture, rising during
the past six months as interest rates have declined. While many forecasters were
predicting that the Fed would increase interest rates, we positioned the 1784
Bond Funds for a stable to declining rate environment, and our returns have
benefited accordingly. Two of our Bond Funds ranked in the top 25% of comparable
mutual funds during the period. The 1784 Tax-Exempt Medium-Term Income Fund was
ranked by Morningstar in the top 22% of 500 Municipal Bond Funds with a 5.55%
total return for the one year period ending November 30, 1996. The Fund's
annualized total return since inception was 7.01%. The 1784 Rhode Island
Tax-Exempt Income Fund was ranked by Morningstar in the top 15% of 944 Municipal
Bond Funds with a 5.5% total return for the one year period ending November 30,
1996. The Fund's annualized total return since inception was 6.28%.
While the U.S. economic environment has been the driving force behind
recent gains in bonds, we also note an increasing inflow of funds from
international investors, which has supported prices by increasing demand for
bonds. Despite declining interest rates, yields on U.S. bonds are quite
attractive compared with other fixed income opportunities worldwide. For
example, during November, the 30-year Treasury Bond was priced to yield 6.35%,
while comparable securities in Germany and Japan paid 5.8% and 2.4%
respectively.
We see the 30-year U.S. Treasury Bond, which declined from 6.98% to 6.35%
since June 1, yielding in the 5% to 7% range for the next several years.
[LINE GRAPH DEPICTING 30-YEAR TREASURY BOND
FROM MAY 31, 1996 TO NOVEMBER 30, 1996]
5/96 6.989
6/96 6.871
7/96 6.970
8/96 7.118
9/96 6.923
10/96 6.642
11/96 6.350
8
<PAGE>
1784 FUNDS
MONEY MARKET REVIEW
- --------------------------------------------------------------------------------
Restraint on the part of the Federal Reserve resulted in a very stable
short-term interest rate market for the past six months, with the Federal Funds
Rate remaining at 5.25% for the period. This stability, coupled with growing
concern about the soaring stock market, has resulted in a substantial flow of
new money into short-term investments and small CDs. Given the continued slow
pace of economic growth, we expect the Fed to reduce interest rates in the year
ahead.
In conclusion, we foresee a relatively favorable environment for stocks and
bonds in the coming months and continued modest returns for money market
investors.
/S/ SIGNATURE
Edward G. Riley, Jr.
Chief Investment Officer
The First National Bank of Boston
9
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 U.S. TREASURY MONEY MARKET FUND
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DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 41.0%
TIGR STRIPS (B)
0.000%, 05/15/97 $ 1,000 $ 975
U.S. Treasury Bills (B)
0.000%, 12/05/96 35,010 34,990
0.000%, 12/19/96 10,000 9,975
0.000%, 01/02/97 10,000 9,956
0.000%, 01/23/97 1,000 992
0.000%, 01/30/97 1,000 992
0.000%, 02/06/97 1,000 991
0.000%, 02/13/97 5,000 4,948
0.000%, 02/27/97 25,000 24,693
0.000%, 03/06/97 2,800 2,761
0.000%, 04/03/97 5,000 4,911
0.000%, 05/01/97 1,000 978
0.000%, 05/08/97 4,000 3,911
0.000%, 06/26/97 2,000 1,936
0.000%, 08/21/97 890 854
0.000%, 09/18/97 2,000 1,916
0.000%, 11/13/97 2,500 2,376
U.S. Treasury Notes
8.000%, 01/15/97 1,167 1,170
7.500%, 01/31/97 10,503 10,537
4.750%, 02/15/97 8,169 8,155
6.875%, 02/28/97 10,503 10,539
6.625%, 03/31/97 8,169 8,202
6.500%, 04/30/97 8,169 8,208
6.500%, 05/15/97 5,835 5,866
5.875%, 07/31/97 15,171 15,217
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TOTAL U.S. TREASURY OBLIGATIONS
(Cost $176,049) 176,049
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U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 20.5%
Federal Farm Credit Agency
Discount Note
5.300%, 12/13/96 9,000 8,984
Federal Farm Credit Bank (A)
5.320%, 12/03/96 2,000 2,000
Federal Home Loan Bank
4.860%, 02/07/97 250 250
Federal Home Loan Bank
Discount Note
5.170%, 01/16/97 5,000 4,967
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DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation Discount Notes
5.421%, 12/02/96 $10,000 $ 9,999
5.180%, 12/05/96 10,000 9,994
5.313%, 12/20/96 25,000 24,931
Federal National Mortgage
Association (A)
5.360%, 12/03/96 1,000 1,000
5.530%, 12/14/96 850 848
Federal National Mortgage
Association Discount Notes
5.200%, 12/05/96 10,000 9,994
5.284%, 12/06/96 10,000 9,993
Student Loan Marketing
Association (A)
5.510%, 12/03/96 250 250
5.340%, 12/03/96 1,000 1,000
5.330%, 12/03/96 1,000 1,000
5.350%, 12/03/96 3,000 2,996
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TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $88,206) 88,206
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REPURCHASE AGREEMENTS -- 38.2%
Dean Witter
5.35%, dated 11/27/96, matures
12/02/96, repurchase price $28,020,806
(collateralized by various U.S. Treasury
Bills ranging in par value
$6,110,000-$14,729,000, 0.00%,
01/09/97-01/23/97; U.S. Treasury Notes
ranging in par value $1,208,000-
$7,059,000, 6.00%-7.875%,
05/15/97-11/15/04; U.S. Treasury
Bond par value $100,298,000,
8.125%, 05/15/21: total market
value $28,565,272) 28,000 28,000
First Boston
5.35%, dated 11/27/96, matures
12/02/96, repurchase price
$28,020,806 (collateralized by
various U.S. Treasury Notes
ranging in par value $28,770,000-
$50,000,000, 7.050%-11.125%,
11/15/01-11/15/09; total market
value $28,560,000) 28,000 28,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
1784 FUNDS
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DESCRIPTION PAR (000) VALUE (000)
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REPURCHASE AGREEMENTS (CONTINUED)
Goldman Sachs
5.30%, dated 11/27/96, matures
12/02/96, repurchase price
$28,020,611 (collateralized by
U.S. Treasury Note par value
$136,459,000, 8.75%, 08/15/00:
total market value
$28,565,301) $28,000 $28,000
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$12,013,473 (collateralized by
various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01:
total market value
$12,253,293) 12,008 12,008
J.P. Morgan
5.36%, dated 11/27/96, matures
12/02/96, repurchase price
$28,020,844 (collateralized by
various U.S. Treasury Bills
ranging in par value
$33,000-$13,950,000,
12/05/96-11/13/97;
total market value
$28,560,488) 28,000 28,000
Lehman Brothers
5.30%, dated 11/27/96, matures
12/02/96, repurchase price
$28,020,611 (collateralized by
various U.S. Treasury Notes
ranging in par value $35,000-
$83,468,000, 5.50%-8.875%,
02/29/00-03/30/00: total market
value $28,559,035) 28,000 28,000
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DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Prudential Securities
5.66%, dated 11/29/96, matures
12/02/96, repurchase price
$12,005,660 (collateralized by
U.S. Treasury Bill par value
$5,895,000, 08/15/15; various
U.S. Treasury Notes ranging in
par value $1,792,000-$23,105,000,
5.125%-8.50%, 05/15/97-06/30/01;
various U.S. Treasury Bonds ranging
in par value $3,000,000-$5,604,000,
8.00%-13.75%, 08/15/04-11/15/21;
various U.S. Treasury Interest &
Principal STRIPS ranging in par value
$5,895,000-$22,425,000, 04/17/97-
05/15/98: total market
value $14,361,636) $12,000 $ 12,000
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TOTAL REPURCHASE AGREEMENTS
(Cost $164,008) 164,008
----------
TOTAL INVESTMENTS -- 99.7%
(Cost $428,263) 428,263
----------
OTHER ASSETS AND LIABILITIES,
NET -- 0.3% 1,079
----------
NET ASSETS:
Capital Shares (unlimited authorization
-- no par value) based on 429,335,433
outstanding shares of beneficial interest 429,336
Accumulated net realized loss
on investments (4)
Undistributed net investment income 10
----------
TOTAL NET ASSETS -- 100.0% $429,342
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $1.00
----------
----------
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON NOVEMBER 30, 1996.
(B) ZERO COUPON SECURITY
STRIPS--SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
TIGR--TREASURY INVESTMENT GROWTH RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-FREE MONEY MARKET FUND
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[PIE CHART]
TAX-EXEMPT COMMERCIAL PAPER 1%
OTHER REVENUE BONDS 7%
HOUSING BONDS 6%
ALT. MIN. TAX BONDS 1%
INDUS. DEV. & POLLUTION CONTROL BONDS 21%
EDUCATION BONDS 13%
CASH EQUIVALENTS 16%
GENERAL OBLIGATIONS 9%
TRANSPORTATION BONDS 7%
UTILITY BONDS 8%
HEALTH CARE BONDS 11%
% OF TOTAL PORTFOLIO INVESTMENTS
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DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS -- 85.0%
ALABAMA -- 1.7%
Mobile, Alabama, Industrial
Development Revenue Bond,
International Paper
(A) (B) (C) (E)
3.800%, 04/15/97 $10,000 $ 10,000
Phenix City, Alabama, Industrial
Development Revenue Bond,
Mead Coated Board Project,
Series B (A) (B) (C) (D)
4.180%, 12/02/96 1,600 1,600
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11,600
----------
ALASKA -- 0.4%
Anchorage, Alaska, TAN
4.250%, 12/13/96 3,000 3,000
----------
ARKANSAS -- 0.8%
Crossett, Arkansas Pollution
Control Revenue Bond
(A) (B) (C) (D)
3.400%, 12/05/96 5,400 5,400
----------
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CALIFORNIA -- 1.4%
California State School Cash
Reserve Program Authority,
Series B (E)
4.500%, 12/19/97 $ 5,000 $ 5,043
Los Angeles, California,
American Airlines, Series C
(A) (B) (C) (D)
3.950%, 12/02/96 4,200 4,200
----------
9,243
----------
DISTRICT OF COLUMBIA -- 0.9%
District of Columbia, Series B2,
GO (A) (B) (C) (D)
4.100%, 12/02/96 5,900 5,900
----------
FLORIDA -- 2.6%
Dade County, Florida, Housing
Financial Authority Revenue
Bond (A) (B) (C) (E)
3.450%, 12/04/96 3,900 3,900
Florida Housing Financial Agency,
Multi-Family Revenue Bond,
Series A (A) (B) (C) (D)
3.600%, 12/04/96 3,310 3,310
Hillsborough County, Florida,
Utility Bond, Tampa Electric
Project (A) (B) (C) (E)
4.150%, 12/02/96 10,000 10,000
----------
17,210
----------
GEORGIA -- 1.2%
Georgia State, Series B, GO
6.250%, 04/01/97 5,530 5,581
Georgia Tech Foundation Facility
Revenue Bond, Wardlaw Project,
Series B (A) (B) (C)
3.500%, 12/04/96 2,700 2,700
----------
8,281
----------
ILLINOIS -- 6.7%
Chicago, Illinois, GO
(B) (C) (D) (E)
3.600%, 08/01/97 2,500 2,500
3.600%, 08/01/97 10,000 10,000
Chicago, Illinois, GO (B) (C) (D)
3.100%, 01/31/98 4,300 4,300
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
ILLINOIS (CONTINUED)
Illinois Educational Facility
Authority Revenue Bond,
National College Educational
Project (A) (B) (C)
3.450%, 12/05/96 $ 7,600 $ 7,600
Illinois Educational Facility
Authority Revenue Bond,
Shedd Aquarium Society
Project, Series B (B) (C) (D)
3.600%, 05/06/97 6,000 6,000
Illinois Health Facility Authority
Revenue Bond, Lutheran
Institution, Series C (A) (B) (C)
3.500%, 12/02/96 7,500 7,500
Illinois Housing Development
Authority Revenue Bond,
Series D1 (B) (C) (D)
3.800%, 09/02/97 6,745 6,745
----------
44,645
----------
INDIANA -- 2.9%
Indiana State Office Building
Community Revenue Bond
8.750%, 07/01/97 2,000 2,095
Indiana State Toll Finance
Authority Revenue Bond (E)
6.875%, 01/01/97 10,100 10,329
Mount Vernon, Indiana, Pollution
Control Revenue Bond,
Southern Indiana Gas &
Electric Project (A) (B) (C) (D)
3.539%, 05/01/97 7,000 7,007
----------
19,431
----------
IOWA -- 0.2%
Iowa Finance Authority Revenue
Bond, Series A (B) (C) (E)
3.100%, 02/27/97 1,120 1,120
----------
KANSAS -- 0.7%
Kansas City, Kansas, Industrial
Development Authority
Revenue Bond, Resh Health
Services System Project
(A) (B) (C) (E)
4.000%, 12/03/96 4,800 4,800
----------
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
KENTUCKY -- 1.1%
Ashland, Kentucky, Pollution
Control Revenue Bond,
Ashland Oil Project
(A) (B) (C) (D)
3.300%, 12/05/96 $ 3,500 $ 3,500
Boone County, Kentucky,
Pollution Control Revenue
Bond, Cincinnati Gas &
Electric Project
(A) (B) (C) (D)
3.650%, 12/02/96 4,100 4,100
----------
7,600
----------
LOUISIANA -- 5.3%
Ascension Parish, Louisiana,
Pollution Control Revenue
Bond, Shell Oil (A) (B) (C) (D)
3.400%, 12/04/96 9,500 9,500
Louisiana State, GO (E)
6.600%, 08/01/97 1,000 1,017
Louisiana State Offshore
Terminal Authority Revenue
Bond, Deepwater Port
Project (A) (B) (C) (D)
4.000%, 12/02/96 15,300 15,300
Plaquemines, Louisiana, Port
Facilities Revenue Bond,
International Marine Terminal
Project, Series B
(A) (B) (C) (D)
3.290%, 03/15/97 7,500 7,500
Plaquemines, Louisiana, Port
Harbor & Terminal District
Revenue Bond, Chevron
Pipeline Project (A) (B) (C) (D)
3.900%, 03/01/97 2,500 2,504
----------
35,821
----------
MAINE -- 0.7%
Jay, Maine, Pollution Control
Revenue Bond, Solid Waste
Disposal Project, AMT
(A) (B) (C) (E)
4.500%, 12/02/96 5,000 5,000
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-FREE MONEY MARKET FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MARYLAND -- 0.2%
Maryland Water Quality
Financing Administration
Revenue Bond, Revolving
Land Fund, Series A
6.550%, 09/01/97 $1,000 $ 1,024
----------
MASSACHUSETTS -- 6.2%
Lowell, Massachusetts, BAN
4.000%, 02/28/97 2,565 2,566
Massachusetts Bay Transportation
Authority Notes
3.750%, 02/28/97 6,000 6,000
Massachusetts Bay Transit
Authority Revenue Bond,
General Transit System
Project, Series A
4.700%, 03/01/97 2,965 2,974
Massachusetts State Capital
Appreciation Program, GO
0.000%, 06/01/97 5,000 4,901
Massachusetts State Health &
Educational Facility Authority
Revenue Bond, Harvard
University Issue, Series Q1
(A) (B) (C) (D)
3.400%, 12/05/96 8,000 8,000
Massachusetts State Housing
Finance Agency Revenue
Bond, Series 50 (B) (C) (D)
3.700%, 06/02/97 5,735 5,735
Massachusetts, State Industrial
Finance Agency Revenue
Bond (A) (D)
4.000%, 12/02/96 4,800 4,800
Massachusetts State Industrial
Finance Agency, Ocean Spray
Cranberries Inc., TECP (D)
3.850%, 10/15/97 3,700 3,700
Worcester, Massachusetts, BAN
3.970%, 08/28/97 2,625 2,625
----------
41,301
----------
MICHIGAN -- 5.1%
Delta County, Michigan,
Economic Development
Revenue Bond (A) (B) (C) (D)
4.000%, 12/02/96 4,700 4,700
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Detroit, Michigan, Downtown
Development Authority
Revenue Bond, Millender
Center Project (A) (B) (C) (D)
3.600%, 12/05/96 $12,000 $12,000
Grand Rapids, Michigan,
Economic Development
Revenue Bond, Amway Hotel
Project, Series A (A) (B) (C) (D)
3.550%, 12/04/96 9,800 9,800
Michigan Municipal Authority
Revenue Bond, Series B
4.500%, 07/25/97 7,500 7,526
----------
34,026
----------
MINNESOTA -- 1.9%
Minnesota School Districts,
TAN, Series B
4.000%, 03/14/97 4,000 4,008
University of Minnesota
Revenue Bond, Series G
(A) (B) (C) (D)
3.813%, 02/01/97 8,500 8,500
----------
12,508
----------
MISSISSIPPI -- 1.6%
Jackson County, Mississippi,
Pollution Control Authority
Revenue Bond, Chevron USA
Project (A) (B) (C) (D)
4.000%, 12/02/96 10,650 10,650
----------
MISSOURI -- 1.1%
Kansas City, Missouri,
Industrial Development
Authority Revenue
Bond (A) (B) (C) (E)
4.000%, 12/02/96 7,200 7,200
----------
NEW HAMPSHIRE -- 3.5%
New Hampshire Health & Higher
Education Facilities Revenue
Bond, Mary Hitchcock Project,
Series 85D (A) (B) (C) (E)
3.500%, 12/04/96 12,600 12,600
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
NEW HAMPSHIRE (CONTINUED)
New Hampshire Health & Higher
Education Facilities Revenue
Bond, Mary Hitchcock
Project, Series 85H
(A) (B) (C) (E)
3.500%, 12/04/96 $ 2,700 $ 2,700
New Hampshire Health & Higher
Education Facilities Revenue
Bond, St. Paul's School Project
(A) (B) (C) (D)
3.500%, 12/04/96 2,000 2,000
New Hampshire Health & Higher
Education Facilities Revenue
Bond, Veterans Hospital
Administration New England
Project, Series C (A) (B) (C) (E)
3.550%, 12/04/96 4,000 4,000
New Hampshire Health & Higher
Education Facilities Revenue
Bond, Veterans Hospital
Administration New England
Project, Series F (A) (B) (C) (E)
3.550%, 12/05/96 2,000 2,000
----------
23,300
----------
NEW JERSEY -- 0.4%
Essex County, New Jersey, BAN,
Series A
4.500%, 09/17/97 2,775 2,786
----------
NEW YORK -- 6.5%
New York, New York Municipal
Water Finance Authority &
Sewer System Revenue Bond,
Series G (A) (B) (C) (E)
4.000%, 12/02/96 16,800 16,800
New York State Local
Government Assistance
Corporation Revenue Bond
(A) (B) (C) (D)
3.300%, 12/03/96 15,000 15,000
New York State Revenue Bond,
Energy Research, LILCO
Project, Series B (B) (C) (D)
3.250%, 12/05/96 10,000 10,000
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Triborough Bridge & Tunnel
Authority Revenue Bond,
Series K
8.250%, 01/01/97 $ 2,000 $ 2,047
----------
43,847
----------
NORTH CAROLINA -- 4.8%
North Carolina Medical Center
Revenue Bond, Pooled
Financing Project, Series A-2
(A) (B) (C) (E)
3.600%, 12/03/96 170 170
North Carolina State Educational
Facility Revenue Bond, Bowman
Grey School Medical Project
(A) (B) (C) (D)
3.400%, 12/05/96 11,600 11,600
Wake County, North Carolina,
Industrial Facilities & Pollution
Control Revenue Bond,
Carolina Power & Light Project,
Series B (A) (B) (C) (D)
3.650%, 12/04/96 10,400 10,400
Wake County, North Carolina,
Industrial Facilities & Pollution
Control Revenue Bond,
Carolina Power & Light
Project, Series C (A) (B) (C) (D)
3.650%, 12/04/96 9,800 9,800
----------
31,970
----------
OHIO -- 2.5%
Clermont County, Ohio, Hospital
Facilities Revenue Bond, Mercy
Health Care System, Series B
(A) (B) (C) (E)
3.550%, 12/04/96 5,060 5,060
Hamilton County, Ohio,
BAN, Series A
4.250%, 07/10/97 5,000 5,010
Muskingum County, Ohio,
Health Facilities Revenue
Bond, Franciscan Health
Project (B) (C)
7.500%, 03/01/97 6,500 6,691
----------
16,761
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-FREE MONEY MARKET FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
OREGON -- 0.3%
Portland, Oregon Terminal
Facilities Revenue Bond, Union
Pacific Railroad Project
(B) (C)
3.900%, 12/01/97 $ 2,300 $ 2,300
----------
PENNSYLVANIA -- 1.8%
Pennsylvania State
Intergovernmental
Cooperation Authority,
Special Tax Revenue Bond,
Philadelphia Funding
Project (E)
5.000%, 06/15/97 1,000 1,007
Philadelphia, Pennsylvania, GO (D)
3.700%, 01/16/97 1,300 1,300
Temple University of
Pennsylvania, Commonwealth
System of Higher Education
Revenue Bond
4.625%, 05/20/97 10,000 10,042
----------
12,349
----------
RHODE ISLAND -- 1.0%
Rhode Island Housing Mortgage
Finance Revenue Bond (B) (C)
3.450%, 01/30/97 2,200 2,200
Rhode Island Public Transit
Authority Revenue Bond
4.250%, 05/29/97 1,500 1,502
Rhode Island State Solid Waste
Management Corporation
Revenue Bond
4.500%, 08/01/97 3,000 3,007
----------
6,709
----------
SOUTH CAROLINA -- 1.4%
Berkeley County, South
Carolina, Pollution Control
Revenue Bond, Mobay
Chemical Project (A) (B) (C) (D)
3.600%, 12/02/96 4,300 4,300
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Georgetown County, South
Carolina, Pollution Control
Revenue Bond International
Paper Project (A) (B) (C) (E)
4.000%, 09/01/97 $ 5,000 $ 5,000
----------
9,300
----------
TEXAS -- 5.7%
Brazos, Texas, Industrial
Development Revenue Bond,
Badische Corporate Port
Authority (A) (B) (C) (D)
3.600%, 12/02/96 6,300 6,300
Dallas, Texas, GO
7.000%, 02/15/97 1,895 1,936
Dallas, Texas Independent
School District, GO (D) (F)
0.000%, 08/15/97 12,400 12,067
Grand Prairie, Texas, Housing
Finance Corporate Authority,
Multi-Family Housing Revenue
Bond, Lincoln Property
Project (A) (B) (C) (D)
3.550%, 12/04/96 5,000 5,000
Grand Prairie, Texas, Housing
Finance Corporate Authority,
Multi-Family Housing Revenue
Bond, Winridge Grand Prairie
Project (A) (B) (C) (D)
3.550%, 12/04/96 7,200 7,200
Grapevine, Texas, Industrial
Development Revenue
Bond (A) (B) (C) (D)
3.450%, 12/05/96 3,800 3,800
Harris County, Texas, Toll Road
Revenue Bond
8.700%, 08/15/97 1,000 1,063
Klein County, Texas, Independent
School District, GO (D)
6.000%, 08/15/97 1,000 1,014
----------
38,380
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
UTAH -- 0.7%
Utah State Board Regents
Student Loan Revenue Bond,
Series B (A) (B) (C) (E)
3.500%, 12/04/96 $ 4,400 $ 4,400
----------
VERMONT -- 1.7%
Vermont Education & Health
Building Finance Revenue
Bond, Middlebury College
Project, Series A (B) (C) (D)
3.700%, 05/01/97 5,250 5,250
Vermont Education & Health
Facilities Revenue Bond,
Series D (A) (B) (C) (E)
3.550%, 12/04/96 5,900 5,900
----------
11,150
----------
VIRGINIA -- 1.0%
Virginia Peninsula Port Authority
Revenue Bond, Shell Oil
Project (A) (B) (C) (E)
4.000%, 12/02/96 7,000 7,000
----------
WASHINGTON -- 4.3%
Port Anacortes, Washington,
Industrial Development
Revenue Bond, Texaco
Project (A) (B) (C) (E)
3.450%, 12/11/96 5,690 5,690
Washington State Health
Care Facilities Authority
Revenue Bond, Sisters of
Providence Project,
Series C (A) (B) (C) (D)
4.000%, 12/02/96 17,600 17,600
Washington State Housing
Finance Commission Revenue
Bond, Series 1N-S (B) (C) (E)
3.750%, 06/01/97 2,385 2,385
Washington State Public Power
Supply System Revenue Bond,
Nuclear Project No. 2, Series A
3.750%, 07/01/97 1,000 998
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Washington State Public
Power Supply System
Revenue Bond, Nuclear
Project No. 2, Series A
4.800%, 07/01/97 $ 2,000 $ 2,007
----------
28,680
----------
WISCONSIN -- 3.1%
Menomonie Wisconsin Area
School District, TRAN
4.000%, 09/05/97 4,000 4,001
Pleasant Prairie, Wisconsin,
Industrial Development
Revenue Bond, Electric
Power Project (A) (B) (C) (D)
3.450%, 12/05/96 8,000 8,000
Racine, Wisconsin, GO
3.700%, 12/15/97 1,165 1,165
Wisconsin State Health Facility
Revenue Bond, Franciscan
Health Advisory Project (B) (C)
7.800%, 03/01/97 7,400 7,624
----------
20,790
----------
WYOMING -- 3.6%
Albany County, Wyoming,
Pollution Control Revenue
Bond, Union Pacific Railroad
Project (B) (C)
3.900%, 12/01/97 2,200 2,200
Uinta County, Wyoming,
Pollution Control Revenue
Bond, Chevron USA
Project (A) (B) (C) (D)
4.000%, 12/02/96 20,050 20,050
University of Wyoming,
Revenue Bond (E)
4.000%, 06/01/97 1,615 1,615
----------
23,865
----------
TOTAL MUNICIPAL BONDS
(Cost $586,108) 569,347
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-FREE MONEY MARKET FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CASH EQUIVALENTS -- 3.6%
Clipper Blue Tax-Exempt Trust
3.950%, 11/16/00 $8,733 $ 8,733
Clipper Blue Tax-Exempt
Trust 1994-1, Certificates of
Participation, Class A
4.150%, 04/28/00 4,608 4,608
Clipper Blue Tax-Exempt Trust
3.950%, 09/17/01 3,309 3,309
Clipper CT Tax-Exempt Trust
3.550%, 11/23/00 7,341 7,341
----------
TOTAL CASH EQUIVALENTS
(Cost $23,991) 23,991
----------
REPURCHASE AGREEMENTS -- 12.8%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$40,724,797 (collateralized by
various U.S. Treasury Notes ranging
in par value $545,000-$148,507,000,
6.25%-8.00%, 03/31/01-05/21/01;
total market value
$41,525,049) 40,705 40,705
Paine Webber
5.35%, dated 11/27/96, matures
12/02/96, repurchase price
$45,033,438 (collateralized by
various U.S. Treasury Notes
ranging in par value
$35,000-$20,840,000,
5.875%-8.00%, 07/31/99-
12/31/99: total market value
$45,904,388) 45,000 45,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $85,705) 85,705
----------
TOTAL INVESTMENTS -- 101.4%
(Cost $679,043) 679,043
----------
OTHER ASSETS AND LIABILITIES,
NET -- (1.4%) (9,249)
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 670,098,313
outstanding shares of beneficial interest $670,098
Accumulated net realized loss
on investments (336)
Undistributed net investment income 32
----------
TOTAL NET ASSETS -- 100.0% $669,794
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $1.00
----------
----------
(A) VARIABLE RATE SECURITIES -- THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON NOVEMBER 30, 1996.
(B) PUT OR DEMAND FEATURE EXISTS REQUIRING THE ISSUER TO REPURCHASE THE
INSTRUMENT PRIOR TO MATURITY.
(C) THE MATURITY DATE SHOWN IS THE LESSER OF THE PUT, DEMAND, OR MATURITY DATE.
(D) SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR
COMMERCIAL BANK OR OTHER FINANCIAL INSTITUTION.
(E) SECURITIES ARE HELD IN CONNECTION WITH BOND INSURANCE ISSUED BY ALLIED
SIGNAL, AMBAC, FGIC, FSA, GENERAL ELECTRIC, GOLDMAN SACHS, INTERNATIONAL
PAPER, MBIA, MORGAN GUARANTY TRUST, NATIONAL RURAL, SEMINOLE ELECTRIC,
SLMA, SOCIETY GENERAL, SQUARE BUTTE ELECTRIC, TAMPA ELECTRIC, OR TEXACO.
(F) ZERO COUPON SECURITY
AMBAC--AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
AMT--ALTERNATIVE MINIMUM TAX
BAN--BOND ANTICIPATION NOTE
FGIC--FINANCIAL GUARANTY INSURANCE COMPANY
FSA--FINANCIAL SECURITY ASSURANCE
GO--GENERAL OBLIGATION
MBIA--MUNICIPAL BOND INVESTORS ASSURANCE
SLMA--STUDENT LOAN MORTGAGE ASSOCIATION
TAN--TAX ANTICIPATION NOTE
TECP--TAX-EXEMPT COMMERCIAL PAPER
TRAN--TAX AND REVENUE ANTICIPATION NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 SHORT-TERM INCOME FUND
[PIE CHART]
CASH EQUIVALENTS 2%
MUNICIPAL BONDS 11%
ASSET-BACKED SECURITIES 21%
U.S. GOVERNMENT MORTGAGE-BACKED BONDS 3%
U.S. GOVERNMENT AGENCY OBLIGATIONS 6%
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS 9%
CORPORATE BONDS 34%
U.S. TREASURY OBLIGATIONS 14%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 13.5%
U.S. Treasury Notes
6.875%, 07/31/99 $2,000 $ 2,058
6.875%, 08/31/99 3,500 3,604
7.750%, 11/30/99 4,000 4,219
7.125%, 02/29/00 1,200 1,248
6.750%, 04/30/00 2,000 2,060
6.625%, 06/30/01 2,500 2,578
6.375%, 09/30/01 3,000 3,064
7.250%, 05/15/04 400 430
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $19,079) 19,261
----------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 5.7%
Federal Home Loan Bank
6.200%, 09/29/99 1,000 1,001
Federal Home Loan Mortgage
Corporation
5.400%, 11/01/00 1,000 971
6.375%, 12/23/03 1,100 1,094
Federal National Mortgage
Association (A)
6.550%, 06/13/01 1,000 1,003
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Federal National Mortgage
Association
9.550%, 12/10/97 $1,000 $ 1,038
6.850%, 05/26/00 1,000 1,014
6.160%, 03/29/01 2,000 2,013
----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost $8,017) 8,134
----------
U.S. GOVERNMENT MORTGAGE-BACKED
BONDS -- 2.7%
Federal Home Loan Mortgage
8.000%, 01/01/02 484 497
Federal Home Loan Mortgage
Corporation REMIC, Series
41, Class B
7.250%, 04/25/24 875 886
Federal Home Loan Mortgage
Corporation REMIC, Series
1360, Class VA
7.500%, 05/15/97 226 227
Federal National Mortgage
Association
8.500%, 07/01/98 785 806
Federal National Mortgage
Association REMIC, Series
1988-10, Class B
8.950%, 05/25/03 1,356 1,409
----------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED
BONDS (Cost $3,796) 3,825
----------
MUNICIPAL BONDS -- 10.5%
Hamilton County, Tennessee,
Industrial Development Board
Taxable Revenue Bond
7.875%, 04/01/97 550 553
Jacksonville, Florida, Health
Facilities Authority, Taxable
Revenue Bond, National
Benevolent Project, Series B (A)
6.510%, 10/01/26 1,565 1,565
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 SHORT-TERM INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS (CONTINUED)
Massachusetts State Industrial
Finance Agency, Taxable
Revenue Bond, Beverly
Enterprises
6.880%, 06/01/00 $3,000 $ 3,053
Missouri State Health &
Educational Facilities Taxable
Revenue Bond, National
Benevolent, Series B (A)
6.230%, 07/01/26 2,720 2,720
New York State Dormitory
Authority Taxable
Revenue Bond
6.550%, 04/01/00 2,500 2,512
Pennsylvania Housing Finance
Agency Revenue Bond
7.000%, 10/01/06 2,500 2,613
Rochester, New York, Taxable
BAN, Series II
5.500%, 03/11/97 2,000 2,000
----------
TOTAL MUNICIPAL BONDS
(Cost $14,815) 15,016
----------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 9.4%
Advanta Home Equity Loan
Trust, Series 1993-2
6.150%, 10/25/09 229 226
Associates Manufactured
Housing Pass Through
Trust, Series 1996-1
6.700%, 03/15/27 2,500 2,536
CoreStates Home Equity Loan
Trust, Series 1996-1
6.200%, 04/15/04 1,504 1,520
Crown Home Equity Loan
Trust, Series 1996-1
6.810%, 06/25/11 2,000 1,999
Firstplus Home Improvement
Loan Trust, Series 1996-3
6.850%, 09/20/07 1,500 1,515
Green Tree Financial,
Series 1993-3
5.200%, 10/15/18 850 846
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Green Tree Financial,
Series 1996-1
5.850%, 03/15/27 $2,000 $ 1,976
IMC Home Equity Loan
Trust, Series 1996-1
6.030%, 09/25/10 1,500 1,485
Prudential Home Mortgage
Securities, Series 1993-31
6.000%, 08/25/00 1,310 1,298
----------
TOTAL NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS
(Cost $13,360) 13,401
----------
ASSET BACKED SECURITIES -- 21.3%
Centrex Auto Trust, Series 1996-A
6.750%, 10/15/04 1,915 1,932
CIT RV Owners Trust,
Series 1995-A
6.250%, 01/15/11 607 611
Fifth Third Auto Grantor Trust,
Series 1996-A
6.200%, 09/01/01 1,446 1,452
Fleetwood Credit Corporation
Grantor Trust, Series 1995-B
6.550%, 05/16/11 1,418 1,427
Ford Credit Grantor Trust,
Series 1994-A
6.350%, 05/15/99 1,142 1,149
Ford Credit Grantor Trust,
Series 1994-B
7.300%, 10/15/99 1,886 1,916
General Motors Acceptance
Corporation Grantor Trust,
Series 1995-A
7.150%, 03/15/00 374 379
Green Tree Recreational,
Equipment & Consumer Trust,
Series 1996-A
5.550%, 02/15/18 1,063 1,054
Honda Auto Receivables Grantor
Trust, Series 1995-A
6.200%, 12/15/00 516 519
MS Auto Grantor Trust,
Series 1995-1
6.200%, 07/01/01 1,019 1,019
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
ASSET BACKED SECURITIES (CONTINUED)
NAFCO Auto Trust, Series 2
7.000%, 12/31/01 $1,143 $ 1,147
Premier Auto Trust
6.450%, 05/02/98 4,618 4,656
6.250%, 08/06/01 3,000 3,013
Reliance Auto Receivables
Trust, Series 1996-A
6.100%, 07/15/02 2,500 2,498
Sears Credit Account Master
Trust, Series 1996-4
6.450%, 10/15/06 1,000 1,012
Security Pacific Acceptance
Corporation, Series 1991-3
7.250%, 12/15/11 67 68
Signet Credit Card Master
Trust, Series 1993-4
5.800%, 05/15/02 1,000 999
Standard Credit Card Master
Trust, Series 1995-6-B
6.900%, 06/07/98 4,000 4,058
University Support Services,
Series 1993-A
7.850%, 08/20/08 116 117
World Omni Automobile Lease
Securitization Trust, Series 1994-A
6.450%, 09/25/00 1,298 1,307
----------
TOTAL ASSET BACKED SECURITIES
(Cost $30,096) 30,333
----------
CORPORATE OBLIGATIONS -- 33.8%
Aristar
6.750%, 05/15/99 1,500 1,524
BankAmerica
9.625%, 02/13/01 2,000 2,237
Caterpillar Financial Services (A)
5.600%, 07/09/97 450 451
Central Telephone
9.090%, 12/15/00 1,000 1,094
Cigna
7.900%, 12/14/98 1,000 1,034
Colgate Palmolive
6.430%, 12/01/97 3,000 3,021
Dean Witter Discover (A)
5.575%, 01/28/97 1,500 1,501
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Dow Capital Guaranteed:
Dow Chemical
7.375%, 07/15/02 $1,250 $ 1,300
Electronic Data Systems
6.850%, 05/15/00 1,000 1,021
Equitable Companies
6.750%, 12/01/00 1,500 1,522
Exxon Capital
6.500%, 07/15/99 2,000 2,027
First USA Bank
5.750%, 01/15/99 2,000 1,985
Ford Capital
10.125%, 11/15/00 4,000 4,530
General Motors Acceptance
Corporation
9.375%, 04/01/00 3,000 3,278
7.875%, 03/07/01 2,000 2,115
General Motors Acceptance
Corporation (A)
5.656%, 07/24/97 1,500 1,500
Heller Financial
6.500%, 11/01/01 2,000 2,010
Hertz
8.300%, 02/02/98 1,000 1,029
Lehman Brothers Holding
6.650%, 11/08/00 1,500 1,506
Manufacturers Hanover
8.500%, 02/15/99 1,500 1,575
Merrill Lynch
6.800%, 04/26/01 1,000 1,018
Middletown Trust
10.875%, 07/15/98 1,365 1,439
Nabisco
8.000%, 01/15/00 2,500 2,616
Narragansett Electric
6.630%, 08/12/99 1,000 1,011
NationsBank
7.000%, 09/15/01 2,000 2,060
New York State Electric & Gas
6.250%, 09/01/97 1,750 1,750
Sears, Roebuck
9.500%, 06/01/99 1,000 1,080
Travelers/Aetna
6.750%, 04/15/01 1,000 1,019
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $47,674) 48,253
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 SHORT-TERM INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.4%
Greenwich Capital
5.70%, dated 11/29/96,
matures 12/02/96, repurchase
price $3,418,816 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $3,481,491) $3,417 $ 3,417
----------
TOTAL REPURCHASE AGREEMENT
(Cost $3,417) 3,417
----------
TOTAL INVESTMENTS -- 99.3%
(Cost $140,254) 141,640
----------
OTHER ASSETS AND LIABILITIES,
NET -- 0.7% 996
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 14,114,847
outstanding shares of beneficial interest $153,765
Accumulated net realized loss
on investments (12,531)
Net unrealized appreciation
on investments 1,386
Undistributed net investment income 16
----------
TOTAL NET ASSETS -- 100.0% $142,636
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $10.11
----------
----------
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON NOVEMBER 30, 1996.
BAN--BOND ANTICIPATION NOTE
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND
[PIE CHART]
CASH EQUIVALENTS 4%
U.S. GOVERNMENT MORTGAGE-BACKED BONDS 40%
U.S. TREASURY OBLIGATIONS 35%
U.S. GOVERNMENT GUARANTEED SECURITIES 6%
U.S. GOVERNMENT AGENCY OBLIGATIONS 15%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 35.3%
U.S. Treasury Bonds
6.000%, 08/15/99 $5,000 $ 5,037
11.250%, 02/15/15 700 1,065
7.250%, 05/15/16 4,500 4,903
U.S. Treasury Notes
6.000%, 08/31/97 3,700 3,715
8.000%, 08/15/99 4,000 4,228
8.000%, 05/15/01 2,000 2,170
6.625%, 07/31/01 17,163 17,700
7.500%, 11/15/01 6,600 7,064
6.375%, 08/15/02 3,800 3,893
5.875%, 02/15/04 2,500 2,486
7.875%, 11/15/04 3,700 4,129
7.000%, 07/15/06 4,500 4,795
6.500%, 10/15/06 4,000 4,129
6.750%, 08/15/26 4,000 4,171
U.S. Treasury STRIPS
0.000%, 08/15/10 1,000 422
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $67,973) 69,907
----------
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 15.4%
Costa Rica Aid
7.360%, 08/01/01 $2,200 $ 2,267
Federal Farm Credit Bank
5.320%, 02/03/97 925 925
8.650%, 10/01/99 1,900 2,037
5.420%, 08/04/98 3,000 2,983
Federal Home Loan Bank
4.570%, 12/30/96 1,195 1,194
7.100%, 09/26/01 3,000 3,021
Federal Home Loan Mortgage
Corporation
8.530%, 02/02/05 1,000 1,064
Federal National Mortgage
Association
7.550%, 06/10/04 1,500 1,521
6.580%, 03/01/06 1,000 994
8.000%, 07/01/07 428 442
6.500%, 05/01/11 2,405 2,387
6.500%, 12/01/25 1,202 1,169
Federal National Mortgage
Association (A)
5.360%, 08/22/97 1,000 1,000
FICO STRIPS (B)
0.000%, 05/02/15 3,000 848
Housing Urban Development
8.240%, 08/01/02 2,000 2,192
International Bank for
Reconstruction &
Development
9.150%, 08/05/97 1,000 1,024
International Bank for
Reconstruction &
Development, Colts Project
5.420%, 03/15/97 1,000 1,000
Student Loan Marketing
Association (A)
5.350%, 08/20/98 2,500 2,495
5.350%, 11/10/98 2,000 1,995
----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $30,601) 30,558
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
BONDS -- 39.1%
Federal Home Loan Mortgage
Corporation
7.750%, 01/27/97 $3,360 $ 3,372
7.000%, 07/15/03 1,400 1,416
7.000%, 10/01/03 199 202
7.500%, 11/01/19
Federal Home Loan Mortgage
Corporation Gold
7.000%, 12/01/10 2,335 2,356
Federal Home Loan Mortgage
Corporation REMIC
7.000%, 06/15/22 4,000 3,951
Federal National Mortgage
Association
7.320%, 05/03/06 4,000 4,124
10.000%, 10/01/20 3,520 3,845
10.000%, 12/01/20 6,134 6,710
6.500%, 01/01/26 3,568 3,464
Federal National Mortgage
Association REMIC
7.000%, 01/25/21 3 3
Goldman Sachs Trust
8.500%, 02/20/21 10,000 10,682
Government National Mortgage
Association
8.500%, 10/15/04 130 136
8.500%, 01/15/06 131 137
9.000%, 11/15/17 1,713 1,844
7.000%, 10/15/23 880 876
8.000%, 05/15/25 429 442
8.000%, 08/15/25 395 407
8.000%, 11/15/25 352 363
8.000%, 12/15/25 588 608
8.000%, 01/15/26 447 462
8.000%, 02/15/26 341 352
7.500%, 04/15/26 7,442 7,550
8.000%, 04/15/26 283 293
8.000%, 05/15/26 1,835 1,895
8.000%, 06/15/26 813 840
7.125%, 01/15/29 6,371 6,336
Government National Mortgage
Association REMIC
6.500%, 04/16/22 2,731 2,743
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Merrill Lynch Trust
9.450%, 06/01/18 $10,000 $ 10,992
Ryland Acceptance Four,
Series 32, Class B
8.600%, 05/01/16 1,000 1,031
----------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED
BONDS
(Cost $76,110) 77,432
----------
U.S. GOVERNMENT GUARANTEED
BONDS -- 5.9%
Private Export Funding
Corporation
5.500%, 03/15/01 2,500 2,447
6.620%, 10/01/05 1,740 1,766
Sulphur Carriers
8.300%, 10/15/09 1,949 2,118
U.S. Aid to Morocco
D'equipement Communal
7.550%, 07/15/26 5,000 5,333
----------
TOTAL U.S. GOVERNMENT GUARANTEED
BONDS
(Cost $11,257) 11,664
----------
REPURCHASE AGREEMENT -- 4.1%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$8,084,838 (collateralized by
various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $8,246,661) 8,081 8,081
----------
TOTAL REPURCHASE AGREEMENT
(Cost $8,081) 8,081
----------
TOTAL INVESTMENTS -- 99.8%
(Cost $194,022) 197,642
----------
OTHER ASSETS AND LIABILITIES,
NET -- 0.2% 429
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 20,661,389
outstanding shares of
beneficial interest $200,933
Accumulated net realized loss
on investments (6,200)
Net unrealized appreciation
on investments 3,620
Distribution in excess of net
investment income (282)
----------
TOTAL NET ASSETS -- 100.0% $198,071
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $9.59
----------
----------
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON NOVEMBER 30, 1996.
(B) ZERO COUPON SECURITY.
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
STRIPS--SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 INCOME FUND
[PIE CHART]
U.S. GOVERNMENT AGENCY OBLIGATIONS 2%
PREFERRED STOCKS 8%
ASSET-BACKED SECURITIES 16%
YANKEE BONDS 14%
CORPORATE OBLIGATIONS 21%
CASH EQUIVALENTS 10%
U.S. TREASURY OBLIGATIONS 11%
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS 9%
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS 9%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 2.2%
Federal Home Loan
Mortgage Corporation
7.740%, 06/01/04 $2,000 $ 2,028
8.530%, 02/02/05 5,000 5,318
----------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $7,004) 7,346
----------
U.S. TREASURY OBLIGATIONS -- 11.5%
U.S. Treasury Notes
7.875%, 01/15/98 2,000 2,052
9.250%, 08/15/98 1,000 1,059
4.750%, 08/31/98 2,000 1,973
5.875%, 10/31/98 3,500 3,518
5.750%, 10/31/00 4,000 3,994
5.625%, 11/30/00 1,920 1,908
5.500%, 12/31/00 4,000 3,956
5.625%, 02/28/01 2,500 2,483
7.875%, 08/15/01 510 552
6.250%, 02/15/03 3,080 3,133
5.750%, 08/15/03 525 519
6.500%, 10/15/06 9,500 9,807
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. Treasury Bonds
6.750%, 08/15/26 $2,000 $ 2,086
7.500%, 11/15/24 1,010 1,143
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $37,839) 38,183
----------
U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 9.6%
Federal Home Loan
Mortgage Corporation
7.750%, 09/01/05 1,058 1,079
Federal Home Loan Mortgage
Corporation REMIC
6.500%, 07/15/20 1,510 1,476
Federal National Mortgage
Association
6.500%, 05/01/11 4,811 4,774
Federal National Mortgage
Association REMIC
6.000%, 12/25/16 3,000 2,836
7.000%, 03/25/19 504 505
7.000%, 10/25/23 4,805 4,738
Government National
Mortgage Association
7.000%, 10/15/23 1,741 1,732
8.000%, 06/15/25 491 507
8.000%, 07/15/25 470 485
8.000%, 09/15/25 385 397
8.000%, 10/15/25 520 538
8.000%, 01/15/26 201 207
8.000%, 02/15/26 708 732
7.500%, 04/15/26 4,841 4,911
8.000%, 04/15/26 389 402
8.000%, 05/15/26 307 318
8.000%, 06/15/26 1,147 1,184
7.125%, 01/15/29 5,187 5,159
----------
TOTAL U.S. AGENCY MORTGAGE-BACKED
OBLIGATIONS
(Cost $30,388) 31,980
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 16.1%
CIT Group Securitization
Corporation, Series 1995-1,
Class A4
8.950%, 08/15/20 $4,500 $ 5,045
CS First Boston, Series
1995-WF1, Class A1
6.452%, 12/21/27 4,844 4,840
Discover Card Master Trust,
Series 1993-1, Class B
5.300%, 10/16/01 5,000 4,922
Discover Card Master Trust,
Series 1993-2, Class B
5.750%, 11/16/01 1,275 1,269
Fingerhut Master Trust,
Series 1996-1, Class A
6.450%, 02/20/02 1,720 1,739
First Deposit Master Trust,
Series 1993-2, Class A
5.750%, 06/15/01 1,000 999
Fleetwood Credit Corporation
Grantor Trust, Series 1995-B,
Class A
6.550%, 05/16/11 2,127 2,140
Green Tree Financial Corporation,
Series 1995-5, Class M1
7.650%, 09/15/26 5,000 5,056
Green Tree Financial Corporation,
Series 1995-7, Class M1
7.350%, 11/15/26 5,500 5,524
NAFCO Auto Trust, Series 2,
Class A
7.000%, 12/31/01 1,812 1,817
Oakwood Mortgage Investors,
Series 1995-B, Class A3
6.900%, 01/15/21 4,040 3,989
Premier Auto Trust,
Series 1996-1, Class A3
6.000%, 10/06/99 2,020 2,022
Premier Auto Trust,
Series 1996-4, Class A3
6.200%, 11/06/00 2,020 2,035
Prime Credit Card Master Trust,
Series 1992-1, Class A1
7.050%, 12/15/97 5,000 5,075
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Prime Credit Card Master Trust,
Series 1992-2, Class A2
7.450%, 11/15/02 $1,430 $ 1,485
Shawmut National Grantor Trust,
Series 1992-A, Class A
5.550%, 11/15/97 3 3
Signet Credit Card Master Trust,
Series 1993-4, Class B
5.800%, 05/15/02 5,000 4,995
Standard Credit Card Master Trust,
Series 1993-3
5.500%, 02/07/00 500 496
----------
TOTAL ASSET BACKED SECURITIES
(Cost $52,865) 53,451
----------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 9.6%
AFC Home Equity Loan Trust,
Series 1996-3, Class 1A4
7.540%, 12/25/27 5,000 5,186
Capstead Securities IV,
Series 1992-5, Class E
8.500%, 10/25/21 2,000 2,068
Equitable Life Assurance
Society of the U.S.,
Series 174, Class A1
7.240%, 05/15/06 5,000 4,991
Merrill Lynch Mortgage Investors,
Series 1989H, Class B
10.000%, 01/15/10 3,759 3,989
Merrill Lynch Mortgage Investors,
Series 1994G, Class A3
8.350%, 05/15/14 5,000 5,550
Nomura Asset Securities
Corporation, Series
1996-MD5, Class A1B
7.120%, 04/13/36 5,000 5,153
Wells Fargo Capital Markets,
Series APT, Class 1
6.500%, 12/29/02 5,000 4,863
----------
TOTAL NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS
(Cost $30,546) 31,800
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 21.8%
Auburn Hills Trust
12.000%, 05/01/20 $5,000 $ 7,713
BankAmerica Institutional
Cap, Series A
8.070%, 12/31/26 5,000 5,000
Capital One Bank
6.900%, 04/15/99 1,690 1,711
Caterpillar
9.750%, 06/01/19 1,970 2,199
Champion International
6.400%, 02/15/26 5,000 4,856
Chase Capital I
7.670%, 12/01/26 5,000 5,000
Chrysler
10.950%, 08/01/17 1,840 1,987
Chrysler Financial
8.125%, 12/15/96 1,000 1,001
First Union (B)
6.550%, 10/15/35 5,000 4,981
First Union Bancorp
7.500%, 04/15/35 1,235 1,326
Ford Motor
8.875%, 01/15/22 5,000 5,925
General Motors
9.125%, 07/15/01 5,000 5,544
General Motors Acceptance
Corporation
8.250%, 02/28/02 5,000 5,413
Global Industries
7.250%, 07/15/22 5,000 5,150
HSBC Americas
7.000%, 11/01/06 2,500 2,538
ITT Hartford Group
7.300%, 11/01/15 1,000 1,006
Lehman Brothers Holdings
8.050%, 01/15/19 1,910 2,032
Municipal Bond Investor
Assurance
8.200%, 10/01/22 3,000 3,263
Norwest
6.000%, 03/15/00 1,000 998
Sears Roebuck Acceptance
6.110%, 10/26/98 2,030 2,040
Travelers Group
6.875%, 06/01/25 1,000 1,021
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
- -------------------------------------------------------------------------------
Vesta Insurance Group
8.750%, 07/15/25 $ 1,575 $ 1,760
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $70,837) 72,464
----------
YANKEE BONDS -- 13.9%
Alcoa Aluminio S.A.
7.500%, 12/16/08 1,000 1,002
Bank China
8.250%, 03/15/14 6,200 6,464
Chilgener S.A.
6.500%, 01/15/06 5,000 4,838
Endesa - Chile Overseas
7.200%, 04/01/06 5,000 5,088
Industrial Finance
6.875%, 04/01/03 1,970 2,000
Korea Development Bank
6.500%, 11/15/02 1,500 1,502
Mayne Nickless Limited
6.250%, 02/01/06 4,000 3,860
Midland Bank
7.650%, 05/01/25 5,000 5,450
Noranda
7.000%, 07/15/05 2,500 2,513
Pohang Iron & Steel Limited
7.125%, 11/01/06 5,000 5,106
Santista Export Sec I
8.090%, 11/30/06 3,000 3,000
Sociedad Quimica y Minera
7.700%, 09/15/06 5,000 5,241
----------
TOTAL YANKEE BONDS
(Cost $45,159) 46,064
----------
PREFERRED STOCKS -- 7.8%
American Re Capital 200,000 5,150
Hartford Capital II (A) 200,000 5,150
Lincoln National Capital I 200,000 5,325
MCI Capital I 200,000 5,100
Travelers/Aetna P&C Capital I 200,000 5,050
----------
TOTAL PREFERRED STOCKS
(Cost $25,220) 25,775
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 10.3%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$34,256,801 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $34,931,610) $34,241 $ 34,241
----------
TOTAL REPURCHASE AGREEMENT
(Cost $34,241) 34,241
----------
TOTAL INVESTMENTS -- 102.8%
(Cost $334,099) 341,304
----------
OTHER ASSETS AND LIABILITIES,
NET -- (2.8%) (9,268)
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 32,375,614
outstanding shares of
beneficial interest $326,561
Accumulated net realized loss
on investments (1,736)
Net unrealized appreciation
on investments 7,205
Undistributed net investment income 6
----------
TOTAL NET ASSETS -- 100.0% $332,036
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $10.26
----------
----------
(A) NON-INCOME PRODUCING SECURITY.
(B) PUT OR DEMAND FEATURES EXISTS REQUIRING THE ISSUER TO REPURCHASE THE
INSTRUMENT PRIOR TO MATURITY.
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND
[PIE CHART]
TRANSPORTATION BONDS 5%
WATER AND SEWER BONDS 2%
GENERAL OBLIGATION BONDS 29%
ALTERNATE MINIMUM TAX BOND 5%
INDUSTRIAL DEVELOPMENT & POLLUTION
CONTROL BONDS 2%
OTHER REVENUE BONDS 7%
RESOURCE RECOVERY BONDS 4%
HOUSING BONDS 10%
UTILITY BONDS 17%
HEALTH CARE BONDS 10%
EDUCATION BONDS 3%
CASH EQUIVALENTS 6%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS -- 94.8%
ALABAMA -- 0.4%
Alabama State Housing Finance
Authority Revenue Bond,
Series D-1
6.000%, 10/01/16 $1,000 $ 1,009
----------
ALASKA -- 0.5%
Alaska State Industrial
Development & Export
Authority Revenue Bond,
Series B
5.850%, 04/01/05 1,000 1,049
----------
ARIZONA -- 0.5%
Arizona State Transportation
Board Highway Revenue
Bond AMT
6.500%, 07/01/11 1,000 1,118
----------
CALIFORNIA -- 4.9%
California State, GO (A)
5.500%, 04/01/06 1,500 1,590
California State, GO
5.750%, 03/01/08 3,000 3,165
5.250%, 06/01/11 1,000 999
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
California State Housing
Finance Agency Home
Mortgage Revenue
5.950%, 08/01/10 $1,830 $ 1,873
Los Angeles, California,
Metropolitan Transportation
Authority Sales Tax
Revenue Bond (A)
5.700%, 07/01/12 1,135 1,168
Los Angeles, California,
Series A (A)
5.800%, 09/01/09 1,250 1,305
San Francisco, California, City
& County Sewer Revenue
Bond, Series A (A)
5.700%, 10/01/11 1,000 1,031
----------
11,131
----------
COLORADO -- 0.5%
Goldsmith, Colorado,
Metropolitan District, GO (A)
6.125%, 12/01/12 1,000 1,049
----------
CONNECTICUT -- 4.7%
Connecticut State Health &
Educational Facilities Bond,
University of Hartford,
Series D
6.750%, 07/01/12 1,000 1,035
Connecticut State Housing
Finance Authority Revenue
Bond, Housing Mortgage
Finance Program, Series B-4,
Sub B-4
7.300%, 11/15/03 3,435 3,624
Connecticut State Resource
Recovery Authority Revenue
Bond, Mid-Connecticut System
Project, Series A (A) (B)
5.500%, 11/15/11 3,000 3,030
Connecticut State Resource
Recovery Authority Revenue
Bond, Wallingford Resources
Project, Series 1, AMT
6.625%, 11/15/01 1,990 2,132
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CONNECTICUT (CONTINUED)
South Central Connecticut
Regional Water Authority
Revenue Bond, Water Systems
Revenue 11th Series (A)
5.750%, 08/01/12 $1,000 $ 1,030
----------
10,851
----------
DISTRICT OF COLUMBIA -- 1.5%
District of Columbia, GO,
Series B (A)
6.000%, 06/01/08 2,305 2,452
District of Columbia, GO,
Series B3 (A)
5.300%, 06/01/05 1,000 1,028
----------
3,480
----------
FLORIDA -- 1.8%
Dade County, Florida, Series EE (A)
5.625%, 10/01/14 2,560 2,634
Dade County, Florida, Special
Obligation Revenue Bond,
Courthouse Center Project
5.900%, 04/01/10 1,500 1,547
----------
4,181
----------
GEORGIA -- 1.0%
Georgia State, GO, Series E
5.500%, 07/01/07 1,000 1,066
Municipal Electric Authority of
Georgia, 6th Crossover Project,
Series 1 (A)
7.000%, 01/01/08 1,000 1,165
----------
2,231
----------
ILLINOIS -- 3.7%
Chicago, Illinois, O'Hare
International Airport (A)
5.625%, 01/01/12 2,000 2,025
Illinois State, GO (A)
5.700%, 04/01/11 4,000 4,100
Illinois State Health Facilities
Authority Revenue Bond,
OSF Healthcare System Project
6.000%, 11/15/13 2,250 2,273
----------
8,398
----------
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
INDIANA -- 0.2%
Indiana State Bond Bank
Revenue Bond, State Revolving
Fund Project, Series A
6.875%, 02/01/12 $ 500 $ 557
----------
LOUISIANA -- 3.1%
Louisiana State Offshore
Terminal Revenue Bond,
Loop Incorporated Project,
Series B
7.200%, 09/01/08 2,520 2,797
Orleans, Louisiana Levee District,
Series A (A)
5.950%, 11/01/14 4,080 4,218
----------
7,015
----------
MAINE -- 0.5%
Maine Municipal Bond Bank
Revenue Bond, Series A
5.700%, 11/01/13 1,090 1,110
----------
MARYLAND -- 2.4%
Frederick, Maryland, GO (A)
5.900%, 12/01/03 1,000 1,083
Maryland State, GO
5.600%, 03/15/08 4,275 4,521
----------
5,604
----------
MASSACHUSETTS -- 18.3%
Boston, Massachusetts, Revenue
Bond, Boston City Hospital
Project, Series B (A)
5.750%, 02/15/13 1,300 1,300
Boston, Massachusetts, Revenue
Bond, Boston City Hospital
Project, Series B (A)(C)
5.750%, 02/15/13 1,500 1,508
Boston, Massachusetts, Water &
Sewer Commission Revenue
Bond, Series A
6.100%, 11/01/06 3,950 4,261
Holyoke, Massachusetts, GO,
Series A (A)
5.600%, 06/15/10 1,365 1,397
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MASSACHUSETTS (CONTINUED)
Massachusetts Bay
Transportation Revenue
Bond, Series B
5.800%, 03/01/11 $1,000 $ 1,033
Massachusetts Educational
Loan Authority Revenue
Bond, Series A, AMT (A)
6.800%, 01/01/02 1,590 1,709
Massachusetts Municipal
Wholesale Electric Revenue
Bond, Series D
6.000%, 07/01/05 1,625 1,708
Massachusetts Municipal
Wholesale Electric Revenue
Bond, Series D (A)
6.000%, 07/01/11 2,650 2,783
Massachusetts State
Cons Ln-Series B (A)
5.500%, 06/01/11 2,000 2,040
Massachusetts State, GO, Series D
5.750%, 05/01/12 2,000 2,043
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Dana Farber
Cancer Project, Series G-1
6.250%, 12/01/08 1,000 1,079
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Faulkner
Hospital Project, Series C
5.750%, 07/01/03 2,500 2,563
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Medical,
Academic & Scientific
Project, Series A
6.200%, 01/01/03 1,140 1,217
6.250%, 01/01/05 1,060 1,151
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, New England
Deaconess Hospital Project,
Series D
6.625%, 04/01/12 1,000 1,050
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, New England
Medical Center Project,
Series F (A)
6.500%, 07/01/12 $1,000 $ 1,075
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Suffolk University
Project, Series C (A)
5.850%, 07/01/16 1,000 1,014
Massachusetts State Housing
Finance Agency Revenue Bond,
Series 44
5.900%, 12/01/13 1,000 1,011
Massachusetts State Housing
Finance Agency Revenue Bond,
Series A (A)
5.600%, 07/01/07 600 621
Massachusetts State Housing
Finance Agency Revenue Bond,
Series A, AMT (A)
5.900%, 07/01/03 1,750 1,840
Massachusetts State Housing
Finance Agency Revenue
Bond, Series A (A)
5.700%, 07/01/08 600 621
Massachusetts State Housing
Finance Agency Revenue
Bond, Series E (A)
6.250%, 11/15/12 2,600 2,688
Massachusetts State Industrial
Finance Agency Resource
Recovery Revenue Bond,
Refusetech Project, Series A
6.150%, 07/01/02 1,595 1,673
6.300%, 07/01/05 3,220 3,393
Massachusetts State Industrial
Finance Agency Revenue
Assumption Bond,
College Issue (A)
5.875%, 07/01/11 1,090 1,124
----------
41,902
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MICHIGAN -- 0.7%
Michigan State Hospital Finance
Authority Revenue Bond,
Oakwood Hospital Obligation
Group Project, Series A (A)
5.400%, 11/01/07 $1,500 $ 1,543
----------
NEW HAMPSHIRE -- 0.2%
New Hampshire State Housing
Finance Authority Revenue
Bond, Series B (A)
5.850%, 07/01/10 500 509
----------
NEW JERSEY -- 1.3%
Union County, New Jersey, Utility
Authority Revenue Bond,
Series A, AMT
7.100%, 06/15/06 3,000 3,071
----------
NEW YORK -- 9.5%
Metropolitan Transit Authority,
New York, Commuter Facilities
Revenue Bond, Series A (A)
5.750%, 07/01/11 1,000 1,043
New York State, GO, Series B
5.625%, 08/15/08 3,000 3,120
New York State Housing
Finance Agency Revenue
Bond, Housing Project
Mortgage, Series A
5.800%, 11/01/09 1,750 1,798
New York State Urban
Development Revenue
Bond, Youth Facilities
Project (A)
5.700%, 04/01/14 1,505 1,535
New York, New York, GO
6.200%, 08/15/06 1,250 1,303
6.500%, 02/15/07 2,865 3,040
6.250%, 08/01/08 2,000 2,083
New York, New York, GO,
Series A
7.500%, 03/15/09 65 69
New York, New York, GO,
Series C
6.500%, 08/01/05 2,500 2,656
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
New York, New York, GO,
Series D
6.000%, 02/15/09 $1,000 $ 1,011
New York, New York, GO,
Series G
5.750%, 02/01/06 2,000 2,028
5.750%, 02/01/07 2,000 2,023
----------
21,709
----------
NORTH CAROLINA -- 1.4%
North Carolina Eastern
Municipal Power Revenue
Bond, Series B
6.000%, 01/01/05 3,000 3,113
----------
OHIO -- 2.4%
Cleveland, Ohio, Water Works
Revenue Bond, Series
F-92 A (A)
6.500%, 01/01/21 2,000 2,225
Franklin County, Ohio, Hospital
Revenue Bond (A)
5.750%, 05/15/12 2,100 2,147
Ohio State Building Authority
Revenue Bond, Adult
Correctional Facilities
Project (A)
5.700%, 10/01/06 1,000 1,075
----------
5,447
----------
PENNSYLVANIA -- 6.0%
Pennsylvania Higher
Education Health Services
5.750%, 01/01/12 1,300 1,339
Pennsylvania Housing Finance
Agency Single Family Mortgage,
Series 50A
6.000%, 10/01/13 2,000 2,040
Pennsylvania State Higher
Educational Facility College
& Universities, Series A
5.900%, 09/01/14 1,750 1,805
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
PENNSYLVANIA (continued)
Pennsylvania State
Intergovernmental Cooperative
Authority Special Tax Revenue
Bond, City of Philadelphia
Funding Project (A)
5.600%, 06/15/15 $1,000 $ 1,003
Pennsylvania State GO, Third
Series (A)
6.100%, 11/15/04 1,000 1,100
Pennsylvania State Turnpike
Oil Franchise Tax
Revenue, Series A (A)
5.500%, 12/01/12 1,450 1,472
Philadelphia, Pennsylvania
Water and Waste Revenue
Bond (A)
5.650%, 06/15/12 5,000 5,006
----------
13,765
----------
PUERTO RICO -- 2.6%
Puerto Rico Commonwealth
Highway & Transportation
Authority Revenue Bond,
Series V (A)
6.375%, 07/01/07 2,210 2,423
Puerto Rico Municipal Finance
Agency Revenue Bond,
Series A (A)
5.600%, 07/01/05 2,000 2,123
Puerto Rico Public Buildings
Authority Revenue Bond,
Series K (A)
6.875%, 07/01/21 1,265 1,441
----------
5,987
----------
RHODE ISLAND -- 7.4%
Bristol County, Rhode
Island, Water Authority
Revenue Bond, Series A (A)
5.200%, 12/01/13 1,080 1,045
Pawtucket, Rhode Island,
GO (A) (C)
5.625%, 04/15/07 1,600 1,684
Providence, Rhode Island, GO (A)
6.750%, 01/15/09 1,415 1,521
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Rhode Island Depositors
Economic Protection
Revenue Bond, Series B (A)
5.800%, 08/01/09 $1,000 $ 1,066
Rhode Island Housing &
Mortgage Finance Revenue
Bond, Series 7B, AMT
6.700%, 10/01/12 1,750 1,844
Rhode Island Housing &
Mortgage Finance Revenue
Bond, Series 15B
6.100%, 10/01/05 500 524
Rhode Island Housing &
Mortgage Finance Revenue
Bond, Series 19A
5.700%, 04/01/15 2,500 2,513
Rhode Island Housing &
Mortgage Finance Revenue
Bond, Series A (A)
5.700%, 07/01/07 1,000 1,038
Rhode Island Housing &
Mortgage Finance Revenue
Bond, Series 15B (A) (B)
6.200%, 10/01/06 1,110 1,157
Rhode Island State GO, Series B
6.250%, 05/15/05 1,940 2,090
Rhode Island State Health &
Educational Building
Corporation Revenue Bonds (A)
5.600%, 10/01/12 1,000 1,008
Rhode Island State Student
Loan Authority Revenue Bond,
Series B, AMT
6.900%, 12/01/03 1,300 1,406
----------
16,896
----------
SOUTH CAROLINA -- 0.5%
South Carolina State Public
Service Authority (A)
5.875%, 01/01/14 1,150 1,192
----------
TEXAS -- 3.3%
Dallas-Fort Worth, Texas, Regional
Airport Revenue Bond,
Series A (A)
5.800%, 11/01/07 2,000 2,103
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
TEXAS (CONTINUED)
Tarrant County, Texas, Health
Facilities Revenue Bond, Harris
Methodist Health System
Project, Series A (A)
5.125%, 09/01/12 $2,700 $ 2,609
Texas State, GO, Series A
5.700%, 10/01/07 1,500 1,566
5.750%, 10/01/08 1,280 1,339
----------
7,617
----------
UTAH -- 1.2%
Intermountain Power Agency,
Utah, Power Supply Revenue
Bond, Series A (A) (B)
6.500%, 07/01/08 2,500 2,778
----------
VERMONT -- 0.8%
Vermont Educational & Health
Buildings Revenue Bond,
Medical Center Hospital of
Vermont Project (A)
5.750%, 09/01/07 1,800 1,890
----------
VIRGINIA -- 1.9%
Norfolk, Virginia, Industrial
Development Authority Revenue
Bond, Daughters Charity-
DePaul Project
6.500%, 12/01/07 3,000 3,270
Virginia State Housing
Development Authority
Revenue Bond, Series H
5.700%, 11/01/07 1,155 1,194
----------
4,464
----------
WASHINGTON -- 9.0%
Washington State Public Power
Supply Systems Nuclear Power
Project No. 1 Revenue Bond
7.500%, 07/01/07 1,000 1,099
5.400%, 07/01/12 (A) 7,800 7,595
Washington State Public Power
Supply Systems Nuclear Power
Project No. 1 Revenue Bond,
Series A
6.300%, 07/01/09 2,000 2,100
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Washington State Public Power
Supply Systems Nuclear Power
Project No. 2 Revenue
Bond (A)
5.550%, 07/01/10 $2,500 $ 2,481
Washington State Public Power
Supply Systems Nuclear Power
Project No. 2 Revenue Bond,
Series A
5.500%, 07/01/04 (A) 3,000 3,120
6.100%, 07/01/06 1,030 1,105
6.000%, 07/01/12 1,000 1,009
Washington State Public
Power Supply (A)
6.250%, 07/01/12 2,000 2,093
----------
20,602
----------
WISCONSIN -- 2.6%
Wisconsin Housing & Economic
Development Home Ownership
Series E Revenue Bond Callable
09/01/06 @ 102
5.900%, 09/01/16 1,000 1,004
Wisconsin State, GO, Series A
5.750%, 05/01/03 3,305 3,536
5.800%, 05/01/07 1,355 1,440
----------
5,980
----------
TOTAL MUNICIPAL BONDS
(Cost $207,387) 217,248
----------
CASH EQUIVALENTS -- 0.5%
Fidelity Tax-Exempt Money
Market Fund 592 592
Lehman Brothers Institutional
Tax-Free Money Market Fund 592 592
----------
TOTAL CASH EQUIVALENTS
(Cost $1,184) 1,184
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 5.1%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$11,602,509 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $11,825,400) $11,597 $ 11,597
----------
TOTAL REPURCHASE AGREEMENT
(Cost $11,597) 11,597
----------
TOTAL INVESTMENTS -- 100.4%
(Cost $220,168) 230,029
----------
OTHER ASSETS AND LIABILITIES,
NET -- (0.4%) (993)
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 22,333,693
outstanding shares of
beneficial interest $219,107
Accumulated net realized
gain on investments 32
Net unrealized appreciation
on investments 9,861
Undistributed net investment income 36
----------
TOTAL NET ASSETS -- 100.0% $229,036
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $10.26
----------
----------
(A) SECURITIES ARE HELD IN CONNECTION WITH BOND INSURANCE FROM AMBAC, CAPITAL
GUARANTY, CONNIE LEE, FGIC, FHA, FSA, GNMA OR MBIA.
(B) WHEN ISSUED SECURITY
AMBAC--AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
AMT--ALTERNATIVE MINIMUM TAX
FGIC--FINANCIAL GUARANTY INSURANCE COMPANY
FHA--FEDERAL HOUSING AUTHORITY
FSA--FINANCIAL SECURITY ASSURANCE
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GO--GENERAL OBLIGATION
MBIA--MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
36
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 CONNECTICUT TAX-EXEMPT INCOME FUND
[PIE CHART]
WATER AND SEWER BONDS 4%
INDUSTRIAL DEVELOPMENT & POLLUTION
CONTROL BONDS 5%
HEALTH CARE BONDS 19%
OTHER REVENUE BONDS 17%
REVENUE RECOVERY BONDS 12%
CASH EQUIVALENTS 7%
GENERAL OBLIGATION BONDS 8%
TRANSPORTATION BONDS 6%
ALTERNATIVE MINIMUM TAX BONDS 5%
HOUSING BONDS 10%
UTILITY BONDS 2%
EDUCATION BONDS 5%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS -- 92.2%
CONNECTICUT -- 80.6%
Bridgeport, Connecticut, GO (B)
8.750%, 08/15/05 $ 500 $ 629
Bridgeport, Connecticut, GO,
Series A
6.125%, 03/01/05 2,000 2,138
Bristol, Connecticut, Resource
Recovery Bond, Ogden Martin
System Project
6.500%, 07/01/14 3,000 3,188
Connecticut State Airport
Revenue Bond, Bradley
International Airport (B)
7.650%, 10/01/12 2,000 2,323
Connecticut State, Certificates
of Participation, Middletown
Courthouse Facilities
Project (B)
6.250%, 12/15/08 1,500 1,613
Connecticut State Clean Water
Funding Revenue Bond
5.600%, 06/01/09 750 776
7.000%, 01/01/11 300 335
Connecticut State
Development Bond (B)
6.550%, 06/15/09 500 553
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Connecticut State Development
Bond, Duncaster Project
6.700%, 09/01/07 $3,350 $ 3,622
Connecticut State Development
Bond, Pfizer Project
6.550%, 02/15/13 250 273
Connecticut State Development
Bond, Series A
6.000%, 11/15/08 500 526
Connecticut State Health &
Educational Facilities Bond,
Bridgeport Hospital, Series A (B)
6.500%, 07/01/05 250 276
6.550%, 07/01/06 400 442
6.500%, 07/01/12 500 538
Connecticut State Health &
Educational Facilities Bond,
Bridgeport Hospital,
Series C (B)
5.250%, 07/01/15 1,000 971
Connecticut State Health &
Educational Facilities Bond,
Choate Rosemary Hall,
Series A (B)
6.800%, 07/01/15 750 833
Connecticut State Health &
Educational Facilities Bond,
Connecticut State University
System, Series A (B)
5.125%, 11/01/12 500 492
Connecticut State Health &
Educational Facilities Bond,
Danbury Hospital, Series E (B)
6.500%, 07/01/05 500 546
Connecticut State Health &
Educational Facilities Bond,
Greenwich Hospital,
Series A (B)
5.750%, 07/01/16 2,000 2,043
Connecticut State Health &
Educational Facilities Bond,
New Britian Hospital,
Series B (B)
6.000%, 07/01/09 500 531
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 CONNECTICUT TAX-EXEMPT INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CONNECTICUT (CONTINUED)
Connecticut State Health &
Educational Facilities Bond,
New Haven Hospital,
Series H (B)
5.625%, 07/01/16 $1,000 $ 1,014
Connecticut State Health &
Educational Facilities Bond,
New Horizons Village
Project (B)
7.050%, 11/01/09 1,000 1,160
Connecticut State Health &
Educational Facilities Bond,
Newington Children's
Hospital, Series A (B)
5.850%, 07/01/07 1,110 1,184
Connecticut State Health &
Educational Facilities Bond,
Sacred Heart University,
Series A (A)
6.600%, 07/01/07 300 335
Connecticut State Health &
Educational Facilities Bond,
Sharon Health Care Project (B)
6.000%, 11/01/09 1,000 1,066
Connecticut State Health &
Educational Facilities Bond,
St. Raphael Hospital, Series F (B)
6.200%, 07/01/14 500 523
Connecticut State Health &
Educational Facilities Bond,
Stamford Hospital (B)
5.400%, 07/01/09 2,000 2,030
Connecticut State Health &
Educational Facilities Bond,
University of Hartford, Series D
6.750%, 07/01/12 2,750 2,846
Connecticut State Health &
Educational Facilities Bond,
Wadsworth Nursing Home (B)
7.125%, 11/01/14 500 574
Connecticut State Higher
Education Revenue Bond,
Family Education Loan
Program, Series A, AMT
7.000%, 11/15/05 640 682
- -------------------------------------------------------------------------------
CDESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Connecticut State Higher
Education Revenue Bond,
Series A
6.500%, 11/15/00 $ 260 $ 276
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance Program,
Series A
5.950%, 05/15/11 2,715 2,807
6.200%, 05/15/14 650 665
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance Program,
Series B
6.050%, 11/15/03 500 529
6.350%, 11/15/06 400 425
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance Program,
Series B (A)
7.200%, 11/15/01 500 513
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance
Program, Series B1 (A)
7.550%, 11/15/08 225 235
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance Program,
Series C-1
6.000%, 11/15/10 1,010 1,038
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance Program,
SubSeries B1
6.000%, 11/15/15 2,000 2,025
6.000%, 05/15/08 300 316
Connecticut State Housing
Finance Bond, Housing
Mortgage Finance Program,
SubSeries B4
7.300%, 11/15/03 1,000 1,055
Connecticut State Resource
Recovery Bond, Bridgeport
Resources, Series A
7.625%, 01/01/09 600 619
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
38
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CONNECTICUT (CONTINUED)
Connecticut State Resource
Recovery Bond, Mid-Connecticut
System Project, Series A (B)
5.375%, 11/15/10 $2,000 $ 2,008
Connecticut State Resource
Recovery Bond, Mid-
Connecticut System Project,
Series A (B)
5.500%, 11/15/11 1,500 1,515
Connecticut State Resource
Recovery Bond, Series A, AMT
8.000%, 11/15/08 1,500 1,626
8.000%, 11/15/15 2,000 2,168
Connecticut State Resource
Recovery Bond, Wallingford
Project, Series A, AMT (A)
7.125%, 11/15/08 250 259
Connecticut State Resource
Recovery Bond, Wallingford
Resources Project,
Series 1, AMT
6.700%, 11/15/02 800 868
Connecticut State Special
Tax Bond (B)
5.250%, 01/01/11 500 496
Connecticut State Special Tax
Bond, Transportation
Infrastructure, Series A
5.400%, 09/01/09 500 510
Connecticut State Special Tax
Bond, Transportation
Infrastructure, Series A (B)
5.600%, 06/01/13 500 506
5.700%, 06/01/12 1,160 1,187
Connecticut State Special
Tax Bond, Transportation
Infrastructure, Series B (B)
6.100%, 09/01/08 500 550
5.500%, 10/01/11 4,920 5,006
5.600%, 10/01/12 1,000 1,015
5.600%, 10/01/13 1,000 1,011
Connecticut State, Series A, GO
6.500%, 03/15/07 750 832
Connecticut State, Series C, GO
5.800%, 08/15/08 1,500 1,583
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Eastern Connecticut, Resource
Recovery Bond, Wheelabrator
Libson Project, Series A
5.500%, 01/01/14 $2,775 $ 2,654
Hartford, Connecticut, GO (B)
5.700%, 10/01/12 500 512
5.750%, 10/01/13 1,000 1,024
New Haven, Connecticut
Revenue Bond, Air Right
Packaging Facility (B)
6.500%, 12/01/15 2,000 2,150
South Central Connecticut
Regional Water Authority
Revenue Bond, Series A (B)
6.000%, 08/01/09 985 1,045
6.000%, 08/01/10 1,045 1,104
Stratford, Connecticut, GO (B)
5.600%, 04/15/12 440 442
----------
74,636
----------
GUAM -- 2.1%
Guam Government Limited
Obligation Highway,
Series A (B)
6.250%, 05/01/07 750 815
Guam Power Authority Revenue
Bond, Series A (B)
5.900%, 10/01/08 1,000 1,069
----------
1,884
----------
PUERTO RICO -- 9.5%
Puerto Rico Commonwealth,
Aqueduct & Sewer
Revenue Bond
6.000%, 07/01/09 250 272
Puerto Rico Commonwealth,
Highway & Transportation
Revenue Bond, Series X
5.300%, 07/01/04 700 712
Puerto Rico Industrial, Medical
& Environmental Revenue
Bond, Abbott Chemicals Project
6.500%, 07/01/09 500 501
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
39
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 CONNECTICUT TAX-EXEMPT INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
PUERTO RICO (CONTINUED)
Puerto Rico Industrial, Medical
& Environmental Revenue
Bond, PepsiCo Project
6.250%, 11/15/13 $2,750 $ 2,953
Puerto Rico Municipal Finance
Agency Revenue Bond,
Series A (B)
6.000%, 07/01/09 2,650 2,822
Puerto Rico Telephone
Revenue Bond, Series L
5.750%, 01/01/08 1,000 1,029
6.000%, 01/01/12 500 514
----------
8,803
----------
TOTAL MUNICIPAL BONDS
(Cost $81,810) 85,323
----------
CASH EQUIVALENTS -- 1.6%
Fidelity Tax-Exempt Money
Market Fund 751 751
Lehman Brothers Institutional
Tax-Free Money Market Fund 752 752
----------
TOTAL CASH EQUIVALENTS
(Cost $1,503) 1,503
----------
REPURCHASE AGREEMENT -- 5.3%
Prudential Securities
5.66%, dated 11/29/96, matures
12/02/96, repurchase price
$4,902,518 (collateralized by U.S.
Treasury Bill par value
$5,895,000, 08/15/15; various
U.S. Treasury Notes ranging in
par value $1,792,000-$23,105,000,
5.125%-8.50%, 05/15/97-06/30/01;
various U.S. Treasury Bonds ranging
in par value $3,000,000-$5,604,000,
8.00%-13.75%, 08/15/04-11/15/21;
various U.S. Treasury Interest &
Principal STRIPS ranging in par value
$5,895,000-$22,425,000, 04/17/97-
05/15/98: total market
value $5,865,015) 4,900 4,900
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $4,900) $ 4,900
---------
TOTAL INVESTMENTS -- 99.1%
(Cost $88,213) 91,726
---------
OTHER ASSETS AND LIABILITIES,
NET -- 0.9% 839
---------
NET ASSETS:
Capital Shares (unlimited authorization --
no par value) based on 8,841,498
outstanding shares of beneficial interest 89,030
Accumulated net realized gain on investments 16
Net unrealized appreciation on investments 3,513
Undistributed net investment income 6
---------
TOTAL NET ASSETS -- 100.0% $92,565
---------
---------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $10.47
---------
---------
(A) SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR
COMMERCIAL BANK OR OTHER FINANCIAL INSTITUTION.
(B) SECURITIES ARE HELD IN CONNECTION WITH BOND INSURANCE FROM AMBAC, CAPITAL
GUARANTY, CONNIE LEE, FGIC, FSA, OR MBIA.
AMBAC--AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
AMT--ALTERNATIVE MINIMUM TAX
FGIC--FINANCIAL GUARANTY INSURANCE COMPANY
FSA--FINANCIAL SECURITY ASSURANCE
GO--GENERAL OBLIGATION
MBIA--MUNICIPAL BOND INVESTOR ASSURANCE
STRIPS--SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
40
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND
[PIE CHART]
WATER AND SEWER BONDS 12%
GENERAL OBLIGATION BONDS 32%
HEALTH CARE BONDS 13%
HOUSING BONDS 10%
TRANSPORTATION BONDS 13%
EDUCATION BONDS 9%
UTILITY BONDS 4%
RESOURCE RECOVERY BONDS 2%
CASH EQUIVALENTS 3%
ALT. MIN. TAX BONDS 2%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS -- 95.1%
MASSACHUSETTS -- 93.5%
Boston, Massachusetts, GO,
Series A
5.650%, 02/01/09 $1,500 $1,554
Chelsea, Massachusetts, GO,
School Loan Project (A)
6.000%, 06/15/02 1,000 1,074
6.000%, 06/15/04 650 704
5.700%, 06/15/06 1,000 1,064
Holyoke, Massachusetts, GO,
Series A (A)
5.600%, 06/15/11 1,000 1,020
5.500%, 06/15/16 815 825
Lawrence, Massachusetts, GO (A)
5.375%, 09/15/05 410 421
6.250%, 02/15/09 1,475 1,602
Lowell, Massachusetts, GO (A)
5.500%, 01/15/10 1,140 1,153
5.500%, 08/01/11 2,740 2,791
6.625%, 04/01/15 1,000 1,089
Lynn, Massachusetts, Water &
Sewer Commission Revenue
Bond (A)
5.250%, 12/01/05 475 492
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Massachusetts Bay Transportation
Authority Revenue Bond,
Series A
5.500%, 03/01/07 $1,500 $ 1,567
5.800%, 03/01/10 2,640 2,736
Massachusetts Bay Transportation
Authority Revenue Bond,
Series A (A)
5.750%, 03/01/18 3,325 3,408
Massachusetts Bay Transportation
Authority Revenue Bond,
Series B (A)
6.000%, 03/01/12 4,000 4,150
Massachusetts Bay Transportation
Authority Revenue Bond,
Series D
5.600%, 03/01/08 1,885 1,991
Massachusetts State Cons Ln
Series B (A)
5.875%, 08/01/10 2,000 2,097
Massachusetts State Educational
Loan Authority, Issue E,
Series B (A)
6.000%, 01/01/12 450 458
6.300%, 07/01/12 1,000 1,039
Massachusetts State GO, Series A
5.500%, 02/01/11 3,500 3,535
Massachusetts State GO, Series B
5.500%, 11/01/07 (A) 1,000 1,051
6.500%, 08/01/08 5,315 5,993
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Brigham &
Women's Hospital Project,
Issue D
6.750%, 07/01/13 1,500 1,598
Massachusetts State Health &
Educational Facilities
Authority Revenue Bond,
Dana Farber Cancer Project,
Series E
6.250%, 10/01/09 1,000 1,059
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
41
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MASSACHUSETTS (CONTINUED)
Massachusetts State Health &
Educational Facilities
Authority Revenue Bond,
Dana Farber Cancer Project,
Series F (A)
6.000%, 12/01/15 $1,445 $ 1,490
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Dana Farber
Cancer Project, Series G-1
6.250%, 12/01/09 1,175 1,262
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Emerson
Hospital Project, Series D (A)
5.800%, 08/15/18 3,000 3,045
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Harvard
University Project, Series M
5.750%, 12/01/11 1,000 1,036
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Massachusetts
General Hospital, Series G (A)
5.375%, 07/01/11 2,000 2,003
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, New England
Deaconess Hospital Project,
Series C
7.200%, 04/01/11 830 881
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Newton-
Wellesley Hospital Project,
Issue E (A)
5.875%, 07/01/15 3,000 3,067
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Northeastern
University Project,
Series E (A)
6.500%, 10/01/12 1,000 1,078
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Smith College
Project, Series D
5.750%, 07/01/16 $1,250 $ 1,259
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Tufts University
Project, Series F (A)
5.950%, 08/15/18 3,000 3,079
Massachusetts State Health &
Educational Facilities Authority
Revenue Bond, Baystate
Medical Center Project,
Series D (A)
6.000%, 07/01/15 2,000 2,057
Massachusetts State Housing
Finance Agency Revenue
Bond, Housing Project,
Series A
6.300%, 10/01/13 4,950 5,055
Massachusetts State Housing
Finance Agency Revenue
Bond, Residential Development
Project, Series A (A)
6.875%, 11/15/11 1,750 1,888
Massachusetts State Housing
Finance Agency Revenue
Bond, Series A (A)
5.850%, 12/01/08 1,245 1,289
Massachusetts State Housing
Finance Agency Revenue
Bond, Single Family Housing
Project, Series 14 (A)
7.700%, 12/01/14 1,935 2,027
Massachusetts State Housing
Finance (A)
6.100%, 07/01/15 2,000 2,065
Massachusetts State Industrial
Finance Agency Revenue
Bond, Babson College Project,
Series A (A)
6.375%, 10/01/09 1,000 1,080
5.750%, 10/01/15 1,000 1,024
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
42
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MASSACHUSETTS (CONTINUED)
Massachusetts State Municipal
Wholesale Electric Revenue
Bond, Series B
6.750%, 07/01/05 $1,000 $ 1,090
Massachusetts State Municipal
Wholesale Electric Revenue
Bond, Series D
6.000%, 07/01/05 1,000 1,051
Massachusetts State Municipal
Wholesale Electric Revenue
Bond, Series E (A)
6.000%, 07/01/11 2,500 2,603
Massachusetts State Port
Authority Revenue Bond,
Series A
6.000%, 07/01/13 1,050 1,083
Massachusetts State, Series B (A)
5.400%, 11/01/07 2,000 2,097
Massachusetts State Resource
Recovery Revenue Bond,
Refusetech Project, Series A
6.150%, 07/01/02 900 944
6.300%, 07/01/05 1,000 1,054
Massachusetts State Special
Obligation Revenue Bond,
Series A
5.500%, 06/01/07 2,000 2,065
5.750%, 06/01/12 700 717
Massachusetts State Water
Pollution Abatement Trust
Revenue Bond, New Bedford
Project, Series A
5.700%, 02/01/12 1,450 1,501
5.700%, 02/01/15 3,000 3,067
Massachusetts State Water
Pollution Abatement Trust
Revenue Bond, Pooled Loan
Program, Series 2
6.125%, 02/01/07 730 807
Massachusetts State Water
Resource Authority Revenue
Bond, Series B
5.875%, 11/01/04 1,000 1,070
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Massachusetts State Water
Resource Authority Revenue
Bond, Series C
6.000%, 12/01/11 $2,000 $ 2,142
Massachusetts State Water
Resource Authority Revenue
Bond, Series B
6.250%, 11/01/10 3,175 3,369
Massachusetts State Water
Resource Authority Revenue
Bond, Series C
6.000%, 11/01/05 2,000 2,147
Massachusetts State Cons Ln,
Series B
6.000%, 08/01/13 3,000 3,150
Nantucket Islands Land Bank,
Massachusetts, GO, Series E
7.000%, 07/01/05 1,505 1,644
Nantucket, Massachusetts, GO
6.800%, 12/01/11 1,425 1,576
Rockport, Massachusetts, GO (A)
6.800%, 12/15/02 1,100 1,206
Southbridge, Massachusetts,
GO (A)
6.375%, 01/01/12 500 534
Springfield Massachusetts (A)
5.300%, 08/01/11 1,000 995
University of Lowell Building
Authority, Massachusetts,
Fifth Series A
5.625%, 11/01/14 3,000 3,090
Worcester, Massachusetts, GO (A)
6.250%, 10/01/08 430 471
----------
118,629
----------
PUERTO RICO -- 1.6%
Commonwealth of Puerto
Rico, GO, Series A
6.000%, 07/01/06 1,000 1,059
Commonwealth of Puerto
Rico, GO (A)
5.500%, 07/01/13 1,000 1,015
----------
2,074
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
43
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(Cost $117,851) $120,703
----------
REPURCHASE AGREEMENT -- 3.4%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$4,269,027 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01- 05/21/01: total
market value $4,356,726) $4,267 4,267
----------
TOTAL REPURCHASE AGREEMENT
(Cost $4,267) 4,267
----------
TOTAL INVESTMENTS -- 98.5%
(Cost $122,118) 124,970
----------
OTHER ASSETS AND LIABILITIES,
NET -- 1.5% 1,885
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 12,585,474
outstanding shares of
beneficial interest $125,371
Accumulated net realized loss
on investments (1,341)
Net unrealized appreciation
on investments 2,852
Distribution in excess of
net investment income (27)
----------
TOTAL NET ASSETS -- 100.0% $126,855
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $10.08
----------
----------
(A) SECURITIES ARE HELD IN CONNECTION WITH BOND INSURANCE FROM AMBAC, FGIC, FSA,
OR MBIA.
AMBAC--AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
AMT--ALTERNATIVE MINIMUM TAX
FGIC--FINANCIAL GUARANTY INSURANCE COMPANY
FSA--FINANCIAL SECURITY ASSURANCE
GO--GENERAL OBLIGATION
MBIA--MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
44
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND
[PIE CHART]
GENERAL OBLIGATION BONDS 18%
INDUSTRIAL DEVELOPMENT & POLLUTION
CONTROL BONDS 8%
EDUCATION BONDS 11%
ALTERNATIVE MINIMUM TAX BONDS 10%
HOUSING BONDS 13%
OTHER REVENUE BONDS 8%
HEALTH CARE BONDS 11%
CASH EQUIVALENTS 11%
TRANSPORTATION BONDS 3%
WATER AND SEWER BONDS 7%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS -- 88.2%
RHODE ISLAND -- 84.4%
Bristol County, Rhode Island,
Water Authority General
Revenue Bond (B)
5.200%, 12/01/14 $1,000 $ 969
Cranston, Rhode Island, GO (B)
6.100%, 06/15/10 1,000 1,076
6.100%, 06/15/15 1,000 1,064
Cumberland, Rhode
Island, GO (B)
5.900%, 10/01/06 500 531
Kent County, Rhode Island,
Water Authority General
Revenue Bond (B)
6.000%, 07/15/08 500 534
North Providence, Rhode
Island, Series A (B)
6.000%, 07/01/12 1,100 1,173
6.050%, 07/01/13 500 536
Pawtucket, Rhode Island, GO (B)
5.625%, 04/15/07 750 789
5.750%, 04/15/08 500 527
Providence, Rhode Island, GO (B)
6.750%, 01/15/07 500 538
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Providence, Rhode Island,
Housing Development
Revenue Bond, Barbara
Jordan Apartments Project,
Series A (B)
6.500%, 07/01/09 $ 460 $ 481
Providence, Rhode Island,
Public Building Authority
GO, Series A (B)
5.400%, 12/15/11 500 500
Rhode Island Capital
Development GO, Series B
6.250%, 05/15/05 1,000 1,078
Rhode Island Clean Water
Agency Revenue Bond,
Safe Drinking Water Project,
Series A (B)
6.500%, 01/01/09 500 548
Rhode Island Clean Water
Agency Revenue Bond,
Series A (B)
6.600%, 10/01/08 500 548
6.750%, 10/01/13 500 549
Rhode Island Convention
Center Authority Revenue
Bond, Series A (B)
5.500%, 05/15/13 1,000 998
Rhode Island Depositor's
Economic Protection Agency
Revenue Bond, Series A (B)
6.500%, 08/01/07 500 561
Rhode Island Depositor's
Economic Protection Agency
Revenue Bond, Series B (B)
5.800%, 08/01/12 1,000 1,049
Rhode Island Health &
Educational Building Revenue
Bond, Kent Hospital Project (B)
7.000%, 07/01/10 500 551
Rhode Island Health &
Educational Building Revenue
Bond, Landmark Medical
Project (B)
5.600%, 10/01/12 1,000 1,008
Rhode Island Health &
Educational Building Revenue
Bond, Miriam Hospital Project
7.250%, 04/01/11 500 523
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
45
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
RHODE ISLAND (CONTINUED)
Rhode Island Health &
Educational Building Revenue
Bond, New England
Institutional Project (B)
5.900%, 03/01/10 $ 400 $ 408
Rhode Island Health &
Educational Building Revenue
Bond, R.I. School Design (B)
5.625%, 06/01/16 2,000 2,013
Rhode Island Health &
Educational Building Revenue
Bond, Roger Williams
Hospital Project
7.750%, 07/01/16 1,000 1,050
Rhode Island Health &
Educational Building Revenue
Bond, Roger Williams
Project (B)
6.500%, 11/15/08 500 537
Rhode Island Health &
Educational Building Revenue
Bond, Roger Williams
Project (B)
7.000%, 11/15/09 545 608
7.200%, 11/15/14 1,500 1,682
Rhode Island Health &
Educational Building Revenue
Bond, Salve Regina
Project (B)
6.200%, 03/15/08 1,000 1,061
Rhode Island Housing &
Mortgage Financing Revenue
Bond, Series 2
7.700%, 10/01/10 500 526
Rhode Island Housing &
Mortgage Financing Revenue
Bond, Series 7-B
6.700%, 10/01/12 750 790
Rhode Island Housing &
Mortgage Financing Revenue
Bond, Series 13
6.700%, 10/01/15 2,000 2,103
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Rhode Island Housing &
Mortgage Financing Revenue
Bond, Series 19-A
5.700%, 04/01/15 $1,500 $ 1,508
Rhode Island Housing &
Mortgage Financing Revenue
Bond, Series A (A)
5.650%, 10/01/07 1,000 1,008
Rhode Island Housing &
Mortgage Financing Revenue
Bond, Series E-1 (B)
7.500%, 10/01/11 975 1,037
Rhode Island Industrial
Development Revenue Bond,
Cre Corporation Project,
AMT (A)
6.500%, 03/01/14 500 512
Rhode Island Industrial Facilities
Revenue Bond
6.000%, 11/01/14 2,850 2,971
Rhode Island Port Authority &
Economic Development
Revenue Bond, Shepard
Building Project, Series B (B)
6.500%, 06/01/08 500 552
6.750%, 06/01/15 515 566
Rhode Island Student Loan
Authority Revenue Bond,
AMT, Series A
6.550%, 12/01/00 500 529
Rhode Island Student Loan
Authority Revenue Bond,
AMT, Series B
6.850%, 12/01/02 500 540
7.000%, 12/01/04 1,390 1,503
Villa Excelsior, Rhode Island
Housing Development
Mortgage Revenue Bond (B)
6.650%, 07/01/12 485 513
Warwick, Rhode Island, GO,
Series A (B)
6.600%, 11/15/06 500 549
Westerly, Rhode Island, GO (B)
5.850%, 09/15/08 450 476
----------
39,173
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
46
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
PUERTO RICO -- 3.8%
Puerto Rico Highway &
Transportation Authority
Revenue Bond, Series V
6.375%, 07/01/07 $1,135 $ 1,211
Puerto Rico Industrial Medical
& Environmental Pollution
Control Revenue Bond,
PepsiCo Project, Series A
6.250%, 11/15/13 500 539
----------
1,750
----------
TOTAL MUNICIPAL BONDS
(Cost $39,131) 40,923
----------
CASH EQUIVALENTS -- 4.4%
Fidelity Tax-Exempt Money
Market Fund 1,017 1,017
Lehman Brothers Institutional
Tax-Free Money Market Fund 1,017 1,017
----------
TOTAL CASH EQUIVALENTS
(Cost $2,034) 2,034
----------
REPURCHASE AGREEMENT -- 6.4%
Prudential Securities
5.66%, dated 11/29/96, matures
12/02/96, repurchase price
$2,979,142 (collateralized by
U.S. Treasury Bill par value
$5,895,000, 08/15/15; various
U.S. Treasury Notes ranging in
par value $1,792,000-$23,105,000,
5.125%-8.50%, 05/15/97-06/30/01;
various U.S. Treasury Bonds ranging
in par value $3,000,000-$5,604,000,
8.00%-13.75%, 08/15/04-11/15/21;
various U.S. Treasury Interest &
Principal STRIPS ranging in par
value $5,895,000-$22,425,000,
04/17/97-05/15/98: total market
value $3,559,809) 2,978 2,978
----------
TOTAL REPURCHASE AGREEMENT
(Cost $2,978) 2,978
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.0%
(Cost $44,143) $ 45,935
----------
OTHER ASSETS AND LIABILITIES,
NET -- 1.0% 440
----------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 4,476,870
outstanding shares of
beneficial interest 44,600
Accumulated net realized loss
on investments (10)
Net unrealized appreciation
on investments 1,792
Distributions in excess of
net investment income (7)
----------
TOTAL NET ASSETS -- 100.0% $ 46,375
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $10.36
----------
----------
(A) SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR
COMMERCIAL BANK OR OTHER FINANCIAL INSTITUTION.
(B) SECURITIES ARE HELD IN CONNECTION WITH BOND INSURANCE FROM AMBAC, CONNIE
LEE, FGIC, FHA, FSA, OR MBIA
AMBAC--AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
AMT--ALTERNATIVE MINIMUM TAX
FGIC--FINANCIAL GUARANTY INSURANCE COMPANY
FHA--FINANCIAL HOUSING AUTHORITY
FSA--FINANCIAL SECURITY ASSURANCE
GO--GENERAL OBLIGATION
MBIA--MUNICIPAL BOND INVESTOR ASSURANCE
STRIPS--SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
47
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 ASSET ALLOCATION FUND
[PIE CHART]
CASH EQUIVALENTS 11%
COMMON STOCK 53%
PREFERRED STOCK 1%
ASSET-BACKED SECURITIES 3%
CORPORATE OBLIGATIONS 6%
MEDIUM-TERM NOTES 3%
U.S. GOVERNMENT MORTGAGE-BACKED BONDS 4%
U.S. TREASURY OBLIGATIONS 19%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS -- 52.8%
AEROSPACE & DEFENSE -- 1.7%
Raytheon 7,400 $ 378
----------
AIR TRANSPORTATION -- 1.7%
AMR (A) 4,000 365
----------
BANKS -- 1.5%
Norwest 7,000 327
----------
BASIC INDUSTRIES -- 3.7%
E.I. du Pont de Nemours 4,500 424
Willamette Industries 5,500 374
----------
798
----------
CAPITAL GOODS/MACHINERY
CONSTRUCTION -- 5.1%
Dover 6,000 320
General Electric 5,000 520
W.W. Grainger 3,500 278
----------
1,118
----------
CONSUMER NON-DURABLES/
WHOLESALE TRADE -- 4.1%
Nestle ADR 7,500 407
Procter & Gamble 4,500 489
----------
896
----------
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
ENERGY -- 8.6%
Exxon 5,800 $ 549
Mobil 3,800 460
Noble Affiliates 7,000 330
Schlumberger 5,200 541
----------
1,880
----------
FINANCIAL SERVICES -- 7.0%
Allstate 7,500 452
American International Group 5,000 575
FNMA 12,000 495
----------
1,522
----------
HEALTH CARE -- 7.6%
Bristol-Myers Squibb 4,000 455
Genzyme (A) 8,000 182
Johnson & Johnson 9,000 478
Merck 6,500 539
----------
1,654
----------
MEDICAL PRODUCTS &
SERVICES -- 1.2%
Boston Scientific (A) 4,500 263
----------
RAILROADS -- 1.9%
Burlington Northern Santa Fe 4,500 404
----------
TECHNOLOGY -- 6.8%
Computer Associates
International 6,000 395
Ericsson Telephone ADR (A) 16,000 494
Hewlett Packard 5,500 296
Lucent Technologies 5,614 288
----------
1,473
----------
WHOLESALE -- 1.9%
Sysco 12,000 410
----------
TOTAL COMMON STOCKS
(Cost $8,840) 11,488
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
48
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 19.1%
U.S. Treasury Bonds
8.125%, 08/15/19 $ 100 $ 119
7.250%, 08/15/22 500 547
7.125%, 02/15/23 300 324
U.S. Treasury Notes
5.000%, 01/31/99 100 99
5.500%, 04/15/00 200 199
6.250%, 05/31/00 500 508
6.125%, 07/31/00 1,100 1,112
5.625%, 11/30/00 250 248
6.500%, 08/15/05 500 515
5.625%, 02/15/06 500 485
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,086) 4,156
----------
U.S. GOVERNMENT MORTGAGE-BACKED
BONDS -- 3.5%
Federal National Mortgage
Association
6.500%, 05/01/11 593 589
Government National Mortgage
Association
7.500%, 06/12/23 175 178
----------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED
BONDS
(Cost $758) 767
----------
MEDIUM-TERM NOTES -- 2.8%
Federal National Mortgage
Association
7.720%, 12/16/96 100 100
7.070%, 06/25/01 500 515
----------
TOTAL MEDIUM-TERM NOTES
(Cost $600) 615
----------
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 6.3%
Allstate
5.875%, 06/15/98 $100 $ 100
Associates of North America
9.700%, 05/01/97 100 102
AT&T
7.000%, 05/15/05 200 207
Chase Manhattan
8.000%, 06/15/99 200 209
Ford Motor
7.250%, 10/01/08 250 260
Ford Motor Credit
6.750%, 05/15/05 100 100
General Motors
7.100%, 03/15/06 75 77
General Motors Acceptance
6.625%, 04/24/00 75 76
6.625%, 10/01/02 200 203
Private Export Funding
8.400%, 07/31/01 25 27
----------
TOTAL CORPORATE OBLIGATIONS
(Cost $1,340) 1,361
----------
ASSET-BACKED SECURITIES -- 3.2%
Ford Credit Grantor,
Series 1994-B, Class A
7.300%, 10/15/99 37 38
Premier Auto Trust,
Series 1993-4, Class A2
4.650%, 02/02/99 41 41
Sears Credit Account Master
Trust, Series 1996-4, Class A
6.450%, 10/15/06 500 506
Signet Credit Card Master Trust,
Series 1993-3, Class B
5.250%, 04/15/00 100 100
----------
TOTAL ASSET-BACKED SECURITIES
(Cost $674) 685
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
49
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 ASSET ALLOCATION FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
PREFERRED STOCK -- 0.9%
Hartford Capital II Preferred (A) $8,000 $ 206
----------
TOTAL PREFERRED STOCK
(Cost $200) 206
----------
REPURCHASE AGREEMENT -- 10.7%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$2,326,784 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $2,372,860) 2,326 2,326
----------
TOTAL REPURCHASE AGREEMENT
(Cost $2,326) 2,326
----------
TOTAL INVESTMENTS -- 99.3%
(Cost $18,824) 21,604
----------
OTHER ASSETS AND LIABILITIES,
NET -- 0.7% 152
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par value)
based on 1,674,745 outstanding
shares of beneficial interest $ 18,647
Accumulated net realized gain
on investments 236
Net unrealized appreciation
on investments 2,780
Undistributed net investment income 93
----------
TOTAL NET ASSETS -- 100.0% $21,756
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $12.99
----------
----------
(A) NON-INCOME PRODUCING SECURITY.
ADR--AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
50
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 GROWTH AND INCOME FUND
[PIE CHART]
CONSUMER DURABLES 1%
CONTAINERS & PACKAGING 1%
CONSUMER NON-DURABLES 8%
ENERGY 12%
FINANCIAL SERVICES 1%
HEALTH CARE 8%
INSURANCE 3%
MERCHANDISE STORES 9%
REAL ESTATE INVESTMENT TRUSTS 5%
RESTAURANTS 12%
TECHNOLOGY 22%
TELEPHONE & TELECOMMUNICATIONS 2%
CASH EQUIVALENTS 9%
BASIC INDUSTRIES 3%
CAPITAL GOODS/MACHINERY 4%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS -- 86.1%
BASIC INDUSTRIES -- 3.3%
AK Steel Holding 100,000 $ 3,807
E.I. du Pont de Nemours 50,000 4,713
Nucor 75,000 4,078
----------
12,598
----------
CAPITAL GOODS/MACHINERY
CONSTRUCTION -- 4.0%
General Electric 40,000 4,160
Hardinge 109,375 2,898
Robotic Vision Systems (A) 275,000 3,575
NN Ball and Roller 60,000 795
UCAR International (A) 102,500 3,882
----------
15,310
----------
CONSUMER DURABLES -- 1.0%
Newell 125,000 3,875
----------
CONTAINERS & PACKAGING -- 1.1%
Crown Cork & Seal 75,000 3,975
----------
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 8.3%
Cintas 30,000 $ 1,823
Coca Cola 158,112 8,083
Gillette 60,000 4,425
ITT (A) 50,000 2,306
Rentokil Group 650,000 4,744
Walt Disney 90,000 6,638
Wolford AG 30,000 3,557
----------
31,576
----------
ENERGY -- 12.0%
Amoco 45,000 3,493
Arakis Energy (A) 310,000 1,841
Chesapeake Energy (A) 48,750 3,187
Enron 150,000 6,863
Exxon 75,000 7,097
Mobil 50,000 6,050
Occidental Petroleum 250,000 6,000
Schlumberger 75,000 7,800
Tejas Gas (A) 80,000 3,510
----------
45,841
----------
FINANCIAL SERVICES -- 0.6%
Litchfield Financial (A) 178,500 2,321
----------
HEALTH CARE -- 8.0%
Abbott Laboratories 84,633 4,718
Bausch & Lomb 100,000 3,713
Cardinal Health 48,786 4,080
Eli Lilly 50,000 3,825
Johnson & Johnson 100,000 5,313
Medtronic 60,000 3,968
Merck 60,000 4,980
----------
30,597
----------
INSURANCE -- 2.8%
Allstate 100,000 6,025
American International Group 40,000 4,600
----------
10,625
----------
MERCHANDISE STORES -- 9.1%
Bed Bath and Beyond (A) 200,000 5,238
Carrefour Supermarche (A) 12,000 7,413
Grand Optical Photoservice (A) 50,000 8,138
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 GROWTH AND INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MERCHANDISE STORES (CONTINUED)
Home Depot 142,300 $ 7,417
Moebel Walther (A) 100,000 6,440
----------
34,646
----------
RESTAURANTS -- 12.3%
Lone Star Steakhouse &
Saloon (A) 220,000 6,298
Outback Steakhouse (A) 70,000 2,021
Papa John's International (A) 225,000 7,256
Pizza Express 1,575,000 13,970
Rainforest Cafe (A) 86,250 2,523
Wetherspoon J.D. 700,000 14,625
----------
46,693
----------
TECHNOLOGY -- 21.8%
Cambridge Technology
Partners (A) 249,000 7,595
Cisco Systems (A) 75,000 5,091
Donnelly Enterprise
Solutions (A) 150,000 3,769
Intel 105,000 13,322
Lucent Technologies 32,408 1,661
Microsoft (A) 55,000 8,628
Motorola 75,000 4,153
Oracle (A) 150,000 7,350
SAP AG (A) 100,000 13,823
Security Dynamics Tech (A) 120,000 4,935
Sun Microsystems (A) 55,000 3,204
Texas Instruments 80,000 5,100
Vanstar (A) 175,000 4,769
----------
83,400
----------
TELEPHONES & TELECOMMUNICATIONS -- 1.8%
AT&T 100,000 3,925
U.S. West Media Group (A) 150,000 2,869
----------
6,794
----------
TOTAL COMMON STOCKS
(Cost $209,407) 328,251
----------
REAL ESTATE INVESTMENT TRUSTS -- 5.0%
Felcor Suite Hotels 200,000 7,125
Hospitality Properties Trust 120,000 3,240
RFS Hotel Investors 281,000 4,707
- -------------------------------------------------------------------------------
DESCRIPTION SHARES/PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Storage USA 50,000 $ 1,888
Winston Hotels 150,000 1,894
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(Cost $14,765) 18,854
----------
REPURCHASE AGREEMENT -- 8.8%
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$33,489,636 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $34,134,174) $33,474 33,474
----------
TOTAL REPURCHASE AGREEMENT
(Cost $33,474) 33,474
----------
TOTAL INVESTMENTS -- 99.9%
(Cost $257,646) 380,579
----------
OTHER ASSETS AND LIABILITIES,
NET -- 0.1% 512
----------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par value)
based on 23,085,545 outstanding
shares of beneficial interest 257,015
Accumulated net realized gain
on investments 821
Net unrealized appreciation
on investments 122,933
Undistributed net investment income 322
----------
TOTAL NET ASSETS -- 100.0% $381,091
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $16.51
----------
----------
(A) NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 GROWTH FUND
[PIE CHART]
CONSUMER DURABLES 3%
CONSUMER NON-DURABLES 11%
ENERGY 10%
FINANCIAL SERVICES 6%
HEALTH CARE 10%
INSURANCE 2%
MERCHANDISE STORES 7%
MISCELLANEOUS & BUSINESS SERVICES 1%
RESTAURANTS 7%
TECHNOLOGY 15%
TELEPHONE & TELECOMMUNICATIONS 3%
TRANSPORTATION 1%
UTILITIES 2%
CASH EQUIVALENTS 11%
BASIC INDUSTRIES 3%
CAPITAL GOODS/CONSTRUCTION 8%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS -- 89.3%
BASIC INDUSTRIES -- 2.8%
AK Steel Holding 40,000 $ 1,525
Mosinee Paper 43,200 1,480
Nucor 30,000 1,631
Praxair 28,800 1,400
Texas Industries 5,500 313
Willamette Industries 6,450 439
----------
6,788
----------
CAPITAL GOODS/CONSTRUCTION-- 8.6%
Champion Enterprises (A) 60,250 1,258
Channell Commercial (A) 50,000 563
Deere 11,400 509
Dover 22,000 1,174
Elbit Vision Systems Ltd (A) 45,000 247
Gildmeister Italiana 500,000 1,502
GTS Duratek (A) 50,000 644
Hardinge 50,000 1,325
Ionics Incorporated (A) 15,650 755
Kaydon 38,100 1,557
Manitowoc 41,000 1,799
NN Ball and Roller 65,000 861
Oakwood Homes 39,900 883
Raychem 17,300 1,475
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Robotic Vision Systems (A) 60,000 $ 780
Sealed Air (A) 28,050 1,164
Thermo Instrument Systems (A) 30,625 1,034
UCAR International (A) 40,000 1,515
U.S. Filter (A) 30,400 1,041
United Waste Systems (A) 24,600 824
----------
20,910
----------
CONSUMER DURABLES -- 3.2%
Applied Graphics
Technologies (A) 75,000 1,425
Danaher 8,150 365
Diebold 21,150 1,261
Harley-Davidson 11,400 506
Meredith 25,950 1,336
Miller Herman 36,900 1,734
Omnicom Group 15,075 769
Rouse 16,300 432
----------
7,828
----------
CONSUMER NON-DURABLES -- 11.6%
Bolder Technologies (A) 35,000 512
Cintas 9,950 604
Callaway Golf 24,125 733
Coca Cola 26,675 1,364
Dekalb Genetics, Cl B 13,050 486
Enamelon (A) 120,000 652
Family Golf Centers (A) 15,000 469
Gillette 23,275 1,717
Jones Apparel Group (A) 25,100 772
Liz Claiborne 33,075 1,402
Morningstar Group (A) 36,000 621
Nautica Enterprises (A) 62,450 1,998
Nike, Cl B 21,100 1,200
Northland Cranberries 162,000 3,604
Q-Zar (A) 290,500 1,235
Rentokil Group 200,000 1,460
Richfood Holdings 41,625 1,082
Robert Half International (A) 56,450 2,103
Safeway (A) 30,200 1,227
Service International 69,200 2,085
Wolford AG ATS 16,000 1,897
Wolverine World Wide 44,000 1,182
----------
28,405
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
53
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 GROWTH FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
ENERGY -- 9.9%
Arakis Energy (A) 180,000 $ 1,069
Baker Hughes 18,050 661
Chesapeake Energy (A) 25,000 1,634
Clayton Williams Energy (A) 32,500 524
GeoScience (A) 80,000 940
Global Marine (A) 112,000 2,184
Halliburton 25,825 1,556
Helmerich & Payne 16,200 871
Louisiana Land & Exploration 7,600 454
Maverick Tube (A) 60,000 952
Nabors Industries (A) 21,725 421
Noble Affiliates 27,900 1,315
Nuevo Energy (A) 20,000 1,000
Occidental Petroleum 75,000 1,800
Offshore Energy
Development (A) 140,000 2,222
Oryx Energy (A) 98,650 2,047
Petroleum Secs Australia-ADR (A) 30,000 694
Smith International (A) 16,350 668
Tejas Gas (A) 20,000 877
Tosco 7,300 556
Transocean Offshore 7,500 452
Williams 22,950 1,288
----------
24,185
----------
FINANCIAL SERVICES -- 6.3%
Advanta, Cl A 20,150 897
BankAmerica 9,425 971
Equifax 60,450 1,980
Fifth Third Bancorp 9,112 638
Finova Group 10,775 711
First USA 14,550 478
Green Tree Financial 45,650 1,912
Household International 13,450 1,274
MBNA 15,875 641
Nationsbank 8,150 845
Price T. Rowe and Associates 8,200 296
SLMA 9,000 865
Star Banc 14,200 1,319
Synovus Financial 35,025 1,147
The Money Store 22,167 671
Zions Bancorp 8,250 844
----------
15,489
----------
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
HEALTH CARE -- 9.9%
Accumed International (A) 100,000 $ 337
Amgen (A) 13,900 846
Applied Analytical Industries (A) 3,500 74
Arterial Vascular (A) 60,000 1,020
Aviron (A) 50,000 369
Bausch & Lomb 25,000 928
Boston Scientific (A) 20,000 1,167
Cardiac Pathways Corp (A) 10,000 107
Cardinal Health 26,428 2,210
Cardiogenesis (A) 20,800 239
Collaborative Clinical
Research (A) 10,000 117
Dentsply International 30,000 1,395
General Surgical Innovations (A) 65,000 593
Healthcare Compare (A) 39,500 1,694
Healthsouth Rehabilitation (A) 10,900 410
Invacare 22,800 616
Johnson & Johnson 19,100 1,015
Lanvision Systems (A) 50,000 381
Medtronic 23,725 1,569
Merck 10,500 871
Omnicare 22,300 680
Pfizer 21,250 1,905
Sabratek Corp (A) 40,000 530
Schering Plough 18,425 1,313
Sonus Pharmaceuticals (A) 32,500 784
United States Surgical 18,700 750
Ventana Medical Systems (A) 50,000 850
Visx 35,000 822
Zoll Medical Corp (A) 43,500 560
----------
24,152
----------
INSURANCE -- 2.5%
American International Group 10,175 1,170
Healthsource (A) 35,000 394
MGIC Investment 21,825 1,634
Sunamerica 52,874 2,214
Travelers 14,500 652
----------
6,064
----------
MERCHANDISE STORES -- 7.1%
Bed Bath and Beyond (A) 111,350 2,916
Carrefour Supermarche (A) 2,500 1,544
CompUSA (A) 34,350 1,546
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
54
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MERCHANDISE STORES (CONTINUED)
Consolidated Stores (A) 22,900 $ 847
Dollar General 38,572 1,109
Gap 25,400 816
Grand Optical-Photoservice 12,000 1,953
Moebel Walther AG 40,000 2,576
TJX 30,600 1,381
Vons (A) 33,225 1,748
Walgreen 22,300 931
----------
17,367
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.8%
CUC International (A) 28,800 760
National Data 18,500 738
Reynolds & Reynolds, Class A 18,600 516
----------
2,014
----------
RESTAURANTS -- 7.6%
J.D. Wetherspoon 341,500 7,135
Lone Star Steakhouse &
Saloon (A) 50,000 1,431
Papa John's International (A) 22,500 726
Pizza Express 850,000 7,540
Rainforest Cafe (A) 63,000 1,843
----------
18,675
----------
TECHNOLOGY -- 15.9%
3Com (A) 21,800 1,638
Andrew (A) 27,225 1,576
Baan ADR (A) 40,000 1,425
Barringer Technologies (A) 25,000 206
Barringer Technologies
Warrant (A) 25,000 19
Cabletron Systems (A) 14,500 585
Cadence Design Systems (A) 11,850 473
Cambridge Technology
Partners (A) 45,000 1,373
Check Point Software (A) 6,500 148
Cisco Systems (A) 55,950 3,798
Computer Associates
International 24,275 1,596
Dell Computer (A) 18,700 1,900
Donnelly Entrprise Solutions (A) 52,000 1,307
I2 Technologies (A) 29,000 1,102
IBM 7,525 1,199
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Intel 31,850 $ 4,041
Microsoft (A) 8,925 1,400
Newbridge Networks (A) 13,000 387
Oracle (A) 87,237 4,275
Parametric Technology (A) 22,250 1,210
SAP AG 10,000 1,382
Security Dynamics
Technologies (A) 33,000 1,357
Sterling Software (A) 10,900 361
Sun Microsystems (A) 51,600 3,006
Thermo Electron (A) 30,262 1,097
Vanstar (A) 60,000 1,635
Viisage Technology (A) 35,000 494
----------
38,990
----------
TELEPHONES & TELECOMMUNICATIONS -- 3.3%
Cincinnati Bell 28,075 1,674
Geotek Communications (A) 130,000 910
GTE 6,200 278
MCI Communications 19,400 592
MFS Communications (A) 20,000 965
Sprint 22,400 938
Telecom New Zealand ADR 3,750 315
Teleport Communications
Group (A) 25,000 828
Worldcom (A) 66,500 1,538
----------
8,038
----------
TRANSPORTATION -- 0.6%
Wisconsin Central
Transportation (A) 36,500 1,487
----------
UTILITIES -- 2.1%
AES (A) 13,700 670
Calpine (A) 30,000 540
Farallon Communications (A) 45,000 529
Noram Energy 58,200 902
Panenergy 58,725 2,584
----------
5,225
----------
TOTAL COMMON STOCKS
(Cost $173,016) 225,617
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
55
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 GROWTH FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 11.1%
Prudential Securities
5.66%, dated 11/29/96, matures
12/02/96, repurchase price
$27,116,092 (collateralized by
U.S. Treasury Bill par value
$5,895,000, 08/15/15; various
U.S. Treasury Notes ranging in
par value $1,792,000-$23,105,000,
5.125%-8.50%, 05/15/97-06/30/01;
various U.S. Treasury Bonds ranging
in par value $3,000,000-$5,604,000,
8.00%-13.75%, 08/15/04-11/15/21;
various U.S. Treasury Interest &
Principal STRIPS ranging in par value
$5,895,000-$22,425,000, 04/17/97-
05/15/98: total market
value $32,436,082) $27,103 $ 27,103
----------
TOTAL REPURCHASE AGREEMENT
(Cost $27,103) 27,103
----------
TOTAL INVESTMENTS -- 103.4%
(Cost $200,145) 252,720
----------
OTHER ASSETS AND LIABILITIES,
NET -- (3.4%) (8,198)
----------
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 20,746,521
outstanding shares of
beneficial interest $ 191,677
Accumulated net realized loss
on investments (121)
Net unrealized appreciation
on investments 52,575
Undistributed net investment income 391
----------
TOTAL NET ASSETS -- 100.0% $244,522
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $11.79
----------
----------
(A) NON-INCOMING PRODUCING SECURITIES
ADR--AMERICAN DEPOSITORY RECEIPT
STRIPS--SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
56
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 INTERNATIONAL EQUITY FUND
[PIE CHART]
CASH EQUIVALENTS 4%
JAPAN 27%
UNITED KINGDOM 11%
NETHERLANDS 8%
FRANCE 7%
GERMANY 5%
HONG KONG 5%
EMERGING MARKETS 12%
OTHER PACIFIC RIM 7%
OTHER EUROPE 13%
% OF TOTAL PORTFOLIO INVESTMENTS
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
FOREIGN STOCKS -- 95.5%
ARGENTINA -- 0.7%
Banco Frances Rio Plata ADR 37,500 $ 1,134
Cia Naviera Perez, Series B 161,000 1,095
Quilmes Industrial SA ADR 90,000 934
----------
3,163
----------
AUSTRALIA -- 3.4%
Brambles Industries 124,000 2,169
Broken Hill Proprietary 143,680 2,107
M.I.M. Holdings 1,900,000 2,705
Mayne Nickless 256,200 1,668
News Corporation 289,000 1,538
Sydney Harbour Casino
Holdings (A) 1,600,000 2,408
Western Mining 337,750 2,144
----------
14,739
----------
BRAZIL -- 0.7%
Cia Vale Rio Doce ADR (A) 29,000 598
Compania Energie de
Minas ADR 30,501 983
Telebras SA 22,800,000 1,470
----------
3,051
----------
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
CHILE -- 0.9%
Banco O Higgins ADR 38,000 $ 874
Chilectra ADR 16,800 916
Embotelladora Andina ADR 17,000 533
Empresa Nacional de
Electricidad ADR 50,400 832
Genesis Chile Fund 15,015 593
----------
3,748
----------
CHINA -- 0.8%
Guangdong Investment 2,222,000 1,854
Shangri-La Asia 1,002,000 1,581
----------
3,435
----------
COLOMBIA -- 0.4%
Banco Industrial
Colombiano ADR 50,000 794
Corp Fin de Valle ADR 188,328 942
----------
1,736
----------
FRANCE -- 6.9%
Accor 10,146 1,302
Alcatel Aslthom 18,900 1,718
Castorama Dubois Investisse 22,671 3,994
Groupe Danone 5,753 847
L'Oreal 12,364 4,524
LVMH 18,070 4,581
Promodes 20,900 5,811
Roussel-Uclaf 22,400 5,872
Television Francaise 11,800 1,164
----------
29,813
----------
GERMANY -- 4.7%
Degussa 9,500 3,958
Deutsche Pfandbrief &
Hypobank 38,060 1,659
Fresenius National Medical
Care ADR (A) 135,000 4,084
GEA AG 1,000 301
Gehe AG 66,750 4,125
Hoechst AG 145,000 6,315
----------
20,442
----------
HONG KONG -- 5.0%
Giordano International 1,550,000 1,363
HSBC Holdings 214,800 4,473
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
57
<PAGE>
AS OF NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
1784 INTERNATIONAL EQUITY FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
HONG KONG (CONTINUED)
Hutchison Whampoa 366,000 $ 2,828
Sun Hung Kai Properties 240,080 2,981
Swire Pacific, Series A 419,500 3,974
Television Broadcasts 273,500 1,051
Wharf Holdings 940,000 4,863
----------
21,533
----------
HUNGARY -- 0.3%
Gedeon Richter ATS 27,000 1,460
----------
INDIA -- 0.6%
Hindalco Industries GDR 45,000 838
Indus Credit and Invest GDR (A) 49,000 395
State Bank of India GDR (A) 45,000 732
Tata Engineering & Loco
GDR (A) 58,800 654
----------
2,619
----------
INDONESIA -- 0.5%
Indofood (F) 340,000 711
PT Gudang Garam 320,000 1,362
----------
2,073
----------
IRELAND -- 0.4%
Cement Roadstone 155,986 1,575
----------
ITALY -- 3.0%
Edison SPA 808,500 5,162
Luxottica Group ADR 56,500 3,545
Stet Societa' Finanziara
Telefonica SPA 986,000 4,193
----------
12,900
----------
JAPAN -- 27.2%
Asahi Chemical Industries 450,000 2,957
Bank of Tokyo--Mitsubishi 157,500 3,224
Canon Sales 190,000 4,773
Citizen Watch 360,000 2,808
Daiichi Pharmaceutical 220,000 3,440
Dainippon Ink & Chemical 600,000 2,377
Fuji Bank 140,000 2,435
Fujitsu 320,000 3,064
Hitachi 450,000 4,190
House Food 200,000 3,408
Hoya 104,000 3,901
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Inax 85,000 $ 716
Ito Yokado 77,000 3,889
Kao 310,000 3,595
Keyence 25,500 3,091
Kyocera 57,000 3,665
Marui 150,000 2,846
Matsushita Electric 190,000 3,288
Mitsubishi Heavy Industries 400,000 3,268
Mori Seiki 130,000 1,884
NGK Spark Plug 360,000 3,953
Nikon 306,000 3,736
Nippon Comsys 250,700 3,127
Nippon Express 300,000 2,287
Nippon Steel 1,000,000 3,022
Ricoh 400,000 4,287
Sanwa Bank 150,000 2,477
Sanyo Electric 597,000 2,795
Secom 44,000 2,655
Sharp 213,000 3,330
Shimano 120,000 2,034
Shin-Etsu Chemical 210,000 3,837
TDK 50,000 3,224
Tokio Marine & Fire
Insurance 310,000 3,431
Toppan Printing 320,000 4,216
Toyota Motor 150,000 4,098
York Benimaru 69,000 2,152
----------
117,480
----------
MALAYSIA -- 1.1%
Genting Berhad 175,000 1,247
Renong Berhad 870,000 1,605
Sime Darby Berhad 510,000 1,908
----------
4,760
----------
MEXICO -- 1.3%
Cemex ADR 120,000 885
Cifra de C.V. ADR (A) 710,300 945
Desc de C.V. ADR (A) 51,000 1,103
Grupo Carso ADR 95,000 962
Grupo Financiero Banamex,
Class B 410,000 800
Grupo Televisa ADR (A) 29,500 804
----------
5,499
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
58
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MOROCCO -- 0.0%
Banque Marocaine GDR (A) 11,700 $ 176
----------
NETHERLANDS -- 8.4%
Getronics 168,772 4,524
Hunter Douglas 58,520 3,830
Koninklijke Ahold 95,336 5,968
Nutricia Vereenigde Bedrijven 46,541 7,177
Philips Electronics 87,600 3,542
Randstad Holdings 75,000 5,783
Wolters Kluwer 41,737 5,461
----------
36,285
----------
NORWAY -- 0.3%
Norsk Hydro 23,300 1,175
----------
PAKISTAN -- 0.3%
Hub Power Company GDR 50,000 1,094
----------
PERU -- 0.4%
CPT Telefoncia del Peru ADR 42,800 829
Credicorp 42,000 725
----------
1,554
----------
PHILIPPINES -- 1.1%
Ayala Land, Series B 500,000 542
Manila Electric, Series B 214,445 1,591
Philippine Long Distance
Telephone ADR 19,000 1,093
Philippine National Bank 62,000 773
SM Prime Holdings 3,000,000 719
----------
4,718
----------
POLAND -- 0.4%
Elektrim 155,000 1,414
Mostostal Export 137,000 324
----------
1,738
----------
PORTUGAL -- 0.7%
Banco Comercial Portugues 35,000 456
Banco Totta & Acores, Series B 40,000 705
Jeronimo Martins 12,200 1,122
Sonae Investimentos 28,000 839
----------
3,122
----------
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
SINGAPORE -- 2.8%
City Developments 261,100 $ 2,309
Development Bank of
Singapore 193,837 2,502
Fraser & Neave 206,720 2,153
Keppel 343,000 2,667
Singapore Press Holdings 135,000 2,552
----------
12,183
----------
SOUTH KOREA -- 0.7%
Cho Hung Bank GDS 83,000 697
Kepco ADR 42,000 740
Korea Fund 120,225 1,939
----------
3,376
----------
SPAIN -- 2.7%
Empresa Nacional de
Electricidad 67,000 4,526
Gas Natural, Series E 30,400 6,307
Repsol SA 28,000 1,037
----------
11,870
----------
SWEDEN -- 2.1%
Atlas Copco, Series A 238,000 5,463
Atlas Copco, Series B 15,000 347
Ericsson LM, Series B 99,000 3,054
----------
8,864
----------
SWITZERLAND -- 4.8%
ABB 4,830 6,045
Nestle SA 1,560 1,694
Roche Holding Genusscheine 850 6,535
Roche Holdings
Warrant (Exp 5/5/98) (A) 740 21
Sandoz 5,400 6,282
----------
20,577
----------
TAIWAN -- 0.4%
Taipei Fund 176 1,610
----------
THAILAND -- 1.2%
Bangkok Bank 104,000 1,189
Bangkok Expressway 640,000 739
Electricity Generating Public 355,000 1,098
Land & House 110,000 870
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
59
<PAGE>
AS OF NOVEMBER 30, 1996 1784 FUNDS
STATEMENT OF NET ASSETS (UNAUDITED)
1784 INTERNATIONAL EQUITY FUND (CONTINUED)
- -------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
THAILAND (CONTINUED)
Telecomasia 270,000 $ 560
Thai Farmers Bank 65,000 555
----------
5,011
----------
TURKEY -- 0.1%
Arcelik AS 2,434,798 228
Tat Konserve Sanayii 1,399,999 202
----------
430
----------
UNITED KINGDOM -- 10.9%
Astec 828,000 2,227
BOC Group 215,000 3,207
Granada Group 229,645 3,338
Inchcape 593,000 2,686
Invesco 505,000 2,242
Morgan Crucible 409,005 3,143
Premier Farnell 220,000 2,630
Reckitt & Colman 209,000 2,464
Reuters Holdings 221,000 2,685
Royal Bank of Scotland 394,000 3,472
Securicor 534,978 2,433
Sema Group 130,000 2,086
Shell Transportation & Trading 200,000 3,326
Standard Chartered 288,318 3,275
WPP Group 985,000 3,652
Zeneca Group 152,000 4,192
----------
47,058
----------
VENEZUELA -- 0.3%
Corimon SA ADR 66,410 --
Mavesa SA ADR 187,647 1,152
----------
1,152
----------
TOTAL FOREIGN STOCKS
(Cost $357,565) 412,019
----------
FOREIGN PREFERRED STOCKS -- 1.3%
AUSTRALIA -- 0.0%
News Corporation 41,200 181
----------
- -------------------------------------------------------------------------------
DESCRIPTION SHARES/PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
BRAZIL -- 0.4%
Brahma 1,300,000 $ 766
Brasmotor SA 3,610,000 1,021
----------
1,787
----------
GERMANY -- 0.8%
Fielmann AG 33,000 1,185
GEA AG 8,000 2,395
----------
3,580
----------
TOTAL FOREIGN PREFERRED STOCKS
(Cost $6,426) 5,548
----------
REPURCHASE AGREEMENT -- 3.4%
Prudential Securities
5.66%, dated 11/29/96,
matures 12/2/96, repurchase
price $14,779,150 (collateralized
by various U.S. Treasury
instruments ranging in par
value from $1,792,000-$25,793,000,
5.125%-13.75%, 4/17/97-11/15/21,
total market value
$14,963,258) $14,772 14,772
----------
TOTAL REPURCHASE AGREEMENT
(Cost $14,772) 14,772
----------
TOTAL INVESTMENTS -- 100.2%
(Cost $378,763) 432,339
----------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Investment Securities Purchased (4,940)
Other Assets and Liabilities 3,931
----------
TOTAL OTHER ASSETS AND LIABILITIES, NET (1,009)
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
60
<PAGE>
1784 FUNDS
- -------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Capital shares (unlimited
authorization -- no par
value) based on 34,738,144
outstanding shares of beneficial interest $372,429
Undistributed net investment income 3,021
Accumulated net realized gain
on investments 1,551
Net unrealized appreciation on
foreign currency translation of
other assets and liabilities in
foreign currency 753
Net unrealized appreciation
on investments 53,576
----------
TOTAL NET ASSETS -- 100.0% $431,330
----------
----------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $12.42
----------
----------
(A) NON-INCOME PRODUCING SECURITY
(F) FOREIGN SHARES
ATS--AUSTRIAN SHILLING
ADR--AMERICAN DEPOSITORY RECEIPTS
GDR--GLOBAL DEPOSITORY RECEIPTS
GDS--GLOBAL DEPOSITORY SHARES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
61
<PAGE>
FOR THE SIX MONTH PERIOD ENDED NOVEMBER 30, 1996
STATEMENTS OF OPERATIONS (000) (UNAUDITED)
<TABLE>
<CAPTION>
1784 1784
1784 1784 1784 U.S. GOVERNMENT TAX-EXEMPT
U.S. TREASURY TAX-FREE SHORT-TERM MEDIUM-TERM 1784 MEDIUM-TERM
MONEY MARKET MONEY MARKET INCOME INCOME INCOME INCOME
FUND FUND FUND FUND FUND FUND
===========================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
INCOME:
DIVIDEND INCOME $ -- $ -- $ -- $ -- $ 724 $ --
INTEREST INCOME 2,567 11,261 3,002 6,552 7,986 6,071
LESS: FOREIGN TAXES WITHHELD -- -- -- -- -- --
------- ------- ------- ------- ------- -------
TOTAL INCOME 2,567 11,261 3,002 6,552 8,710 6,071
------- ------- ------- ------- ------- -------
EXPENSES:
INVESTMENT ADVISORY FEES 191 1,217 233 681 915 782
WAIVER OF INVESTMENT
ADVISORY FEES -- (122) -- (129) (174) (149)
REIMBURSEMENT OF EXPENSES
BY ADVISER -- -- -- (19) -- (12)
ADMINISTRATOR FEES 51 324 49 98 131 112
WAIVER OF ADMINISTRATOR FEES (51) -- (49) -- -- --
12B-1 FEES -- -- 116 230 309 264
WAIVER OF 12B-1 FEES -- -- (116) (230) (309) (264)
TRANSFER AGENT FEES & EXPENSES 46 62 24 25 27 22
FUND ACCOUNTING FEES 10 10 10 10 10 10
REGISTRATION FEES 3 19 3 11 8 9
TRUSTEE FEES 2 13 1 2 4 3
PRINTING 5 33 5 9 13 11
AMORTIZATION OF DEFERRED
ORGANIZATIONAL COSTS 6 7 1 6 2 7
PROFESSIONAL FEES 7 47 7 13 19 15
CUSTODIAN FEES 13 24 8 11 14 12
OTHER EXPENSES 11 24 12 10 15 17
------- ------- ------- ------- ------- -------
TOTAL EXPENSES, NET
OF WAIVERS 294 1,658 304 728 984 839
------- ------- ------- ------- ------- -------
NET INVESTMENT INCOME 2,273 9,603 2,698 5,824 7,726 5,232
------- ------- ------- ------- ------- -------
NET REALIZED GAIN (LOSS)
ON INVESTMENTS 2 (304) (153) (2,004) (1,349) 259
NET REALIZED GAIN FROM FORWARD FOREIGN
CURRENCY CONTRACTS AND FOREIGN
CURRENCY TRANSACTIONS -- -- -- -- -- --
NET UNREALIZED APPRECIATION
ON INVESTMENTS -- -- 1,926 7,410 12,461 6,936
NET UNREALIZED DEPRECIATION ON FORWARD
FOREIGN CURRENCY CONTRACTS, FOREIGN
CURRENCIES AND TRANSLATION OF OTHER
ASSETS AND LIABILITIES IN
FOREIGN CURRENCY -- -- -- -- -- --
------- ------- ------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY 2 (304) 1,773 5,406 11,112 7,195
------- ------- ------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 2,275 $ 9,299 $ 4,471 $ 11,230 $18,838 $12,427
======= ======= ======= ======= ======= =======
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
62
<PAGE>
1784 FUNDS
<TABLE>
<CAPTION>
1784 1784 1784
CONNECTICUT MASSACHUSETTS RHODE ISLAND 1784 1784 1784
TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT ASSET GROWTH AND 1784 INTERNATIONAL
INCOME INCOME INCOME ALLOCATION INCOME GROWTH EQUITY
FUND FUND FUND FUND FUND FUND FUND
===========================================================================================================
<C> <C> <C> <C> <C> <C> <C>
$ -- $ -- $ -- $ 88 $ 2,262 $ 188 $ 2,250
2,481 3,272 1,215 270 345 365 597
-- -- -- -- (11) (10) (145)
------- ------- ------- ------- ------- ------- -------
2,481 3,272 1,215 358 2,596 543 2,702
------- ------- ------- ------- ------- ------- -------
321 436 157 69 1,181 308 1,966
(61) (83) (30) -- -- (308) --
-- (28) (5) (4) (67) -- --
46 63 22 10 170 44 209
(46) -- (22) (10) -- (44) --
109 147 53 23 399 104 491
(109) (147) (53) (23) (399) (104) (491)
19 21 14 16 91 13 35
10 10 10 10 10 10 17
2 5 1 1 10 12 18
1 -- -- -- 7 -- 5
4 6 2 1 18 2 22
2 7 -- 7 6 5 2
6 8 3 1 25 7 28
6 8 6 4 28 13 171
11 11 8 7 14 10 29
------- ------- ------- ------- ------- ------- -------
321 464 166 112 1,493 72 2,502
------- ------- ------- ------- ------- ------- -------
2,160 2,808 1,049 246 1,103 471 200
------- ------- ------- ------- ------- ------- -------
16 (446) 11 362 2,791 (121) 2,211
-- -- -- -- -- -- 1,186
2,581 4,126 1,273 1,311 31,623 5,859 11,893
-- -- -- -- -- (27) (545)
------- ------- ------- ------- ------- ------- -------
2,597 3,680 1,284 1,673 34,414 5,711 14,745
------- ------- ------- ------- ------- ------- -------
$4,757 $6,488 $2,333 $1,919 $35,517 $ 6,182 $14,945
======= ======= ======= ======= ======= ======= =======
</TABLE>
63
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000) (UNAUDITED)
<TABLE>
<CAPTION>
1784
1784 1784 1784 U.S. GOVERNMENT
U.S. TREASURY TAX-FREE SHORT-TERM MEDIUM-TERM 1784
MONEY MARKET MONEY MARKET INCOME INCOME INCOME
FUND FUND FUND FUND FUND
==============================================================================================================================
6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 6/1/95
TO TO TO TO TO TO TO TO TO TO
11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT ACTIVITIES:
NET INVESTMENT INCOME $2,273 $3,465 $9,603 $20,313 $2,698 $4,308 $5,824 $9,416 $7,726 $12,927
NET REALIZED GAIN (LOSS)
ON INVESTMENTS 2 3 (304) (26) (153) 101 (2,004) 1,423 (1,349) 6,246
NET REALIZED GAIN FROM FORWARD FOREIGN
CURRENCY CONTRACTS AND FOREIGN
CURRENCY TRANSACTIONS -- -- -- -- -- -- -- -- -- --
NET UNREALIZED APPRECIATION
(DEPRECIATION) ON
INVESTMENTS -- -- -- -- 1,926 (1,448) 7,410 (6,162) 12,461 (14,855)
NET UNREALIZED APPRECIATION (DEPRECIATION)
ON FOREIGN FORWARD CURRENCY CONTRACTS,
FOREIGN CURRENCIES AND TRANSLATION OF
OTHER ASSETS AND LIABILITIES IN
FOREIGN CURRENCY -- -- -- -- -- -- -- -- -- --
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 2,275 3,468 9,299 20,287 4,471 2,961 11,230 4,677 18,838 4,318
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
DISTRIBUTIONS TO
SHAREHOLDERS:
NET INVESTMENT INCOME (2,263) (3,465) (9,571) (20,313) (2,700) (4,308) (5,747) (9,416) (7,717) (12,927)
REALIZED CAPITAL GAINS -- -- -- -- -- (279) -- -- (2,124) (2,452)
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS (2,263) (3,465) (9,571) (20,313) (2,700) (4,587) (5,747) (9,416) (9,841) (15,379)
SHARE TRANSACTIONS:
PROCEEDS FROM SHARES ISSUED
IN REORGANIZATION (2) 320,110 -- -- -- 43,620 -- -- -- 51,241 --
PROCEEDS FROM SHARES
ISSUED 74,023 168,949 457,048 975,978 21,799 55,768 36,520 75,943 46,421 71,632
REINVESTMENT OF CASH
DISTRIBUTIONS 2,222 3,581 1,558 3,201 1,155 1,984 814 1,592 2,850 1,648
COST OF SHARES REDEEMED (46,024) (148,602) (338,168) (968,937) (12,092) (22,324) (12,240) (35,383) (12,495) (23,712)
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
INCREASE IN NET ASSETS FROM SHARE
TRANSACTIONS 350,331 23,928 120,438 10,242 54,482 35,428 25,094 42,152 88,017 49,568
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
TOTAL INCREASE IN NET
ASSETS 350,343 23,931 120,166 10,216 56,253 33,802 30,577 37,413 97,014 38,507
NET ASSETS:
BEGINNING OF PERIOD 78,999 55,068 549,628 539,412 86,383 52,581 167,494 130,081 235,022 196,515
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
NET ASSETS:
END OF PERIOD $429,342 $78,999 $669,794 $549,628 $142,636 $86,383 $198,071 $167,494 $332,036 $235,022
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
SHARES ISSUED IN
REORGANIZATION (2) 320,110 -- -- -- 4,325 -- -- -- 5,014 --
SHARES ISSUED 74,023 168,949 457,048 975,978 2,184 5,508 3,897 7,927 4,583 6,986
SHARES ISSUED IN LIEU OF
CASH DISTRIBUTIONS 2,222 3,581 1,558 3,201 115 196 87 165 280 159
SHARES REDEEMED (46,024) (148,602) (338,168) (968,937) (1,211) (2,212) (1,304) (3,710) (1,244) (2,310)
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
NET INCREASE IN CAPITAL
SHARES 350,331 23,928 120,438 10,242 5,413 3,492 2,680 4,382 8,633 4,835
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
UNDISTRIBUTED NET
INVESTMENT INCOME $10 $-- $32 $-- $16 $-- $(282) $-- $6 $--
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
-------- ------- -------- -------- -------- ------- -------- -------- -------- --------
</TABLE>
1784
TAX-EXEMPT
MEDIUM-TERM
INCOME
FUND
=================================================================
6/1/96 6/1/95
TO TO
11/30/96 5/31/96
- -----------------------------------------------------------------
INVESTMENT ACTIVITIES:
NET INVESTMENT INCOME $5,232 $9,127
NET REALIZED GAIN (LOSS)
ON INVESTMENTS 259 2,268
NET REALIZED GAIN FROM FORWARD FOREIGN
CURRENCY CONTRACTS AND FOREIGN
CURRENCY TRANSACTIONS -- --
NET UNREALIZED APPRECIATION
(DEPRECIATION) ON
INVESTMENTS 6,936 (4,081)
NET UNREALIZED APPRECIATION (DEPRECIATION)
ON FOREIGN FORWARD CURRENCY CONTRACTS,
FOREIGN CURRENCIES AND TRANSLATION OF
OTHER ASSETS AND LIABILITIES IN
FOREIGN CURRENCY -- --
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 12,427 7,314
-------- --------
DISTRIBUTIONS TO
SHAREHOLDERS:
NET INVESTMENT INCOME (5,196) (9,127)
REALIZED CAPITAL GAINS (1,723) (1,195)
-------- --------
TOTAL DISTRIBUTIONS (6,919) (10,322)
SHARE TRANSACTIONS:
PROCEEDS FROM SHARES ISSUED
IN REORGANIZATION (2) -- --
PROCEEDS FROM SHARES
ISSUED 34,765 55,578
REINVESTMENT OF CASH
DISTRIBUTIONS 1,509 542
COST OF SHARES REDEEMED (9,533) (32,670)
-------- --------
INCREASE IN NET ASSETS FROM SHARE
TRANSACTIONS 26,741 23,450
-------- --------
TOTAL INCREASE IN NET
ASSETS 32,249 20,442
NET ASSETS:
BEGINNING OF PERIOD 196,787 176,345
-------- --------
NET ASSETS:
END OF PERIOD $229,036 $196,787
-------- --------
-------- --------
CAPITAL SHARE TRANSACTIONS:
SHARES ISSUED IN
REORGANIZATION (2) -- --
SHARES ISSUED 3,443 5,455
SHARES ISSUED IN LIEU OF
CASH DISTRIBUTIONS 148 53
SHARES REDEEMED (946) (3,212)
-------- --------
NET INCREASE IN CAPITAL
SHARES 2,645 2,296
-------- --------
-------- --------
UNDISTRIBUTED NET
INVESTMENT INCOME $36 $--
-------- --------
-------- --------
(1) THE 1784 GROWTH FUND COMMENCED OPERATIONS ON MARCH 28, 1996.
(2) ON NOVEMBER 25, 1996, BAYFUNDS WERE ACQUIRED BY THE 1784 FUNDS. PLEASE SEE
THE NOTES TO THE FINANCIAL STATEMENTS FOR FURTHER INFORMATION REGARDING THE
TRANSACTION.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
64
<PAGE>
1784 FUNDS
<TABLE>
<CAPTION>
1784 1784 1784
CONNECTICUT MASSACHUSETTS RHODE ISLAND 1784 1784 1784
TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT ASSET GROWTH AND 1784 INTERNATIONAL
INCOME INCOME INCOME ALLOCATION INCOME GROWTH EQUITY
FUND FUND FUND FUND FUND FUND FUND
===================================================================================================================================
6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 6/1/95 6/1/96 3/28/96(1) 6/1/96 6/1/95
TO TO TO TO TO TO TO TO TO TO TO TO TO TO
11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96 11/30/96 5/31/96
- -----------------------------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$2,160 $3,506 $2,808 $4,322 $1,049 $1,788 $246 $349 $1,103 $2,098 $471 $90 $200 $1,866
16 311 (446) 932 11 167 362 662 2,791 6,904 (121) -- 2,211 2,378
-- -- -- -- -- -- -- -- -- -- -- -- 1,186 4,638
2,581 (1,223) 4,126 (2,444) 1,273 (451) 1,311 850 31,623 54,488 5,859 3,390 11,893 33,464
-- -- -- -- -- -- -- -- -- -- (27) -- (545) 1,633
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
4,757 2,594 6,488 2,810 2,333 1,504 1,919 1,861 35,517 63,490 6,182 3,480 14,945 43,979
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
(2,154) (3,506) (2,835) (4,322) (1,056) (1,788) (241) (310) (1,138) (2,206) (169) -- -- (5,737)
(40) -- -- -- -- -- (577) (295) (7,027) (32) -- -- (2,145) (1,052)
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
(2,194) (3,506) (2,835) (4,322) (1,056) (1,788) (818) (605) (8,165) (2,238) (169) -- (2,145) (6,789)
-- -- -- -- -- -- -- -- -- -- 129,676 -- -- --
13,570 27,716 29,228 41,705 8,904 9,493 4,700 8,701 68,611 171,958 70,538 43,993 67,743 204,535
333 611 758 1,164 97 116 762 541 5,984 675 58 -- 1,937 20
(5,342) (7,343) (13,403) (16,796) (1,807) (3,916) (1,638) (2,289) (24,319) (159,622) (7,789) (1,447) (13,610) (27,724)
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
8,561 20,984 16,583 26,073 7,194 5,693 3,824 6,953 50,276 13,011 192,483 42,546 56,070 176,831
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
11,124 20,072 20,236 24,561 8,471 5,409 4,925 8,209 77,628 74,263 198,496 46,026 68,870 214,021
81,441 61,369 106,619 82,058 37,904 32,495 16,831 8,622 303,463 229,200 46,026 -- 362,460 148,439
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
$92,565 $81,441 $126,855 $106,619 $46,375 $37,904 $21,756 $16,831 $381,091 $303,463 $244,522 $46,026 $431,330 $362,460
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
-- -- -- -- -- -- -- -- -- -- 11,053 -- -- --
1,322 2,687 2,965 4,183 877 935 380 728 4,373 12,666 6,290 4,219 5,623 18,260
32 57 76 117 10 11 60 45 371 51 5 -- 157 2
(520) (711) (1,356) (1,688) (178) (386) (132) (190) (1,581) (11,641) (686) (134) (1,128) (2,441)
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
834 2,033 1,685 2,612 709 560 308 583 3,163 1,076 16,662 4,085 4,652 15,821
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
$6 $ -- $(27) $ -- $(7) $ -- $93 $90 $322 $381 $391 $90 $3,021 $1,635
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
- ------- ------- -------- -------- ------- ------- ------- ------- -------- -------- -------- ------- -------- --------
</TABLE>
65
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
1784 MONEY MARKET FUNDS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
RATIO RATIO OF
NET NET NET RATIO OF EXPENSES NET INCOME
ASSET DISTRIBUTIONS ASSET ASSETS RATIO OF NET TO AVERAGE TO AVERAGE
VALUE NET FROM NET VALUE END OF EXPENSES INCOME NET ASSETS NET ASSETS
BEGINNING INVESTMENT INVESTMENT END TOTAL OF PERIOD TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
OF PERIOD INCOME INCOME OF PERIOD RETURN (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1784 U.S. TREASURY
MONEY MARKET FUND
FOR THE SIX MONTH PERIOD
ENDED NOVEMBER 30,
1996+ $1.00 0.02 (0.02) $1.00 2.40%* $429,342 0.61% 4.75% 0.72% 4.64%
FOR THE YEAR ENDED
MAY 31, 1996 $1.00 0.05 (0.05) $1.00 5.16% $ 78,999 0.64% 5.02% 0.75% 4.91%
FOR THE YEAR ENDED
MAY 31, 1995 $1.00 0.05 (0.05) $1.00 4.81% $ 55,068 0.60% 5.13% 0.92% 4.81%
FOR THE PERIOD ENDED
MAY 31, 1994 (1) $1.00 0.03 (0.03) $1.00 2.64%* $ 5,593 0.65% 2.91% 6.42% (2.86)%
- ------------------------------------------------------------------------------------------------------------------------------------
1784 TAX-FREE
MONEY MARKET FUND
FOR THE SIX MONTH PERIOD
ENDED NOVEMBER 30,
1996+ $1.00 0.02 (0.02) $1.00 1.59%* $669,794 0.54% 3.15% 0.58% 3.11%
FOR THE YEAR ENDED
MAY 31, 1996 $1.00 0.03 (0.03) $1.00 3.55% $549,628 0.54% 3.49% 0.60% 3.43%
FOR THE YEAR ENDED
MAY 31, 1995 $1.00 0.03 (0.03) $1.00 3.29% $539,412 0.50% 3.28% 0.61% 3.17%
FOR THE PERIOD ENDED
MAY 31, 1994 (2) $1.00 0.02 (0.02) $1.00 2.31%* $407,448 0.27% 2.39% 0.71% 1.95%
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
+ ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED NOVEMBER 30, 1996 (UNAUDITED)
HAVE BEEN ANNUALIZED.
* RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) THE 1784 U.S. TREASURY MONEY MARKET FUND COMMENCED OPERATIONS ON JUNE 7,
1993. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) THE 1784 TAX-FREE MONEY MARKET FUND COMMENCED OPERATIONS ON JUNE 14, 1993.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
66
<PAGE>
1784 FUNDS
1784 BOND FUNDS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND NET NET
ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS ASSET ASSETS RATIO
VALUE NET GAINS OR FROM NET FROM VALUE END OF EXPENSES
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL END TOTAL OF PERIOD TO AVERAGE
OF PERIOD INCOME INVESTMENTS INCOME GAINS OF PERIOD RETURN (000) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1784 SHORT-TERM
INCOME FUND
FOR THE SIX MONTH PERIOD
PERIOD ENDED
NOVEMBER 30,
1996+ $ 9.93 0.29 0.18 (0.29) -- $10.11 4.81%* $142,636 0.66%
FOR THE YEAR ENDED
MAY 31, 1996 $10.09 0.60 (0.12) (0.60) (0.04) $ 9.93 4.87% $ 86,383 0.63%
FOR THE PERIOD ENDED
MAY 31, 1995(1) $10.00 0.56 0.09 (0.56) -- $10.09 6.74%* $ 52,581 0.48%
- ----------------------------------------------------------------------------------------------------------------------------
1784 U.S. GOVERNMENT
MEDIUM-TERM INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $ 9.31 0.29 0.28 (0.29) -- $ 9.59 6.26%* $198,071 0.79%
FOR THE YEAR ENDED
MAY 31, 1996 $ 9.57 0.61 (0.26) (0.61) -- $ 9.31 3.65% $167,494 0.80%
FOR THE YEAR ENDED
MAY 31, 1995 $ 9.36 0.58 0.21 (0.58) -- $ 9.57 8.79% $130,081 0.80%
FOR THE PERIOD ENDED
MAY 31, 1994(2) $10.00 0.59 (0.64) (0.59) -- $ 9.36 (0.65)%*$ 92,387 0.31%
- ----------------------------------------------------------------------------------------------------------------------------
1784 INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $ 9.90 0.32 0.45 (0.32) (0.09) $10.26 7.83%* $332,036 0.80%
FOR THE YEAR ENDED
MAY 31, 1996 $10.39 0.65 (0.37) (0.65) (0.12) $ 9.90 2.64% $235,022 0.80%
FOR THE PERIOD ENDED
MAY 31, 1995(1) $10.00 0.62 0.39 (0.62) -- $10.39 10.69%* $196,515 0.55%
- ----------------------------------------------------------------------------------------------------------------------------
1784 TAX-EXEMPT
MEDIUM-TERM INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $ 9.99 0.25 0.35 (0.25) (0.08) $10.26 5.95%* $229,036 0.79%
FOR THE YEAR ENDED
MAY 31, 1996 $10.14 0.51 (0.09) (0.51) (0.06) $ 9.99 4.31% $196,787 0.79%
FOR THE YEAR ENDED
MAY 31, 1995 $ 9.90 0.48 0.24 (0.48) -- $10.14 7.58% $176,345 0.80%
FOR THE PERIOD ENDED
MAY 31, 1994(3) $10.00 0.49 (0.10) (0.49) -- $ 9.90 3.93%* $ 36,365 0.32%
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
RATIO RATIO OF
RATIO OF EXPENSES NET INCOME
OF NET TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
1784 SHORT-TERM
INCOME FUND
FOR THE SIX MONTH PERIOD
PERIOD ENDED
NOVEMBER 30,
1996+ 5.82% 1.02% 5.46% 47.63%
FOR THE YEAR ENDED
MAY 31, 1996 5.87% 1.06% 5.44% 95.06%
FOR THE PERIOD ENDED
MAY 31, 1995(1) 6.31% 1.27% 5.52% 84.54%
- -------------------------------------------------------------------
1784 U.S. GOVERNMENT
MEDIUM-TERM INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 6.33% 1.18% 5.94% 53.14%
FOR THE YEAR ENDED
MAY 31, 1996 6.23% 1.24% 5.79% 158.66%
FOR THE YEAR ENDED
MAY 31, 1995 6.24% 1.27% 5.77% 142.14%
FOR THE PERIOD ENDED
MAY 31, 1994(2) 6.08% 1.35% 5.04% 144.77%
- -------------------------------------------------------------------
1784 INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 6.26% 1.19% 5.87% 24.54%
FOR THE YEAR ENDED
MAY 31, 1996 6.17% 1.20% 5.77% 100.51%
FOR THE PERIOD ENDED
MAY 31, 1995(1) 7.01% 1.23% 6.33% 80.53%
- -------------------------------------------------------------------
1784 TAX-EXEMPT
MEDIUM-TERM INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 4.95% 1.19% 4.55% 19.27%
FOR THE YEAR ENDED
MAY 31, 1996 4.90% 1.21% 4.48% 37.35%
FOR THE YEAR ENDED
MAY 31, 1995 5.02% 1.26% 4.56% 74.74%
FOR THE PERIOD ENDED
MAY 31, 1994(3) 5.06% 1.61% 3.77% 98.83%
<FN>
+ ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED NOVEMBER 30, 1996 (UNAUDITED)
HAVE BEEN ANNUALIZED.
* RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) THE 1784 SHORT-TERM INCOME FUND AND 1784 INCOME FUND COMMENCED OPERATIONS
ON JULY 1, 1994. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) THE 1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND COMMENCED OPERATIONS ON
JUNE 7, 1993. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) THE 1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND COMMENCED OPERATIONS ON JUNE 14,
1993. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
67
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
1784 BOND FUNDS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND NET NET
ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS ASSET ASSETS RATIO
VALUE NET GAINS OR FROM NET FROM VALUE END OF EXPENSES
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL END TOTAL OF PERIOD TO AVERAGE
OF PERIOD INCOME INVESTMENTS INCOME GAINS OF PERIOD RETURN (000) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1784 CONNECTICUT
TAX-EXEMPT INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30, 1996+ $10.17 0.25 0.30 (0.25) -- $10.47 5.57%* $ 92,565 0.74%
FOR THE YEAR ENDED
MAY 31, 1996 $10.27 0.53 (0.10) (0.53) -- $10.17 4.20% $ 81,441 10.75%
FOR THE PERIOD ENDED
MAY 31, 1995(1) $10.00 0.45 0.27 (0.45) -- $10.27 7.45%* $ 61,369 0.52%
- -----------------------------------------------------------------------------------------------------------------------------
1784 MASSACHUSETTS
TAX-EXEMPT INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30, 1996+ $ 9.78 0.24 0.30 (0.24) -- $10.08 5.57%* $126,855 0.79%
FOR THE YEAR ENDED
MAY 31, 1996 $ 9.90 0.48 (0.12) (0.48) -- $ 9.78 3.64% $106,619 0.80%
FOR THE YEAR ENDED
MAY 31, 1995 $ 9.81 0.47 0.09 (0.47) -- $ 9.90 6.00% $ 82,058 0.80%
FOR THE PERIOD ENDED
MAY 31, 1994(2) $10.00 0.50 (0.19) (0.50) -- $ 9.81 3.04%* $ 49,662 0.33%
- -----------------------------------------------------------------------------------------------------------------------------
1784 RHODE ISLAND
TAX-EXEMPT INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30, 1996+ $10.06 0.25 0.30 (0.25) -- $10.36 5.57%* $ 46,375 0.78%
FOR THE YEAR ENDED
MAY 31, 1996 $10.13 0.53 (0.07) (0.53) -- $10.06 4.65% $ 37,904 0.77%
FOR THE PERIOD ENDED
MAY 31, 1995(3) $10.00 0.45 0.13 (0.45) -- $10.13 6.09%* $ 32,495 0.54%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
RATIO RATIO OF
RATIO OF EXPENSES NET INCOME
OF NET TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
1784 CONNECTICUT
TAX-EXEMPT INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30, 1996 4.97% 1.24% 4.47% 1.66%
FOR THE YEAR ENDED
MAY 31, 1996 5.02% 1.29% 4.48% 20.41%
FOR THE PERIOD ENDED
MAY 31, 1995(1) 5.44% 1.40% 4.56% 35.56%
- -------------------------------------------------------------------
1784 MASSACHUSETTS
TAX-EXEMPT INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30, 1996 4.76% 1.23% 4.32% 10.18%
FOR THE YEAR ENDED
MAY 31, 1996 4.73% 1.28% 4.25% 47.00%
FOR THE YEAR ENDED
MAY 31, 1995 4.93% 1.35% 4.38% 34.59%
FOR THE PERIOD ENDED
MAY 31, 1994(2) 5.10% 1.41% 4.02% 13.99%
- ------------------------------------------------------------------
1784 RHODE ISLAND
TAX-EXEMPT INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30, 1996 4.95% 1.30% 4.43% 1.53%
FOR THE YEAR ENDED
MAY 31, 1996 5.16% 1.35% 4.58% 19.68%
FOR THE PERIOD ENDED
MAY 31, 1995(3) 5.56% 1.60% 4.50% 57.51%
- ------------------------------------------------------------------
<FN>
+ ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED NOVEMBER 30, 1996 (UNAUDITED)
HAVE BEEN ANNUALIZED.
* RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED
(1) THE 1784 CONNECTICUT TAX-EXEMPT INCOME FUND COMMENCED OPERATIONS
ON AUGUST 1, 1994. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) THE 1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND COMMENCED OPERATIONS ON
JUNE 14, 1993. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) THE 1784 RHODE ISLAND TAX-EXEMPT INCOME FUND COMMENCED OPERATIONS ON
AUGUST 1, 1994. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
68
<PAGE>
1784 FUNDS
1784 STOCK FUNDS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND NET NET
ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS ASSET ASSETS RATIO
VALUE NET GAINS OR FROM NET FROM VALUE END OF EXPENSES
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT CAPITAL END TOTAL OF PERIOD TO AVERAGE
OF PERIOD INCOME INVESTMENTS INCOME GAINS OF PERIOD RETURN (000) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1784 ASSET ALLOCATION FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $12.31 0.15 1.05 (0.16) (0.36) $12.99 9.92%* $ 21,756 1.21%
FOR THE YEAR ENDED
MAY 31, 1996 $10.99 0.31 1.61 (0.31) (0.29) $12.31 17.83% $ 16,831 1.25%
FOR THE YEAR ENDED
MAY 31, 1995 $ 9.84 0.28 1.15 (0.27) (0.01) $10.99 14.84% $ 8,622 1.25%
FOR THE PERIOD ENDED
MAY 31, 1994(1) $10.00 0.19 (0.20) (0.15) (0.00) $ 9.84 (0.15)%* $ 6,928 1.25%
- -----------------------------------------------------------------------------------------------------------------------------
1784 GROWTH
AND INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $15.23 0.05 1.61 (0.05) (0.33) $16.51 11.02%* $381,091 0.93%
FOR THE YEAR ENDED
MAY 31, 1996 $12.16 0.10 3.08 (0.11) (0.00) $15.23 26.32% $303,463 0.94%
FOR THE YEAR ENDED
MAY 31, 199 $10.57 0.11 1.67 (0.10) (0.09) $12.16 17.09% $229,200 0.94%
FOR THE PERIOD ENDED
MAY 31, 1994(2) $10.00 0.12 0.56 (0.11) (0.00) $10.57 6.80%* $121,717 0.35%
- -----------------------------------------------------------------------------------------------------------------------------
1784 GROWTH FUND FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $11.27 0.05 0.50 (0.03) -- $11.79 4.87%* $244,522 0.17%
FOR THE PERIOD ENDED
MAY 31, 1996(3) $10.00 0.02 1.25 (0.00) (0.00) $11.27 12.70%* $ 46,026 0.20%
- -----------------------------------------------------------------------------------------------------------------------------
1784 INTERNATIONAL
EQUITY FUND FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ $12.05 0.02 0.41 -- (0.06) $12.42 3.59%* $431,330 1.28%
FOR THE YEAR ENDED
MAY 31, 1996 $10.41 0.11 1.85 (0.27) (0.05) $12.05 19.08% $362,460 1.13%
FOR THE PERIOD ENDED
MAY 31, 1995(4) $10.00 0.06 0.35 (0.00) (0.00) $10.41 4.73%* $148,439 0.89%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
RATIO RATIO OF
RATIO OF EXPENSES NET INCOME
OF NET TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO AVG.
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS WAIVERS) WAIVERS) RATE RATE(5)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1784 ASSET ALLOCATION FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 2.64% 1.61% 2.24% 21.87% 0.0801
FOR THE YEAR ENDED
MAY 31, 1996 2.86% 1.90% 2.21% 39.56% N/A
FOR THE YEAR ENDED
MAY 31, 1995 2.88% 2.51% 1.62% 67.23% N/A
FOR THE PERIOD ENDED
MAY 31, 1994(1) 2.62% 3.61% 0.26% 28.19% N/A
- --------------------------------------------------------------------------------
1784 GROWTH
AND INCOME FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 0.70% 1.22% 0.41% 9.49% 0.0619
FOR THE YEAR ENDED
MAY 31, 1996 0.78% 1.24% 0.48% 39.50% N/A
FOR THE YEAR ENDED
MAY 31, 1995 1.05% 1.23% 0.76% 38.94% N/A
FOR THE PERIOD ENDED
MAY 31, 1994(2) 1.23% 1.36% 0.22% 31.55% N/A
- --------------------------------------------------------------------------------
1784 GROWTH FUND FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 1.17% 1.28% 0.06% 3.31% 0.0800
FOR THE PERIOD ENDED
MAY 31, 1996(3) 1.75% 1.73% 0.22% 0.00% N/A
- --------------------------------------------------------------------------------
1784 INTERNATIONAL
EQUITY FUND FUND
FOR THE SIX MONTH
PERIOD ENDED
NOVEMBER 30,
1996+ 0.10% 1.53% (0.15)% 6.66% 0.0021
FOR THE YEAR ENDED
MAY 31, 1996 0.76% 1.61% 0.28% 15.55% N/A
FOR THE PERIOD ENDED
MAY 31, 1995(4) 2.06% 1.70% 1.25% 11.03% N/A
- --------------------------------------------------------------------------------
<FN>
+ ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED NOVEMBER 30, 1996 (UNAUDITED)
HAVE BEEN ANNUALIZED.
* RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) THE ASSET ALLOCATION FUND COMMENCED OPERATIONS ON JUNE 14, 1993. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) THE GROWTH AND INCOME FUND COMMENCED OPERATIONS ON JUNE 7, 1993. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) THE GROWTH FUND COMMENCED OPERATIONS ON MARCH 28, 1996. ALL RATIOS FOR THE
PERIOD HAVE BEEN ANNUALIZED.
(4) THE INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON JANUARY 3, 1995. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS REQUIRED FOR FISCAL YEARS
BEGINNING AFTER SEPTEMBER 1, 1995.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
69
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
The 1784 U.S. Treasury Money Market, 1784 Prime Money Market, 1784 Tax-Free
Money Market (the "Money Market Funds"), 1784 Short-Term Income, 1784 U.S.
Government Medium-Term Income, 1784 Income, 1784 Tax-Exempt Medium-Term Income,
1784 Connecticut Tax-Exempt Income, 1784 Massachusetts Tax-Exempt Income, 1784
Rhode Island Tax-Exempt Income (the "Bond Funds"), 1784 Asset Allocation, 1784
Growth and Income, 1784 Growth and 1784 International Equity Funds (the "Stock
Funds") are portfolios offered by 1784 Funds (the "Trust"), a diversified,
open-end investment company registered under the Investment Company Act of 1940,
as amended. The Trust is presently offering shares in 15 separate portfolios
(the "Funds"):
MONEY MARKET FUNDS:
1784 U.S. TREASURY MONEY MARKET FUND
1784 PRIME MONEY MARKET FUND
1784 TAX-FREE MONEY MARKET FUND
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
BOND FUNDS:
1784 SHORT-TERM INCOME FUND
1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND
1784 INCOME FUND
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND
1784 CONNECTICUT TAX-EXEMPT INCOME FUND
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND
STOCK FUNDS:
1784 ASSET ALLOCATION FUND
1784 GROWTH AND INCOME FUND
1784 GROWTH FUND
1784 INTERNATIONAL EQUITY FUND
The Funds' prospectuses provide a description of each Fund's investment
objectives, policies and strategies. The financial statements of the 1784
Institutional U.S. Treasury Money Market Fund are not presented herein but are
presented separately. The assets of each Fund are segregated, and a
shareholder's interest is limited to the Fund in which shares are held. The
financial statements have been prepared in accordance with generally accepted
accounting principles which requires the use of estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
SECURITY VALUATION --
In valuing each of the Stock and Bond Funds' assets, bonds and other fixed
income securities are valued on the basis of valuations furnished by a pricing
service, use of which has been approved by the Board of Trustees of the Trust.
Valuations supplied by the pricing service are subject to review by the Adviser
and, if adjusted pursuant to review by the Adviser, by the Board of Trustees. An
equity security listed on an exchange will be valued at its last sale price on
that exchange using quotations on the exchange on which the security is traded
most extensively. Lacking any sales,
70
<PAGE>
1784 FUNDS
the security will be valued at the mean between the closing asking price and the
closing bid price. Securities which are listed on the National Association of
Securities Dealers' National Market System, for which there have been sales,
shall be valued at the last sale price reported on such system. If there are no
such sales, the value shall be the high, or "inside" bid, which is the bid
supplied by the NASD on its NASDAQ Screen for such securities in the
over-the-counter market. Securities quoted on the NASDAQ System, but not listed
on the National Market System, shall be valued at the high or "inside" bid.
Unlisted equity securities which are not quoted on the NASDAQ System and for
which over-the-counter market quotations are readily available will be valued at
the highest quoted current bid price for such securities in the over-the-counter
market. Securities for which market quotations are not readily available,
whether or not listed, will be valued at their fair value as determined in good
faith by the Board of Trustees of the Trust, or pursuant to procedures adopted
by the Board subject to review by the Board of the resulting valuations.
Investment securities of the Money Market Funds are stated at amortized
cost which approximates market value. Under this valuation method, purchase
discounts and premiums are accreted and amortized ratably to maturity and are
included in interest income.
FOREIGN CURRENCY TRANSACTIONS --
The books and records of the Funds are maintained in U.S. dollars. Foreign
currency amounts are translated into U.S. dollars on the following basis:
I. market value of investment securities, assets and liabilities at the
current rate of exchange; and
II. purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of
such transactions.
The Funds do not isolate that portion of gains and losses on investment
securities which is due to changes in the foreign exchange rates from that which
is due to changes in market prices of such securities.
The Funds report certain foreign currency related transactions as
components of unrealized and realized gains for financial reporting purposes,
whereas such components are treated as ordinary income for Federal income tax
purposes.
FORWARD FOREIGN CURRENCY CONTRACTS --
The 1784 International Equity Fund enters into foreign currency contracts as
hedges against specific transactions or portfolio positions. The aggregate
principal amounts of the contracts are not recorded as the Fund does not intend
to hold the contracts to maturity. All commitments are "marked-to market" daily
at the applicable foreign exchange rate and any resulting unrealized gains or
losses are recorded currently. The Fund realizes gains and losses at the time
forward contracts are extinguished. Unrealized gains and losses on outstanding
positions in forward foreign currency contracts held at the close of the year
will be recognized as ordinary income for Federal income tax purposes.
71
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SECURITY TRANSACTIONS AND INVESTMENT INCOME --
Security transactions are accounted for on the trade date of the security
purchase or sale. Costs used in determining net realized capital gains and
losses on the sale of securities are those of the specific securities sold,
adjusted for the accretion and amortization of the purchase discounts and
premiums during the respective holding period. Interest income is recorded on
the accrual basis. Dividend income is recorded on ex-date.
REPURCHASE AGREEMENTS --
Securities pledged as collateral for Repurchase Agreements are held by each
Fund's custodian bank until maturity of the Repurchase Agree-ments. Provisions
of the Agreements and procedures adopted by the Adviser ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. If the counterparty defaults and the
value of the collateral declines or if the counterparty enters into insolvency
proceedings, realization on the collateral by the Fund may be delayed or
limited.
EXPENSES --
Expenses that are directly related to one of the Funds are charged directly to
that Fund. Other operating expenses of the Trust are prorated to the Funds on
the basis of relative net assets.
DISTRIBUTIONS TO SHAREHOLDERS --
The Money Market and Bond Funds' distributions from net investment income are
declared on a daily basis and are payable on the first business day of the
following month. The 1784 Asset Allocation and 1784 Growth and Income Funds
declare and pay dividends on a quarterly basis. The 1784 Growth Fund declares
and pays dividends on a semi-annual basis. The 1784 International Equity Fund
declares and pays dividends on an annual basis. Any net realized capital gains
on sales of securities for a Fund are distributed to its shareholders at least
annually.
FEDERAL INCOME TAXES --
The Trust's policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to its shareholders. Accordingly, no provision for Federal income
taxes is required in the financial statements. The Funds may be subject to taxes
imposed by countries in which they invest with respect to their investments in
issuers existing or operating in such countries. Such taxes are generally based
on either income earned or repatriated. The Funds accrue such taxes when related
income is earned. The timing and characterization of certain income and capital
gains distributions are determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
These differences relate primarily to foreign currency denominated investments,
paydowns on asset-backed securities and certain securities sold at a loss. As a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for a reporting period may differ significantly from distributions
during such period. Accordingly, the Funds may
72
<PAGE>
1784 FUNDS
periodically make reclassifications among certain capital accounts without
impacting the net asset value of the Funds.
ORGANIZATION COSTS --
These costs have been deferred in the accounts of the Funds and are being
amortized on a straight line basis over a period of sixty months commencing with
the commencement of operations. In the event any of the initial shares of the
Funds are redeemed by any holder thereof during the period that the Funds are
amortizing their organizational costs, the redemption proceeds payable to the
holders thereof by the Funds will be reduced by the unamortized organizational
costs in the same ratio as the number of shares redeemed bears to the initial
shares outstanding at the time of redemption.
3. INVESTMENT ADVISORY, CUSTODIAL AND ACCOUNTING SERVICES
Pursuant to an investment advisory agreement dated June 1, 1993, investment
advisory services are provided to the Trust by The First National Bank of Boston
(the "Adviser"). The Adviser is entitled to receive a fee of 0.40% of the
average daily net assets of the 1784 U.S. Treasury Money Market, 1784 Prime
Money Market and 1784 Tax-Free Money Market Funds, 0.50% of the average daily
net assets of the 1784 Short-Term Income Fund, 0.74% of the average daily net
assets of the 1784 U.S. Government Medium-Term Income, 1784 Income, 1784
Tax-Exempt Medium-Term Income, 1784 Connecticut Tax-Exempt Income, 1784
Massachusetts Tax-Exempt Income, 1784 Rhode Island Tax-Exempt Income, 1784 Asset
Allocation, 1784 Growth and Income and 1784 Growth Funds. Such fees are computed
daily and paid monthly. The Adviser has voluntarily agreed to waive a portion of
its fee and reimburse the Funds for other expenses as necessary to assist the
Funds in maintaining competitive expense ratios. The 1784 International Equity
Fund has entered into separate investment advisory agreements (each an "Advisory
Agreement") with The First National Bank of Boston ("Bank of Boston") and with
Kleinwort Benson Investment Management Americas Inc. ("Kleinwort Benson" and
together with Bank of Boston the "International Advisers"). The Advisory
Agreement with Bank of Boston is dated as of November 28, 1994; the Advisory
Agreement with Kleinwort Benson is dated as of October 27, 1995. The
International Advisers are entitled to receive an aggregate fee of 1.00% of the
average daily net assets of the 1784 International Equity Fund. Such fee is
computed daily and paid monthly. Bank of Boston has voluntarily agreed to waive
a portion of its fee and reimburse the Fund for other expenses as necessary to
assist the 1784 International Equity Fund in maintaining a competitive expense
ratio.
The Trust and The First National Bank of Boston (the "Custodian") are
parties to a custodial agreement dated June 1, 1993 under which the Custodian
holds cash, securities and other assets of the Trust as required by the
Investment Company Act of 1940, as amended. The Custodian is entitled to receive
an annual fee, to be paid monthly, of 0.01%
73
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
for the first $100 million in average daily net assets, 0.0075% for the next
$100 million and 0.0050% for the average daily net assets over $800 million. In
its capacity as custodian to the Trust, the Custodian plays no role in
determ-ining the investment policies of the Trust or which securities are to be
purchased or sold by the Funds.
Under a separate agreement, The First National Bank of Boston provided
certain accounting services for the Trust for the period of June 1, 1996 through
September 15, 1996. For such services during this period, The First National
Bank of Boston received a fee of $10,000 per Fund for the Money Market Funds,
the Bond Funds and for the 1784 Asset Allocation Fund, 1784 Growth and Income
Fund and the 1784 Growth Fund and $16,666 for the 1784 International Equity
Fund. Effective September 16, 1996, SEI Fund Resources ("SEI") began providing
accounting services for the Trust as a part of the administration agreement (see
Footnote 4).
4. ADMINISTRATIVE, TRANSFER AGENT AND DISTRIBUTION SERVICES
Pursuant to an administrative agreement dated June 7, 1993, as amended November
17, 1995, SEI acts as the Trust's Administrator. Under the terms of such
agreement, SEI is entitled to receive an annual fee of 0.15% of the Trust's
first $300 million of average daily net assets, 0.12% of the Trust's second $300
million of average daily net assets and 0.10% of the Trust's average daily net
assets over $600 million. Such fee is computed daily and paid monthly. The
Administrator has agreed to waive a portion of its fee in the 1784 U.S. Treasury
Money Market, 1784 Short-Term Income, 1784 Connecticut Tax-Exempt Income, 1784
Rhode Island Tax-Exempt Income, 1784 Asset Allocation and 1784 Growth Funds in
order to help those funds maintain a competitive expense ratio.
Pursuant to an agreement dated November 17, 1995, State Street Bank and
Trust Company acts as the Transfer Agent of the Trust. As such, State Street
Bank and Trust Company provides transfer agency, dividend disbursing,
shareholder servicing and administrative services for the Trust.
SEI Financial Services Company ("SFS"), a wholly owned subsidiary of SEI,
became the Trust's Distributor pursuant to a distribution agreement dated June
1, 1993 as amended October 27, 1995. The Trust has adopted a distribution plan
dated as of June 1, 1993 with respect to each of the Stock and Bond Funds
pursuant to Rule 12b-1 under the 1940 Act (collectively, the "Plan"). The
Distribution Agreement and the Plan provide that the Trust will pay the
Distributor a fee, calculated daily and paid monthly, at an annual rate of 0.25%
of the average daily net assets of each of the Stock and Bond Funds. The
Distributor has agreed to waive the 12b-1 distribution fee until at least May
31, 1997.
Certain officers of the Trust are also officers of the Administrator. Such
officers are paid no fees by the Trust.
The Funds have paid legal fees to a law firm with which the Secretary
of the Trust is associated.
74
<PAGE>
1784 FUNDS
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, for the six month period ended November
30, 1996, are as presented below for the Bond and Stock Funds.
FUND INVESTMENT TRANSACTIONS (000):
<TABLE>
<CAPTION>
PURCHASES SALES
============================================================
U.S. GOVERNMENT U.S. GOVERNMENT
FOR THE SIX MONTH PERIOD ENDED NOVEMBER 30, 1996 SECURITIES OTHER SECURITIES OTHER
=================================================================================================================
<C> <C> <C> <C> <C>
1784 SHORT-TERM INCOME FUND $10,049 $35,741 $ 6,226 $35,197
1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND 79,585 19,742 28,021 55,386
1784 INCOME FUND 20,363 60,989 18,811 37,817
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND -- 59,889 -- 38,929
1784 CONNECTICUT TAX-EXEMPT INCOME FUND -- 9,674 -- 1,291
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND -- 28,850 -- 11,372
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND -- 6,436 -- 575
1784 ASSET ALLOCATION FUND 494 5,705 -- 3,679
1784 GROWTH AND INCOME FUND -- 51,102 -- 29,039
1784 GROWTH FUND -- 51,871 -- 2,931
1784 INTERNATIONAL EQUITY FUND -- 92,064 -- 24,712
</TABLE>
75
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At November 30, 1996 the total cost of securities and the net realized gains or
losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial purposes.
The aggregate gross unrealized gain or loss on securities at November 30,
1996 for the Funds is as follows (000):
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
GAINS LOSSES GAINS/LOSSES
=============================================
<C> <C> <C> <C>
1784 U.S. TREASURY MONEY MARKET FUND $ -- $ -- $ --
1784 TAX-FREE MONEY MARKET -- -- --
1784 SHORT-TERM INCOME FUND 1,462 (76) 1,386
1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND 4,025 (405) 3,620
1784 INCOME FUND 8,146 (941) 7,205
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND 9,861 -- 9,861
1784 CONNECTICUT TAX-EXEMPT INCOME FUND 3,519 (6) 3,513
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND 3,026 (174) 2,852
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND 1,792 -- 1,792
1784 ASSET ALLOCATION FUND 2,812 (32) 2,780
1784 GROWTH AND INCOME FUND 127,144 (4,211) 122,933
1784 GROWTH FUND 63,136 (10,561) 52,575
1784 INTERNATIONAL EQUITY FUND 68,313 (14,737) 53,576
</TABLE>
76
<PAGE>
1784 FUNDS
6. FORWARD FOREIGN CURRENCY CONTRACTS
The 1784 International Equity Fund entered into forward foreign currency
exchange contracts as hedges against portfolio positions. Such contracts, which
protect the value of the Fund's investment securities against decline in value
of the hedged currency, do not eliminate fluctuations in the underlying prices
of the securities. They simply establish an exchange rate at a future date.
Although such contracts tend to minimize the risk of loss due to a decline in
the value of a hedged currency, at the same time they tend to limit any
potential gain that might be realized should the value of such foreign currency
increase.
The following forward foreign currency contracts were outstanding at November
30, 1996:
- --------------------------------------------------------------------------------
1784 INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
FOREIGN CURRENCY SALES:
CONTRACT TO IN EXCHANGE UNREALIZED
MATURITY DELIVER FOR APPRECIATION
DATE (000) (000) (000)
======================================================================================================
<S> <C> <C> <C> <C> <C>
12/20/96 DEM 23,000 $15,330 $350
12/20/96 NLG 30,000 17,854 423
---------- --------
$33,184 $773
---------- --------
--------
- ------------------------------------------------------------------------------------------------------
<FN>
CURRENCY LEGEND
DEM--German Deutsche Mark
NLG--Netherlands Guilder
</FN>
</TABLE>
77
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
7. CONCENTRATION OF CREDIT RISK
The 1784 Tax-Free Money Market, 1784 Tax-Exempt Medium-Term Income, 1784
Connecticut Tax-Exempt Income, 1784 Massachusetts Tax-Exempt Income and 1784
Rhode Island Tax-Exempt Income Funds invest in debt instruments of municipal
issuers. The issuers' ability to meet their obligations may be affected by
economic developments in a specific state or region. The 1784 Connecticut
Tax-Exempt Income, 1784 Massachusetts Tax-Exempt Income and 1784 Rhode Island
Tax-Exempt Income Funds invest primarily in obligations located in Connecticut,
Massachusetts and Rhode Island, respectively.
The 1784 Tax-Free Money Market, 1784 Tax-Exempt Medium-Term Income, 1784
Connecticut Tax-Exempt Income, 1784 Massachusetts Tax-Exempt Income and 1784
Rhode Island Tax-Exempt Income Funds invest in securities which include revenue
bonds, tax-exempt commercial paper, tax and revenue anticipation notes and
general obligation bonds. At November 30, 1996, the percentage of portfolio
investments by each revenue source was as follows:
<TABLE>
<CAPTION>
1784 1784 1784 1784 1784
TAX-FREE TAX-EXEMPT CONNECTICUT MASSACHUSETTS RHODE ISLAND
MONEY MEDIUM-TERM TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT
MARKET INCOME INCOME INCOME INCOME
FUND FUND FUND FUND FUND
===========================================================================
<S> <C> <C> <C> <C> <C>
GENERAL OBLIGATIONS BONDS 9% 29% 8% 32% 18%
REVENUE BONDS:
EDUCATION BONDS 13% 3% 5% 9% 11%
HEALTH CARE BONDS 11% 10% 19% 13% 11%
HOUSING BONDS 6% 10% 10% 10% 13%
INDUSTRIAL DEVELOPMENT &
POLLUTION CONTROL BONDS 21% 2% 5% -- 8%
OTHER REVENUE BONDS 7% 7% 17% -- 8%
RESOURCE RECOVERY BONDS -- 4% 12% 2% --
TRANSPORTATION BONDS 7% 5% 6% 13% 3%
UTILITY BONDS 8% 17% 2% 4% --
WATER AND SEWER BONDS -- 2% 4% 12% 7%
ALTERNATIVE MINIMUM TAX BONDS 1% 5% 5% 2% 10%
TAX-EXEMPT COMMERCIAL PAPER 1% -- -- -- --
CASH EQUIVALENTS 16% 6% 7% 3% 11%
----------------------------------------------------------------------------
TOTAL 100% 100% 100% 100% 100%
</TABLE>
79
<PAGE>
1784 FUNDS
Many municipalities insure their obligations with insurance underwritten by
insurance companies which undertake to pay a holder, when due, the interest and
principal amount on an obligation if the issuer defaults on its obligations.
Although bond insurance reduces the risk of loss due to default by the issuer,
there is no assurance that the insurance company will meet its obligations.
Also, some of the securities have credit enhancements (letters of credit or
guarantees issued by third party domestic or foreign banks or other
institutions). At November 30, 1996, the percentage of securities with credit
enhancement are as follows:
LETTERS
OF BOND
CREDIT INSURANCE
================================
1784 TAX-FREE MONEY MARKET FUND 54.9% 12.1%
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND -- 48.2
1784 CONNECTICUT TAX-EXEMPT INCOME FUND 1.0 48.4
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND -- 46.0
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND 3.3 53.4
The ratings of long-term debt holdings as a percentage of total value of
investments at November 30, 1996 is as follows:
<TABLE>
<CAPTION>
1784 1784 1784 1784 1784
STANDARD & 1784 U.S. GOVERNMENT TAX-EXEMPT CONNECTICUT MASSACHUSETTS RHODE ISLAND
POOR'S SHORT-TERM MEDIUM-TERM 1784 MEDIUM-TERM TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT
RATINGS INCOME INCOME INCOME INCOME INCOME INCOME INCOME
(UNAUDITED) FUND FUND FUND FUND FUND FUND FUND
====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
AAA 41% 73% 33% 48% 47% 46% 51%
AA+ -- -- -- 5% 1% -- 13%
AA 2% -- 4% 9% 11% 1% 7%
AA- -- -- 2% 4% 8% 4% 2%
A+ 6% -- 4% 4% 2% 26% --
A 14% -- 9% 6% 6% 9% 7%
A- 9% -- 17% 4% 4% 0% --
BBB+ 3% -- 2% 8% -- 2% --
BBB 5% -- 5% 3% 3% 2% 2%
BBB- 1% -- 1% -- -- -- --
BB -- -- -- 1% -- -- --
NOT RATED 19% 27% 23% 8% 18% 10% 18%
- --------------------------------------------------------------------------------------------------------------------
100% 100% 100% 100% 100% 100% 100%
</TABLE>
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
8. LINE OF CREDIT
The Funds have a bank line of credit. Borrowings under the line of credit are
secured by investment securities of the borrowing Fund, which may not exceed 10%
of the Fund's total assets for the Money Market Funds, 1784 U.S. Government
Income, 1784 Tax-Exempt Medium-Term Income, 1784 Massachusetts Tax-Exempt
Income, 1784 Asset Allocation, 1784 Growth and Income and Growth Funds and 15%
of the Fund's total assets for the 1784 Short-Term Income, 1784 Income, 1784
Connecticut Tax-Exempt Income, 1784 Rhode Island Tax-Exempt Income and 1784
International Equity Funds. No borrowings were outstanding at November 30, 1996.
9. ACQUISITION OF BAYFUNDS
On July 31, 1996, the Board of Trustees of the Trust and on July 31, 1996
and August 15, 1996 the Board of Trustees of BayFunds approved an Agreement and
Plan of Reorganization (the "Reorganization Agreement") providing for the
transfer of all assets and liabilities of the portfolios of BayFunds in exchange
for the issuance of shares in certain Funds in tax-free reorganizations (except
in the case of the reorganization of BayFunds U.S. Treasury Money Market
Portfolio with the 1784 U.S. Treasury Money Market Fund and the 1784
Institutional U.S. Treasury Money Market Fund which did not qualify for tax-free
treatment). At a special meeting of the shareholders held on November 6, 1996,
the shareholders of BayFunds voted to approve the Reorganization Agreement.
Pursuant to the Reorganization Agreement, on November 25, 1996 substantially all
of the assets and liabilities of the BayFunds U.S. Treasury Money Market
Portfolio, BayFunds Equity Portfolio, BayFunds Short Term Yield Portfolio and
BayFunds Bond Portfolio were transferred to certain Funds in exchange for shares
of such Fund. In addition, all of the assets and liabilities of the BayFunds
Money Market Portfolio were transferred to the newly-organized 1784 Prime Money
Market Fund. The details of these reorganizations as they relate to the Funds
are described below.
The following table summarizes certain relevant information of the Funds
prior to and immediately after the reorganizations on November 25, 1996 and
December 9, 1996.
80
<PAGE>
1784 FUNDS
<TABLE>
<CAPTION>
COMBINED
SHARES NET ASSETS NAV
SHARES NET ASSETS ISSUED IN AFTER PER
BAYFUNDS AT 11/22/96 AT 11/22/96 1784 FUNDS REORGANIZATION REORGANIZATION SHARE
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
U.S. TREASURY MONEY MARKET PORTFOLIO
INSTITUTIONAL SHARES 1,047,875,735 1,047,875,735 INSTITUTIONAL U.S. TREASURY MONEY MARKET 1,047,875,735 2,061,477,418 1.00
INVESTMENT SHARES 320,109,970 320,109,970 U.S. TREASURY MONEY MARKET 320,109,970 424,383,927 1.00
EQUITY PORTFOLIO
INSTITUTIONAL SHARES 6,084,433 90,308,716 GROWTH 7,697,195 232,770,598 11.73
INVESTMENT SHARES 2,652,009 39,367,199 GROWTH 3,355,364 232,770,598 11.73
SHORT TERM YIELD PORTFOLIO
INSTITUTIONAL SHARES 3,061,193 28,076,910 SHORT-TERM INCOME 2,783,999 142,633,338 10.09
INVESTMENT SHARES 1,694,530 15,543,024 SHORT-TERM INCOME 1,541,097 142,633,338 10.09
BOND PORTFOLIO
TRUST SHARES 4,543,688 45,727,982 INCOME 4,474,157 306,880,031 10.22
INVESTMENT SHARES 547,758 5,512,661 INCOME 539,376 306,880,031 10.22
COMBINED
SHARES NET ASSETS NAV
SHARES NET ASSETS ISSUED IN AFTER PER
BAYFUND AT 12/6/96 AT 12/6/96 1784 FUND REORGANIZATION REORGANIZATION SHARE
====================================================================================================================================
MONEY MARKET
TRUST SHARES 94,945,689 94,945,452 PRIME MONEY MARKET -- 139,535,948 1.00
INVESTMENT SHARES 44,590,608 44,590,496 PRIME MONEY MARKET -- 139,535,948 1.00
</TABLE>
The acquired unrealized appreciation at November 25, 1996 of the BayFund Equity,
Short Term Yield and Bond Portfolios was $43,352,830, $81,551 and $311,988,
respectively.
10. SUBSEQUENT EVENT
Pursuant to an administration agreement dated December 1, 1996, SEIis entitled
to receive an annual fee of 0.085% of the Trust's first 5 billion of average
daily net assets and 0.045% of the Trust's average daily net assets over 5
billion. Such fee is computed daily and paid monthly.
81
<PAGE>
1784 FUNDS
SEMI-ANNUAL REPORT
NOVEMBER 30, 1996
MONEY MARKET FUNDS
1784 U.S. Treasury Money Market Fund
1784 Tax-Free Money Market Fund
BOND FUNDS
1784 Short-Term Income Fund
1784 U.S. Government Medium-Term Income Fund
1784 Income Fund
1784 Tax-Exempt Medium-Term Income Fund
1784 Connecticut Tax-Exempt Income Fund
1784 Massachusetts Tax-Exempt Income Fund
1784 Rhode Island Tax-Exempt Income Fund
STOCK FUNDS
1784 Asset Allocation Fund
1784 Growth and Income Fund
1784 Growth Fund
1784 International Equity Fund
FOR MORE INFORMATION, INCLUDING A PROSPECTUS,
CALL 1-800-252-1784.
BOARD OF TRUSTEES
David H. Carter
Tarrant Cutler
Kenneth A. Froot
Sara L. Johnson
Kathryn Flacke Muncil
Robert A. Nesher
Alvin J. Silk
INVESTMENT ADVISER
The First National Bank of Boston
Boston, MA 02110
CO-ADVISER FOR 1784 INTERNATIONAL EQUITY FUND
Kleinwort Benson Investment
Management Americas Inc.
New York, NY 10166
ADMINISTRATOR
SEI Fund Resources
Wayne, PA 19087
DISTRIBUTOR
SEI Financial Services Company
Wayne, PA 19087
LEGAL COUNSEL
Bingham, Dana & Gould LLP
Boston, MA 02110
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
Boston, MA 02109
CUSTODIAN
The First National Bank of Boston
Boston, MA 02110
[1784 FUNDS LOGO]
SOUND CHOICES. STRAIGHT TALK.
INVESTMENT MANAGEMENT STRENGTH.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE FOR THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUNDS NAMED ABOVE. THIS REPORT IS NOT
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN A FUND UNLESS PRECEDED
OR ACCOMPANIED BY A CURRENTLY EFFECTIVE PROSPECTUS.
BKB-F-017-03
<PAGE>
[1784 FUNDS LOGO]
1784 INSTITUTIONAL
U.S. TREASURY
MONEY MARKET
FUND
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
NOVEMBER 30, 1996
<PAGE>
TABLE OF CONTENTS
- -------------------------------------------------------------------------------
Letter to Shareholders 1
Investment Adviser's Report 2
Financial Statements 4
THE 1784 FUNDS:
[BULLET] are not insured by the FDIC or any other governmental agency;
[BULLET] are not guaranteed by The First National Bank of Boston or any of
its affiliates;
[BULLET] are not deposits or other obligations of The First National Bank of
Boston or any of its affiliates;
[BULLET] involve investment risks, including possible loss of the principal
amount invested.
Bank Boston companies serve as investment adviser, custodian and shareholder
servicing agent for the 1784 Funds. The 1784 Funds are distributed by
SEI Financial Services Company, a party independent of Bank Boston or any of its
affiliates.
[1784 FUNDS LOGO]
SOUND CHOICES. STRAIGHT TALK.
INVESTMENT MANAGEMENT STRENGTH.
<PAGE>
1784 FUNDS NOVEMBER 30, 1996
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
[PHOTO OF ALLEN CROESSMANN, MANAGING DIRECTOR AND ROBERT NESHER, PRESIDENT]
THE 1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND CONTINUED TO DELIVER A
COMPETITIVE RETURN WHILE PROVIDING LIQUIDITY AND A HIGH LEVEL OF STABILITY. THE
FUND'S TOTAL RETURN OF 5.19% COMPARES FAVORABLY WITH THE IBC GOVERNMENT-ONLY
INSTITUTIONAL-ONLY AVERAGE OF 5.11% FOR THE 12 MONTHS ENDED NOVEMBER 30, 1996.
THE FUND'S YIELD WAS ALSO 5.19%.+
IN ADDITION, THE FUND MAINTAINED ITS STANDARD & POOR'S (S&P) "AAAM" RATING. THIS
RATING IS BASED ON S&P'S ANALYSIS OF THE FUND'S CREDIT QUALITY, MARKET PRICE
EXPOSURE AND MANAGEMENT. THE RATING SIGNIFIES EXCELLENT SAFETY OF INVESTED
PRINCIPAL AND A SUPERIOR CAPACITY TO MAINTAIN A $1 PER SHARE NET ASSET VALUE AT
ALL TIMES, AND IS ACCOMPLISHED THROUGH CONSERVATIVE INVESTMENT PRACTICES AND
STRICT INTERNAL CONTROLS.
WITH FURTHER REDUCTIONS IN INTEREST RATES LIKELY IN THE COMING MONTHS, MONEY
MARKET INVESTORS MAY SEE YIELDS DECLINE. WHILE THE FUND WILL STRIVE TO MAXIMIZE
HE PRODUCTIVITY OF YOUR INVESTMENT, IT WILL NOT COMPROMISE CREDIT STANDARDS OR
STABILITY TO DO SO.
PLEASE CALL 1-800-252-1784 WITH ANY QUESTIONS ABOUT YOUR ACCOUNT, OR FOR
INFORMATION ON OTHER FUNDS IN THE 1784 FUNDS FAMILY. OUR PHONE HOURS HAVE BEEN
EXTENDED TO 8 A.M. TO 8 P.M., MONDAY THROUGH FRIDAY, AND 9 A.M. TO 4 P.M.,
SATURDAY AND SUNDAY. THANK YOU FOR SELECTING THE 1784 FUNDS TO MANAGE YOUR
INVESTMENT.
SINCERELY,
/S/ SIGNATURE
Robert Nesher
President
1784 Funds
/S/ SIGNATURE
Allen Croessmann
Managing Director, Investment Services
The First National Bank of Boston
+PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AN INVESTMENT IN A MONEY
FUND IS NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT, AND THERE CAN
BE NO ASSURANCE THAT ANY MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE
NET ASSET VALUE OF $1.00 PER SHARE.
1
<PAGE>
NOVEMBER 30, 1996
INVESTMENT ADVISER'S REPORT
- --------------------------------------------------------------------------------
[PHOTO OF EDWARD G. RILEY, JR., CHIEF INVESTMENT OFFICER]
Slow to moderate economic growth and continued low inflation combined to hold
long-term interest rates down and stabilize short-term interest rates during the
past six months.
Signs of accelerating economic growth sparked fears of inflation and pushed
market interest rates temporarily upward last spring. In effect, the bond market
demonstrated that, to some extent, it has become a self-correcting force in the
economy. Since then, the Fed has held short-term interest rates at the same
level and long-term interest rates have declined to about where they were at the
beginning of 1996.
Several factors explain the economy's current 2.5% modest annual growth
rate. Perhaps the most obvious is the age of this economic expansion, which has
lasted for nearly six years. During the early part of the typical economic
recovery, pent-up demand for consumer goods, especially durable goods like
appliances and autos, fuels the growth in sales and profits that result in
expansion. Later, as demand is fulfilled, the pace of growth slows--as it has in
this situation.
But other forces are at work, too. For one thing, higher interest rates
last spring curbed the mortgage refinancing trend that had cut monthly payments
and put additional spendable cash in consumer pockets. As a result, demand
declined further. Consumer debt (and bankruptcies) are rising. And the maturing
generation of Baby Boomers is increasingly focused on investing for college
costs and retirement, which means consumption is declining, further dampening
demand.
While these factors have tempered economic growth, they have also helped to
keep inflation at exceptionally low levels. This combination of positive,
sustainable growth coupled with modest inflation--resulting in low interest
rates--has provided very potent fuel for the stock market, but has tended to
depress returns for money market investors.
For investors maintaining reserves in money market funds, restraint on the
part of the Federal Reserve resulted in a very stable short-term interest rate
market for the past six months, with the Federal Funds Rate remaining at 5.25%
for the period.
2
<PAGE>
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
- --------------------------------------------------------------------------------
This stability, coupled with growing concern about the soaring stock market, has
resulted in a substantial flow of new money in to short-term investments and
small CDs. Given the continued slow pace of economic growth, we expect the Fed
to reduce interest rates in the year ahead.
In conclusion, we foresee a relatively favorable environment for stocks and
bonds in the coming months and continued modest returns for money market
investors.
/S/ SIGNATURE
Edward G. Riley, Jr.
Chief Investment Officer
The First National Bank of Boston
3
<PAGE>
NOVEMBER 30, 1996
STATEMENT OF NET ASSETS (UNAUDITED)
- -------------------------------------------------------------------------------
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 43.7%
U.S. Treasury STRIPS (B)
0.000%, 05/15/97 $ 9,000 $ 8,783
U.S. Treasury Bills (B)
0.000%, 12/05/96 169,990 169,892
0.000%, 12/12/96 100,000 99,845
0.000%, 12/19/96 90,000 89,771
0.000%, 01/02/97 40,000 39,824
0.000%, 01/23/97 16,500 16,376
0.000%, 01/30/97 24,000 23,796
0.000%, 02/06/97 3,000 2,973
0.000%, 02/13/97 15,000 14,843
0.000%, 02/27/97 25,000 24,693
0.000%, 03/06/97 9,200 9,070
0.000%, 04/03/97 23,000 22,600
0.000%, 05/01/97 17,000 16,622
0.000%, 05/08/97 16,000 15,644
0.000%, 06/26/97 18,000 17,420
0.000%, 07/24/97 12,500 12,069
0.000%, 08/21/97 11,610 11,148
0.000%, 09/18/97 23,000 22,031
0.000%, 10/16/97 20,000 19,070
0.000%, 11/13/97 5,000 4,753
0.000%, 11/13/97 22,500 21,387
U.S. Treasury Notes
8.000%, 01/15/97 3,833 3,844
7.500%, 01/31/97 34,497 34,610
4.750%, 02/15/97 28,831 28,783
6.875%, 02/28/97 34,497 34,615
6.625%, 03/31/97 26,831 26,940
6.500%, 04/30/97 26,831 26,958
6.500%, 05/15/97 19,185 19,268
5.875%, 07/31/97 49,829 49,979
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $887,607) 887,607
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.9%
Federal Farm Credit Bank (A)
5.320%, 06/26/97 8,000 8,000
Federal Home Loan Bank
4.860%, 02/07/97 1,000 999
7.650%, 03/25/97 1,145 1,153
Federal Home Loan Bank Discount Notes
5.210%, 12/19/96 40,000 39,896
5.170%, 01/16/97 20,000 19,867
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation Discount Note
5.180%, 12/05/96 $ 63,680 $ 63,643
Federal Mortgage Corporation
Discount Note
5.421%, 12/02/96 40,000 39,994
Federal National Mortgage
Association (A)
5.360%, 08/22/97 2,000 1,999
5.360%, 11/14/97 9,000 8,996
5.530%, 12/14/98 2,000 1,996
Federal National Mortgage
Association Discount Notes
5.180%, 12/02/96 30,000 29,995
5.200%, 12/05/96 15,000 14,991
Student Loan Marketing
Association (A)
5.340%, 11/10/97 24,000 23,989
5.330%, 11/24/97 17,500 17,499
5.510%, 01/21/98 3,000 3,006
5.360%, 02/17/98 2,500 2,500
5.350%, 08/20/98 2,500 2,497
5.350%, 11/10/98 11,000 10,989
5.360%, 02/22/99 500 500
Tennessee Valley Authority
6.000%, 01/15/97 10,825 10,830
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $303,339) 303,339
-------------
REPURCHASE AGREEMENTS -- 41.3%
Dean Witter
5.35%, dated 11/27/96, matures
12/02/96, repurchase price $122,090,653
(collateralized by various U.S.
Treasury Bills ranging in par value
$6,110,000-$14,729,000, 0.00%,
01/09/97-01/23/97; U.S. Treasury Notes
ranging in par value $1,208,000-
$7,059,000, 6.00%-7.875%, 05/15/97-
11/15/04; U.S. Treasury Bond par
value $100,298,000, 8.125%,
05/15/21: total market value
$124,435,649) 122,000 122,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
First Boston
5.35%, dated 11/27/96, matures
12/02/96, repurchase price
$28,020,806 (collateralized by
various U.S. Treasury Notes
ranging in par value
$28,770,000-$50,000,000,
7.050%-11.125%, 11/15/01-
11/15/09: total market value
$226,440,000) $222,000 $222,000
Goldman Sachs
5.30%, dated 11/27/96, matures
12/02/96, repurchase price
$122,089,806 (collateralized
by U.S. Treasury Note par value
$136,459,000, 8.75%, 08/15/00:
total market value
$124,435,778) 122,000 122,000
Greenwich Capital
5.70%, dated 11/29/96, matures
12/02/96, repurchase price
$40,586,269 (collateralized
by various U.S. Treasury Notes
ranging in par value $545,000-
$148,507,000, 6.25%-8.00%,
03/31/01-05/21/01: total market
value $41,369,452) 40,566 40,567
J.P. Morgan
5.36%, dated 11/27/96, matures
12/02/96, repurchase price
$172,128,044 (collateralized by
various U.S. Treasury Bills ranging
in par value $33,000-$13,950,000,
12/05/96-11/13/97: total market
value $175,443,001) 172,000 172,000
Lehman Brothers
5.30%, dated 11/27/96, matures
12/02/96, repurchase price
$122,089,806 (collateralized
by various U.S. Treasury Notes
ranging in par value $35,000-
$83,468,000, 5.50%-8.875%,
02/29/00-09/30/00: total market
value $124,408,479) 122,000 122,000
- -------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Prudential Securities
5.66%, dated 11/29/96, matures
12/02/96, repurchase price
$38,264,039 (collateralized by
U.S. Treasury Bill par value
$5,895,000, 08/15/15; various
U.S. Treasury Notes ranging in
par value $1,792,000-$23,105,000,
5.125%-8.50%, 05/15/97-06/30/01;
various U.S. Treasury Bonds ranging
in par value $3,000,000-$5,604,000,
8.00%-13.75%, 08/15/04-11/15/21;
various U.S. Treasury Interest &
Principal STRIPS ranging in par
value $5,895,000-$22,425,000,
04/17/97-05/15/98: total
market value $45,777,716) $38,246 $ 38,246
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $838,813) 838,813
-------------
TOTAL INVESTMENTS -- 99.9%
(Cost $2,029,759) 2,029,759
-------------
OTHER ASSETS AND LIABILITIES,
NET -- 0.1% 824
-------------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par value)
based on 2,030,454,267
outstanding shares of
beneficial interest 2,030,454
Accumulated net realized gain
on investments 98
Undistributed net investment income 31
-------------
TOTAL NET ASSETS -- 100.0% $2,030,583
=============
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON NOVEMBER 30, 1996.
(B) ZERO COUPON SECURITY
STRIPS--SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL
OF SECURITIES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
FOR THE SIX MONTH PERIOD ENDED NOVEMBER 30, 1996
STATEMENT OF OPERATIONS (000) (UNAUDITED)
- --------------------------------------------------------------------------------
1784 INSTITUTIONAL
U.S. TREASURY
MONEY MARKET FUND
===================
INTEREST INCOME: $23,383
--------
EXPENSES:
INVESTMENT ADVISORY FEES 873
WAIVER OF INVESTMENT ADVISORY FEES (220)
ADMINISTRATOR FEES 463
REGISTRATION FEES 38
TRANSFER AGENT FEES & EXPENSES 68
PROFESSIONAL FEES 52
FUND ACCOUNTING FEES 16
PRINTING 13
CUSTODIAN FEES 28
AMORTIZATION OF DEFERRED ORGANIZATIONAL COSTS 7
TRUSTEE FEES 9
OTHER EXPENSES 24
--------
TOTAL EXPENSES, NET OF WAIVERS 1,371
--------
NET INVESTMENT INCOME 22,012
--------
NET REALIZED LOSS ON INVESTMENTS (17)
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $21,995
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS (000) (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1784 INSTITUTIONAL
U.S. TREASURY
MONEY MARKET FUND
============================
6/1/96 6/1/95
TO TO
11/30/96 5/31/96
---------- -----------
<S> <C> <C>
INVESTMENT ACTIVITIES:
NET INVESTMENT INCOME $ 22,012 $ 27,365
NET REALIZED GAIN (LOSS) ON INVESTMENTS (17) 130
---------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 21,995 27,495
---------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME (21,981) (27,365)
REALIZED CAPITAL GAINS -- --
---------- -----------
TOTAL DISTRIBUTIONS (21,981) (27,365)
---------- -----------
SHARE TRANSACTIONS:
PROCEEDS FROM SHARES ISSUED IN REORGANIZATION 1,047,876 --
PROCEEDS FROM SHARES ISSUED 1,215,780 3,313,925
REINVESTMENT OF CASH DISTRIBUTIONS 12,066 14,121
COST OF SHARES REDEEMED (889,886) (3,079,028)
---------- -----------
INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 1,385,836 249,018
---------- -----------
TOTAL INCREASE IN NET ASSETS 1,385,850 249,148
========== ===========
NET ASSETS:
BEGINNING OF PERIOD 644,733 395,585
---------- -----------
NET ASSETS:
END OF PERIOD $2,030,583 $ 644,733
========== ===========
CAPITAL SHARES TRANSACTIONS:
SHARES ISSUED IN REORGANIZATION 1,047,876 --
SHARES ISSUED 1,215,780 3,313,925
SHARES ISSUED IN LIEU OF CASH DISTRIBUTIONS 12,066 14,121
SHARES REDEEMED (889,886) (3,079,028)
---------- -----------
NET INCREASE IN CAPITAL SHARE TRANSACTIONS 1,385,836 249,018
========== ===========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
RATIO RATIO OF
NET NET NET RATIO OF EXPENSES NET INCOME
ASSET DISTRIBUTIONS ASSET ASSETS RATIO OF NET TO AVERAGE TO AVERAGE
VALUE NET FROM NET VALUE END OF EXPENSES INCOME NET ASSETS NET ASSETS
BEGINNING INVESTMENT INVESTMENT END TOTAL OF PERIOD TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
OF PERIOD INCOME INCOME OF PERIOD RETURN (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1784 INSTITUTIONAL
U.S. TREASURY
MONEY MARKET FUND
FOR THE PERIOD ENDED
NOVEMBER 30, 1996+ $1.00 0.03 (0.03) $1.00 2.54%* $2,030,583 0.31% 5.03% 0.36% 4.98%
FOR THE YEAR ENDED
MAY 31, 1996 $1.00 0.05 (0.05) $1.00 5.45% $644,733 0.32% 5.29% 0.39% 5.22%
FOR THE YEAR ENDED
MAY 31, 1995 $1.00 0.05 (0.05) $1.00 5.05% $395,585 0.30% 5.12% 0.41% 5.01%
FOR THE PERIOD ENDED
MAY 31, 1994 (1) $1.00 0.03 (0.03) $1.00 2.99%* $181,568 0.22% 3.16% 0.55% 2.83%
- -----------------------------------------------------------------------------------------------------------------------------------
<FN>
+ ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED NOVEMBER 30, 1996 (UNAUDITED) HAVE BEEN ANNUALIZED.
* RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) THE 1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND COMMENCED OPERATIONS ON JUNE 14, 1993.
ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
NOVEMBER 30, 1996 1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- -------------------------------------------------------------------------------
1. ORGANIZATION
The 1784 Institutional U.S. Treasury Money Market Fund is a portfolio of the
1784 Funds (the "Trust"), an open-end investment company registered under the
Investment Company Act of 1940, as amended. The Trust is presently offering
shares in 15 separate portfolios (the "Funds"):
MONEY MARKET FUNDS:
1784 U.S. TREASURY MONEY MARKET FUND
1784 TAX-FREE MONEY MARKET FUND
1784 PRIME MONEY MARKET FUND
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
BOND FUNDS:
1784 SHORT-TERM INCOME FUND
1784 U.S. GOVERNMENT MEDIUM-TERM INCOME FUND
1784 INCOME FUND
1784 TAX-EXEMPT MEDIUM-TERM INCOME FUND
1784 CONNECTICUT TAX-EXEMPT INCOME FUND
1784 MASSACHUSETTS TAX-EXEMPT INCOME FUND
1784 RHODE ISLAND TAX-EXEMPT INCOME FUND
STOCK FUNDS:
1784 ASSET ALLOCATION FUND
1784 GROWTH AND INCOME FUND
1784 GROWTH FUND
1784 INTERNATIONAL EQUITY FUND
The Funds' prospectuses provide a description of each Fund's investment
objectives, policies and strategies.
The financial statements of the 1784 Institutional U.S. Treasury Money Market
Fund are included herein. The financial statements of the remaining Funds are
presented separately. The assets of each Fund are segregated, and a
shareholder's interest is limited to the Fund in which shares are held. The
financial statements have been prepared in accordance with generally accepted
accounting principles which requires the use of estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
1784 Institutional U.S. Treasury Money Market Fund (the "Fund").
SECURITY VALUATION --
Investment securities of the Fund are stated at amortized cost which
approximates market value. Under this valuation method, purchase discounts and
premiums are accreted and amortized ratably to maturity and are included in
interest income.
SECURITY TRANSACTIONS AND INVESTMENT INCOME --
Security transactions are accounted for on the trade date of the security
purchase or sale. Costs used in determining net realized capital gains and
losses on the sale of securities are those of the specific securities sold,
adjusted for the accretion and amortization of the purchase discounts and
premiums during the respective holding period. Interest income is recorded on
the accrual basis.
REPURCHASE AGREEMENTS --
Securities pledged as collateral for Repurchase Agreements are held by the
Fund's custodian bank until maturity of the
9
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Repurchase Agreements. Provisions of the Repurchase Agreements and procedures
adopted by the Adviser are intended to ensure that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty. If the counterparty defaults and the value of the
collateral declines or if the counterparty enters into insolvency proceedings,
realization on the collateral by the Fund may be delayed or limited.
EXPENSES --
Expenses that are directly related to the Fund are charged directly to the Fund.
Other operating expenses of the Trust are prorated to the Funds on the basis of
relative net assets.
DISTRIBUTIONS TO SHAREHOLDERS --
Distributions from net investment income are declared on a daily basis and are
payable on the first business day of the following month. Any net realized
capital gains on sales of securities for the Fund are distributed to its
shareholders at least annually.
FEDERAL INCOME TAXES --
The Trust's policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to its shareholders. Accordingly, no provision for Federal income
taxes is required in the financial statements. At November 30, 1996, the total
cost of securities for Federal income tax purposes was not materially different
from amounts reported for financial reporting purposes.
ORGANIZATION COSTS --
These costs have been deferred in the account of the Fund and are being
amortized on a straight line basis over a period of sixty months commencing with
the commencement of operations. If any or all of the shares representing initial
capital of the Fund are redeemed by any holder thereof prior to the end of the
amortization period, the proceeds will be reduced by the unamortized
organization cost balance in the same proportion as the number of shares
redeemed bears to the initial shares outstanding immediately preceding the
redemption.
3. INVESTMENT ADVISORY, CUSTODIAL AND ACCOUNTING SERVICES
Pursuant to an investment advisory agreement dated June 1, 1993, investment
advisory services are provided to the Trust by The First National Bank of Boston
(the "Adviser"). The Adviser is entitled to receive an annual fee of 0.20% of
the average daily net assets of the Fund. Such fee is computed daily and paid
monthly.
The Trust and The First National Bank of Boston (the "Custodian") are
parties to a custodial agreement dated June 1, 1993 under which the Custodian
holds cash, securities and other assets of the Trust as required by the
Investment Company Act of 1940, as amended. The Custodian is entitled to receive
an annual fee, to be paid monthly, of 0.01% for the first $100 million in
average daily net assets, 0.0075% for the next $100 million and 0.005% for the
next $800 million in average daily net assets. In its capacity as custodian to
the Trust,
10
<PAGE>
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
- --------------------------------------------------------------------------------
the Custodian plays no role in determining the investment policies of the Trust
or which securities are to be purchased or sold by the Fund.
Under a separate agreement, The First National Bank of Boston provided
certain accounting services for the Trust for the period of June 1, 1996 through
September 15, 1996. For such services during this period, The First National
Bank of Boston received a fee of $10,000. Effective September 16, 1996, SEI Fund
Resources ("SEI") began providing accounting services for the Trust as a part of
the administration agreement (see Footnote 4).
The First National Bank of Boston voluntarily waives a portion of its
advisory fees. In addition, the The First National Bank of Boston reimburses
certain other expenses incurred by the Fund in order to help the Fund maintain a
competitive expense ratio.
4. ADMINISTRATIVE AND DISTRIBUTION SERVICES
Pursuant to an administration agreement dated June 7, 1993, SEI acts as the
Trust's Administrator. Under the terms of such agreement, SEI is entitled to
receive an annual fee of 0.15% of the Trust's first $300 million of average
daily net assets, 0.12% of the Trust's second $300 million of average daily net
assets and 0.10% of the Trust's average daily net assets over $600 million. Such
fee is computed daily and paid monthly.
SEI Financial Services Company ("SFS"), a wholly owned subsidiary of SEI,
acts as the Trust's Distributor pursuant to a distribution agreement dated June
1, 1993, as amended October 27, 1995. SFS is paid no fees by the Trust.
Certain officers of the Trust are also officers of the Administrator. Such
officers are paid no fees by the Trust.
The Fund has paid legal fees to a law firm of which the Secretary of the
Trust is member.
5. LINE OF CREDIT
The Fund has a bank line of credit. Borrowings under the line of credit are
secured by investment securities of the Fund, which may not exceed 10% of the
Fund's total assets. No borrowings were outstanding at November 30, 1996.
6. ACQUISITION OF BAYFUNDS
On July 31, 1996, the Board of Trustees of the Trust and on July 31, 1996 and
August 15, 1996 the Board of Trustees of BayFunds approved an Agreement and Plan
of Reorganization (the "Reorganization Agreement") providing for the transfer
of all assets and liabilities of the portfolios of BayFunds in exchange for the
issuance of shares in certain Funds in tax-free reorganizations (except in the
case of the Reorganization of BayFunds U.S. Treasury Money Market Portfolio with
the 1784 U.S. Treasury Money Market Fund and the 1784 Institutional U.S.
Treasury Money Market Fund which did not qualify for tax-free treatment). At a
special meeting of the shareholders held on November 6, 1996, the shareholders
of
11
<PAGE>
NOVEMBER 30, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
BayFunds voted to approve the Reorganization Agreement. Pursuant to the
Reorganization Agreement, on November 25, 1996 substantially all of the assets
and liabilities of the BayFunds U.S. Treasury Money Market Portfolio, BayFunds
Equity Portfolio, BayFunds Short Term Yield Portfolio and BayFunds Bond
Portfolio were transferred to certain Funds in exchange for shares of such Fund.
In addition, all of the assets and liabilities of the BayFunds Money Market
Portfolio were transferred to the newly-organized 1784 Prime Money Market Fund.
The details of these reorganizations as they relate to the Funds are described
below.
The following table summarizes certain relevant information of the Funds
prior to and immediately after the reorganizations on November 25, 1996 and
December 9, 1996. The following table summarizes certain relevant information of
the Funds prior to and immediately after the business combinations on November
25, 1996 and December 9, 1996.
<TABLE>
<CAPTION>
COMBINED
SHARES NET ASSETS
SHARES NET ASSETS ISSUED IN AFTER NAV
BAYFUNDS AT 11/22/96 AT 11/22/96 1784 FUNDS REORGANIZATION REORGANIZATION PER SHARE
===================================================================================================================================
<S> <C> <C> <C> <C> <C>
U.S. TREASURY MONEY MARKET PORTFOLIO
INSTITUTIONAL SHARES 1,047,875,735 1,047,875,735 INSTITUTIONAL U.S. TREASURY MONEY MARKET 1,047,875,735 2,061,477,418 1.00
INVESTMENT SHARES 320,109,970 320,109,970 U.S. TREASURY MONEY MARKET 320,109,970 424,383,927 1.00
EQUITY PORTFOLIO
INSTITUTIONAL SHARES 6,084,433 90,308,716 GROWTH 7,697,195 232,770,598 11.73
INVESTMENT SHARES 2,652,009 39,367,199 GROWTH 3,355,364 232,770,598 11.73
SHORT TERM YIELD PORTFOLIO
INSTITUTIONAL SHARES 3,061,193 28,076,910 SHORT-TERM INCOME 2,783,999 142,633,338 10.09
INVESTMENT SHARES 1,694,530 15,543,024 SHORT-TERM INCOME 1,541,097 142,633,338 10.09
BOND PORTFOLIO
INSTITUTIONAL SHARES 4,543,688 45,727,982 INCOME 4,474,157 306,880,031 10.22
INVESTMENT SHARES 547,758 5,512,661 INCOME 539,376 306,880,031 10.22
COMBINED
SHARES NET ASSETS
SHARES NET ASSETS ISSUED IN AFTER NAV
BAYFUNDS AT 12/6/96 AT 12/6/96 1784 FUNDS REORGANIZATION REORGANIZATION PER SHARE
===================================================================================================================================
MONEY MARKET
TRUST SHARES 94,945,689 94,945,452 PRIME MONEY MARKET -- 139,535,948 1.00
INVESTMENT SHARES 44,590,608 44,590,496 PRIME MONEY MARKET -- 139,535,948 1.00
</TABLE>
The acquired unrealized appreciation at November 25, 1996 of the BayFund Equity,
Short Term Yield and Bond Portfolios were $43,352,830, $81,551 and $311,988,
respectively.
12
<PAGE>
1784 INSTITUTIONAL U.S. TREASURY MONEY MARKET FUND
- --------------------------------------------------------------------------------
7. SUBSEQUENT EVENT
Pursuant to an administration agreement dated December 1, 1996 SEI is entitled
to receive an annual fee of 0.085% of the Trust's first 5 billion of average
daily net assets and 0.045% of the Trust's average daily net assets over 5
billion. Such fee is computed daily and paid monthly.
<PAGE>
1784 INSTITUTIONAL
U.S. TREASURY
MONEY MARKET FUND
------------------
NOVEMBER 30, 1996
BOARD OF TRUSTEES
David H. Carter
Tarrant Cutler
Kenneth A. Froot
Sara L. Johnson
Kathryn Flacke Muncil
Robert A. Nesher
Alvin J. Silk
INVESTMENT ADVISER
The First National Bank of Boston
Boston, MA 02110
ADMINISTRATOR
SEI Fund Resources
Wayne, PA 19087
DISTRIBUTOR
SEI Financial Services Company
Wayne, PA 19087
LEGAL COUNSEL
Bingham, Dana & Gould LLP
Boston, MA 02110
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
Boston, MA 02109
CUSTODIAN
The First National Bank of Boston
Boston, MA 02110
FOR MORE INFORMATION, INCLUDING A PROSPECTUS,
CALL 1-800-252-1784.
[1784 FUNDS LOGO]
SOUND CHOICES. STRAIGHT TALK.
INVESTMENT MANAGEMENT STRENGTH.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE FOR THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUND NAMED ABOVE. THIS REPORT IS NOT
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR
ACCOMPANIED BY A CURRENTLY EFFECTIVE PROSPECTUS.
BKB-F-031-03
