<PAGE>
S E M I - A N N U A L R E P O R T
--------------------------------------------------------
- ---------------
J U L Y 3 1, 1
9 9 4
LEHMAN BROTHERS
INSTITUTIONAL FUNDS
GROUP TRUST
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
President's Letter.......................1
Portfolio of Investments:
Prime Money Market Fund.....................3
Prime Value Money Market Fund.....6
Government Obligations Money Market
Fund........................9
100% Government Obligations Money Market Fund...........10
Treasury Instruments MOney market Fund 11
100% Treasury Instruments Money Market
Fund................. 12
Tax-Free Money Market Fund.............13
Municipal Money Market
Fund.....................................17
California Municipal Money Market
Fund........................26
Floating Rate U.S. Government Fund.........29
Short Duration U.S. Government
Fund..............................30
Statements of Assets and Liabilities.......32
Statements of Operations......................38
Statements of Changes in Net Assets............ 40
Financial Highlights:
Prime Money Market Fun............. 46
Prime Value Money Market Fund................. 47
Government Obligations Money Market Fund...... 48
100% Government Obligations Money Market Fund..49
Treasury Instruments Money Market Fund II....... 50
100% Treasury Instruments Money Market
Fund........................... 51
Tax-Free Money Market Fund................. 52
Municipal Money Market Fund.................. 53
California Municipal Money Market
Fund................................ 54
Floating Rate U.S. Government Fund.......... 55
Short Duration U.S. Government
Fund................................... 56
Notes to Financial Statements........... 57
</TABLE>
<PAGE>
Dear Shareholders:
We are pleased to present the Semi-Annual Report for
the Lehman Brothers
Institutional Funds Group Trust (the "Trust") for the six-
month period ending
July 31, 1994. This Report includes the portfolio holdings
for each of the Money
Market and Fixed Income Funds that comprise the Trust,
namely:
MONEY MARKET FUNDS
- PRIME MONEY MARKET FUNDS
Prime Money Market Fund
Prime Value Money Market Fund
- GOVERNMENT MONEY MARKET FUNDS
Government Obligations Money Market Fund
100% Government Obligations Money Market Fund (now
"Cash
Management Fund")
Treasury Instruments Money Market Fund II
100% Treasury Instruments Money Market Fund
- TAX-EXEMPT MONEY MARKET FUNDS
Tax-Free Money Market Fund
Municipal Money Market Fund
California Municipal Money Market Fund
FIXED INCOME FUNDS
- GOVERNMENT FIXED INCOME FUNDS
Floating Rate U.S. Government Fund
Short Duration U.S. Government Fund
RESPONDING TO A CHANGING RATE ENVIRONMENT
The new fiscal year for the Lehman Brothers
Institutional Funds began in
February amidst indications of strong economic growth and
concerns over rising
inflation. In an effort to moderate the growth rate and
dampen inflationary
fears, the Federal Reserve Board tightened its monetary
policy by increasing the
federal funds rate five times during the past six months.
Indeed, as this letter
is being written, the Federal Reserve Board announced
its fifth increase,
another 50 basis point tightening, bringing aggregate
federal funds increases
for the year to 175 basis points. Considering that interest
rates had generally
declined over the past five years, the speed and magnitude
of this upward move
caused investors to alter strategies and corporate issuers
to scale back new
issuance activity.
In managing the Funds in this environment, our
primary focus has been on
positioning the portfolios to anticipate and to take
advantage of the higher
short-term interest rates, while, with respect to the
Money Market Funds,
continuing to maintain a stable $1.00 per share net asset
value. Fortunately, we
have met this challenge successfully as several of the
Money Market Funds
continue to be among the performance leaders in their
respective categories as
reported in IBC/Donoghue's MONEY FUND REPORT.
We take special pride in the fact that the Money Market
Funds achieved these
results without using high risk derivative instruments
which have so captured
the attention of the financial press and securities
regulators. We have
maintained an investment strategy of not using the high risk
derivatives because
we have viewed them as being beyond the spirit of Rule 2a-7,
the SEC regulation
governing a money market fund's ability to maintain a stable
net asset value.
We are also pleased to report that the Lehman
Brothers Floating Rate U.S.
Government Fund and the Lehman Brothers Short Duration U.S.
Government Fund have
produced solid investment results since they were
introduced at the end of
March. The total return for the three-month period ended
July 31, 1994, for
Floating Rate U.S. Government Fund (Premier Class) and
Short Duration U.S.
Government Fund (Premier and Select Class) was 1.03%,
1.21% and 0.92%,
respectively. While we acknowledge that these
performance records
1
<PAGE>
cover a period of only a few months (and are not
necessarily indicative of
future performance), as with our Money Market Funds,
these results were
accomplished without using high risk mortgage-backed
derivative instruments.
COMBINING INVESTORS' NEEDS WITH OUR EXPERTISE -- SHORT
DURATION MUNICIPAL FUND
Matching our resources with our investors' needs
is central to our
philosophy. Since many clients have expressed an
interest in tax-exempt
investment products that seek to provide higher after-tax
yields than fixed-
price money markets funds and with minimal net asset value
fluctuation, we are
pleased to announce that the Short Duration Municipal Fund
will be available in
October, 1994. The Fund will be managed by our talented
team of portfolio
managers and supported by Lehman Brothers' Fixed Income
Research which placed
first in INSTITUTIONAL INVESTOR magazine's annual "All-
American Fixed Income
Research Team" poll for four years from 1991 to 1994.
When the Fund is
effective, your Investor Representative can provide you
with more complete
information and a Prospectus which will contain management
fees and expenses.
AN ENHANCEMENT TO OUR SERVICE DELIVERY . . . EXPRESSNET
(LEX-SM-)
In our continuing effort to deliver the highest
quality service to you, we
enthusiastically announce the introduction of our new
Windows-TM--based order
entry system, EXPRESSNet (LEX-SM-), that allows you to trade
directly on your PC
with the Lehman Brothers Institutional Funds. With LEX-
SM-, shareholders can
also access account information easily, customize
reports and retrieve
historical yield and dividend information. Your Investor
Representative can
provide you with the information you will need to take
advantage of LEX-SM- and
trade directly on-line.
* * * * * * * *
All of us at Lehman Brothers trust that we will be able
to continue to earn
your support and loyalty by providing you with superior
investment products and
services . . . with a focus on quality in the prudent way
we manage your assets
and in the reliable way we deliver our services. Thank you
for investing in the
Lehman Brothers Institutional Funds.
Sincerely,
Clinton J. Kendrick Peter
Meenan
CHAIRMAN OF THE BOARD OF TRUSTEES PRESIDENT
2
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
- ----------- -
- ---------- ----------- -------------
<C> <S>
<C> <C> <C>
BANK/CORPORATE NOTES -- 39.6%
$50,000,000 AT & T Capital Corporation, Variable Rate...
4.750% 11/1/94 $ 49,996,216
25,000,000 AT & T Capital Corporation, Variable Rate...
4.750 11/15/94 24,992,020
40,000,000 AT & T Capital Corporation, Variable Rate...
4.750 1/26/95 40,000,000
50,000,000 Bear Stearns Companies Inc., Variable
Rate.......................................
5.000 10/5/94 50,000,000
7,000,000 Bear Stearns Companies Inc., Variable
Rate.......................................
4.800 10/21/94 7,000,000
25,000,000 Bear Stearns Companies Inc., Variable
Rate.......................................
4.675 12/16/94 25,000,000
10,000,000 Bear Stearns Companies Inc., Variable
Rate.......................................
4.928 1/10/95 10,000,000
20,000,000 Bear Stearns Companies Inc., Variable
Rate.......................................
4.900 1/11/95 20,000,000
17,005,000 Commercial Credit Group Inc.................
6.250 1/15/95 17,194,529
75,000,000 FCC National Bank, Delaware, Variable
Rate.......................................
5.080 1/11/95 75,000,000
9,400,000 Ford Motor Credit Company...................
8.750 1/15/95 9,607,635
50,000,000 General Electric Capital Corporation........
3.550 1/19/95 49,984,774
100,000,000 General Electric Capital Corporation,
Variable Rate..............................
4.688 10/21/94 100,000,000
15,000,000 Goldman Sachs Group, L.P., Variable
Rate**.....................................
4.820 10/12/94 15,000,000
22,000,000 Goldman Sachs Group, L.P., Variable
Rate**.....................................
4.890 12/21/94 22,000,000
6,000,000 Goldman Sachs Group, L.P., Variable
Rate**.....................................
4.820 1/18/95 6,000,000
12,000,000 Household Finance Corporation, Variable
Rate.......................................
4.800 11/1/94 11,998,457
45,000,000 Household Finance Corporation, Variable
Rate.......................................
4.800 1/13/95 45,000,000
30,000,000 Morgan Stanley Group Inc., Variable Rate....
4.562 11/8/94 30,000,000
50,000,000 Northern Trust Corporation..................
3.625 12/30/94 49,987,099
10,000,000 Old Kent Bank & Trust, Variable Rate........
4.650 8/16/94 9,998,895
25,000,000 Paccar Financial Corporation, Variable
Rate.......................................
4.750 11/15/94 24,992,020
50,000,000 PHH Corporation, Inc., Variable Rate........
4.800 1/4/95 49,997,862
50,000,000 SMM Trust 1993-D, Variable Rate **..........
4.912 10/28/94 50,000,000
33,000,000 SMM Trust 1993-F, Variable Rate **..........
4.925 11/15/94 33,000,000
30,000,000 Xerox Credit Corporation, Variable Rate.....
3.280 8/1/94 30,000,000
- -------------
TOTAL BANK/CORPORATE NOTES (COST
$856,749,507)........................ 856,749,507
- -------------
COMMERCIAL PAPER -- 10.9%
50,000,000 Bankers Trust New York Corporation..........
3.542 10/3/94 49,698,126
35,000,000 C.I.T. Group Holdings, Inc..................
4.278 8/12/94 34,954,335
27,276,000 Exxon Imperial U.S. Inc.....................
4.340 8/17/94 27,223,509
35,000,000 Miles, Inc..................................
4.414 8/23/94 34,905,889
35,000,000 PHH Corporation, Inc........................
4.393 8/23/94 34,906,317
15,000,000 Xerox Credit Corporation....................
4.361 8/18/94 14,969,187
34,295,000 Xerox Credit Corporation....................
4.393 8/22/94 34,207,376
4,520,000 Younkers Funding Corporation................
4.437 8/29/94 4,504,461
- -------------
TOTAL COMMERCIAL PAPER (COST
$235,369,200)............................ 235,369,200
- -------------
U.S. GOVERNMENT AGENCY NOTES -- 5.5%
35,000,000 Federal Farm Credit Bank, Variable Rate.....
4.450 9/7/94 34,996,199
45,000,000 Federal National Mortgage Association,
Variable Rate..............................
4.650 12/20/95 45,000,000
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
- ----------- -
- ---------- ----------- -------------
<C> <S>
<C> <C> <C>
U.S. GOVERNMENT AGENCY NOTES (CONTINUED)
$40,000,000 Federal National Mortgage Association,
Variable Rate..............................
4.850% 10/7/96 $ 40,000,000
- -------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (COST
$119,996,199)................ 119,996,199
- -------------
TAXABLE MUNICIPALS -- 1.9%
17,000,000 Cuyahoga County, Ohio.......................
4.170 12/30/94 17,014,903
5,000,000 The City of New York........................
4.550 8/9/94 5,000,000
20,000,000 The City of New York........................
4.550 8/9/94 20,000,000
- -------------
TOTAL TAXABLE MUNICIPALS (COST
$42,014,903)........................... 42,014,903
- -------------
ASSET-BACKED SECURITIES -- 0.8%
16,000,000 Capital Auto Receivables Asset Trust, Trust
93-3, Class A-1............................
3.300 11/15/94 15,998,640
384,511 John Deere Owner Trust 93-B, Class A-1......
4.563 10/15/94 384,510
- -------------
TOTAL ASSET-BACKED SECURITIES (COST
$16,383,150)...................... 16,383,150
- -------------
REPURCHASE AGREEMENTS -- 41.3%
Agreement with First Boston Corporation dated
7/29/94 bearing 4.320%
to be repurchased at $100,036,000 on 8/1/94,
collateralized by
$146,602,874 various mortgage-backed
securities, with various
100,000,000 maturities and interest rates (market value --
$109,100,384).........
100,000,000
Agreement with Goldman Sachs and Company, Inc.
dated 7/29/94 bearing
4.200% to be repurchased at $60,021,000 on
8/1/94, collateralized by
60,000,000 $65,300,000 FNMA mortgage-backed security,
5.300% due 12/10/98
(market value --
$61,203,327)........................................
60,000,000
Agreement with Kidder Peabody & Company dated
7/29/94 bearing 4.462%
to be repurchased at $200,074,367 on 8/1/94,
collateralized by
200,000,000 $393,122,586 FNMA/FHLMC mortgage-backed
securities, with various
maturities and interest rates (market value --
$205,527,508)......... 200,000,000
Agreement with Merrill Lynch & Company dated
7/29/94 bearing 4.270% to
be repurchased at $258,264,866 on 8/1/94,
collateralized by
$316,997,100 various mortgage-backed
securities, with various
258,173,000 maturities and interest rates (market value --
$263,339,244).........
258,173,000
Agreement with J.P. Morgan Securities, Inc.
dated 7/29/94 bearing
4.300% to be repurchased at $75,026,875 on
8/1/94, collateralized by
75,000,000 $268,820,196 FNMA/FHLMC mortgage-backed
securities, with various
maturities and interest rates (market value --
$76,500,000).......... 75,000,000
Agreement with UBS Securities Inc. dated
7/29/94 bearing 4.310% to be
repurchased at $200,071,833 on 8/1/94,
collateralized by $264,878,772
various mortgage-backed securities, with
various maturities and
200,000,000 interest rates (market value --
$204,000,492)........................
200,000,000
- -------------
TOTAL REPURCHASE AGREEMENTS (COST
$893,173,000)....................... 893,173,000
- -------------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
- --------------
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$2,163,685,959*)............................. 100.0%
$2,163,685,959
OTHER ASSETS AND LIABILITIES
(NET)................................... 0.0
814,423
- ------ --------------
NET
ASSETS......................................................
..... 100.0% $2,164,500,382
- ------ --------------
- ------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
** Securities exempt from registration under Rule 144A of
the Securities Act of
1933. These securities may be resold in transactions
exempt from registration
to qualified institutional buyers.
+ For Commercial Paper, the interest rate represents
annualized yield at date
of purchase.
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE+ DATE (NOTE 1)
- ---------- -----
- ---------- ----------- -------------
<C> <S> <C>
<C> <C>
BANK/CORPORATE NOTES -- 36.1%
$25,000,000 Abbey National Treasury Services,
Variable Rate...........................
4.750% 10/28/94 $ 24,990,948
20,000,000 AT & T Capital Corporation, Variable
Rate....................................
4.750 11/1/94 19,998,486
50,000,000 Bear Stearns Companies, Inc., Variable
Rate....................................
5.000 10/5/94 50,000,000
25,000,000 Bear Stearns Companies, Inc., Variable
Rate....................................
4.938 11/17/94 25,000,000
20,000,000 Bear Stearns Companies, Inc., Variable
Rate....................................
5.000 12/1/94 20,000,000
15,000,000 Bear Stearns Companies, Inc., Variable
Rate....................................
4.928 1/10/95 15,000,000
5,000,000 Chemical Banking Corporation, Variable
Rate....................................
5.225 1/3/95 5,006,524
6,000,000 FCC National Bank, Delaware, Variable
Rate....................................
5.080 1/11/95 6,000,000
1,000,000 General Motors Acceptance Corporation....
8.100 8/8/94 1,000,787
1,000,000 General Motors Acceptance Corporation....
8.150 9/15/94 1,004,967
4,500,000 General Motors Acceptance Corporation....
8.700 10/20/94 4,547,497
2,100,000 General Motors Acceptance Corporation....
5.900 11/4/94 2,110,158
3,000,000 General Motors Acceptance Corporation....
8.600 12/8/94 3,048,357
11,300,000 General Motors Acceptance Corporation....
6.350 1/17/95 11,412,003
3,000,000 General Motors Acceptance Corporation....
9.000 1/23/95 3,067,613
9,000,000 General Motors Acceptance Corporation....
6.000 1/25/95 9,078,723
6,000,000 General Motors Acceptance Corporation....
8.950 1/25/95 6,135,701
20,000,000 General Motors Acceptance Corporation....
5.950 1/27/95 20,182,600
50,000,000 Goldman Sachs Group, L.P., Variable
Rate....................................
4.820 10/12/94 50,000,000
50,000,000 Goldman Sachs Group, L.P., Variable
Rate....................................
4.563 12/14/94 50,000,000
10,000,000 Goldman Sachs Group, L.P., Variable
Rate....................................
4.890 12/21/94 10,000,000
19,000,000 Goldman Sachs Group, L.P., Variable
Rate....................................
4.820 1/18/95 19,000,000
28,000,000 Heller Financial, Inc., Variable Rate....
5.013 9/21/94 28,015,660
15,000,000 Household Finance Corporation,
Variable Rate...........................
4.650 8/18/94 14,998,608
30,000,000 Household Finance Corporation,
Variable Rate...........................
4.770 1/18/95 30,000,000
50,000,000 Morgan Stanley Group Inc., Variable
Rate....................................
4.563 11/8/94 50,000,000
- -------------
TOTAL BANK/CORPORATE NOTES (COST
$479,598,632)......................... 479,598,632
- -------------
COMMERCIAL PAPER -- 15.6%
45,000,000 Broadway Capital Corporation.............
4.385 8/16/94 44,917,969
23,175,000 Cortez Capital Corporation...............
4.434 8/23/94 23,112,402
25,000,000 Countrywide Funding Corporation..........
4.389 8/15/94 24,957,417
15,000,000 Countrywide Funding Corporation..........
4.445 8/22/94 14,961,237
16,500,000 CSC Enterprises..........................
4.445 8/23/94 16,455,331
23,648,000 Nationwide Building Society..............
4.435 8/25/94 23,578,317
20,000,000 Postipankki U.S. Inc.....................
4.426 8/26/94 19,938,750
40,000,000 Xerox Credit Corporation.................
4.361 8/18/94 39,917,833
- -------------
TOTAL COMMERCIAL PAPER (COST
$207,839,256)............................. 207,839,256
- -------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE+ DATE (NOTE 1)
- ---------- -----
- ---------- ----------- -------------
<C> <S> <C>
<C> <C>
INSURANCE CONTRACT -- 5.6% (COST $75,000,000)
$75,000,000 Security Life of Denver Insurance
Company, Variable Rate..................
4.970% 12/31/94 $ 75,000,000
- -------------
U.S. GOVERNMENT AGENCY NOTES -- 4.9%
35,000,000 Federal Farm Credit Bank, Variable
Rate....................................
4.450 9/7/94 34,996,199
30,000,000 Federal National Mortgage Association,
Variable Rate...........................
4.850 10/7/96 30,000,000
- -------------
TOTAL U.S. GOVERNMENT AGENCY NOTES (COST
$64,996,199).................. 64,996,199
- -------------
CERTIFICATE OF DEPOSIT -- 3.8% (COST
$50,000,000)
YANKEE
50,000,000 Mitsubishi Bank..........................
3.600 10/11/94 50,000,000
- -------------
TAXABLE MUNICIPAL -- 1.3% (COST $17,014,904)
17,000,000 Cuyahoga County, Ohio....................
4.170 12/30/94 17,014,904
- -------------
ASSET-BACKED SECURITIES -- 0.3% (COST
$3,999,660)
4,000,000 Capital Auto Receivables Asset Trust,
Trust 93-3, Class A-1...................
3.300 11/15/94 3,999,660
- -------------
REPURCHASE AGREEMENTS -- 32.1%
Agreement with BZW Securities Inc., New York
dated 7/29/94 bearing
4.250% to be repurchased at $70,024,792 on
8/1/94, collateralized by
70,000,000 $130,535,569 FNMA/FHLMC mortgage-backed
securities, with various
maturities and interest rates (market value --
$71,400,000)........... 70,000,000
Agreement with First Boston Corporation dated
7/29/94 bearing 4.320% to
be repurchased at $60,021,600 on 8/1/94,
collateralized by $69,823,000
various mortgage-backed securities, with
various maturities and
60,000,000 interest rates (market value --
$69,912,965)..........................
60,000,000
Agreement with Greenwich Capital Markets Inc.
dated 7/29/94 bearing
4.310% to be repurchased at $100,035,917 on
8/1/94, collateralized by
$364,601,601 various mortgage-backed
securities, with various
100,000,000 maturities and interest rates (market value --
$102,000,836)..........
100,000,000
Agreement with Kidder Peabody & Company dated
7/29/94 bearing 4.462% to
be repurchased at $100,037,183 on 8/1/94,
collateralized by
100,000,000 $181,800,353 FNMA/FHLMC mortgage-backed
securities, with various
maturities and interest rates (market value --
$102,000,000).......... 100,000,000
Agreement with Merrill Lynch & Company dated
7/29/94 bearing 4.270% to
be repurchased at $46,652,595 on 8/1/94,
collateralized by $62,668,848
various mortgage-backed securities, with
various maturities and
46,636,000 interest rates (market value --
$47,573,161)..........................
46,636,000
Agreement with Paine Webber Group Inc. dated
7/29/94 bearing 4.250% to
be repurchased at $50,017,708 on 8/1/94,
collateralized by $53,314,000
U.S. Treasury Notes, with various maturities
and interest rates
50,000,000 (market value --
$53,803,200).........................................
50,000,000
- -------------
TOTAL REPURCHASE AGREEMENTS (COST
$426,636,000)........................ 426,636,000
- -------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
-----------
- --------------
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$1,325,084,651*)............................. 99.7 %
$1,325,084,651
OTHER ASSETS AND LIABILITIES
(NET)................................... 0.3
3,743,460
- ------- --------------
NET
ASSETS......................................................
..... 100.0 % $1,328,828,111
- ------- --------------
- ------- --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For Certificate of Deposit and Commercial Paper, the
interest rate represents
annualized yield at date of purchase.
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
- ----------
- ----------- --------- -----------
<C> <S>
<C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 57.4%
FEDERAL FARM CREDIT BANK (FFCB):
$5,000,000 FFCB, Discount Note............................
4.220% 8/9/94 $ 4,995,311
3,000,000 FFCB, Variable Rate Note.......................
4.450 9/7/94 2,999,674
- -----------
7,994,985
- -----------
FEDERAL HOME LOAN BANK (FHLB):
5,000,000 FHLB, Discount Note............................
4.280 8/26/94 4,985,139
5,000,000 FHLB, Variable Rate Note.......................
4.650 9/18/95 5,000,000
5,000,000 FHLB, Variable Rate Note.......................
4.780 2/3/97 5,000,000
- -----------
14,985,139
- -----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC):
5,000,000 FHLMC, Discount Note...........................
4.280 8/23/94 4,986,921
5,000,000 FHLMC, Discount Note...........................
4.270 8/23/94 4,986,953
5,000,000 FHLMC, Discount Note...........................
4.310 8/31/94 4,982,042
- -----------
14,955,916
- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA):
5,000,000 FNMA, Discount Note............................
3.420 9/30/94 4,971,500
5,000,000 FNMA, Discount Note............................
3.290 10/25/94 4,961,159
5,000,000 FNMA, Variable Rate Note.......................
4.650 12/20/95 5,000,000
5,000,000 FNMA, Variable Rate Note.......................
4.850 10/7/96 5,000,000
- -----------
19,932,659
- -----------
STUDENT LOAN MARKETING ASSOCIATION (SLMA):
5,200,000 SLMA, Discount Note............................
4.270 8/22/94 5,187,048
- -----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST
$63,055,747)................................................
.... 63,055,747
- -----------
REPURCHASE AGREEMENTS -- 42.7%
Agreement with Goldman Sachs and Company dated
7/29/94 bearing 4.200%
23,910,000 to be repurchased at $23,918,369 on 8/1/94
collateralized by
$24,580,000
FNMA discount notes due 9/29/94 (market value -
- - $24,388,399).........
23,910,000
23,000,000 Agreement with Paine Webber Group dated 7/29/94
bearing 4.250% to be
repurchased at $23,008,146 on 8/1/94
collateralized by $23,725,000
various mortgage-backed securities, with
various maturities and
interest rates (market value --
$23,462,566).......................... 23,000,000
- -----------
TOTAL REPURCHASE AGREEMENTS (COST
$46,910,000)......................... 46,910,000
- -----------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$109,965,747*)............................... 100.1%
109,965,747
OTHER ASSETS AND LIABILITIES
(NET)................................... (0.1)
(151,715)
- ------ --------------
NET
ASSETS......................................................
..... 100.0% $ 109,814,032
- ------ --------------
- ------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
100% GOVERNMENT OBLIGATIONS MONEY MARKET
FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
- ---------
- ----------- --------- ----------
<C> <S>
<C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 99.0%
FEDERAL FARM CREDIT BANK (FFCB):
$1,000,000 FFCB, Discount Note..............................
3.280% 9/19/94 $ 995,536
5,000,000 FFCB, Medium Term Note, Variable Rate............
4.450 9/7/94 4,999,457
- ----------
5,994,993
- ----------
FEDERAL HOME LOAN BANK (FHLB):
775,000 FHLB, Discount Note..............................
4.220 8/17/94 773,546
1,000,000 FHLB, Variable Rate Note.........................
4.780 2/3/97 1,000,000
- ----------
1,773,546
- ----------
TOTAL INVESTMENTS (COST
$7,768,539*)................................. 99.0%
7,768,539
OTHER ASSETS AND LIABILITIES
(NET)................................... 1.0
81,876
- ------ --------------
NET
ASSETS......................................................
..... 100.0% $ 7,850,415
- ------ --------------
- ------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
- -----------
- -------- ---------------------
<C> <S>
<C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 53.7%
$10,000,000 U.S. Treasury Bills..........................
3.962 % 8/4/94 $ 9,996,733
10,000,000 U.S. Treasury Bills..........................
3.753 8/11/94 9,989,722
5,000,000 U.S. Treasury Bills..........................
4.160 8/18/94 4,990,296
10,000,000 U.S. Treasury Bills..........................
4.189 8/25/94 9,972,367
10,000,000 U.S. Treasury Bills..........................
4.169 9/1/94 9,964,479
10,000,000 U.S. Treasury Bills..........................
4.232 9/29/94 9,931,494
10,000,000 U.S. Treasury Bills..........................
4.272 10/6/94 9,922,633
10,000,000 U.S. Treasury Bills..........................
4.460 10/13/94 9,910,575
10,000,000 U.S. Treasury Bills..........................
4.350 10/20/94 9,904,444
10,000,000 U.S. Treasury Bills..........................
4.462 10/20/94 9,901,889
10,000,000 U.S. Treasury Bills..........................
4.408 10/27/94 9,894,996
15,000,000 U.S. Treasury Bills..........................
4.501 10/27/94 14,838,688
25,000,000 U.S. Treasury Bills..........................
4.330 11/3/94 24,720,611
25,000,000 U.S. Treasury Bills..........................
4.595 11/17/94 24,660,250
- -------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST
$168,599,177)..............................................
168,599,177
- -------------
REPURCHASE AGREEMENTS -- 46.5%
73,000,000 Agreement with Goldman Sachs and Company dated
7/29/94 bearing
4.200% to be repurchased at $73,025,550 on
8/1/94, collateralized
by $249,466,000 U.S. Treasury Notes, with
various maturities and
zero coupon rates (market value --
$74,460,450).................. 73,000,000
73,225,000 Agreement with Kidder Peabody & Company dated
7/29/94 bearing
4.220% to be repurchased at $73,250,751 on
8/1/94, collateralized
by $71,208,000 U.S. Treasury Obligations, with
various maturities
and interest rates (market value --
$74,689,778)................. 73,225,000
- -------------
TOTAL REPURCHASE AGREEMENTS (COST
$146,225,000)................... 146,225,000
- -------------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$314,824,177*)............................... 100.2%
314,824,177
OTHER ASSETS AND LIABILITIES
(NET)................................... (0.2)
(722,934)
- ------ --------------
NET
ASSETS......................................................
..... 100.0% $ 314,101,243
- ------ --------------
- ------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate
represents annualized yield
at date of purchase.
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
100% TREASURY INSTRUMENTS MONEY MARKET
FUND
<TABLE>
<CAPTION>
FACE
MATURITY VALUE
VALUE
INTEREST RATE DATE (NOTE 1)
- ---------- ---
- ------------ --------- ----------
<C> <S> <C>
<C> <C>
U.S. TREASURY OBLIGATIONS -- 100.3%
$1,080,000 U.S. Treasury Bills........................
3.993% 8/4/94 $1,079,645
270,000 U.S. Treasury Bills........................
3.753 8/11/94 269,723
3,415,000 U.S. Treasury Bills........................
4.116 8/11/94 3,411,139
6,075,000 U.S. Treasury Bills........................
4.169 8/25/94 6,058,293
745,000 U.S. Treasury Bills........................
4.236 8/25/94 742,919
3,000,000 U.S. Treasury Bills........................
4.169 9/1/94 2,989,344
1,350,000 U.S. Treasury Bills........................
4.124 9/8/94 1,344,179
5,000,000 U.S. Treasury Bills........................
4.118 9/15/94 4,974,406
2,685,000 U.S. Treasury Bills........................
4.201 9/22/94 2,668,905
4,500,000 U.S. Treasury Bills........................
4.204 9/22/94 4,472,960
4,531,000 U.S. Treasury Bills........................
4.297 9/22/94 4,503,250
1,948,000 U.S. Treasury Bills........................
4.222 9/29/94 1,934,687
160,000 U.S. Treasury Bills........................
4.235 9/29/94 158,904
2,500,000 U.S. Treasury Bills........................
4.240 9/29/94 2,482,853
3,920,000 U.S. Treasury Bills........................
4.262 10/6/94 3,889,744
7,000,000 U.S. Treasury Bills........................
4.276 10/6/94 6,945,715
820,000 U.S. Treasury Bills........................
4.243 10/13/94 813,016
1,340,000 U.S. Treasury Bills........................
4.285 10/13/94 1,328,479
300,000 U.S. Treasury Bills........................
4.289 10/13/94 297,418
910,000 U.S. Treasury Bills........................
4.293 10/13/94 902,157
365,000 U.S. Treasury Bills........................
4.417 10/13/94 361,762
3,000,000 U.S. Treasury Bills........................
4.345 10/20/94 2,971,467
205,000 U.S. Treasury Bills........................
4.353 10/20/94 203,046
1,420,000 U.S. Treasury Bills........................
4.412 10/20/94 1,406,242
4,020,000 U.S. Treasury Bills........................
4.372 10/27/94 3,978,128
5,000,000 U.S. Treasury Bills........................
4.408 10/27/94 4,947,498
100,000 U.S. Treasury Bills........................
4.451 10/27/94 98,936
1,000,000 U.S. Treasury Bills........................
4.501 10/27/94 989,246
5,565,000 U.S. Treasury Bills........................
4.585 11/17/94 5,489,539
2,375,000 U.S. Treasury Bills........................
4.647 11/17/94 2,342,653
- ----------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$74,056,253*)................................ 100.3%
74,056,253
OTHER ASSETS AND LIABILITIES
(NET)................................... (0.3)
(186,376)
- ------ --------------
NET
ASSETS......................................................
..... 100.0% $ 73,869,877
- ------ --------------
- ------ --------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ For U.S. Treasury Obligations, the interest rate
represents annualized yield
at date of purchase.
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES -- 99.4%
ALABAMA -- 4.0%
$1,100,000 Alabama Private College and University,
Equipment and Capital Facilities Revenue,
Series A,
(FGIC Insured), (Southtrust Bank),
3.000% due
7/1/05+++............................... $ 1,100,000
100,000 Alabama Special Care Facilities Financing
Authority
Revenue,
(Montgomery), (FGIC Insured), (Barclays Bank),
2.900% due
4/1/15+++............................... 100,000
- -----------
1,200,000
- -----------
ARIZONA -- 7.3%
1,100,000 Maricopa County, Arizona, Pollution Control
Corporation,
2.850% due
5/1/29+................................. 1,100,000
1,100,000 Phoenix, Arizona, General Obligation Bonds,
Series
1, (Morgan Guaranty, BPA),
2.850% due
6/1/18+................................. 1,100,000
- -----------
2,200,000
- -----------
CALIFORNIA -- 2.3%
200,000 California Health Facilities Financing
Authority
Revenue, (MBIA Insured), (Swiss Bank, BPA),
2.750% due
10/1/21+++.............................. 200,000
500,000 Los Angeles County, California, Unified School
District,
4.500% due
7/10/95................................. 504,079
- -----------
704,079
- -----------
COLORADO -- 4.8%
580,000 Denver, Colorado, City and County Revenue Bond,
2.700% due
12/1/94................................. 580,000
850,000 Mesa County, Colorado, Sisters Charity of
Leavenworth,
2.700% due
12/1/94................................. 850,000
- -----------
1,430,000
- -----------
FLORIDA -- 6.2%
500,000 Orlando, Florida, Community Redevelopment
Agency Tax
Revenue, (FGIC Insured),
3.350% due
10/1/94................................. 500,573
1,380,000 University Athletic Association Inc., Florida,
Capital Improvement Revenue Bond, (Sun Bank,
LOC),
2.900% due
2/1/20+++............................... 1,380,000
- -----------
1,880,573
- -----------
HAWAII -- 2.2%
650,000 Hawaii, General Obligation Bonds, Pre-refunded
11/1/94,
6.300% due
11/1/98++............................... 665,117
- -----------
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
IOWA -- 2.0%
$ 600,000 Louisa County, Iowa, Pollution Control Revenue,
(Iowa Power and Light Company Project),
(MidWest
Power Systems, GTC),
3.000% due
12/1/15+++.............................. $ 600,000
- -----------
KANSAS -- 3.8%
1,140,000 La Cygne, Kansas, Environmental Improvement
Revenue,
(Kansas Power and Light Company Project),
(Kansas
City Power and Light, GTC),
3.100% due
3/1/18+++............................... 1,140,000
- -----------
LOUISIANA -- 5.2%
100,000 East Baton Rouge Parish, Louisiana, Pollution
Control Revenue, (Toronto Dominion, LOC),
2.800% due
10/1/99+++.............................. 100,000
1,460,000 New Orleans, Louisiana, Aviation Board, (MBIA
Insured), (Industrial Bank of Japan, BPA),
2.800% due
8/1/11+++............................... 1,460,000
- -----------
1,560,000
- -----------
MAINE -- 1.0%
310,000 Hermon, Maine, General Obligation Bonds, (MBIA
Insured),
5.300% due
11/1/94................................. 311,910
- -----------
MICHIGAN -- 2.3%
Dearborn, Michigan, Economic Development
Corporation, (Mellon Bank, LOC):
500,000 3.150% due
3/1/23+++................................ 500,000
200,000 3.150% due
3/2/25+++................................ 200,000
- -----------
700,000
- -----------
MINNESOTA -- 0.3%
100,000 Golden Valley, Minnesota, Industrial Control
Development Revenue, (Banque Paribas, LOC),
3.050% due
9/1/14+++............................... 100,000
- -----------
MISSOURI -- 6.6%
1,000,000 Missouri Environmental Impact & Energy
Resources,
(Swiss Bank, LOC),
3.750% due
6/1/14++................................ 1,000,000
1,000,000 Ossage Beach, Missouri, Industrial Development
Authority, (NationsBank, LOC),
2.800% due
1/1/11++++.............................. 1,000,000
- -----------
2,000,000
- -----------
NEW MEXICO -- 2.0%
600,000 Albuquerque, New Mexico, Revenue Project,
(Bankers
Trust, LOC),
2.850% due
3/1/14+++............................... 600,000
- -----------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NORTH CAROLINA -- 10.4%
$1,000,000 North Carolina Eastern Municipal Power
Authority
Revenue, Pre-refunded 1/1/95,
10.625% due
1/1/15++............................... $ 1,062,668
1,000,000 North Carolina Municipal Power Authority,
Pre-refunded 1/1/95,
9.375% due
1/1/05++................................ 1,057,295
1,000,000 Wake County, North Carolina, Industrial
Facilities
and Pollution
Control Financing Authority Revenue,
Carolina Power and Light Company, (Credit
Suisse,
LOC),
2.900% due
5/1/15+++............................... 1,000,000
- -----------
3,119,963
- -----------
OHIO -- 8.3%
2,500,000 Ohio State Air Quality Development Authority,
(Deutsche Bank, LOC),
2.800% due
5/1/07+................................. 2,500,000
- -----------
PENNSYLVANIA -- 5.7%
100,000 Delaware Valley, Pennsylvania, Regional Finance
Authority, (Marine Midland/ HK Shanghai, LOC),
2.900% due
8/1/16+++............................... 100,000
500,000 Philadelphia, Pennsylvania, Transportation
Bond,
Series E, (PNC Bank, N.A., LOC),
4.750% due
6/15/95................................. 503,569
1,100,000 Washington County, Pennsylvania, Lease
Authority,
(Sanwa Bank, LOC),
3.000% due
11/1/05+++.............................. 1,100,000
- -----------
1,703,569
- -----------
RHODE ISLAND -- 1.8%
530,000 Central Falls, Rhode Island, General Obligation
Bonds, (MBIA Insured),
2.700% due
11/15/94................................ 530,000
- -----------
TENNESSEE -- 0.3%
100,000 Metropolitan Nashville and Davidson County,
Tennessee,
Health and Education Authority Revenue,
(Barclays
Bank, BPA),
2.900% due
6/1/15+++............................... 100,000
- -----------
TEXAS -- 10.0%
3,000,000 Texas General Obligation Commercial Paper,
2.500% due
10/4/94................................. 3,000,000
- -----------
UTAH -- 1.5%
460,000 Utah State Building Ownership Authority
Revenue,
4.500% due
1/1/95.................................. 462,060
- -----------
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
VIRGINIA -- 5.3%
$ 100,000 Fairfax County, Virginia, Industrial Control
Revenue, (Dai Ichi Kangyo, LOC),
3.000% due
1/15/22+++.............................. $ 100,000
1,500,000 Virginia State Housing Development Authority
Revenue,
2.500% due
7/1/17++................................ 1,500,000
- -----------
1,600,000
- -----------
WEST VIRGINIA -- 1.1%
320,000 Clarksburg, West Virginia, Water Revenue,
Pre-refunded,
7.875% due
11/15/19++.............................. 330,545
- -----------
WISCONSIN -- 5.0%
1,490,000 Wisconsin Housing and Economic Development
Authority,
3.000% due
9/1/15++................................ 1,490,000
- -----------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST $29,927,816*)...................
99.4 % 29,927,816
OTHER ASSETS AND LIABILITIES (NET)......................
0.6 191,365
-
- ----- -----------
NET ASSETS..............................................
100.0 % $30,119,181
-
- ----- -----------
-
- ----- -----------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more
than one business
day's notice.
The interest rate shown reflects the rate currently in
effect.
++ Put bonds and notes have demand features which mature
within one year. The
interest rate shown reflects the rate currently in
effect.
+++ Variable rate demand notes are payable upon not more
than seven business
days' notice.
The interest rate shown reflects the rate currently in
effect.
++++ Variable rate demand notes are payable upon not more
than thirty business
days' notice.
The interest rate shown reflects the rate currently in
effect.
BPA -- Instruments supported by bond purchase agreement.
FGIC -- Federal Guaranty Insurance Corporation.
GTC -- Instruments guaranteed by corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
</TABLE>
SUMMARY OF MUNICIPAL BONDS BY COMBINED
RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD &
POOR'S OF VALUE
<S> <C>
<C>
Aaa AAA
12.7%
Aa, Aa2, Aa3 AA
19.2
MIG1/VMIG1/P1 A-1/A-
1+/SP1/SP1+ 68.1
- --------
100.0%
- --------
- --------
#Bonds are not necessarily rated the same by
both services.
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES -- 99.4%
ARIZONA -- 6.7%
$2,500,000 Apache County, Arizona, Industrial Development
Authority Revenue,
(Chemical Bank, LOC),
3.100% due
6/15/20+++............................................ $
2,500,000
Maricopa County, Arizona, Pollution Control
Corporation:
2,200,000 (Bank of America, LOC),
2.750% due
5/1/24+...............................................
2,200,000
1,800,000 (Bank of America, LOC),
2.850% due
5/1/29+...............................................
1,800,000
1,600,000 (Toronto Dominion, LOC),
2.850% due
5/1/29+...............................................
1,600,000
3,000,000 Phoenix, Arizona, General Obligation Bonds,
(Morgan Guaranty,
BPA),
3.100% due
6/1/16+...............................................
3,000,000
500,000 Yuma, Arizona, Industrial Development Authority,
(Harris Trust,
LOC),
3.050% due
7/1/03+++.............................................
500,000
- -----------
11,600,000
- -----------
CALIFORNIA -- 4.5%
300,000 California Health Facilities Financing, Series
B, (Toronto
Dominion, LOC),
2.750% due
8/1/12+++.............................................
300,000
2,000,000 Long Beach, California, Harbor Department A-2,
(IBC, IBJ, BNP, Natwest, Calstrs, BPA),
3.000% due
8/15/94++.............................................
2,000,000
2,000,000 Los Angeles, California, Regional Airports
Revenue,
Series E, (Societe Generale, LOC),
2.850% due
12/1/24+..............................................
2,000,000
2,300,000 Rim of the World, California, Unified School
District,
Certificates of Participation, (AMBAC Insured),
4.100% due
9/1/94................................................
2,302,121
550,000 Riverside County, California, Industrial
Development,
(Sumitomo Trust, LOC),
4.050% due
7/5/19+++.............................................
550,000
640,000 Riverside County, California, Series A, (Union
Bank of California,
LOC),
3.050% due
12/1/15+++............................................
640,000
- -----------
7,792,121
- -----------
COLORADO -- 3.2%
3,300,000 Arapahoe County, Colorado, Capital Improvement
Revenue,
2.090% due
8/31/26++.............................................
3,300,000
1,000,000 Arapahoe County, Colorado, School District #5,
Series D,
Pre-refunded,
9.750% due
12/15/01++............................................
1,035,564
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
COLORADO (CONTINUED)
Colorado Student Loan Obligations Authority
Revenue, Series A:
$ 600,000 (Student Loan Marketing Association, LOC),
3.000% due
3/1/24+++............................................. $
600,000
555,000 (Sumitomo Bank, LOC),
3.000% due
9/1/24+++.............................................
555,000
- -----------
5,490,564
- -----------
CONNECTICUT -- 1.8%
2,100,000 Connecticut State Economic Recovery Notes,
Series B,
(IBJ/Can, Imp/Natwest, BPA),
3.000% due
6/1/96+++.............................................
2,100,000
1,000,000 Connecticut State Housing Finance Authority
Revenue,
2.900% due
11/15/94++............................................
1,000,000
- -----------
3,100,000
- -----------
DELAWARE -- 1.2%
2,000,000 Delaware State Economic Development Authority,
(Sumitomo Trust,
LOC),
3.250% due
11/1/99+++............................................
2,000,000
- -----------
FLORIDA -- 1.4%
300,000 Dade County, Florida, Industrial Development
Authority,
(Bank of Tokyo, LOC),
3.100% due
12/1/11+++............................................
300,000
540,000 Dade County, Florida, Solid Waste Industrial
Development Authority
Revenue, Series A, (Banque Paribas, LOC),
3.050% due
12/1/10+++............................................
540,000
1,400,000 Florida Housing Finance Agency, Multifamily
Housing Revenue,
(PNC Bank, N.A., LOC),
3.050% due
12/1/11+++............................................
1,400,000
100,000 Marion County, Florida, Industrial Development
Authority Revenue,
(Bankers Trust, LOC),
2.950% due
7/1/04++..............................................
100,000
- -----------
2,340,000
- -----------
GEORGIA -- 4.7%
850,000 Cobb County, Georgia, General Obligation Bonds,
3.600% due
1/1/95................................................
852,253
355,000 Colquitt County, Georgia, Development Authority
Revenue,
(Fleet National Bank, LOC),
3.050% due
4/1/98+++.............................................
355,000
1,000,000 Georgia Municipal Electric Power Authority,
Series A, Pre-refunded
1/1/95,
10.500% due
1/1/20++.............................................
1,051,723
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
GEORGIA (CONTINUED)
$5,800,000 Gwinnett County, Georgia, Development Authority,
(Union Bank of Switzerland, LOC),
3.100% due
11/1/06+.............................................. $
5,800,000
- -----------
8,058,976
- -----------
ILLINOIS -- 1.8%
2,000,000 Chicago, Illinois, Public Building Commission
Revenue, (MBIA
Insured),
6.800% due
1/1/95................................................
2,032,306
1,000,000 Illinois Development Financing Authority
Revenue,
(Industrial Bank of Japan, LOC),
3.275% due
1/1/09+++.............................................
1,000,000
- -----------
3,032,306
- -----------
INDIANA -- 3.1%
750,000 Indiana State Employment Development Commission
Revenue,
(Credit Commerciale, LOC),
3.250% due
1/1/13+++.............................................
750,000
Indiana State Development Financing Authority:
1,500,000 3.250% due
1/1/14+++..............................................
1,500,000
150,000 (Credit Commerciale, LOC),
3.250% due
1/1/14+++.............................................
150,000
1,000,000 (Harris Trust, LOC),
2.850% due
6/1/09+++.............................................
1,000,000
1,000,000 Indiana Student Loan Revenue, (AMBAC Insured),
(Mitsubishi Bank,
BPA),
2.850% due
12/1/13+++............................................
1,000,000
1,000,000 Indianapolis, Indiana, Industrial Economic
Development Revenue,
(Asahi Bank, LOC),
3.900% due
9/1/95+++.............................................
1,000,000
- -----------
5,400,000
- -----------
KENTUCKY -- 2.4%
1,000,000 Kentucky Pollution Abatement and Water Resources
Finance Authority Revenue, (Bank of
Tokyo/Sakura/Sanwa/Tokai,
BPA),
3.100% due
8/13/06+..............................................
1,000,000
3,200,000 Lexington-Fayette Urban County Airport
Corporation, Kentucky,
Revenue, (Credit Locale, LOC),
3.100% due
4/1/24+...............................................
3,200,000
- -----------
4,200,000
- -----------
LOUISIANA -- 3.4%
3,000,000 Ascension Parish, Louisiana, Pollution Control
Revenue,
(Shell Oil Company Project),
2.750% due
9/1/23+...............................................
3,000,000
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
LOUISIANA (CONTINUED)
Louisiana Housing Finance Authority Revenue:
(Sumitomo Trust, LOC),
$2,530,000 4.000% due
12/1/25+++............................................. $
2,530,000
300,000 4.000% due
1/1/26+++..............................................
300,000
- -----------
5,830,000
- -----------
MARYLAND -- 2.0%
1,500,000 Maryland State Health and Higher Education,
Series B,
(Mellon Bank, LOC),
2.950% due
7/1/24+++.............................................
1,500,000
2,000,000 Montgomery County, Maryland, Housing
Opportunities Authority
Revenue,
2.650% due
7/1/35++..............................................
2,000,000
- -----------
3,500,000
- -----------
MICHIGAN -- 1.5%
500,000 Dearborn, Michigan, Economic Development
Corporation,
(Mellon Bank, LOC),
3.150% due
3/1/23+++.............................................
500,000
2,100,000 Delta County, Michigan, Economic Development
Corporation,
(Bank of Nova Scotia, LOC),
2.750% due
12/1/13+..............................................
2,100,000
- -----------
2,600,000
- -----------
MINNESOTA -- 0.3%
505,000 Minnesota State Housing Finance Agency, Series
A,
(Societe Generale, LOC),
2.600% due
1/1/09++..............................................
504,773
- -----------
MISSISSIPPI -- 1.2%
2,100,000 Perry County, Mississippi, Pollution Control
Revenue,
(Leaf River Forest Project), (Credit Suisse,
LOC),
2.700% due
3/1/02+...............................................
2,100,000
- -----------
NEVADA -- 1.7%
3,000,000 Nevada State Department Commission, Industrial
Development
Revenue, Series A, (Credit Commerciale, LOC),
3.250% due
12/1/09+++............................................
3,000,000
- -----------
NEW JERSEY -- 3.2%
4,000,000 Delaware River Port Authority of Pennsylvania &
New Jersey,
Pre-refunded 1/1/95, (AMBAC Insured),
9.375% due
1/1/11++..............................................
4,227,132
Middlesex County, New Jersey, Utilities
Authority, (MBIA Insured),
(Bankers Trust, BPA):
555,000 3.000% due
8/15/02+++.............................................
555,000
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
NEW JERSEY (CONTINUED)
$ 700,000 3.000% due
2/15/03+++............................................. $
700,000
- -----------
5,482,132
- -----------
NEW MEXICO -- 2.2%
400,000 Albuquerque, New Mexico, Revenue Project,
(Bankers Trust, LOC),
2.850% due
3/1/14+++.............................................
400,000
New Mexico Educational Assistance Foundation
Revenue:
1,450,000 3.200% due
12/1/94................................................
1,452,610
2,000,000 4.300% due
12/1/94................................................
2,010,470
- -----------
3,863,080
- -----------
NEW YORK -- 10.9%
New York, New York, General Obligation Bonds:
1,300,000 Series A, (Banque Paribas, LOC),
2.850% due
8/1/19+...............................................
1,300,000
2,300,000 Series A-8, (Sanwa Bank, BPA),
2.800% due
8/1/17+...............................................
2,300,000
2,000,000 Series A-10, (Kredie Hoank, LOC),
2.800% due
8/1/15+...............................................
2,000,000
400,000 Series E-5, (Sumitomo Bank, LOC),
2.900% due
8/1/16+...............................................
400,000
3,000,000 Subseries A-5, (Morgan Guaranty, LOC),
2.750% due
8/1/21+...............................................
3,000,000
2,000,000 Subseries A-8, (Sanwa Bank, LOC),
2.800% due
8/1/18+...............................................
2,000,000
1,800,000 Subseries A-10, (Sanwa Bank, LOC),
2.800% due
8/1/17+...............................................
1,800,000
540,000 New York State Home Mortgage Agency Revenue,
3.000% due
10/1/94...............................................
540,000
4,185,000 New York State Jobs Development Authority
Revenue, (Fuji Bank,
BPA),
3.150% due
3/1/03+...............................................
4,185,000
1,312,328 New York State Power Authority and General
Purpose,
Pre-refunded 1/1/95,
10.375% due
1/1/16++.............................................
1,312,328
- -----------
18,837,328
- -----------
NORTH CAROLINA -- 1.2%
2,000,000 North Carolina Eastern Municipal Power Authority
Revenue, Series
D,
Pre-refunded 1/1/95,
10.000% due
1/1/10++.............................................
2,120,463
- -----------
OHIO -- 0.8%
1,465,000 Summit County, Ohio, Bond Anticipation Notes,
Series A,
3.700% due
3/9/95................................................
1,466,705
- -----------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
OREGON -- 1.1%
Oregon State Economic Development Commission
Revenue:
$1,000,000 (Kydtaru Project), (Bank of Tokyo, LOC),
3.275% due
12/1/99+++............................................ $
1,000,000
890,000 (Toshi Project), (First Interstate, LOC),
3.500% due
7/1/98+++.............................................
890,000
- -----------
1,890,000
- -----------
SOUTH CAROLINA -- 1.9%
South Carolina Jobs and Economic Development
Authority Revenue,
(Credit Commerciale, LOC):
1,590,000 3.250% due
8/1/95+++..............................................
1,590,000
200,000 3.250% due
5/1/01+++..............................................
200,000
1,420,000 3.250% due
12/1/04+++.............................................
1,420,000
- -----------
3,210,000
- -----------
TENNESSEE -- 7.7%
9,000,000 Coffee County, Tennessee, Industrial Development
Board Revenue,
(Asahi Bank, LOC),
4.150% due
12/1/01+++............................................
9,000,000
500,000 Franklin County, Tennessee, Industrial
Development Board,
(NationsBank, LOC),
3.150% due
12/1/08+++............................................
500,000
1,065,000 Memphis, Tennessee, Electric Systems Revenue,
5.900% due
1/1/95................................................
1,080,119
1,000,000 Metropolitan Nashville Airport Authority of
Tennessee,
(Societe Generale, BPA),
2.950% due
7/1/19+++.............................................
1,000,000
1,750,000 Metropolitan Nashville and Davidson County,
Utility Revenue,
Pre-refunded 1/1/95,
9.375% due
1/1/15++..............................................
1,833,225
- -----------
13,413,344
- -----------
TEXAS -- 6.7%
1,300,000 Harris County, Texas, Industrial Development,
(Yokohama Tire Corporation Project),
(Industrial Bank of Japan,
LOC),
3.100% due
11/1/95+..............................................
1,300,000
1,750,000 Harris County, Texas, Toll Road Unlimited Tax
Sub Lien Revenue,
Series F, Pre-refunded 2/1/95,
9.250% due
8/1/14++..............................................
1,858,742
3,000,000 Houston, Texas, Airports Systems Revenue,
Commercial Paper,
(J. P. Morgan CIBC, LOC),
2.900% due
11/1/94...............................................
3,000,000
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
TEXAS (CONTINUED)
$ 200,000 Lubbock, Texas, Health Facilities Authority
Revenue, (St. Joseph's
Hospital),
2.750% due
7/1/13+............................................... $
200,000
1,100,000 North Central Texas Health Facilities
Corporation, (BIGI Insured),
(Chemical Bank, BPA),
2.850% due
10/1/15+..............................................
1,100,000
4,200,000 Plano, Texas, Health Facilities Revenue,
Commercial Paper,
(Banque Paribas, LOC),
2.850% due
1/1/19++..............................................
4,200,000
- -----------
11,658,742
- -----------
UTAH -- 5.8%
700,000 Carbon County, Utah, Solid Waste Removal
Authority Revenue,
Commercial Paper, (Union Pacific, GTC),
2.850% due
7/1/08++..............................................
700,000
1,500,000 Intermountain Power Agency, Utah, Power Supply
Revenue, Series E,
(Bank of America, BPA),
3.000% due
7/1/14++..............................................
1,500,000
2,000,000 Salt Lake City, Utah, Airport Revenue, (Credite
Suisse, LOC),
3.000% due
6/1/98+++.............................................
2,000,000
Tooele County, Utah, Electric Power Authority
Revenue, (Project
A), Commercial Paper, (Union Pacific, GTC):
2,300,000 3.000% due
10/3/94................................................
2,300,000
2,600,000 2.700% due
10/6/94................................................
2,600,000
1,000,000 2.900% due
10/11/94...............................................
1,000,000
- -----------
10,100,000
- -----------
VIRGINIA -- 12.3%
Peninsula Port Authority of Virginia, Industrial
Development
Revenue Bonds:
5,600,000 (Kinyo, Virginia Inc. Project), (Industrial Bank
of Japan, LOC),
3.100% due
5/1/08+...............................................
5,600,000
Peninsula Port Authority of Virginia, Industrial
Development
Revenue Bonds (continued):
2,000,000 (Port Authority for Shell Oil Company Project),
(Shell Oil, GTC),
2.700% due
12/1/05+..............................................
2,000,000
13,750,000 Virginia State Housing Development Authority
Revenue, Series K,
2.650% due
1/1/22++..............................................
13,751,686
- -----------
21,351,686
- -----------
WASHINGTON -- 1.0%
1,663,759 King County, Washington, General Obligation
Bonds, Series A,
8.800% due
12/1/94...............................................
1,663,759
- -----------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
WEST VIRGINIA -- 0.3%
$ 600,000 Marion County, West Virginia, County Commission
Solid
Waste Disposal Facilities Revenue (Granite Town
Project),
Project D, (National Westminster, LOC),
3.050% due
10/1/17+++............................................ $
600,000
- -----------
WYOMING -- 3.4%
3,900,000 Lincoln County, Wyoming, Pollution Control
Revenue,
(Exxon Project), Series A, (Exxon, GTC),
3.600% due
7/1/17++..............................................
3,900,000
2,000,000 Uinta County, Wyoming, Pollution Control
Revenue, (Chevron, GTC),
2.650% due
8/15/20+..............................................
2,000,000
- -----------
5,900,000
- -----------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$172,105,979*)............................ 99.4%
172,105,979
OTHER ASSETS AND LIABILITIES
(NET)................................ 0.6
980,181
- ------ ------------
NET
ASSETS......................................................
.. 100.0% $173,086,160
- ------ ------------
- ------ ------------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more
than one business day's
notice.
The interest rate shown reflects the rate currently in
effect.
++ Put bonds and notes have demand features which mature
within one year. The
interest rate shown reflects the rate currently in
effect.
+++ Variable rate demand notes are payable upon not more
than seven business
days' notice.
The interest rate shown reflects the rate currently in
effect.
AMBAC -- American Municipal Bond Assurance Corporation.
BIGI -- Bond Investors Guaranty Insurance.
BPA -- Instruments supported by bond purchase agreement.
GTC -- Instruments guaranteed by corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
MUNICIPAL MONEY MARKET FUND
SUMMARY OF MUNICIPAL BONDS BY COMBINED
RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD & POOR'S
OF VALUE
<S> <C>
<C>
Aaa AAA
16.8%
Aa, Aa1, Aa2, Aa3 AA, AA+
4.4
MIG1/VMIG1/P1 A-1/A-1+/SP1/SP1+
65.8
MIG2/VMIG2/P-2 SP2/A2
8.1
NR NR
4.9
- --------
100.0%
- --------
- --------
#Bonds are not necessarily rated the same by both
services.
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
CALIFORNIA MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
<C> <S>
<C>
MUNICIPAL BONDS AND NOTES -- 98.7%
CALIFORNIA -- 96.8%
California Health Facilities Financing
Authority:
$ 100,000 (Catholic Health Care), Series B, (MBIA
Insured),
(Morgan Guaranty, BPA),
2.650% due
7/1/16+................................. $ 100,000
100,000 (Sutter), Series A, (Morgan Guaranty, LOC),
2.600% due
3/1/20+++............................... 100,000
100,000 California Pollution Control Financing
Authority,
(Shell Oil, GTC),
2.600% due
11/1/00+................................ 100,000
500,000 California State Revenue Anticipation Notes,
3.750% due
12/21/94................................ 501,423
100,000 Duarte, California, Redevelopment Agency, (Bank
of
America, LOC),
2.750% due
12/1/14+++.............................. 100,000
300,000 Eastern Municipal Water District, California,
Water
and Sewer Revenue,
Series B, Certificates of Participation, (FGIC
Insured), (Industrial Bank of Japan, BPA),
2.650% due
7/1/20+++............................... 300,000
90,000 Encinitas, California, Public Financing
Authority,
(MBIA Insured),
2.550% due
10/1/94................................. 90,000
295,000 Fontana, California, Apartment Development
Revenue,
(Citrus Avenue Apartments), Series A, (Bank of
America, LOC),
2.750% due
11/1/07+++.............................. 295,000
300,000 Foothill / Eastern Transportation, Corridor
Agency,
California,
Toll Road Revenue, (Morgan Guaranty, LOC),
2.650% due
7/1/23+++............................... 300,000
Irvine Ranch, California, Water District,
(Sumitomo
Bank, LOC):
700,000 2.700% due
10/1/05+................................. 700,000
600,000 2.700% due
10/1/10+................................. 600,000
District 284:
100,000 (Sumitomo Bank, LOC),
2.700% due
11/15/13+............................... 100,000
200,000 (National Westminster, LOC),
2.700% due
8/1/16+................................. 200,000
Kern County, California, Certificates of
Participation, (Sanwa Bank, LOC):
100,000 Series C,
2.700% due
8/1/06+++............................... 100,000
200,000 Series D,
2.700% due
8/1/06+++............................... 200,000
300,000 Kern County, California, High School District,
(Rate
Financing Project),
(Swiss Bank, LOC),
2.750% due
12/1/03+++.............................. 300,000
500,000 Los Angeles County, California, Community
Redevelopment Housing, (Tokai Bank, LOC),
3.450% due
12/1/10+++.............................. 500,000
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
CALIFORNIA MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S>
<C>
CALIFORNIA (CONTINUED)
$ 300,000 Los Angeles County, California, Unified School
District,
4.500% due
7/10/95................................. $ 302,448
300,000 Marin County, California, Tax and Revenue
Anticipation Notes,
4.250% due
7/6/95.................................. 301,747
240,000 Northern California Power Agency, Series A,
Pre-refunded 7/1/95,
9.500% due
7/1/02++................................ 257,261
300,000 Orange County, California, Apartment
Development
Revenue,
(Monarch Bay Apartments), Project T,
(Mitsubishi
Bank, LOC),
3.100% due
10/1/07+++.............................. 300,000
400,000 Orange County, California, Certificates of
Participation,
(Dai Ichi, Kangyo Bank, LOC),
2.700% due
12/1/15+................................ 400,000
100,000 Orange County, California, Sanitation District,
(AMBAC Insured), (Industrial Bank of Japan,
BPA),
2.650% due
8/1/13+++............................... 100,000
315,000 Rim of the World, California, Unified School
District,
Certificates of Participation, (AMBAC
Insured),
4.100% due
9/1/94.................................. 315,291
300,000 Riverside County, California, Certificates of
Participation, (Sanwa Bank, LOC),
2.850% due
12/1/15+++.............................. 300,000
500,000 Riverside County, California, Series A, (Union
Bank
of California, LOC),
3.050% due
12/1/15+++.............................. 500,000
Sacramento County, California, Multifamily
Housing
Revenue, (Dai Ichi Kangyo, LOC):
100,000 Series A,
3.050% due
4/15/07+++.............................. 100,000
200,000 Series B,
3.050% due
4/15/07+++.............................. 200,000
300,000 San Diego, California, Industrial Development
Revenue,
(Kaiser Aerospace and Electric), Series A,
(ABN/AMRO Bank, LOC),
3.050% due
10/1/07+++.............................. 300,000
235,000 San Diego, California, Multifamily Housing
Revenue,
(Citibank, LOC),
2.800% due
12/1/08+++.............................. 235,000
300,000 San Luis, California, Coastal School District,
Certificate-86,
(Credit Suisse, LOC),
2.750% due
12/1/08+++.............................. 300,000
100,000 Santa Clara County, California, Tax and Revenue
Anticipation Notes, (National Westminster,
LOC),
2.750% due
7/1/10+++............................... 100,000
400,000 Santa Clara County, California, Hospital
District,
(National Westminster, LOC),
2.800% due
8/1/15+++............................... 400,000
Southern California Rapid Transit Revenue,
(MBIA
Insured), (Bankers Trust, BPA):
100,000 3.000% due
7/1/99+++................................ 100,000
600,000 3.000% due
7/1/00+++................................ 600,000
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 1994 (UNAUDITED)
CALIFORNIA MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------
- -----------
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S>
<C>
CALIFORNIA (CONTINUED)
$ 200,000 Ventura County, California, Community College,
4.250% due
6/30/95................................. $ 200,614
100,000 Visalia, California, Convention Center,
(Mitsubishi
Bank, LOC),
3.000% due
12/1/15+++.............................. 100,000
- -----------
9,998,784
- -----------
PUERTO RICO -- 1.9%
200,000 Puerto Rico Health Facilities and Services
Revenue,
Pre-refunded,
9.125% due
8/15/94................................. 200,462
- -----------
TOTAL INVESTMENTS (COST $10,199,246*)...................
98.7% 10,199,246
OTHER ASSETS AND LIABILITIES (NET)......................
1.3 129,319
-
- ----- -----------
NET ASSETS..............................................
100.0% $10,328,565
-
- ----- -----------
-
- ----- -----------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate demand notes are payable upon not more
than one business day's
notice.
The interest rate shown reflects the rate currently in
effect.
++ Put bonds and notes have demand features which mature
within one year. The
interest rate shown reflects the rate currently in
effect.
The interest rate shown reflects the rate currently in
effect.
+++Variable rate demand notes are payable upon not more than
seven business
days' notice.
The interest rate shown reflects the rate currently in
effect.
AMBAC -- American Municipal Bond Assurance Corporation.
BPA -- Instruments supported by bond purchase agreement.
FGIC -- Federal Guaranty Insurance Corporation.
GTC -- Instruments guaranteed by corporation.
LOC -- Instruments supported by bank letter of credit.
MBIA -- Municipal Bond Investors Assurance.
</TABLE>
SUMMARY OF MUNICIPAL BONDS BY COMBINED
RATINGS#
<TABLE>
<CAPTION>
PERCENT
MOODY'S STANDARD & POOR'S
OF VALUE
<S> <C>
<C>
Aaa AAA
6.5%
MIG1/VMIG1/P1 A-1/A-1+/SP1/SP1+
79.8
MIG2/VMIG2/P-2 SP2/A2
9.8
NR NR
3.9
- --------
100.0%
- --------
- --------
#Bonds are not necessarily rated the same by both
services.
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
FLOATING RATE U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
----------
- ------------- -------- -----------
<C> <S>
<C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 85.8%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
- -- 40.7%
$9,620,687 FHLMC..........................................
5.517% 6/1/22 $ 9,843,165
9,686,868 FHLMC**........................................
5.907 2/1/23 9,995,637
- -----------
19,838,802
- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) --
45.1%
879,545 FNMA...........................................
5.238 11/1/14 896,861
1,541,200 FNMA...........................................
5.750 4/1/15 1,554,204
1,488,707 FNMA...........................................
5.980 4/1/15 1,510,107
614,435 FNMA...........................................
5.375 7/1/18 638,532
427,930 FNMA...........................................
5.429 8/1/19 439,363
1,181,635 FNMA...........................................
5.879 8/1/20 1,226,131
2,922,215 FNMA...........................................
6.373 12/1/20 2,996,184
1,316,241 FNMA...........................................
5.450 12/1/21 1,364,366
3,664,118 FNMA...........................................
5.697 7/1/22 3,788,927
3,009,297 FNMA...........................................
5.555 1/1/23 3,077,006
4,433,779 FNMA**.........................................
5.646 2/1/23 4,521,762
- -----------
22,013,443
- -----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST
$41,939,564)................................................
...... 41,852,245
- -----------
REPURCHASE AGREEMENT -- 4.4% (COST $2,148,000)
Agreement with Merrill Lynch Tri-Party dated
7/29/94 bearing 4.270% to be
2,148,000 repurchased at $2,148,764 on 8/1/94,
collateralized by $4,032,000 FHPC
mortgage-backed security, 10.500% due 1/20/07
(market value --
$2,218,596).................................................
............ 2,148,000
- -----------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$44,087,564*)......................................
90.2% 44,000,245
OTHER ASSETS AND LIABILITIES
(NET)......................................... 9.8
4,772,938
- ------ -----------
NET
ASSETS......................................................
........... 100.0% $48,773,183
- ------ -----------
- ------ -----------
<CAPTION>
NET UNREALIZED
NUMBER OF CONTRACTS
(DEPRECIATION)
- ------------------------------------------------------------
- --------------- ---------------------
<S>
<C> <C>
FUTURES CONTRACTS -- SHORT POSITION
39 Euro Future, September
1994............................... $(11,700)
39 Euro Future, December
1994................................ (23,675)
39 Euro Future, March
1995................................... (20,475)
39 Euro Future, June
1995.................................... (20,475)
- -------
$(76,325)
- -------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
** Security pledged as collateral for futures contracts.
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
PORTFOLIO OF INVESTMENTS
JULY 31, 1994 (UNAUDITED)
SHORT DURATION U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
FACE
INTEREST MATURITY VALUE
VALUE
RATE DATE (NOTE 1)
----------
- ------------- -------- -----------
<C> <S>
<C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 81.9%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
- -- 70.8%
$2,195,890 FHLMC, Multiclass..............................
6.500% 12/15/98 $ 2,195,548
9,628,068 FHLMC, Multiclass**............................
5.750 5/15/05 9,607,007
9,812,411 FHLMC, Multiclass**............................
5.875 10/15/09 9,792,480
2,000,000 FHLMC, Multiclass..............................
6.000 3/15/10 1,985,000
- -----------
23,580,035
- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) --
11.1%
2,042,644 FNMA, REMIC....................................
9.000 3/25/00 2,057,644
1,618,486 FNMA, REMIC, Variable Rate.....................
5.100 1/25/21 1,625,062
- -----------
3,682,706
- -----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST
$27,330,757)................................................
....... 27,262,741
- -----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.2%
(COST $1,725,238)
1,721,959 Collateralized Mortgage Obligation, Trust 2....
9.650 7/25/06 1,728,416
- -----------
REPURCHASE AGREEMENT -- 12.7%
(COST $4,228,000)
Agreement with Merrill Lynch Tri-Party dated
7/29/94 bearing 4.270% to be
repurchased at $4,229,504 on 8/1/94,
collateralized by $10,518,465 FNMA
mortgage-backed securities, with various
maturities and interest rates
4,228,000 (market value --
$4,345,072)............................................
4,228,000
- -----------
</TABLE>
<TABLE>
<S>
<C> <C>
TOTAL INVESTMENTS (COST
$33,283,995*)................................ 99.8%
33,219,157
OTHER ASSETS AND LIABILITIES
(NET)................................... 0.2
54,482
- ------ -----------
NET
ASSETS......................................................
..... 100.0% $33,273,639
- ------ -----------
- ------ -----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
NET UNREALIZED
CONTRACTS
(DEPRECIATION)
- ---------- -----------------------------------------------
- -------------------
<C> <S>
<C>
FUTURES CONTRACTS -- SHORT POSITION
17 Euro Future, September
1994......................... $(5,100)
17 Euro Future, December
1994.......................... (11,950)
17 Euro Future, March
1995............................. (8,925)
17 Euro Future, June
1995.............................. (8,925)
- ------
$(34,900)
- ------
<FN>
- ------------------------
* Aggregate cost for Federal tax purposes.
** Security pledged as collateral for futures contracts.
REMIC -- Real Estate Mortgage Investment Conduit.
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
This page left intentionally blank.
See Notes to Financial Statements.
31
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS OBLIGATIONS
MONEY MONEY MARKET MONEY MARKET MONEY MARKET
MARKET FUND FUND FUND FUND
---
- ------------ --------------- ------------- -----------
- -
ASSETS:
<S> <C>
<C> <C> <C>
Investments, at value
See accompanying schedules:
Securities......................................... $
1,270,512,959 $ 898,448,651 $ 63,055,747
$7,768,539
Repurchase agreements..............................
893,173,000 426,636,000 46,910,000 --
---
- ------------ --------------- ------------- -----------
- -
Total investments......................................
2,163,685,959 1,325,084,651 109,965,747
7,768,539
Cash...................................................
- -- -- 28,630 36,385
Receivable from Investment Adviser (Note 2)............
- -- 821,227 -- 13,383
Receivable from Administrator (Note 2).................
- -- -- -- --
Interest recievable....................................
5,345,338 5,831,192 179,978 46,787
Receivable for Fund shares sold........................
3,229,056 1,694,231 -- --
Unamortized organization costs (Note 6)................
44,902 44,902 44,902 44,902
Other assets...........................................
448 -- -- --
---
- ------------ --------------- ------------- -----------
- -
Total Assets.........................................
2,172,305,703 1,333,476,203 110,219,257
7,909,996
---
- ------------ --------------- ------------- -----------
- -
LIABILITIES:
Investment Advisory fee payable (Note 2)...............
138,926 -- 13,072 --
Administration fee payable (Note 2)....................
231,402 39,112 3,072 200
Service fee payable (Note 3)...........................
48,216 1,744 1,095 --
Transfer Agent fee payable.............................
126,845 106,013 5,500 965
Custodian fees payable (Note 2)........................
38,000 36,150 12,600 19,000
Due to custodian.......................................
141,550 110,622 -- --
Dividends payable......................................
6,957,881 4,253,726 359,840 31,020
Accrued Trustees' fees and expenses (Note 2)...........
24,455 22,374 890 215
Organization costs payable.............................
1,531 1,531 1,481 1,481
Accrued expenses and other payables....................
96,515 76,820 7,675 6,700
---
- ------------ --------------- ------------- -----------
- -
Total Liabilities....................................
7,805,321 4,648,092 405,225 59,581
---
- ------------ --------------- ------------- -----------
- -
NET ASSETS............................................. $
2,164,500,382 $ 1,328,828,111 $109,814,032
$7,850,415
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Investments, at cost (Note 1).......................... $
2,163,685,959 $ 1,325,084,651 $109,965,747
$7,768,539
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY
TREASURY CALIFORNIA
INSTRUMENTS
INSTRUMENTS TAX-FREE MUNICIPAL MUNICIPAL
MONEY MARKET
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND II
FUND FUND FUND FUND
------------- --
- ---------- ------------ ------------- ------------
ASSETS:
<S> <C>
<C> <C> <C> <C>
Investments, at value
See accompanying schedules:
Securities.......................... $168,599,177
$74,056,253 $29,927,816 $172,105,979 $10,199,246
Repurchase agreements............... 146,225,000
- -- -- -- --
------------- --
- ---------- ------------ ------------- ------------
Total investments....................... 314,824,177
74,056,253 29,927,816 172,105,979 10,199,246
Cash.................................... 19,449
30,534 67,345 173,320 71,957
Receivable from Investment Adviser (Note
2).................................... 31,135
- -- 3,625 -- 9,872
Receivable from Administrator (Note
2).................................... 23,108
- -- -- -- --
Interest recievable..................... 51,301
- -- 174,586 1,041,534 50,626
Receivable for Fund shares sold......... 349,704
197 -- -- --
Unamortized organization costs (Note
6).................................... 44,902
44,902 44,902 44,902 44,902
Other assets............................ --
- -- -- -- --
------------- --
- ---------- ------------ ------------- ------------
Total Assets.......................... 315,343,776
74,131,886 30,218,274 173,365,735 10,376,603
------------- --
- ---------- ------------ ------------- ------------
LIABILITIES:
Investment Advisory fee payable (Note
2).................................... --
601 -- 22,950 --
Administration fee payable (Note 2)..... 11,453
104 1,269 7,645 345
Service fee payable (Note 3)............ 6,756
- -- -- -- --
Transfer Agent fee payable.............. 9,690
4,240 2,200 13,084 3,253
Custodian fees payable (Note 2)......... 18,000
13,000 22,600 27,186 9,300
Due to custodian........................ --
- -- -- -- --
Dividends payable....................... 1,167,368
234,332 65,324 187,895 21,034
Accrued Trustees' fees and expenses
(Note 2).............................. 2,465
770 427 2,656 95
Organization costs payable.............. 1,531
1,531 1,481 1,481 1,481
Accrued expenses and other payables..... 25,270
7,431 5,792 16,678 12,530
------------- --
- ---------- ------------ ------------- ------------
Total Liabilities..................... 1,242,533
262,009 99,093 279,575 48,038
------------- --
- ---------- ------------ ------------- ------------
NET ASSETS.............................. $314,101,243
$73,869,877 $30,119,181 $173,086,160 $10,328,565
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Investments, at cost (Note 1)........... $314,824,177
$74,056,253 $29,927,816 $172,105,979 $10,199,246
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS OBLIGATIONS
MONEY MONEY MARKET MONEY MARKET MONEY MARKET
MARKET FUND FUND FUND FUND
---
- ------------ --------------- ------------- -----------
- -
NET ASSETS consist of:
<S> <C>
<C> <C> <C>
Accumulated net realized gain/(loss) on investments
sold................................................. $
831 $ (305,889) $ (2,597) $ 10
Par value..............................................
2,164,500 1,329,134 109,817 7,850
Paid-in capital in excess of par value.................
2,162,335,051 1,327,804,866 109,706,812
7,842,555
---
- ------------ --------------- ------------- -----------
- -
$
2,164,500,382 $ 1,328,828,111 $109,814,032
$7,850,415
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
NET ASSETS:
Class A................................................ $
1,935,290,773 $ 1,319,787,920 $104,050,527
$7,850,115
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Class B................................................ $
209,471,386 $ 9,039,991 $ 5,763,305 $ 100
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Class C................................................ $
19,738,123 $ 100 $ 100 $ 100
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Class E................................................ $
100 $ 100 $ 100 $ 100
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
SHARES OUTSTANDING:
Class A................................................
1,935,290,116 1,320,089,484 104,051,804
7,850,105
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Class B................................................
209,471,230 9,044,316 5,764,625 100
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Class C................................................
19,738,105 100 100 100
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
Class E................................................
100 100 100 100
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
CLASS A SHARES:
Net asset value, offering and redemption price per
share................................................ $
1.00 $ 1.00 $ 1.00 $ 1.00
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
CLASS B SHARES:
Net asset value, offering and redemption price per
share................................................ $
1.00 $ 1.00 $ 1.00 $ 1.00
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
CLASS C SHARES:
Net asset value, offering and redemption price per
share................................................ $
1.00 $ 1.00 $ 1.00 $ 1.00
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
CLASS E SHARES:
Net asset value, offering and redemption price per
share................................................ $
1.00 $ 1.00 $ 1.00 $ 1.00
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
100%
TREASURY
TREASURY CALIFORNIA
INSTRUMENTS
INSTRUMENTS TAX-FREE MUNICIPAL MUNICIPAL
MONEY MARKET
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND II
FUND FUND FUND FUND
------------- --
- ---------- ------------ ------------- ------------
NET ASSETS consist of:
<S> <C>
<C> <C> <C> <C>
Accumulated net realized gain/(loss) on
investments sold...................... $ (10) $
916 $ 2,478 $ 1,886 $ (374)
Par value............................... 314,101
73,869 30,117 173,084 10,329
Paid-in capital in excess of par
value................................. 313,787,152
73,795,092 30,086,586 172,911,190 10,318,610
------------- --
- ---------- ------------ ------------- ------------
$314,101,243
$73,869,877 $30,119,181 $173,086,160 $10,328,565
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
NET ASSETS:
Class A................................. $281,870,236
$73,869,577 $30,118,881 $173,085,860 $10,328,265
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Class B................................. $ 32,230,807 $
100 $ 100 $ 100 $ 100
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Class C................................. $ 100 $
100 $ 100 $ 100 $ 100
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Class E................................. $ 100 $
100 $ 100 $ 100 $ 100
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
SHARES OUTSTANDING:
Class A................................. 281,870,246
73,868,661 30,116,403 173,083,974 10,328,639
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Class B................................. 32,230,807
100 100 100 100
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Class C................................. 100
100 100 100 100
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
Class E................................. 100
100 100 100 100
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
CLASS A SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $
1.00 $ 1.00 $ 1.00 $ 1.00
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
CLASS B SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $
1.00 $ 1.00 $ 1.00 $ 1.00
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
CLASS C SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $
1.00 $ 1.00 $ 1.00 $ 1.00
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
CLASS E SHARES:
Net asset value, offering and redemption
price per share....................... $ 1.00 $
1.00 $ 1.00 $ 1.00 $ 1.00
------------- --
- ---------- ------------ ------------- ------------
------------- --
- ---------- ------------ ------------- ------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
FLOATING RATE SHORT
DURATION
U.S. U.S.
GOVERNMENT GOVERNMENT
FUND FUND
------------- ------------
- --
ASSETS:
<S> <C> <C>
Investments, at value
See accompanying schedules:
Securities................ $41,852,245
$28,991,157
Repurchase agreements..... 2,148,000
4,228,000
------------- ------------
- --
Total investments............. 44,000,245
33,219,157
Cash.......................... 74,669
34,373
Receivable from Investment
Adviser (Note 2)........... 30,377
20,709
Interest recievable........... 282,041
153,836
Unamortized organization costs
(Note 6)................... 56,000
46,667
Receivable for investment
securities sold............ 4,650,313 --
------------- ------------
- --
Total Assets................ 49,093,645
33,474,742
------------- ------------
- --
LIABILITIES:
Net unrealized depreciation of
futures contracts (Note
1)......................... 76,325
34,900
Administration fee payable
(Note 2)................... 1,866
1,154
Service fee payable (Note
3)......................... --
390
Transfer Agent fee payable.... 2,400
1,650
Custodian fees payable (Note
2)......................... 1,360
1,255
Dividends payable............. 207,008
139,378
Organization costs payable.... 4,578
5,856
Accrued Trustees' fees and
expenses (Note 2).......... 385
275
Accrued expenses and other
payables................... 26,540
16,245
------------- ------------
- --
Total Liabilities........... 320,462
201,103
------------- ------------
- --
NET ASSETS.................... $48,773,183
$33,273,639
------------- ------------
- --
------------- ------------
- --
Investments, at cost (Note
1)......................... $44,087,564
$33,283,995
------------- ------------
- --
------------- ------------
- --
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
FLOATING RATE SHORT
DURATION
U.S. U.S.
GOVERNMENT GOVERNMENT
FUND FUND
------------- ------------
- --
NET ASSETS consist of:
<S> <C> <C>
Undistributed net investment
income/(distributions in
excess of net investment
income).................... $ 27,628 $
(17,356)
Accumulated net realized loss
on investments sold........ (77,881)
(21,257)
Net unrealized depreciation of
investments and futures
contracts.................. (163,644)
(99,738)
Par value..................... 4,907 3,344
Paid-in capital in excess of
par value.................. 48,982,173 33,408,646
------------- ------------
- --
$48,773,183 $33,273,639
------------- ------------
- --
------------- ------------
- --
NET ASSETS:
Premier....................... $48,773,084 $31,371,537
------------- ------------
- --
------------- ------------
- --
Select........................ $ 99.40 $ 1,902,102
------------- ------------
- --
------------- ------------
- --
SHARES OUTSTANDING:
Premier....................... 4,906,717 3,152,701
------------- ------------
- --
------------- ------------
- --
Select........................ 10 191,182
------------- ------------
- --
------------- ------------
- --
PREMIER SHARES:
Net asset value, offering and
redemption price per
share...................... $ 9.94 $ 9.95
------------- ------------
- --
------------- ------------
- --
SELECT SHARES:
Net asset value, offering and
redemption price per
share...................... $ 9.94 $ 9.95
------------- ------------
- --
------------- ------------
- --
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT
PRIME VALUE OBLIGATIONS
PRIME MONEY MONEY MARKET MONEY
MARKET FUND FUND MARKET FUND
---
- --------- ------------ -----------
INVESTMENT INCOME:
<S> <C>
<C> <C>
Interest...............................................
$50,517,884 $42,249,261 $1,793,458
---
- --------- ------------ -----------
EXPENSES:
Investment Advisory fee (Note 2).......................
1,322,307 1,127,463 46,434
Administration fee (Note 2)............................
1,322,307 1,127,463 46,434
Service fee (Note 3)...................................
389,509 22,791 6,216
Transfer Agent fees (Note 2)...........................
319,085 292,099 8,149
Custodian fees (Note 2)................................
138,625 119,457 13,182
Shareholder reports expense............................
- -- -- --
Registration and filing fees...........................
- -- -- 14,425
Trustees' fees and expenses (Note 2)...................
35,463 33,307 1,266
Amortization of organization costs (Note 6)............
6,414 6,414 6,414
Rating service fees....................................
16,306 -- --
Other..................................................
149,417 129,545 2,656
Fees waived by Investment Adviser, Administrator and
Custodian and/or expenses reimbursed by Investment
Adviser (Note 2).....................................
(2,132,442) (2,108,315) (67,885)
---
- --------- ------------ -----------
Total expenses.......................................
1,566,991 750,224 77,291
---
- --------- ------------ -----------
NET INVESTMENT INCOME..................................
48,950,893 41,499,037 1,716,167
---
- --------- ------------ -----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS (Note 1).......
(18,926) (307,465) (4,414)
---
- --------- ------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...
$48,931,967 $41,191,572 $1,711,753
---
- --------- ------------ -----------
---
- --------- ------------ -----------
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
100%
GOVERNMENT
100%
OBLIGATIONS
TREASURY TREASURY
CALIFORNIA
MONEY
INSTRUMENTS INSTRUMENTS TAX-FREE MUNICIPAL
MUNICIPAL
MARKET
MONEY MARKET MONEY MONEY MONEY
MONEY
FUND
FUND II MARKET FUND MARKET FUND MARKET FUND
MARKET FUND
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
INVESTMENT INCOME:
<S> <C> <C>
<C> <C> <C> <C>
Interest................................ $364,891
$5,240,648 $1,338,546 $602,476 $3,961,529
$131,827
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
EXPENSES:
Investment Advisory fee (Note 2)........ 10,399
140,955 37,683 23,206 145,418
5,182
Administration fee (Note 2)............. 10,399
140,955 37,683 23,206 145,418
5,182
Service fee (Note 3).................... --
44,569 -- -- -- --
Transfer Agent fees (Note 2)............ --
28,882 7,964 2,298 34,939
557
Custodian fees (Note 2)................. 6,249
22,314 13,085 15,344 42,195
4,625
Shareholder reports expense............. --
- -- -- -- --
7,000
Registration and filing fees............ 13,528
- -- 14,467 13,227 -- --
Trustees' fees and expenses (Note 2).... 335
3,452 1,128 636 3,954
145
Amortization of organization costs (Note
6).................................... 6,414
6,414 6,414 6,414 6,414
6,414
Rating service fees..................... --
29,000 -- -- -- --
Other................................... 5,607
32,597 4,583 332 28,494
74
Fees waived by Investment Adviser,
Administrator and Custodian and/or
expenses reimbursed by Investment
Adviser (Note 2)...................... (36,302 )
(306,152) (65,007) (47,533) (202,516)
(20,899)
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
Total expenses........................ 16,629
142,986 58,000 37,130 204,316
8,280
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
NET INVESTMENT INCOME................... 348,262
5,097,662 1,280,546 565,346 3,757,213
123,547
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
NET REALIZED GAIN/(LOSS) ON INVESTMENTS
(Note 1).............................. 102
- -- (5,433) (2,318) (16,617)
(309)
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS....................... $348,364
$5,097,662 $1,275,113 $563,028 $3,740,596
$123,238
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
---------- -----
- --------- ----------- ----------- ----------- ------
- -----
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY
MARKET
FUND FUND FUND FUND
---
- ------------ --------------- ------------- -----------
- -
<S> <C>
<C> <C> <C>
Net investment income.................................. $
48,950,893 $ 41,499,037 $ 1,716,167 $ 348,262
Net realized gain/(loss) on investments sold during the
period...............................................
(18,926) (307,465) (4,414) 102
---
- ------------ --------------- ------------- -----------
- -
Net increase in net assets resulting from operations...
48,931,967 41,191,572 1,711,753 348,364
Distributions to shareholders from net investment
income:
Class A..............................................
(43,573,980) (41,181,970) (1,627,620) (348,262)
Class B..............................................
(5,074,017) (317,067) (88,547) --
Class C..............................................
(302,896) -- -- --
Net increase/(decrease) in net assets from share
transactions (Note 5):
Class A..............................................
(931,045,104) (2,661,092,722) (17,478,723)
(33,859,265)
Class B..............................................
(141,192,932) (8,459,589) 5,764,525 --
Class C..............................................
19,738,005 -- -- --
Class D..............................................
- -- (10,123) (100) --
Class E..............................................
100 100 100 100
---
- ------------ --------------- ------------- -----------
- -
Net increase/(decrease) in net assets..................
(1,052,518,857) (2,669,869,799) (11,718,612)
(33,859,063)
NET ASSETS:
Beginning of period....................................
3,217,019,239 3,998,697,910 121,532,644
41,709,478
---
- ------------ --------------- ------------- -----------
- -
End of period.......................................... $
2,164,500,382 $ 1,328,828,111 $109,814,032 $
7,850,415
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
<TABLE>
<CAPTION>
TREASURY
100% TREASURY CALIFORNIA
INSTRUMENTS
INSTRUMENTS TAX-FREE MUNICIPAL MUNICIPAL
MONEY MARKET
MONEY MARKET MONEY MARKET MONEY MARKET MONEY
MARKET
FUND II
FUND FUND FUND FUND
-------------- -
- ------------ ------------- -------------- ------------
<S> <C>
<C> <C> <C> <C>
Net investment income................... $ 5,097,662 $
1,280,546 $ 565,346 $ 3,757,213 $ 123,547
Net realized gain/(loss) on investments
sold during the period................ --
(5,433) (2,318) (16,617) (309)
-------------- -
- ------------ ------------- -------------- ------------
Net increase in net assets resulting
from operations....................... 5,097,662
1,275,113 563,028 3,740,596 123,238
Distributions to shareholders from net
investment income:
Class A............................... (4,499,615)
(1,280,546) (565,346) (3,757,213) (123,547)
Class B............................... (598,047)
- -- -- -- --
Class C............................... --
- -- -- -- --
Net increase/(decrease) in net assets
from share transactions (Note 5):
Class A............................... 125,088,497
(53,587,925) (29,613,387) (177,872,266) 753,284
Class B............................... (1,630,782)
- -- -- -- --
Class C............................... --
- -- -- -- --
Class D............................... --
- -- -- (100) --
Class E............................... 100
100 100 100 100
-------------- -
- ------------ ------------- -------------- ------------
Net increase/(decrease) in net assets... 123,457,815
(53,593,258) (29,615,605) (177,888,883) 753,075
NET ASSETS:
Beginning of period..................... 190,643,428
127,463,135 59,734,786 350,975,043 9,575,490
-------------- -
- ------------ ------------- -------------- ------------
End of period........................... $314,101,243 $
73,869,877 $ 30,119,181 $ 173,086,160 $10,328,565
-------------- -
- ------------ ------------- -------------- ------------
-------------- -
- ------------ ------------- -------------- ------------
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
FLOATING
RATE SHORT DURATION
U.S.
U.S.
GOVERNMENT GOVERNMENT
FUND* FUND*
--------
- ----- --------------
INVESTMENT INCOME:
<S> <C>
<C>
Interest.......................................... $
746,721 $ 511,272
--------
- ----- --------------
EXPENSES:
Investment Advisory fee (Note 2)..................
44,260 31,242
Administration fee (Note 2).......................
14,753 10,414
Service fees (Note 3)............................. --
417
Transfer Agent fees (Note 2)......................
3,721 2,685
Custodian fees (Note 2)...........................
6,278 4,662
Registration and filing fees......................
18,405 12,905
Trustees' fees and expenses (Note 2)..............
395 285
Amortization of organization costs (Note 6).......
4,000 3,333
Rating service fees...............................
4,583 4,583
Other.............................................
5,682 929
Fees waived by Investment Adviser, Administrator
and Custodian and expenses reimbursed by
Investment Adviser (Note 2)....................
(88,389) (61,599)
--------
- ----- --------------
Total expenses..................................
13,688 9,856
--------
- ----- --------------
NET INVESTMENT INCOME.............................
733,033 501,416
--------
- ----- --------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
(Notes 1 and 4)
Net realized loss on investments sold.............
(77,881) (21,257)
--------
- ----- --------------
Net change in unrealized depreciation of:
Securities......................................
(87,319) (64,838)
Futures contracts...............................
(76,325) (34,900)
--------
- ----- --------------
Net unrealized depreciation of investments........
(163,644) (99,738)
--------
- ----- --------------
Net realized and unrealized loss on investments...
(241,525) (120,995)
--------
- ----- --------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS..................................... $
491,508 $ 380,421
--------
- ----- --------------
--------
- ----- --------------
<FN>
- ------------------------------
* The Floating Rate U.S. Government Fund and Short Duration
U.S. Government Fund
commenced operations on March 28, 1994.
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JULY 31, 1994 (UNAUDITED)
<TABLE>
<CAPTION>
FLOATING
RATE SHORT DURATION
U.S.
U.S.
GOVERNMENT GOVERNMENT
FUND* FUND*
--------
- ----- --------------
<S> <C>
<C>
Net investment income............................. $
733,033 $ 501,416
Net realized loss on investments sold during the
period.........................................
(77,881) (21,257)
Net unrealized depreciation of investments and
futures contracts during the period............
(163,644) (99,738)
--------
- ----- --------------
Net increase in net assets resulting from
operations.....................................
491,508 380,421
Distributions to shareholders from net investment
income:
Premier.........................................
(705,405) (510,571)
Select.......................................... --
(8,201)
Net increase in net assets from share transactions
(Note 5):
Premier.........................................
48,986,980 31,511,637
Select.......................................... --
1,900,253
--------
- ----- --------------
Net increase in net assets........................
48,773,083 33,273,539
NET ASSETS:
Beginning of period...............................
100 100
--------
- ----- --------------
End of period (including undistributed net
investment income/(distributions in excess of
net investment income) of $27,628 and
($17,356), respectively).......................
$48,773,183 $33,273,639
--------
- ----- --------------
--------
- ----- --------------
- ------------------------------
* The Floating Rate U.S. Government Fund and Short Duration
U.S. Government Fund
commenced operations on March 28, 1994.
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JANUARY 31, 1994*
<TABLE>
<CAPTION>
100%
GOVERNMENT GOVERNMENT
PRIME PRIME VALUE OBLIGATIONS OBLIGATIONS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY
MARKET
FUND FUND FUND FUND
---
- ------------ --------------- ------------- -----------
- -
<S> <C>
<C> <C> <C>
Net investment income.................................. $
36,733,367 $ 35,712,810 $ 2,280,080 $ 849,394
Net realized gain/(loss) on investments sold during the
period...............................................
19,757 1,576 1,817 (92)
---
- ------------ --------------- ------------- -----------
- -
Net increase in net assets resulting from operations...
36,753,124 35,714,386 2,281,897 849,302
Distributions to shareholders from net investment
income:
Class A..............................................
(35,241,368) (35,371,441) (2,270,996) (849,394)
Class B..............................................
(1,490,671) (341,369) (9,084) --
Class C..............................................
(1,328) -- -- --
Class D..............................................
- -- -- -- --
Net increase in net assets from share transactions
(Note 5):
Class A..............................................
2,866,238,320 3,981,182,129 121,530,427
41,709,270
Class B..............................................
350,664,162 17,503,805 -- --
Class C..............................................
- -- -- -- --
Class D..............................................
- -- 10,100 100 --
---
- ------------ --------------- ------------- -----------
- -
Net increase in net assets.............................
3,216,922,239 3,998,697,610 121,532,344
41,709,178
NET ASSETS:
Beginning of period....................................
97,000 300 300 300
---
- ------------ --------------- ------------- -----------
- -
End of period.......................................... $
3,217,019,239 $ 3,998,697,910 $121,532,644
$41,709,478
---
- ------------ --------------- ------------- -----------
- -
---
- ------------ --------------- ------------- -----------
- -
</TABLE>
- ------------------------------
* The Trust commenced operations on February 8, 1993.
See Notes to Financial Statements.
44
<PAGE>
<TABLE>
<CAPTION>
TREASURY
100% TREASURY CALIFORNIA
INSTRUMENTS
INSTRUMENTS TAX-FREE MUNICIPAL MUNICIPAL
MONEY MARKET
MONEY MARKET MONEY MARKET MONEY MARKET MONEY
FUND II
FUND FUND FUND MARKET FUND
------------- --
- ----------- ------------ ------------- -----------
<S> <C>
<C> <C> <C> <C>
Net investment income................... $ 2,986,270 $
2,124,699 $ 371,826 $ 2,619,490 $ 155,648
Net realized gain/(loss) on investments
sold during the period................ (10)
6,349 4,796 18,503 (65)
------------- --
- ----------- ------------ ------------- -----------
Net increase in net assets resulting
from operations....................... 2,986,260
2,131,048 376,622 2,637,993 155,583
Distributions to shareholders from net
investment income:
Class A............................... (2,574,727)
(2,114,345) (371,826) (2,619,490) (155,063)
Class B............................... (411,543)
(10,354) -- -- (585)
Class C............................... --
- -- -- -- --
Class D............................... --
- -- -- -- --
Net increase in net assets from share
transactions (Note 5):
Class A............................... 156,781,648
127,456,486 59,729,690 350,956,140 9,575,255
Class B............................... 33,861,490
- -- -- -- --
Class C............................... --
- -- -- -- --
Class D............................... --
- -- -- 100 --
------------- --
- ----------- ------------ ------------- -----------
Net increase in net assets.............. 190,643,128
127,462,835 59,734,486 350,974,743 9,575,190
NET ASSETS:
Beginning of period..................... 300
300 300 300 300
------------- --
- ----------- ------------ ------------- -----------
End of period........................... $190,643,428
$127,463,135 $59,734,786 $350,975,043 $9,575,490
------------- --
- ----------- ------------ ------------- -----------
------------- --
- ----------- ------------ ------------- -----------
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX MONTHS
SIX MONTHS SIX MONTHS
ENDED PERIOD
ENDED PERIOD ENDED PERIOD
7/31/94 ENDED
7/31/94 ENDED 7/31/94## ENDED
(UNAUDITED) 1/31/94*
(UNAUDITED) 1/31/94* (UNAUDITED) 1/31/94*
------------ -------------
- ---------- ---------- ----------- ------------
<S> <C> <C>
<C> <C> <C> <C>
CLASS A CLASS A
CLASS B CLASS B CLASS C CLASS C
------------ -------------
- ---------- ---------- ----------- ------------
Net asset value, beginning
of period.................. $ 1.00 $ 1.00
$ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ -------------
- ---------- ---------- ----------- ------------
Net investment income+++.... 0.0188 0.0310
0.0176 0.0110 0.0065 0.0001
Dividends from net
investment income.......... (0.0188) (0.0310)
(0.0176) (0.0110) (0.0065) (0.0001)
------------ -------------
- ---------- ---------- ----------- ------------
Net asset value, end of
period..................... $ 1.00 $ 1.00
$ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ -------------
- ---------- ---------- ----------- ------------
------------ -------------
- ---------- ---------- ----------- ------------
Total return++.............. 1.90% 3.14%
1.77% 0.99% 0.64% -- ***
------------ -------------
- ---------- ---------- ----------- ------------
------------ -------------
- ---------- ---------- ----------- ------------
Ratios to average net
assets/supplemental data:
Net assets, end of period
(in 000's)............... $1,935,291 $2,866,353
$209,471 $350,666 $ 19,738 -- #
Ratio of net investment
income to average net
assets................... 3.73%+ 3.16%+
3.48%+ 2.91%+ 3.38%+ 2.81%+
Ratio of operating
expenses to average net
assets**................. 0.09%+ 0.11%+
0.34%+ 0.36%+ 0.44%+ 0.46%+
<FN>
- ------------------------
* The Prime Money Market Fund Class A, Class B and Class C
Shares commenced
operations on February 8, 1993, September 2, 1993 and
December 27, 1993,
respectively.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A,
Class B and Class C
for the six month period ended July 31, 1994 were 0.25%,
0.50% and 0.60%,
respectively, and for the period ended January 31, 1994
were 0.33%, 0.58%
and 0.68%, respectively.
*** All shares offered to the public on December 27, 1993
were redeemed on
December 28, 1993; therefore total return deemed not to
be meaningful.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A,
Class B and Class C
for the six month period ended July 31, 1994 was
$0.0181, $0.0168 and
$0.0062, respectively, and for the period ended January
31, 1994 was
$0.0289, $0.0102 and $0.0001, respectively.
# Total net assets for Class C were $100 at January 31,
1994.
## Total return represents period from June 1, 1994 to July
31, 1994.
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
PRIME VALUE MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED PERIOD
7/31/94 ENDED 7/31/94 ENDED
(UNAUDITED) 1/31/94* (UNAUDITED) 1/31/94*
- ------------ ------------- ---------- ----------
<S>
<C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B
- ------------ ------------- ---------- ----------
Net asset value, beginning of period......................
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------ ------------- ---------- ----------
Net investment income+++..................................
0.0189 0.0315 0.0177 0.0125
Dividends from net investment income......................
(0.0189) (0.0315) (0.0177) (0.0125)
- ------------ ------------- ---------- ----------
Net asset value, end of period............................
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------ ------------- ---------- ----------
- ------------ ------------- ---------- ----------
Total return++............................................
1.90% 3.21% 1.78% 1.26%
- ------------ ------------- ---------- ----------
- ------------ ------------- ---------- ----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$1,319,788 $3,981,184 $ 9,040 $ 17,504
Ratio of net investment income to average net assets....
3.68%+ 3.23%+ 3.43%+ 2.98%+
Ratio of operating expenses to average net assets**.....
0.06%+ 0.07%+ 0.31%+ 0.32%+
<FN>
- ------------------------
* The Prime Value Money Market Fund Class A and Class B
Shares commenced
operations on February 8, 1993 and September 1, 1993,
respectively.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A and
Class B for the six
month period ended July 31, 1994 were 0.25% and 0.50%,
respectively, and for
the period ended January 31, 1994 were 0.36% and 0.61%,
respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
and Class B for the
six month period ended July 31, 1994 was $0.0179 and
$0.0167, respectively,
and for the period ended January 31, 1994 was $0.0287
and $0.0113,
respectively.
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
GOVERNMENT OBLIGATIONS MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED PERIOD
7/31/94 ENDED 7/31/94 ENDED
(UNAUDITED) 1/31/94* (UNAUDITED) 1/31/94*
- ----------- ----------- ----------- -----------
<S>
<C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B
- ----------- ----------- ----------- -----------
Net asset value, beginning of period......................
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------- ----------- ----------- -----------
Net investment income+++..................................
0.0184 0.0309 0.0172 0.0091
Dividends from net investment income......................
(0.0184) (0.0309) (0.0172) (0.0091)
- ----------- ----------- ----------- -----------
Net asset value, end of period............................
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------- ----------- ----------- -----------
- ----------- ----------- ----------- -----------
Total return++............................................
1.85% 3.14% 1.73% 0.90%
- ----------- ----------- ----------- -----------
- ----------- ----------- ----------- -----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$104,051 $121,532 $ 5,763 -- #
Ratio of net investment income to average net assets....
3.71%+ 3.18%+ 3.46%+ 2.93%+
Ratio of operating expenses to average net assets**.....
0.15%+ 0.03%+ 0.40%+ 0.28%+
<FN>
- ------------------------
* The Government Obligations Money Market Fund Class A and
Class B Shares
commenced operations on February 8, 1993 and August 16,
1993, respectively.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A and
Class B for the six
month period ended July 31, 1994 were 0.30% and 0.55%,
respectively, and for
the period ended January 31, 1994 were 0.53% and 0.78%,
respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
and Class B for the
six month period ended July 31, 1994 was $0.0177 and
$0.0165, respectively,
and for the period ended January 31, 1994 was $0.0261
and $0.0075,
respectively.
# Total net assets for Class B were $100 at January 31,
1994.
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
100% GOVERNMENT OBLIGATIONS MONEY MARKET
FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
7/31/94 ENDED
(UNAUDITED) 1/31/94*
- ----------- -----------
<S>
<C> <C>
CLASS A CLASS A
- ----------- -----------
Net asset value, beginning of period......................
$ 1.00 $ 1.00
- ----------- -----------
Net investment income+++..................................
0.0175 0.0304
Dividends from net investment income......................
(0.0175) (0.0304)
- ----------- -----------
Net asset value, end of period............................
$ 1.00 $ 1.00
- ----------- -----------
- ----------- -----------
Total return++............................................
1.76% 3.09%
- ----------- -----------
- ----------- -----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$ 7,850 $ 41,709
Ratio of net investment income to average net assets....
3.35%+ 3.11%+
Ratio of operating expenses to average net assets**.....
0.16%+ 0.06%+
<FN>
- ------------------------
* The 100% Government Obligations Money Market Fund Class
A Shares commenced
operations on February 8, 1993.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A for
the six month
period ended July 31, 1994 and for the period ended
January 31, 1994 were
0.51% and 0.92%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
for the six month
period ended July 31, 1994 was $0.0157, and for the
period ended January 31,
1994 was $0.0220.
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
TREASURY INSTRUMENTS MONEY MARKET FUND II
<TABLE>
<CAPTION>
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED PERIOD
7/31/94 ENDED 7/31/94 ENDED
(UNAUDITED) 1/31/94* (UNAUDITED) 1/31/94*
- ----------- ----------- ----------- -----------
<S>
<C> <C> <C> <C>
CLASS A CLASS A CLASS B CLASS B
- ----------- ----------- ----------- -----------
Net asset value, beginning of period......................
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------- ----------- ----------- -----------
Net investment income+++..................................
0.0180 0.0300 0.0167 0.0198
Dividends from net investment income......................
(0.0180) (0.0300) (0.0167) (0.0198)
- ----------- ----------- ----------- -----------
Net asset value, end of period............................
$ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------- ----------- ----------- -----------
- ----------- ----------- ----------- -----------
Total return++............................................
1.81% 3.04% 1.68% 2.00%
- ----------- ----------- ----------- -----------
- ----------- ----------- ----------- -----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$281,870 $156,782 $ 32,231 $ 33,862
Ratio of net investment income to average net assets....
3.65%+ 3.12%+ 3.40%+ 2.87%+
Ratio of operating expenses to average net assets**.....
0.07%+ 0.03%+ 0.32%+ 0.28%+
<FN>
- ------------------------
* The Treasury Instruments Money Market Fund II Class A
and Class B Shares
commenced operations on February 8, 1993 and May 24,
1993, respectively.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A and
Class B for the six
month period ended July 31, 1994 were 0.22% and 0.47%,
respectively, and for
the period ended January 31, 1994 were 0.49% and 0.74%,
respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
and Class B for the
six month period ended July 31, 1994 was $0.0169 and
$0.0157, respectively,
and for the period ended January 31, 1994 was $0.0256
and $0.0166,
respectively.
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
100% TREASURY INSTRUMENTS MONEY MARKET
FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD PERIOD
7/31/94 ENDED ENDED
(UNAUDITED) 1/31/94* 1/31/94*
- ----------- ----------- -----------
<S>
<C> <C> <C>
CLASS A CLASS A CLASS B
- ----------- ----------- -----------
Net asset value, beginning of period......................
$ 1.00 $ 1.00 $ 1.00
- ----------- ----------- -----------
Net investment income+++..................................
0.0170 0.0292 0.0149
Dividends from net investment income......................
(0.0170) (0.0292) (0.0149)
- ----------- ----------- -----------
Net asset value, end of period............................
$ 1.00 $ 1.00 $ 1.00
- ----------- ----------- -----------
- ----------- ----------- -----------
Total return++............................................
1.72% 2.95% 1.55%
- ----------- ----------- -----------
- ----------- ----------- -----------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$ 73,870 $127,463 -- #
Ratio of net investment income to average net assets....
3.40%+ 3.03%+ 2.78%+
Ratio of operating expenses to average net assets**.....
0.15%+ 0.05%+ 0.30%+
<FN>
- ------------------------
* The 100% Treasury Instruments Money Market Fund Class A
and Class B Shares
commenced operations on February 8, 1993 and May 2,
1993, respectively.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A for
the six month
period ended July 31, 1994 were 0.33%, and for Class A
and Class B for the
period ended January 31, 1994 were 0.51% and 0.76%,
respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
for the six month
period ended July 31, 1994 was $0.0168, and for Class A
and Class B for the
period ended January 31, 1994 was $0.0248 and $0.0124,
respectively.
# Total net assets for Class B were $100 at January 31,
1994.
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
TAX-FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED PERIOD
7/31/94 ENDED
(UNAUDITED) 1/31/94*
- --------- ---------
<S>
<C> <C>
CLASS A CLASS A
- --------- ---------
Net asset value, beginning of period......................
$ 1.00 $ 1.00
- --------- ---------
Net investment income+++..................................
0.0122 0.0228
Dividends from net investment income......................
(0.0122) (0.0228)
- --------- ---------
Net asset value, end of period............................
$ 1.00 $ 1.00
- --------- ---------
- --------- ---------
Total return++............................................
1.23% 2.30%
- --------- ---------
- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$ 30,119 $ 59,735
Ratio of net investment income to average net assets....
2.44%+ 2.38%+
Ratio of operating expenses to average net assets**.....
0.16%+ 0.11%+
<FN>
- ------------------------
* The Tax-Free Money Market Fund Class A Shares commenced
operations on
February 8, 1993.
** Annualized expense ratio before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A for
the six month
period ended July 31, 1994 and for the period ended
January 31, 1994 were
0.36% and 1.52%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
for the six month
period ended July 31, 1994 was $0.0112, and for the
period ended January 31,
1994 was $0.0093.
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED PERIOD
7/31/94 ENDED
(UNAUDITED) 1/31/94*
- --------- ---------
<S>
<C> <C>
CLASS A CLASS A
- --------- ---------
Net asset value, beginning of period......................
$ 1.00 $ 1.00
- --------- ---------
Net investment income+++..................................
0.0129 0.0243
Dividends from net investment income......................
(0.0129) (0.0243)
- --------- ---------
Net asset value, end of period............................
$ 1.00 $ 1.00
- --------- ---------
- --------- ---------
Total return++............................................
1.31% 2.46%
- --------- ---------
- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$173,086 $ 350,975
Ratio of net investment income to average net assets....
2.58%+ 2.53%+
Ratio of operating expenses to average net assets++.....
0.14%+ 0.13%+
<FN>
- ------------------------
* The Municipal Money Market Fund Class A Shares commenced
operations on
February 8, 1993.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A for
the six month
period ended July 31, 1994 and for the period ended
January 31, 1994 were
0.28% and 0.51%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
for the six month
period ended July 31, 1994 was $0.0122, and for the
period ended January 31,
1994 was $0.0201.
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
CALIFORNIA MUNICIPAL MONEY MARKET FUND
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED PERIOD PERIOD
7/31/94 ENDED ENDED
(UNAUDITED) 1/31/94* 1/31/94*
- --------- --------- ---------
<S>
<C> <C> <C>
CLASS A CLASS A CLASS B
- --------- --------- ---------
Net asset value, beginning of period......................
$ 1.00 $ 1.00 $ 1.00
- --------- --------- ---------
Net investment income+++..................................
0.0119 0.0225 0.0003
Dividends from net investment income......................
(0.0119) (0.0225) (0.0003)
- --------- --------- ---------
Net asset value, end of period............................
$ 1.00 $ 1.00 $ 1.00
- --------- --------- ---------
- --------- --------- ---------
Total return++............................................
1.19% 2.29% --***
- --------- --------- ---------
- --------- --------- ---------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$ 10,329 $ 9,575 --#
Ratio of net investment income to average net assets....
2.39%+ 2.31%+ 2.06%+
Ratio of operating expenses to average net assets**.....
0.16%+ 0.09%+ 0.34%+
<FN>
- ------------------------
* The California Municipal Money Market Fund Class A and
Class B Shares
commenced operations on February 8, 1993 and January 6,
1993, respectively.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/or Transfer Agent and/or
expenses reimbursed by
the Investment Adviser and Administrator for Class A for
the six month
period ended July 31, 1994 were 0.56%, and for Class A
and Class B for the
period ended January 31, 1994 were 1.80% and 2.05%,
respectively.
*** All shares offered to the public on January 6, 1994 were
redeemed on January
11, 1994; therefore total return deemed not to be
meaningful.
+ Annualized.
++ Total return represents aggregate total return for the
periods indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator, Custodian and/ or Transfer Agent and/or
expenses reimbursed
by the Investment Adviser and Administrator for Class A
for the six month
period ended July 31, 1994 was $0.0099, and for Class A
and Class B for the
period ended January 31, 1994 was $0.0058 and $0.0001,
respectively.
# Total net assets for Class B were $100 at January 31,
1994.
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
FLOATING RATE U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
PERIOD
ENDED
7/31/94*
(UNAUDITED)
- --------
<S>
<C>
PREMIER
- --------
Net asset value, beginning of period......................
$ 10.00
- --------
Net investment income+++..................................
0.17
Net realized and unrealized loss on investments...........
(0.07)
- --------
Net increase in net assets resulting from investment
operations...............................................
0.10
Dividends from net investment income......................
(0.16)
- --------
Net asset value, end of period............................
$ 9.94
- --------
- --------
Total return++............................................
1.03%
- --------
- --------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$48,773
Ratio of net investment income to average net assets....
5.00%+
Ratio of operating expenses to average net assets**.....
0.09%+
Portfolio turnover rate...................................
166%
<FN>
- ------------------------
* The Floating Rate U.S. Government Fund Premier Shares
commenced operations
on March 28, 1994.
** Annualized expense ratio before waiver of fees by the
Investment Adviser and
Administrator and expenses reimbursed by the Investment
Adviser for Premier
Shares for the period ended July 31, 1994 was 0.70%.
+ Annualized.
++ Total return represents aggregate total return for the
period indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser and
Administrator and expenses reimbursed by the Investment
Adviser for Premier
Shares for the period ended July 31, 1994 was $0.15.
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD.
SHORT DURATION U.S. GOVERNMENT FUND
<TABLE>
<CAPTION>
PERIOD PERIOD
ENDED ENDED
7/31/94* 7/31/94*
(UNAUDITED) (UNAUDITED)
- -------- --------
<S>
<C> <C>
PREMIER SELECT
- -------- --------
Net asset value, beginning of period......................
$ 10.00 $ 10.00
- -------- --------
Net investment income+++..................................
0.17 0.16
Net realized and unrealized loss on investments...........
(0.05) (0.05)
- -------- --------
Net increase in net assets resulting from investment
operations...............................................
0.12 0.11
Dividends from net investment income......................
(0.17) (0.16)
- -------- --------
Net asset value, end of period............................
$ 9.95 $ 9.95
- -------- --------
- -------- --------
Total return ++...........................................
1.21% 0.92%
- -------- --------
- -------- --------
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)....................
$31,372 $ 1,902
Ratio of net investment income to average net assets....
4.82%+ 4.69%+
Ratio of operating expenses to average net assets**.....
0.09%+ 0.22%+
Portfolio turnover rate...................................
116% 116%
<FN>
- ------------------------
* The Short Duration U.S. Government Fund Premier and
Select Shares commenced
operations on March 28, 1994.
** Annualized expense ratios before waiver of fees by the
Investment Adviser,
Administrator and Custodian and expenses reimbursed by
Investment Adviser
for Premier and Select Shares for the period ended July
31, 1994 were 0.68%
and 0.81%, respectively.
+ Annualized.
++ Total return represents aggregate total return for the
period indicated.
+++ Net investment income before waiver of fees by the
Investment Adviser,
Administrator and Custodian and expenses reimbursed by
Investment Adviser
for Premier and Select Shares for the period ended July
31, 1994 was $0.14
and $0.14, respectively.
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
Notes to Financial Statements (unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
Lehman Brothers Institutional Funds Group Trust
(the "Trust") was
established on November 25, 1992 as a Massachusetts
business trust. It is an
open-end management investment company, which consists of
eleven funds: Prime
Money Market Fund, Prime Value Money Market Fund,
Government Obligations Money
Market Fund, 100% Government Obligations Money Market Fund,
Treasury Instruments
Money Market Fund II, 100% Treasury Instruments Money
Market Fund, Tax-Free
Money Market Fund, Municipal Money Market Fund,
California Municipal Money
Market Fund, (collectively the "Money Market Funds"),
Floating Rate U.S.
Government Fund and Short Duration U.S. Government Fund (the
"Funds"). All Money
Market Funds currently offer four classes of shares: Class
A, Class B, Class C,
and Class E. The Prime Value Money Market Fund,
Government Obligations Money
Market Fund and Municipal Money Market Fund offered Class
D shares to certain
individual investors. As of March 28, 1994, Class D
shares were no longer
offered. The Floating Rate U.S. Government Fund and the
Short Duration U.S.
Government Fund currently offer two classes of shares:
Premier and Select
shares. Class A shares and Premier shares are sold to
institutional investors
that have not entered into servicing agreements. Class B,
Class C, Class E and
Select shares bear service fees. All classes of shares have
identical rights and
privileges except that Class B, Class C, Class E and
Select shares possess
certain exclusive voting rights on matters relating to
their respective service
fees. As of July 31, 1994, the Board of Trustees had
authorized the issuance of
a third class of shares for the Floating Rate U.S.
Government Fund and the Short
Duration U.S. Government Fund which are designated for
individual investors. As
of July 29, 1994, shares of the Treasury Instruments Money
Market Fund were no
longer sold to the public. The following is a summary of
significant accounting
policies consistently followed by the Funds in the
preparation of their
financial statements.
PORTFOLIO VALUATION: Securities of the Money Market
Funds are valued at
amortized cost, which approximates market value.
Amortized cost valuation
involves valuing a security at cost initially and,
thereafter, assuming a
constant amortization to maturity of any discount or
premium, as long as the
effect of fluctuating interest rates on the market value
of the instruments is
not significant.
For the Floating Rate U.S. Government Fund and the
Short Duration U.S.
Government Fund, portfolio securities for which market
quotations are readily
available will be valued on the basis of quotations provided
by dealers in such
securities or furnished by a pricing service. Portfolio
securities for which
market quotations are not readily available and other
assets will be valued at
fair value using methods determined in good faith by
the Investment Adviser
under the supervision of the Trustees and may include
yield equivalents or a
pricing matrix. Short-term obligations having 60 days or
less to maturity are
valued at amortized cost.
REPURCHASE AGREEMENTS: Certain Funds may engage in
repurchase agreement
transactions. The Fund values repurchase agreements at cost
and accrues interest
into interest receivable. Under the terms of a typical
repurchase agreement, the
Fund takes possession of the underlying debt obligation
subject to an obligation
of the seller to repurchase, and the Fund to resell,
the obligation at an
agreed-upon price and time, thereby determining the yield
during the Fund's
holding period. This arrangement results in a fixed rate
of return that is not
subject to market fluctuations during the Fund's holding
period. The value of
the collateral, taken as a part of the repurchase
agreement, is at least equal
at all times to the total amount of the repurchase
obligations, including
interest. In the event of counterparty default, the Fund
has the right to use
the collateral to offset losses incurred. There is potential
loss to the Fund in
the event the Fund is delayed or prevented from exercising
its rights to dispose
of the collateral securities, including the risk of a
possible decline in the
value of the underlying securities during the period
while the Fund seeks to
assert its rights. The Fund's Investment Adviser and
Administrator, acting under
the supervision of the Board of Trustees, reviews the
value of the collateral
and the creditworthiness of those banks and dealers with
which the Funds enter
into repurchase agreements to evaluate potential risks.
FUTURES CONTRACTS: The Floating Rate U.S. Government
Fund and the Short
Duration U.S. Government Fund may engage in futures
transactions. Upon entering
into a futures contract, the Fund is required to deposit
with the broker an
amount of cash or cash equivalents equal to a certain
percentage of the contract
amount. This
57
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
is known as the "initial margin." Subsequent payments
("variation margin") are
made or received by the Fund each day, depending on the
daily fluctuation of the
value of the contract. The daily changes in the
contract are recorded as
unrealized gains or losses. The Fund recognizes a realized
gain or loss when the
contract is closed.
There are several risks in connection with the use of
futures contracts as a
hedging device. The change in the value of futures
contracts primarily
corresponds with the value of their underlying
instruments, which may not
correlate with the change in the value of the hedged
instruments. In addition,
there is the risk the Fund may not be able to enter into a
closing transaction
because of an illiquid secondary market.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are
recorded as of the trade date. Realized gains and losses on
investments sold are
recorded on the basis of identified cost. Interest income
is recorded on the
accrual basis. Investment income and realized and
unrealized gains and losses
are allocated based upon the relative net assets of each
class of shares.
EXPENSES: Operating expenses directly attributable to a
class of shares are
charged to that class' operations. Expenses of the
Funds not directly
attributable to the operations of any class of shares are
prorated among the
classes to which the expense relates based on the relative
net assets of each
class of shares.
FEDERAL INCOME TAXES: The Funds intend to qualify as
regulated investment
companies by complying with the requirements of the
Internal Revenue Code of
1986, as amended and applicable to regulated
investment companies and by
distributing substantially all of their taxable income to
their shareholders.
Therefore, no Federal income tax provision is required.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends
from net investment
income of each Fund are determined on a class level and are
declared daily and
paid monthly. The Money Market Funds do not expect to
realize any net long-term
capital gains and therefore do not contemplate payments of
any capital gains
dividends. Net capital gain distributions, if any, will be
made annually for the
Floating Rate U.S. Government Fund and the Short Duration
U.S. Government Fund.
Income dividends and capital gain distribution are
determined at fiscal year
end in accordance with income tax regulations which may
differ from generally
accepted accounting principles. These differences are
primarily due to differing
treatments of income and gains on various investment
securities held by the
Fund, timing differences and differing characterization of
distributions made by
the Fund as a whole.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER
RELATED PARTY
TRANSACTIONS
Lehman Brothers Global Asset Management Inc.
("LBGAM"), serves as the
Trust's Investment Adviser pursuant to Investment
Advisory Agreements dated
February 5, 1993 and January 3, 1994. LBGAM is a
wholly-owned subsidiary of
Lehman Brothers Holdings Inc. ("Holdings"). Prior to May
31, 1994, all of the
issued and outstanding common stock (representing 92% of
the voting stock) of
Holdings was held by American Express Company ("American
Express"). On May 31,
1994, American Express distributed to holders of common
stock of American
Express all outstanding shares of common stock of Holdings.
As of May 31, 1994,
Nippon Life Insurance Company owned 11.2% of the
outstanding voting securities
of Holdings. Under the Investment Advisory Agreements,
LBGAM is entitled to
receive a monthly fee at an annual rate of 0.10% of
the value of each
58
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Money Market Fund's average daily net assets and 0.30%
of the value of the
average daily net assets for the Floating Rate U.S.
Government Fund and the
Short Duration U.S. Government Fund. For the six months
ended July 31, 1994,
LBGAM voluntarily waived and reimbursed expenses as follows:
<TABLE>
<CAPTION>
FEES
WAIVED EXPENSES REIMBURSED
----
- -------- --------------------
<S> <C>
<C>
Prime Money Market Fund............................... $
939,996 -$-
Prime Value Money Market Fund.........................
1,093,295 --
Government Obligations Money Market Fund..............
19,538 --
100% Government Obligations Money Market Fund.........
10,399 13,383
Treasury Instruments Money Market Fund II.............
140,955 31,135
100% Treasury Instruments Money Market Fund...........
24,360 --
Tax-Free Money Market Fund............................
19,868 --
Municipal Money Market Fund...........................
61,116 --
California Municipal Money Market Fund................
5,182 9,872
Floating Rate U.S. Government Fund....................
44,260 30,377
Short Duration U.S. Government Fund...................
31,242 20,709
</TABLE>
The Shareholder Services Group, Inc. ("TSSG") a
wholly-owned subsidiary of
First Data Corporation ("FDC") serves as the Trust's
administrator pursuant to
an Administration Agreement. Under the Administration
Agreement TSSG is entitled
to receive a monthly fee at the annual rate of 0.10% of the
value of each Fund's
respective average daily net assets. TSSG also serves as
the Trust's Transfer
Agent and receives additional fees for such services.
Prior to the close of business on May 6, 1994, The
Boston Company Advisors,
Inc. served as the Trust's administrator and received
fees equivalent to the
current rate for its services.
For the six months ended July 31, 1994, TSSG waived
expenses as follows:
<TABLE>
<CAPTION>
FEES WAIVED
- ------------
<S>
<C>
Prime Money Market
Fund........................................................
....... $1,057,846
Prime Value Money Market
Fund........................................................
. 901,970
Government Obligations Money Market
Fund..............................................
37,147
100% Government Obligations Money Market
Fund......................................... 8,320
Treasury Instruments Money Market Fund
II............................................. 112,762
100% Treasury Instruments Money Market
Fund........................................... 30,147
Tax-Free Money Market
Fund........................................................
.... 18,565
Municipal Money Market
Fund........................................................
... 116,335
California Municipal Money Market
Fund................................................
4,145
Floating Rate U.S. Government
Fund....................................................
8,852
Short Duration U.S. Government
Fund...................................................
6,248
</TABLE>
No officer or employee of Lehman Brothers Inc.,
LBGAM, TSSG or of any
parent, subsidiary or affiliate thereof receives any
compensation from the Trust
for serving as an officer or Trustee of the Trust. The
Trust pays each Trustee
who is not an officer or employee of Lehman Brothers Inc.,
LBGAM or TSSG or any
parent subsidiary, or affiliate thereof $20,000 per
annum, plus $1,250 per
meeting attended, and reimburses each such Trustee for
travel and out-of-pocket
expenses.
59
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Boston Safe Deposit and Trust Company ("Boston
Safe"), an indirect
wholly-owned subsidiary of Mellon, serves as the Funds'
custodian. For the six
months ended July 31, 1994, Boston Safe waived fees as
follows:
<TABLE>
<CAPTION>
BOSTON SAFE
FEES WAIVED
- ------------
<S>
<C>
Prime Money Market Fund..................................
$ 134,600
Prime Value Money Market Fund............................
113,050
Government Obligations Money Market Fund.................
11,200
100% Government Obligations Money Market Fund............
4,200
Treasury Instruments Money Market Fund II................
21,300
100% Treasury Instruments Money Market Fund..............
10,500
Tax-Free Money Market Fund...............................
9,100
Municipal Money Market Fund..............................
25,065
California Municipal Money Market Fund...................
1,700
Floating Rate U.S. Government Fund.......................
4,900
Short Duration U.S. Government Fund......................
3,400
</TABLE>
3. SERVICES AGREEMENTS
Lehman Brothers Inc. acts as Distributor of the Trust's
shares.
Pursuant to Rule 12b-1 under the Investment Company
Act of 1940, the Funds
have adopted Service Agreements with institutional
investors such as banks,
savings and loan associations and other financial
institutions ("service
organizations") which may purchase Class B, Class C, Class E
and Select shares.
Under the Service Agreements each Fund compensates
service organizations for
servicing shareholder accounts and covers expenses
incurred in distributing
Class B, Class C, Class E and Select shares. Service
Agreement fees are paid by
each Fund based on the value of the average daily net assets
of each respective
class of shares at the annual rates as follows: 15% for
Class E shares; 25% for
the Class B and Select shares; and 35% for Class C shares.
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from
sales of securities,
excluding short-term investments, for the six months ended
July 31, 1994 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
- ------------ ------------
<S>
<C> <C>
Floating Rate U.S. Government Fund.......................
$90,103,720 $47,969,189
Short Duration U.S. Government Fund......................
51,281,233 22,160,059
</TABLE>
At July 31, 1994, aggregate gross unrealized
appreciation for all securities
in which there is an excess of value over tax cost
and aggregate gross
unrealized depreciation for all securities in which there
is an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION
- ------------ ------------
<S>
<C> <C>
Floating Rate U.S. Government Fund.......................
$ 45,244 $ 132,563
Short Duration U.S. Government Fund......................
13,855 78,693
</TABLE>
5. SHARES OF BENEFICIAL INTEREST
The Trustees have authority to issue an unlimited
number of $.001 par value
shares of beneficial interest currently divided into four
classes for each Money
Market Fund and two classes for the Floating Rate U.S.
Government Fund and the
Short Duration U.S. Government Fund. Since the Money
Market Funds have sold
shares, issued shares as reinvestments of dividends and
redeemed shares only at
a constant net asset value of $1.00 per share, the number
of shares represented
by such sales, reinvestments and redemptions is the same
of the amounts shown
below for such transactions.
60
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Table below summarizes transactions of Class A,
Class B, Class C and
Class E shares, at $1.00, for the PRIME MONEY MARKET FUND:
<TABLE>
<CAPTION>
SIX
MONTHS ENDED
7/31/94
----------------------------------
- --------------------------------------
CLASS A CLASS B
CLASS C CLASS E
--------------- ---------------
- --------------- ---------------
<S> <C> <C>
<C> <C>
Sold.................. 28,423,578,521 526,138,178
149,200,003 100
Dividend
Reinvestment......... 15,280,508 5,244
2 --
Redeemed.............. (29,369,904,133)
(667,336,354) (129,462,000) --
--------------- ---------------
- --------------- ---------------
Net
increase/(decrease)... (931,045,104)
(141,192,932) 19,738,005 100
--------------- ---------------
- --------------- ---------------
--------------- ---------------
- --------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
PERIOD ENDED
1/31/94*
----------------------------------
- -------------------
CLASS A CLASS B
CLASS C
--------------- ---------------
- ---------------
<S> <C> <C>
<C> <C>
Sold.................. 21,207,896,867 548,120,402
16,828,189
Dividend
Reinvestment......... 7,640,432 548
- --
Redeemed.............. (18,349,298,979)
(197,456,788) (16,828,189)
--------------- ---------------
- ---------------
Net increase.......... 2,866,238,320 350,664,162
0
--------------- ---------------
- ---------------
--------------- ---------------
- ---------------
</TABLE>
The Table below summarizes transactions of Class A,
Class B, Class D and
Class E shares, at $1.00, for the PRIME VALUE MONEY MARKET
FUND:
<TABLE>
<CAPTION>
SIX
MONTHS ENDED
7/31/94
----------------------------------
- --------------------------------------
CLASS A CLASS B
CLASS D CLASS E
--------------- ---------------
- --------------- ---------------
<S> <C> <C>
<C> <C>
Sold.................. 20,291,294,553 58,601,725
- -- 100
Dividend
Reinvestment......... 12,093,356 --
23 --
Redeemed.............. (22,964,480,631)
(67,061,314) (10,146) --
--------------- ---------------
- --------------- ---------------
Net
increase/(decrease)... (2,661,092,722)
(8,459,589) (10,123) 100
--------------- ---------------
- --------------- ---------------
--------------- ---------------
- --------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
----------------------------------
- -------------------
CLASS A CLASS B
CLASS D
--------------- ---------------
- ---------------
<S> <C> <C>
<C> <C>
Sold.................. 16,321,320,158 51,179,212
10,100
Dividend
Reinvestment......... 7,546,037 --
- --
Redeemed.............. (12,347,684,066)
(33,675,407) --
--------------- ---------------
- ---------------
Net increase.......... 3,981,182,129 17,503,805
10,100
--------------- ---------------
- ---------------
--------------- ---------------
- ---------------
</TABLE>
61
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Table below summarizes transactions of Class A,
Class B, Class D and
Class E shares, at $1.00, for the GOVERNMENT OBLIGATIONS
MONEY MARKET FUND:
<TABLE>
<CAPTION>
SIX
MONTHS ENDED
7/31/94*
-------------------------
- -----------------------------------
CLASS A CLASS B
CLASS D CLASS E
------------ ---------
- --- ------------ ------------
<S> <C> <C>
<C> <C>
Sold........................... 733,540,038
24,776,013 -- 100
Dividend Reinvestment.......... 283,098
2,560 -- --
Redeemed....................... (751,301,859)
(19,014,048) (100) --
------------ ---------
- --- ------------ ------------
Net increase/(decrease)........ (17,478,723 )
5,764,525 (100) 100
------------ ---------
- --- ------------ ------------
------------ ---------
- --- ------------ ------------
<CAPTION>
PERIOD
ENDED
1/31/94*
-------------------------
- -------------------
CLASS A CLASS B
CLASS D
------------ ---------
- --- ------------
<S> <C> <C>
<C> <C>
Sold........................... 691,207,998
1,002,462 100
Dividend Reinvestment.......... 579,010
8,677 --
Redeemed....................... (570,256,581)
(1,011,139) --
------------ ---------
- --- ------------
Net increase................... 121,530,427
0 100
------------ ---------
- --- ------------
------------ ---------
- --- ------------
</TABLE>
The Table below summarizes transactions of Class A and
Class E shares, at
$1.00, for the 100% GOVERNMENT OBLIGATIONS MONEY MARKET
FUND:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
7/31/94
-------------------------
- ---
CLASS A CLASS E
------------ ---------
- ---
<S> <C> <C>
<C> <C>
Sold........................... 13,489,483
100
Dividend Reinvestment.......... 1,429 --
Redeemed....................... (47,350,177 ) --
------------ ---------
- ---
Net increase/(decrease)........ (33,859,265 )
100
------------ ---------
- ---
------------ ---------
- ---
<CAPTION>
PERIOD ENDED
1/31/94*
------------
CLASS A
------------
<S> <C> <C>
<C> <C>
Sold........................... 94,083,622
Dividend Reinvestment.......... 1,889
Redeemed....................... (52,376,241 )
------------
Net increase................... 41,709,270
------------
------------
</TABLE>
62
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Table below summarizes transactions of Class A,
Class B and Class E
shares, at $1.00, for the TREASURY INSTRUMENTS MONEY MARKET
FUND II:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
7/31/94
---------------
- --------------------------------------
CLASS A
CLASS B CLASS E
---------------
- --------------- ---------------
<S> <C>
<C> <C>
Sold..................................... 1,051,006,225
82,013,435 100
Dividend Reinvestment.................... 520,027
465,945 --
Redeemed.................................
(926,437,755) (84,110,162) --
---------------
- --------------- ---------------
Net increase/(decrease).................. 125,088,497
(1,630,782) 100
---------------
- --------------- ---------------
---------------
- --------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
---------------
- -------------------
CLASS A
CLASS B
---------------
- ---------------
<S> <C>
<C> <C>
Sold..................................... 1,213,748,675
34,177,279
Dividend Reinvestment.................... 172,105
411,598
Redeemed.................................
(1,057,139,132) (727,387)
---------------
- ---------------
Net increase............................. 156,781,648
33,861,490
---------------
- ---------------
---------------
- ---------------
</TABLE>
The Table below summarizes transactions of Class A,
Class B and Class E
shares, at $1.00, for the 100% TREASURY INSTRUMENTS MONEY
MARKET FUND:
<TABLE>
<CAPTION>
SIX
MONTHS ENDED
7/31/94
---------------
- -------------------
CLASS A
CLASS E
---------------
- ---------------
<S> <C>
<C> <C>
Sold..................................... 105,779,794
100
Dividend Reinvestment.................... 197
- --
Redeemed.................................
(159,367,916) --
---------------
- ---------------
Net increase/(decrease)..................
(53,587,925) 100
---------------
- ---------------
---------------
- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
---------------
- -------------------
CLASS A
CLASS B
---------------
- ---------------
<S> <C>
<C> <C>
Sold..................................... 300,937,678
1,196,815
Dividend Reinvestment.................... --
8,667
Redeemed.................................
(173,481,192) (1,205,482)
---------------
- ---------------
Net increase............................. 127,456,486
0
---------------
- ---------------
---------------
- ---------------
</TABLE>
63
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Table below summarizes transactions of Class A and
Class E shares, at
$1.00, for the TAX-FREE MONEY MARKET FUND:
<TABLE>
<CAPTION>
SIX
MONTHS ENDED
7/31/94
---------------
- -------------------
CLASS A
CLASS E
---------------
- ---------------
<S> <C>
<C> <C>
Sold..................................... 210,784,532
100
Dividend Reinvestment.................... 29,174
- --
Redeemed................................. (240,427,093
) --
---------------
- ---------------
Net increase/(decrease).................. (29,613,387
) 100
---------------
- ---------------
---------------
- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
---------------
CLASS A
---------------
<S> <C>
<C> <C>
Sold..................................... 159,786,350
Dividend Reinvestment.................... 11,346
Redeemed................................. (100,068,006
)
---------------
Net increase............................. 59,729,690
---------------
---------------
</TABLE>
The Table below summarizes transactions of Class A,
Class D and Class E
shares, at $1.00, for the MUNICIPAL MONEY MARKET FUND:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
7/31/94
---------------
- --------------------------------------
CLASS A
CLASS D CLASS E
---------------
- --------------- ---------------
<S> <C>
<C> <C>
Sold..................................... 2,376,369,000
- -- 100
Dividend Reinvestment.................... 931,954
- -- --
Redeemed................................. (2,555,173,220
) (100) --
---------------
- --------------- ---------------
Net increase/(decrease).................. (177,872,266
) (100) 100
---------------
- --------------- ---------------
---------------
- --------------- ---------------
<CAPTION>
PERIOD ENDED
1/31/94*
---------------
- -------------------
CLASS A
CLASS D
---------------
- ---------------
<S> <C>
<C> <C>
Sold..................................... 1,935,295,434
100
Dividend Reinvestment.................... 300,097
- --
Redeemed................................. (1,584,639,391
) --
---------------
- ---------------
Net increase............................. 350,956,140
100
---------------
- ---------------
---------------
- ---------------
</TABLE>
64
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
The Table below summarizes transactions of Class A,
Class B and Class E
shares, at $1.00, for the CALIFORNIA MUNICIPAL MONEY MARKET
FUND:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
7/31/94
-------
- -------------------
CLASS
A CLASS E
-------
- ----- -----------
<S> <C>
<C>
Sold........................................
18,757,128 100
Redeemed....................................
(18,003,844) --
-------
- ----- -----------
Net increase................................
753,284 100
-------
- ----- -----------
-------
- ----- -----------
<CAPTION>
PERIOD ENDED
1/31/94*
-------
- -------------------
CLASS
A CLASS B
-------
- ----- -----------
<S> <C>
<C>
Sold........................................
21,700,100 3,949,532
Redeemed....................................
(12,124,845) (3,949,532)
-------
- ----- -----------
Net increase................................
9,575,255 0
-------
- ----- -----------
-------
- ----- -----------
</TABLE>
The Table below summarizes transactions of Premier
shares for the FLOATING
RATE U.S. GOVERNMENT FUND:
<TABLE>
<CAPTION>
PERIOD ENDED
7/31/94**
-------
- -------------------
PREMIER SHARES
-------
- -------------------
SHARES AMOUNT
-------
- ----- -----------
<S> <C>
<C>
Sold........................................
4,923,126 $49,150,877
Redeemed....................................
(16,409) (163,897)
-------
- ----- -----------
Net increase................................
4,906,717 $48,986,980
-------
- ----- -----------
-------
- ----- -----------
</TABLE>
The Table below summarizes transactions of Premier and
Select shares for the
SHORT DURATION U.S. GOVERNMENT FUND:
<TABLE>
<CAPTION>
PERIOD ENDED
7/31/94**
-------
- ------------------------------------------------
PREMIER SHARES SELECT SHARES
-------
- ------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
-------
- ----- ----------- ------------ -----------
<S> <C>
<C> <C> <C>
Sold........................................
3,150,273 $31,487,472 191,182 $ 1,900,253
Dividend Reinvestment.......................
2,428 24,165 -- --
-------
- ----- ----------- ------------ -----------
Net increase................................
3,152,701 $31,511,637 191,182 $ 1,900,253
-------
- ----- ----------- ------------ -----------
-------
- ----- ----------- ------------ -----------
<FN>
- ------------------------
* The Money Market Funds commenced operations on February
8, 1993.
** The Floating Rate U.S. Government Fund and the Short
Duration U.S. Government
Fund commenced operations on March 28, 1994.
</TABLE>
As of July 31, 1994, the 100% Government Obligations
Money Market Fund, 100%
Treasury Instruments Money Market Fund, Tax-Free Money
Market Fund, Municipal
Money Market Fund and California Municipal Money Market Fund
had each issued 100
Class B shares in the amount of $100 to Lehman Brothers
Inc. As of July 31,
1994, the Money Market Funds had each issued 100 Class C
and Class E shares in
the amount of $100 to
65
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Lehman Brothers. As of July 31, 1994, the Floating Rate U.S.
Government Fund had
issued ten Select shares in the amount of $100 to Lehman
Brothers Inc. During
the six months ended July 31, 1994, there was no income or
expenses allocated to
Class B, Class C, Class D, Class E and Select shares that
did not have activity.
6. ORGANIZATION COSTS
The Funds bear all costs in connection with their
organization including
fees and expenses of registering and qualifying their
shares for distribution
under Federal and state securities regulations. All
such costs are being
amortized on the straight-line method over a period of
five years from the
commencement of operations of the Fund. In the event that
any of the initial
shares of the Fund are redeemed during such amortization
period, the Fund will
be reimbursed for any unamortized organization costs in
the same proportion as
the number of shares redeemed bears to the number of initial
shares held at the
time of redemption.
7. CONCENTRATION OF CREDIT
The California Municipal Money Market Fund
primarily invests in debt
obligations issued by the State of California and its
political subdivisions,
agencies and public authorities to obtain funds for various
public purposes. The
Fund is more susceptible to factors adversely affecting
issuers of California
municipal securities than is a municipal money market
fund that is not
concentrated in these issuers to the same extent.
8. SUBSEQUENT EVENTS
As of August 3, 1994, the Board of Trustees
authorized the issuance of a
fifth and sixth class of shares, Select shares and
Global Clearing shares,
respectively, for the Government Obligations Money
Market Fund and the
California Municipal Money Market Fund.
As of August 26, 1994, the 100% Government Obligations
Money Market Fund
changed its name to the Cash Management Fund and
changed certain of its
investment policies and limitations.
As of October 3, 1994, the Trust will begin offering a
new Fund, the New
York Municipal Money Market Fund.
66
<PAGE>
LEHMAN BROTHERS INSTITUTIONAL FUNDS GROUP
TRUST
Prime Money Market Fund
Prime Value Money Market Fund
Government Obligations Money Market Fund
100% Government Obligations Money Market
Fund
Treasury Instruments Money Market Fund II
100% Treasury Instruments Money Market
Fund
Tax-Free Money Market Fund
Municipal Money Market Fund
California Municipal Money Market Fund
Floating Rate U.S. Government Fund
Short Duration U.S. Government Fund
THIS REPORT IS FOR THE GENERAL INFORMATION OF THE
SHAREHOLDERS OF LEHMAN
BROTHERS INSTITUTIONAL FUNDS GROUP TRUST. ITS USE IN
CONNECTION WITH ANY
OFFERING OF THE TRUST'S SHARES IS AUTHORIZED ONLY IF
ACCOMPANIED OR PRECEDED BY
THE TRUST'S CURRENT PROSPECTUSES.
