Sunstone Financial Group, Inc.
207 East Buffalo Street, Suite 400
Milwaukee, Wisconsin 53202
Phone: 414/271-5885
Fax: 414/271-9717
November 27, 1996
VIA EDGAR
Securities and Exchange Commission
Judiciary Plaza
450 Fifth Street, N.W.
Washington, D.C. 20549
Re: Northern Funds - Registration Nos. 33-73404; 811-8236
- --------------------------------------------------------------------
Dear Sir or Madam:
On behalf of the above-named registrant, we hereby file the Northern Money
Market, U.S. Government Money Market, Municipal Money Market, U.S.
Government Select Money Market and California Municipal Money Market Funds'
Semi-Annual Report to Shareholders for the period ended September 30, 1996;
pursuant to Rule 30b2-1 and Section 24(b) under the Investment Company
Act of 1940, as amended.
Please telephone the undersigned at (414) 271-5885 should you have any
questions regarding this filing.
Sincerely,
/s/ Elyce D. Dilworth
- ---------------------
Elyce D. Dilworth
Senior Financial Analyst
EDD/sl
cc: Jim Grassi (paper copy)
Jeff Dalke (paper copy)
NORTHERN FUNDS
SEMI-ANNUAL REPORT
September 30, 1996
NOT FDIC-INSURED
May lose value
No bank guarantee
Northern Funds are not insured or guaranteed by the U.S. government, nor can
there be any assurance that the money market funds will be able to maintain a
stable net asset value of $1.00 per share.
Shares of Northern Funds are distributed by Sunstone Financial Group, Inc., an
independent third-party distributor, and sold by The Northern Trust Company and
its affiliates.
TABLE OF CONTENTS
Page
Abbreviations and Other Information................................ 1
Money Market Funds
Statements of Assets and Liabilities ............................ 2
Statements of Operations ........................................ 3
Statements of Changes in Net Assets ............................. 4
Financial Highlights ............................................ 6
Schedules of Investments
Money Market Fund............................................. 8
U.S. Government Money Market Fund............................ 11
Municipal Money Market Fund.................................. 12
U.S. Government Select Money Market Fund..................... 21
California Municipal Money Market Fund....................... 22
Notes to the Financial Statements................................. 24
ABBREVIATIONS AND
OTHER INFORMATION
With respect to the Schedules of Investments, the percentage shown for each
investment category reflects the value of investments in that category as a
percentage of total net assets.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate.
Prerefunding is a procedure in which a bond issuer floats a second bond in order
to pay off the first bond at the first call date. The proceeds from the sale of
the second bond are safely invested, usually in Treasury securities, that will
mature at the first call date of the first bond issue. Those first bonds are
said to be prerefunded after this operation has taken place.
Maturity dates represent the stated date on the security, the next interest
reset date for floating rate securities or the prerefunded date for these types
of securities.
EXPLANATION OF ABBREVIATIONS
USED THROUGHOUT THE
SCHEDULES OF INVESTMENTS
ADP Automated Data Processing
AMBAC American Municipal Bond Assurance Corp.
AMT Alternative Minimum Tax
BAN Bond Anticipation Note
BTP Banker's Trust Partnership
CGIC Capital Guaranty Insurance Co.
Colld. Collateralized
COP Certificates of Participation
CP Commercial Paper
FFCB Federal Farm Credit Bank
FGIC Financial Guaranty Insurance Corp.
FHA Federal Housing Authority
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FMTN Floating Medium Term Note
FNMA Federal National Mortgage Association
FRN Floating Rate Note
FSA Financial Security Assurance
G.O. General Obligation
GIC Guaranteed Investment Contract
GNMA Government National Mortgage Association
Gtd. Guaranteed
HFA Housing Finance Agency
IDA Industrial Development Authority
IDB Industrial Development Bond
IDR Industrial Development Revenue
LOC Letter of Credit
MBIA Municipal Bond Insurance Association
MTN Medium Term Note
PCR Pollution Control Revenue
P-Floats Puttable Floating Rate Security
PSF Permanent School Fund
RAN Revenue Anticipation Note
SFM Single Family Mortgage
SLMA Student Loan Marketing Association
Soc Gen Societe Generale
TAN Tax Anticipation Note
TAW Tax Anticipation Warrant
TOB Tender Option Bond
TOCR Tender Option Custodial Receipt
TRAN Tax and Revenue Anticipation Note
TVA Tennessee Valley Authority
VRDN Variable Rate Demand Note
STATEMENTS OF ASSETS AND LIABILITIES September 30, 1996 (Unaudited)
MONEY MARKET FUNDS
U.S.
U.S. GOV'T. CALIFORNIA
GOV'T. MUNICIPAL SELECT MUNICIPAL
MONEY MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET MARKET
AMOUNTS IN THOUSANDS, FUND FUND FUND FUND FUND
EXCEPT PER SHARE DATA ------ ------ --------- ------ ----------
ASSETS:
Investments, at
amortized cost $1,276,538 $220,430 $1,086,022 $103,243 $145,901
Repurchase agreements,
at cost which
approximates market value 115,641 30,353 - - -
Cash 3 - - - 18
Income receivable 5,409 256 7,194 55 1,177
Receivable for securities sold - - 21,810 - -
Receivable from Adviser 16 5 13 1 9
Deferred organization
costs, net of
accumulated amortization 68 26 77 12 12
Prepaid and other assets 45 24 44 18 18
-------------------------------------------------
Total Assets 1,397,720 251,094 1,115,160 103,329 147,135
-------------------------------------------------
LIABILITIES:
Dividends payable 5,255 991 2,999 430 439
Payable for securities
purchased - - 8,900 - -
Accrued investment
advisory fees 79 14 57 4 6
Accrued administration fees 48 4 20 - 3
Accrued transfer agent fees 20 4 15 2 2
Accrued registration
fees and other liabilities 85 24 56 19 10
---------------------------------------------------
Total Liabilities 5,487 1,037 12,047 455 460
---------------------------------------------------
Net Assets $1,392,233 $250,057 $1,103,113 $102,874 $146,675
===================================================
ANALYSIS OF NET ASSETS:
Capital stock $1,392,180 $250,042 $1,103,112 $102,869 $146,669
Accumulated undistributed
net investment income 53 15 1 5 6
---------------------------------------------------
Net Assets $1,392,233 $250,057 $1,103,113 $102,874 $146,675
===================================================
SHARES OUTSTANDING
($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 1,392,230 250,057 1,103,148 102,874 146,674
NET ASSET VALUE,
REDEMPTION AND
OFFERING PRICE PER SHARE $1.00 $1.00 $1.00 $1.00 $1.00
See Notes to the Financial Statements.
STATEMENTS OF OPERATIONS Six Months Ended September 30, 1996 (Unaudited)
MONEY MARKET FUNDS
U.S.
U.S. GOV'T. CALIFORNIA
GOV'T. MUNICIPAL SELECT MUNICIPAL
MONEY MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET MARKET
AMOUNTS IN THOUSANDS FUND FUND FUND FUND FUND
------ ------ --------- ------ ----------
INVESTMENT INCOME:
Interest income $32,520 $6,071 $20,479 $2,602 $3,051
-------------------------------------------------
EXPENSES:
Investment advisory fees 3,581 681 3,372 292 517
Administration fees 895 170 843 73 129
Transfer agent fees 594 113 559 49 86
Custody and accounting fees 145 45 135 29 37
Registration fees 30 8 31 9 3
Professional fees 18 9 17 8 9
Amortization of
organization costs 14 5 16 2 2
Trustees' fees 13 4 12 2 3
Other 48 25 46 5 7
-------------------------------------------------
Total Expenses 5,338 1,060 5,031 469 793
Less: Voluntary waivers
of investment
advisory and
administration fees (1,536) (294) (1,441) (244) (349)
Less: Reimbursement of
expenses by Adviser (536) (144) (513) (31) (59)
-------------------------------------------------
Net Expenses 3,266 622 3,077 194 385
-------------------------------------------------
NET INVESTMENT INCOME 29,254 5,449 17,402 2,408 2,666
-------------------------------------------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS $29,254 $5,449 $17,402 $2,408 $2,666
=================================================
See Notes to the Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUNDS
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
-------------------- -------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
SEPT. 30, MARCH 31, SEPT. 30, MARCH 31,
1996 1996 1996 1996
AMOUNTS IN THOUSANDS (UNAUDITED) (UNAUDITED)
----------- -------- ----------- ----------
OPERATIONS:
Net investment income $ 29,254 $ 53,544 $ 5,449 $ 12,700
---------------------------------------------------
Net Increase in Net
Assets Resulting
from Operations 29,254 53,544 5,449 12,700
---------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold 3,213,169 4,176,187 793,927 1,141,048
Shares from reinvestment
of dividends 2,828 3,537 1,507 979
Shares redeemed (2,885,577) (4,012,194) (752,482) (1,162,463)
---------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Capital Share
Transactions 330,420 167,530 42,952 (20,436)
---------------------------------------------------
DISTRIBUTIONS PAID:
From net investment income (29,254) (53,540) (5,449) (12,702)
---------------------------------------------------
Total Distributions Paid (29,254) (53,540) (5,449) (12,702)
---------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 330,420 167,534 42,952 (20,438)
NET ASSETS:
Beginning of year 1,061,813 894,279 207,105 227,543
---------------------------------------------------
End of period $1,392,233 $1,061,813 $250,057 $207,105
===================================================
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $53 $53 $15 $15
===================================================
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (cont'd.)
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
MUNICIPAL SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
----------------------- ------------------------ ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPT. 30, MARCH 31, SEPT. 30, MARCH 31, SEPT. 30, MARCH 31,
1996 1996 1996 1996 1996 1996
AMOUNTS IN THOUSANDS (UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 17,402 $ 34,519 $ 2,408 $ 5,207 $ 2,666 $ 5,021
----------- ----------- ----------- ---------- ----------- -----------
Net Increase in Net
Assets Resulting
from Operations 17,402 34,519 2,408 5,207 2,666 5,021
----------- ----------- ----------- ---------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold 2,517,681 4,716,758 178,467 522,583 999,144 585,989
Shares from reinvestment of
dividends 1,141 1,505 929 1,579 111 85
Shares redeemed (2,518,393) (4,543,236) (161,921) (520,924) (1,017,667) (582,282)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Capital Share
Transactions 429 175,027 17,475 3,238 (18,412) 3,792
----------- ----------- ----------- ---------- ----------- -----------
DISTRIBUTIONS PAID:
From net investment income (17,507) (34,504) (2,409) (5,207) (2,666) (5,042)
----------- ----------- ----------- ---------- ----------- -----------
Total Distributions Paid (17,507) (34,504) (2,409) (5,207) (2,666) (5,042)
----------- ----------- ----------- ---------- ----------- -----------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 324 175,042 17,474 3,238 (18,412) 3,771
NET ASSETS:
Beginning of year 1,102,789 927,747 85,400 82,162 165,087 161,316
----------- ----------- ----------- ---------- ----------- -----------
End of period $1,103,113 $1,102,789 $102,874 $ 85,400 $146,675 $165,087
=========== =========== =========== ========== ========== ===========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $1 $106 $5 $6 $6 $6
=========== =========== =========== ========== ========== ===========
<FN>
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
---------------------------------------- ------------------------------------------
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
SEPT. 30, MARCH 31, MARCH 31, SEPT. 30, MARCH 31, MARCH 31,
1996 1996 1995 <F1> 1996 1996 1995 <F1>
(UNAUDITED) (UNAUDITED)
-------------------------------------------------------------------------------------------
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.05 0.04 0.02 0.05 0.04
----------- ----------- ----------- ---------- ----------- -----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.02) (0.05) (0.04) (0.02) (0.05) (0.04)
----------- ----------- ----------- ---------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== =========== ========== =========== ==========
TOTAL RETURN 2.49% 5.57% 4.55% 2.43% 5.46% 4.47%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $1,392,233 $1,061,813 $894,279 $250,057 $207,105 $227,543
Ratio to average net assets of:<F4>
Expenses, net of waivers
and reimbursements 0.55% 0.49% 0.45% 0.55% 0.49% 0.45%
Expenses, before waivers
and reimbursements 0.90% 0.91% 0.96% 0.94% 0.94% 1.01%
Net investment income,
net of waivers and
reimbursements 4.92% 5.42% 4.94% 4.81% 5.33% 4.93%
Net investment income,
before waivers and
reimbursements 4.57% 5.00% 4.43% 4.42% 4.88% 4.37%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (cont'd.)
MONEY MARKET FUNDS
<CAPTION> U.S. GOVERNMENT
MUNICIPAL SELECT
MONEY MARKET MONEY MARKET
FUND FUND
--------------------------------------- ------------------------------------------
SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
SEPT. 30, MARCH 31, MARCH 31, SEPT. 30, MARCH 31, MARCH 31,
1996 1996 1995 <F1> 1996 1996 1995 <F2>
(UNAUDITED) (UNAUDITED)
-------------------------------------------------------------------------------------------
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.03 0.03 0.02 0.05 0.02
----------- ----------- ----------- ---------- ----------- -----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.02) (0.03) (0.03) (0.02) (0.05) (0.02)
----------- ----------- ----------- ---------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== =========== ========== =========== ===========
TOTAL RETURN 1.58% 3.54% 2.90% 2.51% 5.55% 1.75%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $1,103,113 $1,102,789 $927,747 $102,874 $85,400 $82,162
Ratio to average net assets of:<F4>
Expenses, net of waivers
and reimbursements 0.55% 0.49% 0.45% 0.40% 0.33% 0.30%
Expenses, before waivers
and reimbursements 0.90% 0.91% 0.95% 0.95% 1.00% 1.32%
Net investment income,
net of waivers and
reimbursements 3.12% 3.46% 3.10% 4.86% 5.43% 5.84%
Net investment income,
before waivers and
reimbursements 2.77% 3.04% 2.60% 4.31% 4.76% 4.82%
</TABLE>
FINANCIAL HIGHLIGHTS (cont'd.)
Money Market Funds
CALIFORNIA
MUNICIPAL
MONEY MARKET
FUND
------------------------------------------
Six Months Year Period
Ended Ended Ended
Sept. 30, March 31, March 31,
1996 1996 1995 <F3>
(Unaudited)
------------------------------------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.04 0.01
-------- -------- --------
LESS DISTRIBUTIONS PAID:
From net investment income (0.02) (0.04) (0.01)
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
======== ======== ========
TOTAL RETURN 1.58% 3.63% 1.27%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $146,675 $165,087 $161,316
Ratio to average net assets of:<F4>
Expenses, net of waivers
and reimbursements 0.45% 0.39% 0.35%
Expenses, before waivers
and reimbursements 0.92% 0.94% 1.07%
Net investment income,
net of waivers and
reimbursements 3.11% 3.55% 3.78%
Net investment income,
before waivers and
reimbursements 2.64% 3.00% 3.06%
[FN]
<F1>Commenced investment operations on April 11, 1994.
<F2>Commenced investment operations on December 12, 1994.
<F3>Commenced investment operations on November 29, 1994.
<F4>Annualized for periods less than a full year.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000s) (000s)
-----------------------------------------------------------------------
COMMERCIAL PAPER - 47.2%
ASSET BACKED SECURITIES - 9.4%
$ 1,734 Barton Capital Corp.,
5.445%, 12/16/96 $ 1,714
Cooperative Association of Tractor
Dealers, Inc.
1,000 5.621%, 10/1/96 1,000
4,900 5.443%, 10/3/96 4,899
4,700 5.379%, 10/8/96 4,695
32,200 5.443%, 11/8/96 32,016
23,750 Centric Funding,
5.472%, 12/10/96 23,501
Gotham Funding Corp.
5,815 5.447%, 10/10/96 5,807
10,000 5.49%, 11/4/96 9,949
10,000 Jet Funding Corp.,
5.497%, 11/20/96 9,924
20,000 SALTS (II) Cayman Islands Corp.,
5.775%, 12/19/96 20,000
Sheffield Receivables Corp.
2,680 5.368%, 10/3/96 2,679
3,035 5.408%, 10/7/96 3,032
1,310 5.42%, 10/7/96 1,309
10,000 Strategic Asset Funding Corp.,
5.64%, 10/31/96 9,954
--------
130,479
--------
BROKERAGE SERVICES - 1.4%
20,000 Lehman Brothers Holdings, Inc.,
5.577%, 10/21/96 19,939
--------
BUSINESS SERVICES - 1.5%
Sanwa Business Credit Corp.
5,000 5.462%, 10/3/96 4,998
6,000 5.495%, 11/6/96 5,967
10,000 5.439%, 11/12/96 9,937
--------
20,902
--------
COMMUNICATIONS - 3.9%
GTE Corp.
5,000 5.368%, 10/3/96 4,999
10,000 5.385%, 10/18/96 9,975
20,000 NYNEX Corp.,
5.406%, 11/15/96 19,867
COMMUNICATIONS - 3.9% (CONT'D.)
$20,000 U.S. Capital Funding Corp.,
5.377%, 10/10/96 $19,973
--------
54,814
--------
COMPUTER EQUIPMENT - 0.7%
10,000 International Business Machines
Credit Corp., 5.11%, 2/24/97 9,996
--------
DOMESTIC DEPOSITORY INSTITUTIONS - 1.9%
Bankers Trust New York Corp.
25,000 5.39%, 10/17/96 25,000
1,000 5.38%, 11/8/96 994
--------
25,994
--------
ELECTRONIC AND OTHER
ELECTRICAL EQUIPMENT - 4.6%
20,000 Cooper Industries, Inc.,
5.871%, 10/1/96 20,000
8,960 GE Engine Receivables 1995-1 Trust,
5.543%, 10/7/96 8,960
5,000 Sony Capital Corp.,
5.415%, 10/18/96 4,987
Whirlpool Financial Corp.
10,000 5.347%, 11/25/96 9,918
20,000 5.429%, 11/25/96 19,836
--------
63,701
--------
ENTERTAINMENT - 3.6%
50,000 Disney (Walt) Co.,
5.831%, 10/1/96 50,000
--------
FOOD AND BEVERAGES - 1.5%
7,000 Big B, Inc.,
5.465%, 10/18/96 6,982
10,000 Cargill Financial Services Corp.,
5.355%, 10/17/96 9,976
4,000 Coca-Cola Enterprises, Inc.,
5.42%, 11/14/96 3,974
--------
20,932
--------
FOREIGN DEPOSITORY INSTITUTIONS - 2.8%
30,000 BCI Funding Corp.,
5.447%, 11/12/96 29,811
FOREIGN DEPOSITORY
INSTITUTIONS - 2.8% (CONT'D.)
$10,000 Woolwich Building Society,
5.412%, 12/13/96 $ 9,892
--------
39,703
--------
HOLDING AND OTHER
INVESTMENT OFFICES - 1.0%
CSW Credit, Inc.
6,100 5.429%, 10/24/96 6,079
7,600 5.434%, 10/30/96 7,567
--------
13,646
--------
NONDEPOSITORY BUSINESS
CREDIT INSTITUTIONS - 2.8%
Finova Capital Corp.
10,000 5.474%, 10/4/96 9,995
4,900 5.48%, 10/17/96 4,888
5,000 5.447%, 11/22/96 4,961
18,700 Vehicle Services America Ltd.,
5.08%, 11/21/96 18,556
--------
38,400
--------
NONDEPOSITORY PERSONAL
CREDIT INSTITUTIONS - 6.0%
50,000 Associates Corporation of North
America, 6.001%, 10/1/96 50,000
Countrywide Home Loans
20,000 5.355%, 10/4/96 19,991
14,000 5.415%, 11/7/96 13,923
--------
83,914
--------
TOBACCO - 0.2%
2,311 Philip Morris Co., 5.418%, 11/1/96 2,300
--------
TRANSPORTATION PARTS AND EQUIPMENT - 5.9%
10,000 BMW US Capital Corp.,
5.345%, 10/17/96 9,976
General Motors Acceptance Corp.
3,900 5.43%, 10/11/96 3,894
15,000 5.604%, 2/4/97 14,714
10,000 5.747%, 3/11/97 9,750
General Motors Acceptance
Corp., Canada
7,000 5.347%, 10/8/96 6,993
10,000 5.433%, 10/9/96 9,988
TRANSPORTATION PARTS AND
EQUIPMENT - 5.9% (CONT'D.)
General Motors Acceptance
Corp., Canada (cont'd.)
$15,000 5.434%, 11/18/96 $ 14,893
12,000 NFC Asset Trust, 5.377%, 11/1/96 11,945
--------
82,153
--------
Total Commercial Paper
(cost $656,873) 656,873
--------
CORPORATE BONDS - 7.7%
25,000 AT&T Capital Corp., FRN,
5.529%, 1/23/97 25,000
13,500 Physicians Plus Medical Group,
5.70%, 10/3/96 13,500
25,000 Boatmen's National Bank of
St. Louis, FMTN, 5.33%, 6/17/97 25,000
11,550 Bear Stearns Cos., FRN,
5.913%, 12/16/96 11,564
7,250 Chapel Oaks, Inc., 5.65%, 10/7/96 7,250
25,000 Huntington National Bank, Columbus,
6.116%, 7/8/97 25,000
--------
Total Corporate Bonds
(cost $107,314) 107,314
--------
EURODOLLAR TIME DEPOSITS - 11.2%
50,000 Bank One, Milwaukee, Grand
Cayman Islands, 6.00%, 10/1/96 50,000
20,000 Banque Brussels Lambert, Grand
Cayman Islands, 6.00%, 10/1/96 20,000
5,000 Canadian Imperial Bank of Commerce,
Grand Cayman Islands,
6.00%, 10/1/96 5,000
25,000 Creditanstalt Bankverein, Vienna,
Austria, 6.00%, 10/1/96 25,000
25,000 Deutsche Bank, Grand Cayman Islands,
6.00%, 10/1/96 25,000
25,000 ING Bank, London Branch,
6.00%, 10/1/96 25,000
6,000 Societe Generale, Paris, France,
6.063%, 10/1/96 6,000
--------
Total Eurodollar Time Deposits
(cost $156,000) 156,000
--------
FOREIGN CERTIFICATES OF
DEPOSIT - 19.7%
$25,000 ABN-Amro Bank,
New York Branch, 5.66%, 4/17/97 $ 25,003
25,000 Barnett Banks, 5.66%, 4/17/97 25,000
25,000 Canadian Bank Imperial Bank
of Commerce, 5.40%, 11/4/96 25,000
10,000 Industrial Bank of Japan,
New York Branch, 5.46%, 10/7/96 10,000
Landesbank Hessen - Thueringen
Girozentrale
25,000 5.50%, 3/20/97 25,014
5,000 6.06%, 6/13/97 4,998
20,000 Norinchukin Bank, New York Branch,
5.51%, 10/7/96 20,000
10,000 Sanwa Bank, New York Branch,
5.46%, 10/16/96 10,001
Societe Generale, New York Branch
20,000 5.54%, 3/21/97 20,008
4,000 5.66%, 4/14/97 4,001
10,000 Sumitomo Bank, London Branch,
5.48%, 11/14/96 10,000
6,000 Sumitomo Bank, New York Branch,
5.51%, 10/2/96 6,000
50,000 Swiss Bank, New York Branch,
5.52%, 12/18/96 50,001
40,000 Toronto Dominion Bank, London
Branch, 5.41%, 11/25/96 40,000
--------
Total Foreign Certificates of Deposit
(cost $275,026) 275,026
--------
GUARANTEED INVESTMENT
CONTRACTS - 2.9%
25,000 General American Life Insurance Co.,
5.70%, 10/7/96 25,000
15,000 Transamerica Life Insurance
and Annuity Co., 5.422%, 10/1/96 15,000
--------
Total Guaranteed Investment Contracts
(cost $40,000) 40,000
--------
MUNICIPAL INVESTMENTS - 2.3%
$ 3,900 Health Insurance Plan of Greater
New York, 5.60%, 10/2/96 $ 3,900
8,930 Minneapolis-St. Paul Metro Airport
Taxable G.O. Bonds,
5.538%, 10/12/96 8,930
8,500 Seattle, Washington Ltd. Tax G.O.,
5.55%, 10/2/96 8,500
10,215 State of Texas-Veterans Land Bond,
5.538%, 10/1/96 10,215
--------
Total Municipal Investments
(cost $31,545) 31,545
--------
U.S. GOVERNMENT OBLIGATION - 0.7%
10,000 U.S. Treasury Bill,
5.352%, 3/6/97 9,780
--------
Total U.S. Government Obligation
(cost $9,780) 9,780
--------
REPURCHASE AGREEMENTS - 8.3%
100,000 Donaldson, Lufkin & Jenrette
Securities, Inc., dated 9/30/96,
repurchase price $100,016
(Colld. by U.S. Treasury Securities),
5.70%, 10/1/96 100,000
15,641 Lehman Government Securities, Inc.,
dated 9/30/96, repurchase price
$15,641 (Colld. by U.S. Treasury
Securities), 5.70%, 10/1/96 15,641
--------
Total Repurchase Agreements
(cost $115,641) 115,641
--------
Total Investments - 100.0%
(cost $1,392,179) 1,392,179
Other Assets less Liabilities - 0.0% 54
--------
NET ASSETS - 100.0% $1,392,233
==========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
U.S. GOVERNMENT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000s) (000s)
-----------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 88.2%
FEDERAL HOME LOAN BANK - 35.4%
FHLB Discount Notes
$10,000 5.372%, 10/9/96 $ 9,988
14,000 5.432%, 10/9/96 13,983
5,000 5.304%, 10/16/96 4,989
20,000 5.204%, 10/21/96 19,943
15,000 5.306%, 10/28/96 14,941
10,000 5.33%, 11/18/96 9,931
5,000 5.652%, 1/9/97 4,923
10,000 5.65%, 3/18/97 9,743
--------
88,441
--------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 17.6%
FHLMC Discount Notes
3,050 5.292%, 10/10/96 3,046
3,200 5.311%, 10/21/96 3,191
10,000 5.298%, 11/8/96 9,945
15,000 5.309%, 11/12/96 14,908
8,000 5.299%, 11/13/96 7,950
5,000 FHLMC MTN, 7.86%, 1/21/97 5,034
--------
44,074
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 20.5%
FNMA Discount Notes
15,000 5.293%, 10/16/96 14,967
7,000 5.321%, 10/24/96 6,977
15,000 5.336%, 11/12/96 14,908
10,000 5.549%, 12/19/96 9,881
FNMA MTN
1,500 5.51%, 11/7/96 1,500
2,000 5.35%, 12/26/96 2,000
990 5.86%, 8/8/97 991
--------
51,224
--------
OVERSEAS PRIVATE INVESTMENT CO. - 3.2%
8,000 FRN, 5.40%, 12/16/96 8,000
--------
STUDENT LOAN MARKETING
ASSOCIATION - 11.5%
27,000 SLMA Discount Note,
5.352%, 12/18/96 26,691
Student Loan Marketing
Association - 11.5% (cont'd.)
$2,000 SLMA FMTN, 5.51%, 12/3/96 $ 1,999
--------
28,690
--------
Total U.S. Government Agencies
(cost $220,429) 220,429
--------
NUMBER
OF SHARES
(000s)
---------
OTHER - 0.0%
1 Dreyfus Prime Money Market Fund 1
--------
Total Other
(cost $1) 1
--------
PRINCIPAL
AMOUNT
(000s)
---------
REPURCHASE AGREEMENTS - 12.1%
$20,000 Donaldson, Lufkin & Jenrette Securities,
Inc., dated 9/30/96, repurchase price
$20,003 (Colld. by U.S. Treasury
Securities), 5.70%, 10/1/96 20,000
10,353 Lehman Government Securities, Inc.,
dated 9/30/96, repurchase price $10,355
(Colld. by U.S. Treasury Securities),
5.70%, 10/1/96 10,353
--------
Total Repurchase Agreements
(cost $30,353) 30,353
--------
Total Investments - 100.3%
(cost $250,783) 250,783
Liabilities less Other Assets - (0.3)% (726)
--------
NET ASSETS - 100.0% $250,057
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000s) (000s)
-----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 97.7%
ALABAMA - 2.9%
$ 700 City of Greenville IDR VRDN,
Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.),
4.00%, 10/7/96 $ 700
2,900 City of Selma IDR VRDN,
Series: 1996 A, Meadowcraft, Inc.
(NationsBank N.A. LOC),
4.05%, 10/7/96 2,900
21,000 City of Stevenson Environment
Improvement IDR VRDN, Series: 1996
(AMT), Mead Corp. Project
(Soc Gen LOC),
4.10%, 10/1/96 21,000
5,400 County of Phenix Environment
Improvement IDR VRDN, Series: 1990 A
(AMT), Mead Corp. Project (Sumitomo
Bank Ltd. LOC), 4.10%, 10/1/96 5,400
1,600 Town of Mobile PCR VRDN,
Series: 1994 A, Alabama Power Co. Project
(Alabama Power Gtd.), 4.00%, 10/1/96 1,600
--------
31,600
ALASKA - 0.7% --------
3,250 City of Lowell IDR VRDN,
Series: 1996, Little Rock Newspapers,
Inc. Project (Bank of New York LOC),
4.05%, 10/7/96 3,250
2,600 Valdez Marine Terminal Refunding CP,
Series: 1994 C, ARCO Transportation
Project (Atlantic Richfield Co. Gtd.),
3.70%, 11/7/96 2,600
1,900 Valdez Marine Terminal Revenue VRDN,
Series: 1994 B, ARCO Transportation
Project (Atlantic Richfield Co. Gtd.),
3.95%, 10/7/96 1,900
--------
7,750
--------
ARIZONA - 1.1%
12,000 County of Maricopa PCR VRDN,
Series: A, El Paso Electric Project
(Westpac Banking Corp. LOC),
4.05%, 10/7/96 12,000
--------
CALIFORNIA - 9.4%
$ 2,000 California HFA, Series: 1995 E
(Bayerische Landesbank GIC),
3.50%, 2/1/97 $ 2,000
12,415 California HFA TOB, Series: 1988 E
(AMT), Home Mortgage Revenue,
3.85%, 2/1/97 12,415
7,500 California School Cash Reserve Program
Authority TRAN, Series: 1996 A,
4.75%, 7/2/97 7,540
10,000 California Statewide Communities
Development Authority TRAN,
Series: A, 4.75%, 6/30/97 10,051
8,000 City of Huntington Beach TRAN,
Series: 1995, 4.75%, 10/4/96 8,000
4,950 City of Los Angeles Housing Revenue
VRDN, Series: 1996-6A (AMT), Clipper
Trust Certificate (FNMA Colld.),
3.95%, 10/7/96 4,950
3,246 City of Los Angeles IDR VRDN,
Series: BTP-129, (Colld. by U.S.
Government Securities), 3.25%, 12/12/96 3,246
12,230 City of San Marcos Public Facilities
Authority Revenue TOB, Series: 1996
BTP-187, 3.75%, 3/6/97 12,230
3,000 City of Santa Rosa High School District
TRAN, Series: 1996-1997, 4.50%, 7/3/97 3,010
5,000 County of Los Angeles Housing Authority
VRDN, Series: A, Sand Canyon Villas
Project (Industrial Bank of Japan LOC),
4.00%, 10/7/96 5,000
7,000 County of Los Angeles Metropolitan
Transportation Authority VRDN, Union
Station Project, Soc Gen Trust
SGB-2 (FSA Insured), 3.80%, 10/7/96 7,000
10,000 County of Orange Apartment Development
Revenue VRDN (AMT), Park Place Irvine Co.
Phase 1B Project (Bank of America LOC),
3.90%, 10/7/96 10,000
5,400 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Park
Apartments Project (Fuji Bank LOC),
4.35%, 10/7/96 5,400
CALIFORNIA - 9.4% (CONT'D.)
$ 1,400 County of Irvine Ranch Water District
VRDN, Series: 1993 B, Districts 2, 102,
103 & 206 (Morgan Guaranty Trust Co.
LOC), 3.90%, 10/1/96 $ 1,400
5,000 County of Sonoma TRAN,
4.25%, 11/1/96 5,002
6,500 State of California RAN, Series: A,
4.50%, 6/30/97 6,525
--------
103,769
--------
COLORADO - 0.9%
10,000 City and County of Denver
Transportation Community Paperies,
Series: 1990 D, Airport System
(Sanwa Bank LOC), 3.60%, 10/16/96 10,000
--------
DELAWARE - 0.1%
1,325 State of Delaware Economic Development
Authority PCR VRDN, Allied Signal Corp.
Project (FMC Corp. Gtd.),
4.00%, 10/7/96 1,325
--------
DISTRICT OF COLUMBIA - 0.5%
6,000 District of Columbia Hospital Revenue
VRDN, Columbia Hospital for Women
(Bank of Tokyo-Mitsubishi LOC),
4.00%, 10/7/96 6,000
--------
FLORIDA - 5.5%
2,350 County of Dade Resource Recovery,
Series: 1996 (AMT), Facility Refunding
Revenue Bond (AMBAC Insured),
4.00%, 10/1/97 2,350
4,950 County of Duval HFA Mortgage Revenue
VRDN, Series: 1996-3A (AMT), Clipper
Trust Certificate, 4.05%, 10/7/96 4,950
2,700 County of Palm Beach HFA Revenue
VRDN, Series: 1988 C, Multifamily
Mahogany Bay (New England Mutual
Gtd.), 4.00%, 10/7/96 2,700
FLORIDA - 5.5% (CONT'D.)
County of Sarasota Public Hospital District
Revenue VRDN, Sarasota Memorial
Hospital Project (Sun Trust Bank,
Central Florida LOC)
$ 5,950 Series: A, 3.80%, 10/16/96 $ 5,950
3,950 Series: B, 3.80%, 10/17/96 3,950
7,450 Series: C, 3.75%, 10/23/96 7,450
8,860 Florida State Board of Education Capital
Outlay VRDN, BTP-52 ADP Class B,
4.00%, 10/7/96 8,860
16,900 Florida State Board of Education VRDN,
Series: 1994 E, Eagle Trust,
4.00%, 10/7/96 16,900
7,585 State Finance Department General
Services Revenue TOB, Series: 1994 A
BTP-64, 4.00%, 10/7/96 7,585
--------
60,695
--------
GEORGIA - 1.0%
5,200 County of DeKalb Housing Authority
Revenue VRDN, Series: 1995, Cedar Creek
Apartment Project (General Electric Corp.
LOC), 4.15%, 10/7/96<F5> 5,200
1,400 County of Elbvert Development Authority
IDR VRDN, Series: 1992, Allied-Signal
Project (FMC Corp. Gtd.),
4.00%, 10/7/96 1,400
Georgia HFA Mortgage TOB (AMT),
Conventional Mortgage, Georgia Housing
& Finance Authority-Various Programs
2,320 Series: C, 3.75%, 12/1/96 2,320
1,790 Series: D, 3.75%, 12/1/96 1,790
--------
10,710
--------
IDAHO - 0.1%
700 Idaho Housing Agency TOB, Series: D-2
(AMT), SFM Program, 4.12%, 1/1/97 700
--------
ILLINOIS - 6.3%
4,000 City of Chicago Midway Airport Revenue
VRDN, Series: 1995 (AMT), American Trans
Air, Inc. Project (National Bank of Detroit
LOC), 4.00%, 10/7/96 4,000
10,000 City of Chicago O'Hare International
Airport VRDN, Series: 1988 A (AMT)
(Bayerische Landesbank LOC),
3.90%, 10/7/96 10,000
ILLINOIS - 6.3% (CONT'D.)
$1,000 City of Chicago Park District TAW,
Series: A, Chicago Park District,
5.00%, 10/30/96 $1,001
3,100 City of Chicago Refunding Bond,
Series: A-2 (AMBAC Insured),
5.00%, 1/1/97 3,112
2,000 City of Des Plaines VRDN (AMT),
Series: 1996, Finzer Roller, Inc. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 2,000
4,150 City of Frankfort IDR, Series: 1996 (AMT),
Bimba Manufacturing Co. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 4,150
2,700 City of Joliet Gas Supply Bond,
Peoples Gas, Light and Coke Project
(First National Bank of Chicago LOC),
3.95%, 10/1/97 2,700
6,000 City of Savanna IDR VRDN, Series: 1994
(AMT), Metform Corp. Project
(First National Bank of Chicago
LOC), 4.00%, 10/7/96 6,000
1,850 Illinois Development Finance Authority
IDR VRDN (AMT), Bimba Manufacturing
Co. Project (Harris Trust and Savings Bank
LOC), 4.00%, 10/7/96 1,850
3,950 Illinois Development Finance Authority
IDR VRDN, Enterprise Office Campus
(FNMA LOC), 3.85%, 12/1/96 3,950
1,400 Illinois Development Finance Authority
VRDN, Series: 1990 (AMT), Solar Press, Inc.
Project (First National Bank of Chicago
LOC), 4.00%, 10/7/96 1,400
1,700 Illinois Health Facilities Authority VRDN,
Series: A, Lifelink Corp. (American National
Bank LOC), 3.85%, 10/1/97 1,700
1,600 Illinois Health Facilities Authority VRDN,
Series: 1991, Parkside Development Corp.
Project (First National Bank of Chicago
LOC), 3.90%, 10/7/96 1,600
4,185 Illinois Housing Development Authority,
Series: 1987-D (AMT), Residential
Mortgage Program, 4.05%, 2/1/97 4,185
ILLINOIS - 6.3% (CONT'D.)
$ 7,000 Illinois Student Assistance Commission
VRDN, Series: 1996 A (AMT), Student
Loan Program (Bank of America LOC),
3.95%, 10/7/96 $ 7,000
7,500 Village of Ladd IDR VRDN, Series: 1996
(AMT), O'Neal Metals, Inc. Project
(NationsBank South LOC),
4.05%, 10/7/96 7,500
3,250 Village of Niles IDR VRDN, Series: 1996
(AMT), Lewis Spring & Manufacturing
Co. Project (Harris Trust and Savings
Bank LOC), 4.00%, 10/7/96 3,250
3,785 Village of Schaumburg Multifamily
Housing VRDN, Series: 1989, Treehouse II
Apartments Project (Sumitomo Bank
Ltd. LOC), 4.30%, 10/7/96 3,785
--------
69,183
--------
INDIANA - 2.4%
2,790 City of Anderson Economic Development
VRDN, Series: 1996 (AMT), Gateway
Village Project (FHLB Indianapolis LOC),
4.00%, 10/7/96 2,790
1,500 City of Greencastle IDR VRDN, Series: 1996
(AMT), Crown Equipment Corp. Project
(Keybank LOC), 4.00%, 10/7/96 1,500
2,840 City of Hammond Economic Development
VRDN, Series: 1996 A (AMT), Annex at
Douglas Point Project (FHLB Indianapolis
LOC), 4.00%, 10/7/96 2,840
3,100 City of Shelbyville Economic Development
VRDN, Series: DTC 2794 (AMT), Nippisun
Indiana Corp. Project (Industrial Bank of
Japan LOC), 4.55%, 10/7/96 3,100
10,000 Indiana Development Finance Authority
IDR CP, Series: 1990 A (AMT), Pure Air on
Lake Project (National Westminster Bank
LOC), 3.75%, 12/10/96 10,000
Indiana Development Finance Authority
IDR VRDN (AMT), Red Gold, Inc. Project
(Harris Trust and Savings Bank LOC)
4,000 Series: 1994 A, 4.00%, 10/7/96 4,000
2,500 Series: 1994 B, 4.00%, 10/7/96 2,500
--------
26,730
--------
IOWA - 0.6%
Iowa Finance Authority Single Family
Revenue VRDN, Series: B (AMT),
Mortgage-Backed Securities Program
(GNMA/FNMA Colld.)
$ 2,880 Series: 1995 B, 3.20%, 2/27/97 $ 2,880
4,160 Series: 1996 B, 3.20%, 2/27/97 4,160
--------
7,040
--------
KANSAS - 0.0%
100 City of Topeka Sewer System VRDN,
Series: 1984 (MBIA Insured),
3.75%, 10/1/96 100
--------
KENTUCKY - 5.7%
3,000 City of Danville CP, Municipal Pooled
Lease Program (PNC Bank LOC),
3.70%, 12/6/96 3,000
1,000 City of Hopkinsville Industrial Building
VRDN, Series: A (AMT), CoPar, Inc.
Project (Dai-Ichi Kangyo Bank LOC),
4.35%, 10/7/96 1,000
2,000 City of Mayfield Lease Revenue VRDN,
Kentucky League of Cities Pooled Project
(PNC Bank LOC), 4.10%, 10/7/96 2,000
3,500 County of Clark Industrial Building IDR
VRDN Series: 1996 (AMT), Bluegrass Art
Cast Project (Bank One, Columbus LOC),
4.05%, 10/7/96 3,500
County of Daviess Waste Disposal Facility
IDR VRDN (AMT), Scott Paper Co. Project
(Kimberly-Clark Gtd.)
22,800 Series: 1993 A, 4.10%, 10/1/96 22,800
14,500 Series: 1994 A, 4.10%, 10/1/96 14,500
16,400 Series: 1994 B, 4.10%, 10/1/96 16,400
--------
63,200
--------
LOUISIANA - 1.2%
Louisiana HFA (AMT), Mortgage
Revenue Bond (GNMA Colld.)
5,915 Series: CR-85, 3.80%, 11/1/96 5,915
3,205 Series: CR-86, 3.80%, 11/1/96 3,205
1,915 Louisiana Public Facilities Authority PCR
VRDN, Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 4.00%, 10/7/96 1,915
LOUISIANA - 1.2% (CONT'D.)
$ 2,200 Parish of Caddo IDR VRDN,
General Motors Corp. Project
(General Motors Corp. Gtd.),
3.95%, 10/7/96 $ 2,200
--------
13,235
--------
MAINE - 0.5%
5,000 Maine Public Utility Finance Bank
Revenue VRDN, Series: 1996 (AMT),
Maine Public Service Co. Project (Bank
of New York LOC), 4.05%, 10/7/96 5,000
--------
MARYLAND - 1.9%
4,000 County of Baltimore Consolidated CP,
Series: 1995, Public Improvement BANs,
3.75%, 12/10/96 4,000
14,260 IBM Tax-Exempt Grantor Trust Asset-Backed
Lease VRDN, Series: 1996 A, Certificate
Merrill P-Floats (Credit Suisse Gtd.),
4.10%, 10/7/96<F5> 14,260
1,720 Maryland State Health & Higher Education
Facility Authority Revenue VRDN, Series: D,
Pooled Loan Program (NationsBank N.A.
LOC), 3.85%, 10/7/96 1,720
790 Maryland State Community Development
Administration, Series: PT-12, Merrill
P-Floats, 3.95%, 10/1/96 790
--------
20,770
--------
MASSACHUSETTS - 0.8%
2,744 City of Glouchester G.O. BAN,
4.20%, 8/8/97 2,747
1,080 Massachusetts State HFA TOB, Series: 6,
SFM Program, 3.85%, 12/1/96 1,080
4,950 Massachusetts State HFA VRDN,
Series: 1996-5A, Clipper
Trust Certificate (AMBAC Insured),
4.05%, 10/7/96 4,950
--------
8,777
--------
MICHIGAN - 1.7%
4,000 City of Detroit School District, Series:
1996, State School Aid Notes,
4.50%, 5/1/97 4,012
MICHIGAN - 1.7% (CONT'D.)
$ 2,135 Michigan Job Development Authority
IDR VRDN, Fisher Big Wheel Corp.
Project (Bayerische Vereinsbank LOC),
3.85%, 10/7/96 $ 2,135
5,900 Michigan Strategic Fund Ltd. G.O. Revenue
VRDN, Series: 1992 (AMT), Dow Chemical
Project, 4.10%, 10/1/96 5,900
2,500 Michigan Strategic Fund VRDN
(AMT), Kruger Commodities, Inc. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 2,500
2,655 Michigan Strategic Fund VRDN, Four 'D'
Investment Company Project (Comerica
Bank LOC), 3.90%, 10/7/96 2,655
1,700 Midland County Economic Development
Corp. IDR VRDN, Series: 1993 A (AMT),
Dow Chemical Corp. Project (Dow
Chemical Gtd.), 4.00%, 10/1/96 1,700
--------
18,902
--------
MINNESOTA - 0.5%
2,200 City of Duluth Tax Increment IDR VRDN,
Series: 1985, Lake Superior Paper Project
(Wachovia Bank of Georgia LOC),
4.05%, 10/7/96 2,200
3,060 County of Stearns Housing &
Redevelopment Authority VRDN
(AMT), Cold Spring Granite Co. Project
(First Bank LOC), 4.05%, 10/7/96 3,060
--------
5,260
--------
MISSOURI - 4.6%
5,000 City of St. Louis TRAN, Series: 1996,
4.75%, 6/30/97 5,026
7,000 County of Perry IDR VRDN, Series: 1996
(AMT), T.G. (USA) Corp. Project
(Bank of Tokyo-Mitsubishi LOC),
4.05%, 10/7/96 7,000
21,200 Missouri Higher Education Loan Authority
VRDN, Series: 1991 B (MBIA Insured),
3.95%, 10/7/96 21,200
6,680 Missouri Housing Development VRDN,
Series: 1994 A (AMT), Merrill P-Floats
PA-116 (GNMA Colld.), 4.05%, 10/7/96 6,680
MISSOURI - 4.6% (CONT'D.)
$ 1,750 Missouri State Housing Development
VRDN, Series: D (AMT), Single Family
Homeowner Loan (FGIC Insured),
4.20%, 11/1/96 $ 1,750
8,860 Missouri State TOCR G.O. VRDN,
Series: A, 4.15%, 10/7/96 8,860
--------
50,516
--------
MONTANA - 2.7%
1,350 Montana Board of Housing,
Series: B-2 (AMT), SFM,
4.00%, 10/1/96 1,350
3,920 Montana Board of Housing Single
Family VRDN, Series: 1996 A-2, Merrill
P-Floats PT-87, 4.05%, 10/7/96 3,920
24,600 Montana Board of Investment Resource
Recovery Revenue VRDN (AMT),
Colstrip Energy L.P. Project (Fuji Bank
Ltd. LOC), 4.00%, 10/7/96 24,600
--------
29,870
--------
NEBRASKA - 0.4%
4,000 Nebraska Investment Finance Authority
IDR VRDN, Series: 1989 (AMT), IDA
Fremont Beef Project (Sanwa
Bank LOC), 4.35%, 10/7/96 4,000
--------
New Jersey - 0.5%
5,775 State of New Jersey G.O., Series:
BTP-191, 3.70%, 10/15/96 5,775
--------
NEW YORK - 5.0%
10,000 County of Nassau TAN, Series: 1996 A,
4.00%, 3/5/97 10,025
Marine Midland Premium Loan Trust
VRDN, COP (Marine Midland Bank
LOC)<F5>
16,032 Series: 1991 A, 3.90%, 10/7/96 16,032
1,055 Series: 1991 B, 4.00%, 10/7/96 1,055
5,200 New York State Environment Facility
Corp. PCR VRDN, Series: 94302, Eagle
Trust-Weekly (CGIC Insured),
3.95%, 10/7/96 5,200
NEW YORK - 5.0% (CONT'D.)
$20,392 New York State Medical Care Finance
Agency, Series: BTP-175 (Colld. by U.S.
Government Securities),
3.85%, 12/17/96<F6> $20,392
2,800 Pooled Puttable Floating Option VRDN,
Series: PPT2, 4.25%, 10/1/96 2,800
--------
55,504
--------
NORTH CAROLINA - 1.9%
6,000 Capital Region Airport Commission VRDN
(AMT), Passenger Facility Charge Revenue
Bonds (First Union National Bank of
Charlotte LOC), 4.00%, 10/7/96 6,000
2,500 County of Brunswick PCR IDR VRDN,
Series: 1996 (AMT), Armada Project
(NationsBank N.A. LOC), 4.00%, 10/7/96 2,500
2,500 County of Mecklenburg PCR IDR VRDN,
Series: 1996 (AMT), SteriGenics
International Project (Comerica Bank LOC),
3.95%, 10/7/96 2,500
5,500 County of Person Industrial Facility PCR
VRDN, Series: 1992 A (Carolina Power &
Light Gtd.), 4.05%, 10/7/96 5,500
4,000 North Carolina State Port Authority
VRDN, Series: 1996 (AMT), Morehead
City Terminals, Inc. (NationsBank N.A.
LOC), 4.00%, 10/7/96 4,000
--------
20,500
--------
OHIO - 4.4%
7,040 Dublin Inn Tax-Exempt Mortgage IDR,
Series: 1987, Adjustable Rate Certificate
(Huntington National Bank LOC),
4.57%, 3/1/97 7,040
4,800 Public Facility TOB, Series: 1994 BTP-69,
4.00%, 10/7/96<F6> 4,800
4,000 State of Ohio Air Quality Development
Authority, Series: A, Pollution Control-
Duquesne (Union Bank of Switzerland
LOC), 3.95%, 7/16/97 4,000
1,940 State of Ohio Higher Education Facility
Revenue TOB, Series: 1990-BTP-29,
4.00%, 10/7/96<F6> 1,940
OHIO - 4.4% (CONT'D.)
State of Ohio HFA Mortgage VRDN (AMT)
$ 6,415 Series: 1989 A, 4.10%, 10/7/96 $ 6,415
9,000 Series: 1996 B-2, 3.80%, 3/3/97 9,000
5,875 State of Ohio Infrastructure Improvement
VRDN, Series: 1994 BTP-170,
3.95%, 10/7/96 5,875
3,600 State of Ohio Water Development Authority
PCR VRDN, Series: B (DTC2794), General
Motors Corp., 3.90%, 10/7/96 3,600
1,000 State of Ohio Water Development
Authority Revenue VRDN, Safe Water Series
(MBIA Insured), 4.55%, 12/1/96 1,001
5,000 State of Ohio Water Development Authority
Revenue VRDN (AMT), Ohio Edison Co.
Project (Union Bank of Switzerland
LOC), 3.80%, 5/1/97 5,000
--------
48,671
--------
OKLAHOMA - 0.7%
7,820 Oklahoma HFA Revenue Bond, Series:
1996 B (AMT), SFM, 4.05%, 10/7/96 7,820
--------
OREGON - 0.5%
1,100 Metropolitan Service District VRDN (AMT),
Riedel Oregon Compost Waste Disposal
(US Bank of Washington LOC),
4.05%, 10/7/96 1,100
Oregon State Housing & Commerce Services
Department, Series: C, SFM Program
2,000 Series: 1996 C, 3.85%, 5/15/97 2,000
2,700 Series: 1996 G, 4.05%, 8/1/97 2,700
--------
5,800
--------
PENNSYLVANIA - 8.7%
City of Philadelphia School District TRAN
16,000 Series: 1996, 4.50%, 6/30/97 16,062
30,900 Series: 1996 A, 4.50%, 6/30/97 31,011
Delaware Valley Regional Finance
Authority VRDN, Local Government
Revenue Bonds (Midland Bank PLC LOC)
3,900 Series: 1985 A, 3.95%, 10/7/96 3,900
8,900 Series: 1985 D, 3.95%, 10/7/96 8,900
7,000 Series: 1986 A, 3.95%, 10/7/96 7,000
PENNSYLVANIA - 8.7% (CONT'D.)
$ 3,000 Littlestown IDA VRDN, Hanover House
Industries Project (NationsBank N.A.
LOC) 3.85%, 10/7/96 $ 3,000
3,900 Pennsylvania Economic Development
Finance Authority IDR VRDN, Series:
1996 A1-8, (PNC Bank LOC),
4.00%, 10/7/96 3,900
22,500 Pennsylvania Higher Education
Assistance Agency VRDN, Series:
1995 A (AMT), Student Loan Program
(SLMA LOC), 3.90%, 10/7/96 22,500
--------
96,273
--------
PUERTO RICO - 0.6%
7,000 Puerto Rico Industrial, Medical &
Environmental PCR, Series: 1983 A,
Merck & Co., Inc., 4.00%, 12/1/96 7,000
--------
RHODE ISLAND - 0.2%
2,500 State of Rhode Island TAN,
Series: 1996 A, 4.50%, 6/30/97 2,509
--------
SOUTH CAROLINA - 0.6%
5,800 County of Cherokee IDR VRDN,
Series: 1989 (AMT), Oshkosh Truck
Corp. Project (NationsBank
N.A. LOC), 4.00%, 10/7/96 5,800
County of Lexington IDR VRDN,
Allied-Signal Project (FMC Corp. Gtd.)
200 Series: 1992, 4.00%, 10/7/96 200
900 Series: 1992 A, 4.00%, 10/7/96 900
--------
6,900
--------
SOUTH DAKOTA - 2.3%
8,410 South Dakota Economic Development
Finance Authority VRDN, Series: 1996
(AMT), Hastings Filters, Inc. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 8,410
South Dakota Housing Development
Authority Homeowner Mortgage
VRDN (AMT), Merrill P-Floats
12,755 Series: PT-73-A, 4.05%, 10/7/96 12,755
4,000 Series: PA-119, 4.05%, 10/7/96 4,000
--------
25,165
--------
TENNESSEE - 2.1%
$ 1,500 County of Dickson IDR VRDN,
Series: 1996 (AMT), Tennessee Bun Co.
LLC Project (PNC Bank LOC),
4.00%, 10/7/96 $ 1,500
2,200 City of Greeneville Industrial
Development Board IDR VRDN,
Series: 1993, Pet, Inc. Project
(PNC Bank LOC), 3.85%, 10/7/96 2,200
4,000 City of Jackson IDB Waste Facility IDR
VRDN, Series: 1995 (AMT), Florida Steel
Corp. Project (NationsBank N.A. LOC),
4.00%, 10/7/96 4,000
5,000 Counties of Nashville & Davidson
Housing VRDN (AMT), Old Hickory
Towers Project (FHLB Indianapolis
LOC), 3.95%, 10/7/96 5,000
10,000 State of Tennessee Housing Development
Agency, Series: 1996-5 (AMT),
Homeowner Program, 4.00%, 8/21/97 9,994
--------
22,694
--------
TEXAS - 12.8%
2,400 Brazos River Harbor Navigation District
VRDN, Series: 1996 (AMT), BASF Corp.
Project, 4.00%, 10/1/96 2,400
2,525 City of Austin Independent School District
Building P-Floats, Series: 1996 SG-68,
Merrill Soc Gen, 3.95%, 10/7/96 2,525
City of Corpus Christi Authority CP,
Union Pacific Resources Project
(Union Pacific Corp. Gtd.)
15,410 Series: 1989, 4.05%, 10/1/96 15,410
9,490 Series: 1989, 4.05%, 12/11/96 9,490
16,650 Series: 1992, 4.05%, 10/1/96 16,650
6,600 Cities of Dallas-Fort Worth Airport
Revenue VRDN, Series: 1995 SGB-5,
Soc Gen Trust (FGIC Insured),
3.90%, 10/7/96 6,600
4,700 City of Dallas Water & Sewer Works CP,
Series: A, Gas Works Revenue
(Industrial Bank of Japan LOC),
3.70%, 11/21/96 4,700
3,500 City of El Paso Housing Finance Corp.
VRDN, Series: 1993 (AMT), Viva
Apartments Project (General Electric
Corp. LOC), 4.10%, 10/7/96 3,500
TEXAS - 12.8% (CONT'D.)
$ 3,645 City of Fort Worth Housing Finance Corp.
(AMT), GNMA Mortgage-Backed Securities
Program (Colld. in GNMA Securities),
3.75%, 10/1/96 $ 3,645
3,455 City of Houston Water & Sewer System
TOB, Series: 1992 C BTP-54
(MBIA Insured), 4.00%, 10/7/96<F6> 3,455
7,000 City of Mansfield Independent School
District, Series: 1996, School Building
(PSF of Texas Gtd.), 4.14%, 7/1/97 7,001
7,600 County of Calhoun Navigation IDR
VRDN (AMT), Formosa Plastics Corp.
U.S.A. (Bank of America LOC),
3.95%, 10/7/96 7,600
11,600 County of Denton Independent School
District G.O., Series: B (PSF of Texas Gtd.),
3.98%, 8/15/97 11,602
8,000 County of Harris Toll Road Unlimited
VRDN, Series: 1994 A, Citicorp
Eagle Trust #954302, 4.00%, 10/7/96<F6> 8,000
5,000 Greater East Texas Student Loan Corp.
Revenue VRDN, Series: A (SLMA LOC),
3.35%, 3/1/97 5,000
Gulf Coast Waste Disposal Authority
VRDN (AMT), Amoco Oil Co. Project
(Amoco Oil Co. Gtd.)
1,800 Series: 1994, 4.05%, 10/1/96 1,800
2,800 Series: 1995, 4.05%, 10/1/96 2,800
1,000 North Central Health Facilities Development
Corp. VRDN, Presbyterian Medical Center
Project (MBIA Insured), 3.90%, 10/1/96 1,000
8,300 North Texas Higher Education Authority
VRDN, Series: 1993 A (AMT), Student Loan
Program (SLMA LOC), 3.90%, 10/7/96 8,300
5,800 North Texas Higher Education Authority
VRDN, Series: 1996 A, Student Loan
Program (AMBAC Insured), 3.90%, 10/7/96 5,800
8,570 Texas Veterans Housing Program VRDN,
Series: 1994D PT-83 (AMT), Merrill
P-Floats, 4.05%, 10/7/96 8,570
5,049 Texas Turnpike Authority Dallas Toll
Revenue VRDN, Series: BTP-60 ADP
Class B (AMBAC Insured),
4.00%, 10/7/96 5,049
--------
140,897
--------
UTAH - 1.3%
$ 1,800 City of Salt Lake Flexible Revenue CP,
Series: 1990, Pooled Hospital Finance
Program (Westdeutsche Landesbank
Girozentral LOC), 3.65%, 10/23/96 $ 1,800
12,700 Utah State Board of Regents VRDN,
Series: 1996 Q (AMT), Student Loan
Program (AMBAC Insured),
3.90%, 10/7/96 12,700
--------
14,500
--------
VIRGINIA - 1.3%
3,200 City of Norfolk G.O. VRDN,
Eagle Trust #944601, 4.00%, 10/7/96<F5> 3,200
6,900 City of Roanoke IDR VRDN,
Series: 1994, Cooper Industries Project
(Cooper Industries Gtd.), 4.00%, 10/7/96 6,900
2,200 County of Botetourt IDR VRDN,
Valley Forge Company Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 2,200
1,900 State of Virginia G.O. VRDN, Series:
1994, Citicorp Eagle Trust #954601
(State of Virginia), 4.00%, 10/7/96<F6> 1,900
--------
14,200
--------
WASHINGTON - 0.2%
2,500 City of Kent Economic Development
Corp. IDR VRDN, Associated Grocers
Project (Seattle-First National Bank
LOC), 4.26%, 10/7/96 2,500
--------
WISCONSIN - 3.1%
3,475 City of Milwaukee Redevelopment VRDN,
Series: 1996 (AMT), Starline
Manufacturing, Inc. (Harris Trust and
Savings Bank LOC), 4.00%, 10/7/96 3,475
4,290 City of Pewaukee IDR VRDN,
Series: 1992 (AMT), HUSCO
International, Inc. Project (Bank One,
Milwaukee LOC), 4.00%, 10/7/96 4,290
4,500 City of Winneconne Community School
District, Waushara & Winnebago Counties,
4.00%, 2/3/97 4,504
WISCONSIN - 3.1% (CONT'D.)
Wisconsin Housing & Economic
Development Authority Revenue VRDN,
Home Ownership Revenue Program
$1,760 Series: 1987 C22, 4.00%, 9/1/97 $ 1,760
1,380 Series: 1987 C23, 4.00%, 9/1/97 1,380
9,305 Series: 1989 C39, 4.00%, 9/1/97 9,305
9,410 Wisconsin Housing & Economic
Development Authority Revenue VRDN,
Series: 1991-B (AMT), Home Ownership
Revenue Program (FHA Insured),
3.85%, 3/1/97 9,410
--------
34,124
--------
Total Municipal Investments
(cost $1,077,964) 1,077,964
--------
NUMBER
OF SHARES
(000s)
---------
OTHER - 0.7%
1,130 AIM Tax-Free Money Market Fund 1,130
300 Dreyfus Tax-Exempt Cash Management
Fund 300
1,150 Federated Tax Free Trust
Money Market Fund #15 1,150
500 Federated Tax Free Trust
Money Market Fund #73 500
3,794 Provident Municipal Cash Fund 3,794
1,184 Provident Municipal Fund 1,184
--------
Total Other
(cost $8,058) 8,058
--------
Total Investments - 98.4%
(cost $1,086,022) 1,086,022
Other Assets less Liabilities - 1.6% 17,091
--------
NET ASSETS - 100.0% $1,103,113
===========
[FN]
<F5> These private placement securities may require registration under the
Securities Act of 1933 or an exemption therefrom in order to effect sale in
the ordinary course of business. At September 30, 1996, the value of these
securities amounted to $39,747,000 or 3.6% of net assets.
<F6> Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $40,487,000 or 3.7% of net
assets.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
U.S. GOVERNMENT SELECT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000s) (000s)
-----------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 95.8%
FEDERAL FARM CREDIT BANK - 20.7%
FFCB Discount Notes
$ 725 5.244%, 10/15/96 $ 724
10,000 5.271%, 10/22/96 9,969
4,000 5.335%, 10/22/96 3,988
5,000 5.308%, 11/6/96 4,974
1,605 5.291%, 11/20/96 1,593
--------
21,248
--------
FEDERAL HOME LOAN BANK - 60.7%
FHLB Discount Notes
5,900 5.265%, 10/7/96 5,895
255 5.239%, 10/9/96 255
11,970 5.29%, 10/9/96 11,957
3,000 5.372%, 10/9/96 2,996
2,000 5.423%, 10/16/96 1,996
7,500 5.213%, 10/17/96 7,483
3,500 5.339%, 10/17/96 3,492
5,800 5.428%, 10/28/96 5,777
400 5.27%, 11/18/96 397
5,000 5.509%, 1/7/97 4,928
4,000 5.652%, 1/9/97 3,939
1,500 5.464%, 1/13/97 1,477
5,000 5.445%, 1/22/97 4,918
4,000 5.587%, 2/21/97 3,913
3,000 5.85%, 8/1/97 3,002
--------
62,425
--------
STUDENT LOAN MARKETING
ASSOCIATION - 9.6%
8,000 SLMA Discount Note,
5.352%, 12/18/96 7,909
2,000 SLMA FRN, 5.435%, 12/3/96 1,999
--------
9,908
--------
TENNESSEE VALLEY AUTHORITY - 4.8%
5,000 TVA Discount Note,
5.261%, 11/7/96 4,973
--------
Total U.S. Government Agencies
(cost $98,554) 98,554
--------
NUMBER OF
SHARES VALUE
(000s) (000s)
-----------------------------------------------------------------------
OTHER - 4.6%
4,689 Dreyfus Prime Money Market Fund $ 4,689
--------
Total Other
(cost $4,689) 4,689
--------
Total Investments - 100.4%
(cost $103,243) 103,243
Liabilities less Other Assets - (0.4)% (369)
--------
NET ASSETS - 100.0% $102,874
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
CALIFORNIA MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000s) (000s)
-----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 97.9%
CALIFORNIA - 97.9%
$ 1,000 City of Irvine Limited Obligation
Improvement VRDN, Assessment District
No. 94-15 (Dai-Ichi Kangyo Bank LOC),
3.70%, 10/1/96 $ 1,000
600 City of Los Angeles VRDN, Series: 1995 D,
Coral Wood Court Project (Union Bank
LOC), 3.95%, 10/7/96 600
3,600 City of Marysville Joint Unified School
District TRANS, 4.50%, 11/21/96 3,603
3,955 City of San Diego Public Facility Water/
Sewer VRDN, Merrill Soc Gen Muni
Trust, Series: SG-14 (AMBAC Insured),
3.85%, 10/7/96 3,955
4,975 City of San Francisco G.O. VRDN,
BA Securities, Series: 1996-A
(FGIC Insured), 3.90%, 10/7/96 4,975
2,635 City of San Marcos Public Facility
Authority Revenue Bond, Series: 1989-
BTP-187, Civic Center Project (Colld. by
U.S. Government Securities), 3.75%, 3/6/97 2,635
12,146 City of San Marcos Public Facility
Authority Revenue Bond, Series:
1989-BTP-188, Civic Center Project
(Colld. by U.S. Government Securities),
3.95%, 10/7/96 12,146
645 City of Visalia COP VRDN, Series: 1985,
Convention Center Expansion Project
(Mitsubishi Bank LOC), 3.85%, 10/7/96 645
2,350 County of Campbell Union Elementary
School District TRAN, Series: 1996-1997,
4.50%, 7/2/97 2,360
2,000 County of Contra Costa TOB, Series:
1988, Home Mortgage Revenue Program
(Colld. by U.S Government Securities),
4.00%, 12/1/96 2,000
2,000 County of Los Angeles COP, Series: A,
California Equipment Program F
(Canadian Imperial Bank LOC),
4.00%, 6/1/97 2,001
2,200 County of Los Angeles VRDN,
Series: A, Sand Canyon Villas Project
(Industrial Bank of Japan LOC),
4.00%, 10/7/96 2,200
CALIFORNIA - 97.9% (CONT'D.)
$1,500 County of Moreno Valley Unified School
District TRAN, Series: 1996/97,
4.50%, 6/30/97 $1,505
2,100 County of Orange Multifamily VRDN,
Monarch Laguna Assn./Monarch Bay,
Series: 1985 T (Bank of Tokyo-Mitsubishi
LOC), 3.90%, 10/7/96 2,100
1,900 County of Orange Apartment Development
VRDN, Series: 1988 A, Vista Verde
Apartments (Wells Fargo Bank LOC),
3.95%, 10/7/96 1,900
1,100 County of Orange Apartment Development
#19 VRDN, Parkplace Irvine County Phase
1B Project (New England Mutual Gtd.),
3.90%, 10/7/96 1,100
9,600 County of Orange Apartment Development
VRDN, Series: 1992 B, Aliso Creek Project
(Wells Fargo & Co. LOC), 4.15%, 10/7/96 9,600
250 County of Orange Limited Obligation
Improvement VRDN, Irvine Coast
Assessment District #88-1 (Soc Gen LOC),
3.90%, 10/1/96 250
2,000 County of Oxnard Unified High School
District TRAN, Series: 1996, 4.50%, 8/7/97 2,007
2,000 County of Riverside Housing Revenue Bond
VRDN, Series: 1989 B, Amanda Parks Apts.
Project (Fuji Bank LOC), 4.35%, 10/7/96 2,000
1,200 County of Riverside Housing Revenue Bond
VRDN, Series: 1992 A (Union Bank LOC),
3.90%, 10/7/96 1,200
4,000 County of Riverside Transportation Sales
Tax Revenue CP (Industrial Bank of Japan
LOC), 3.70%, 11/7/96 4,000
1,300 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 A,
River Oaks (Dai-Ichi Kangyo Bank LOC),
3.90%, 10/7/96 1,300
2,300 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 E,
River Oaks (Dai-Ichi Kangyo Bank LOC),
3.90%, 10/7/96 2,300
1,245 County of Santa Clara Housing Authority
VRDN, Series: A, Multifamily Avenida
Espana Gardens (Union Bank LOC),
3.70%, 10/7/96 1,245
CALIFORNIA - 97.9% (CONT'D.)
$ 2,000 Health Facility Authority Revenue Bond
VRDN, Episcopal Home Project
(Union Bank LOC), 4.05%, 10/7/96 $ 2,000
5,000 HFA Home Mortgage Revenue Bond,
Series: 1996 J, 4.00%, 7/24/97 5,000
2,360 HFA VRDN, Series: 1991 G,
Merrill P-Floats PT-40D,
4.00%, 10/7/96 2,360
860 HFA VRDN, Series: 1995 B,
Merrill P-Floats PT-56,
4.00%, 10/7/96 860
2,000 HFA VRDN, Series: 1995 E,
Mandatory Put (Bayerische
Landesbank LOC), 3.50%, 2/1/97 2,000
5,300 Irvine Ranch Consolidated Water District
VRDN, Series: 1993 B, Districts 2, 102, 103
& 206 (Morgan Guaranty Trust Co. LOC),
3.90%, 10/1/96 5,300
2,260 Pleasant Hill Redevelopment Agency
Housing Revenue Bonds VRDN, Series:
1996-A, Chateau III Project (Commerzbank
(C.) LOC), 4.00%, 10/7/96 2,260
1,590 Regents of University of California VRDN,
Series: C, Merrill Soc Gen Muni Trust,
SG-24 (AMBAC Insured), 3.85%, 10/7/96 1,590
9,000 School Cash Reserve Program Authority
TRAN, Pool Bonds, Series: 1996 A,
4.75%, 7/2/97 9,048
5,400 State Community Development Authority
Housing Revenue, Series: 1995 B (AMT),
Kimberly Woods Apartments (FNMA
Colld.), 3.85%, 10/7/96 5,400
4,000 State Department of Water Resources
Water/Sewer VRDN, Central Valley
Project, Merrill Soc Gen Muni Trust,
Series: SG-5, 3.85%, 10/7/96 4,000
12,050 State G.O. VRDN, Series: 1992 (MBIA
Insured), 4.10%, 10/7/96 12,050
2,000 State G.O. VRDN, Series: 1995, Bear
Stearns/Soc Gen Trust (FSA Insured),
3.85%, 10/7/96 2,000
4,000 State G.O. VRDN TOB, Series: 5027C,
Citibank (FGIC Insured),
3.90%, 10/7/96 4,000
CALIFORNIA - 97.9% (CONT'D.)
$4,000 State of California RAN,
Series: 1996 A, 4.50%, 6/30/97 $ 4,015
2,000 State of California RAN
VRDN, Series: 1996-97 B, 63% of 3-mo
LIBOR, Late Day Daily Put,
3.514%, 10/1/96 2,000
400 State Pollution Control Finance
Authority, Pacific Gas & Electric
Project (Banque Nationale de Paris
LOC), 3.90%, 10/1/96 400
4,000 Statewide Community Development
Authority TRAN, Series: A (Statewide
Communities Program Pool Residual
Fund Insured), 4.75%, 6/30/97 4,022
6,640 Statewide Community Development
Authority VRDN, Series: 1994, Chevron
U.S.A. Inc. Project (Chevron Oil Gtd.),
3.95%, 10/1/96 6,640
--------
Total Municipal Investments
(cost $143,572) 143,572
--------
NUMBER
OF SHARES
(000s)
---------
OTHER - 1.6%
391 Federated Tax Exempt Money Market
Fund #80 391
1,938 Provident Institutional California
Money Fund 1,938
--------
Total Other
(cost $2,329) 2,329
--------
Total Investments - 99.5%
(cost $145,901) 145,901
Other Assets less Liabilities - 0.5% 774
--------
NET ASSETS - 100.0% $146,675
==========
See Notes to the Financial Statements.
NOTES TO THE
FINANCIAL STATEMENTS
September 30 , 1996
(Unaudited)
1. ORGANIZATION
Northern Funds was organized October 12, 1993 as a Massachusetts business
trust and is registered under the Investment Company Act of 1940 as an
open-end management investment company consisting of 19 portfolios. The Money
Market, U.S. Government Money Market, Municipal Money Market, U.S. Government
Select Money Market and California Municipal Money Market Funds (collectively
the "Funds") are separate, diversified investment portfolios of Northern
Funds, except the California Municipal Money Market Fund which is a
non-diversified portfolio of Northern Funds. Non-diversified portfolios may
invest a relatively high percentage of their net assets in obligations of a
limited number of issuers. Each of the Funds maintains its own investment
objective. All of the Funds commenced investment operations during April
1994, with the exception of the California Municipal Money Market Fund and the
U.S. Government Select Money Market Fund, which commenced investment
operations during November and December 1994, respectively.
The Funds have entered into an Investment Advisory Agreement with The
Northern Trust Company ("Northern Trust" or the "Adviser"). Northern Trust
also serves as custodian, fund accountant and transfer agent for the Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with generally accepted accounting principles
("GAAP"). The presentation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results may differ from those estimates.
A. VALUATION OF SECURITIES - Short-term investments held by the Funds are
valued using the amortized cost method, which approximates market value.
Under this method, investments purchased at a discount or premium are
valued by amortizing the difference between the original purchase price
and maturity value of the issue over the period to maturity. Any
securities for which no current quotations are readily available are
valued at fair value as determined in good faith by the Adviser under the
supervision of the Board of Trustees.
B. REPURCHASE AGREEMENTS - During the term of a repurchase agreement, the
market value of the underlying collateral, including accrued interest, is
required to equal or exceed the market value of the repurchase agreement.
The underlying collateral for all repurchase agreements is held in a
customer-only account of Northern Trust, as custodian for the Funds, at the
Federal Reserve Bank of Chicago.
C. ORGANIZATIONS COSTS - Organization expenses of approximately $342,000 have
been deferred and are being amortized on a straight-line basis through
1999.
D. INVESTMENT TRANSACTIONS AND INCOME - Investment transactions are recorded
as of the trade date. The Funds determine the gain or loss realized from
investment transactions by using an identified cost basis method. Interest
income is recognized on an accrual basis and includes amortization of
discounts and premiums.
E. EXPENSES - The Funds are charged for those expenses that are directly
attributable to each Fund. Expenses that are not directly attributable to
a Fund are typically allocated among the Funds in proportion to their
respective net assets.
F. DISTRIBUTIONS TO SHAREHOLDERS - Dividends from net investment income are
declared and paid as follows:
DECLARATION PAYMENT
FREQUENCY FREQUENCY
---------------------------------------------------------
Money Market Daily Monthly
U.S. Government Money
Market Daily Monthly
Municipal Money Market Daily Monthly
U.S. Government Select
Money Market Daily Monthly
California Municipal
Money Market Daily Monthly
---------------------------------------------------------
Distributions of net realized capital gains, if any, are declared at
least annually. Distributions to shareholders are recorded on the
ex-dividend date.
G. Federal Income Taxes - No provision for federal income taxes has been made
since the Funds intend to comply with the requirements of the Internal
Revenue Code available to regulated investment companies and to distribute
substantially all of their taxable income to their shareholders.
H. RECLASSIFICATIONS - At March 31, 1996, the Funds made reclassifications
among their capital accounts to reflect the characterization of certain
income and capital gain distributions for federal income tax purposes which
may differ from amounts determined in accordance with generally accepted
accounting principles, as follows:
UNDISTRIBUTED
NET PAID
INVESTMENT IN
INCOME CAPITAL
---------------------------------------------------------------
Money Market $50 $(50)
U.S. Government
Money Market 15 (15)
Municipal Money
Market 36 (36)
U.S. Government Select
Money Market 5 (5)
California Municipal
Money Market 5 (5)
---------------------------------------------------------------
These reclassifications have no impact on the net asset value of the
Funds and are primarily due to differing treatments of certain fees and
expenses. Certain reclassifications have been made to amounts recorded at
March 31, 1995 to conform to the current financial statement presentation.
3. INESTMENTS ADVISORY AND OTHER AGREEMENTS
Pursuant to its advisory agreement with the Funds, the Adviser is entitled to
receive a fee, calculated daily and payable monthly, at the annual rates
presented below as applied to each Fund's daily net assets. For the six
months ended September 30, 1996, the Adviser voluntarily agreed to waive a
portion of its advisory fees as applied to each Fund's daily net assets.
Northern Trust has also agreed to reimburse the Funds as shown on the
accompanying Statements of Operations to adhere to the expense limitations
presented in the following table:
ANNUAL ADVISORY
ADVISORY FEES AFTER EXPENSE
FEES WAIVERS LIMITATIONS
----------------------------------------------------------------------
Money Market 0.60% 0.40% 0.55%
U.S. Government
Money Market 0.60% 0.40% 0.55%
Municipal Money
Market 0.60% 0.40% 0.55%
U.S. Government Select
Money Market 0.60% 0.25% 0.40%
California Municipal
Money Market 0.60% 0.30% 0.45%
----------------------------------------------------------------------
Prior to December 1, 1995, the annual advisory fees, advisory fees after
waivers and expense limitations for the Funds were as follows:
ANNUAL ADVISORY
ADVISORY FEES AFTER EXPENSE
FEES WAIVERS LIMITATIONS
----------------------------------------------------------------------
Money Market 0.60% 0.35% 0.45%
U.S. Government
Money Market 0.60% 0.35% 0.45%
Municipal Money
Market 0.60% 0.35% 0.45%
U.S. Government Select
Money Market 0.60% 0.20% 0.30%
California Municipal
Money Market 0.60% 0.25% 0.35%
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The Funds have entered into an administrative agreement with Sunstone
Financial Group, Inc. ("Sunstone") for certain administrative services.
Pursuant to its administrative agreement with the Funds, Sunstone is entitled
to receive a fee, computed daily and payable monthly, at the annual rate of
0.15% of each Fund's daily net assets. For the six months ended September 30,
1996, Sunstone voluntarily agreed to waive a portion of its administration
fees as shown on the accompanying Statements of Operations.
4. BANK LOANS
Northern Funds maintains a $5,000,000 revolving bank credit line and a
$15,000,000 conditional revolving credit line for liquidity and other
purposes. Borrowings under this arrangement bear interest at 1% above the Fed
Funds rate and are secured by pledged securities equal to or exceeding 120% of
the outstanding balance.
There were no borrowings during the six months ended September 30, 1996.
This report has been prepared for the general information of Northern Funds
shareholders. It is not authorized for distribution to prospective investors
unless accompanied or preceded by a current Northern Fund prospectus, which
contains more complete information about Northern Funds investment policies,
management fees and expenses. Investors are reminded to read the prospectus
carefully before investing or sending money.
Northern Funds
P.O. Box 75986
Chicago, IL 60690-6319
1-800-595-9111
Copyright 1996 Sunstone Financial Group, Inc., Distributor