MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
MUNICIPAL MONEY MARKET FUND
U.S. GOVERNMENT SELECT MONEY MARKET FUND
CALIFORNIA MUNICIPAL MONEY MARKET FUND
ANNUAL REPORT
March 31, 1997
TABLE OF CONTENTS
PAGE
Letter to Shareholders..................................................1
Abbreviations and Other Information.................................... 2
Economic and Market Overview............................................3
Portfolio Commentaries..................................................4
Money Market Funds
Statements of Assets and Liabilities................................ 6
Statements of Operations............................................ 7
Statements of Changes in Net Assets................................. 8
Financial Highlights............................................... 10
Schedules of Investments
Money Market Fund............................................... 12
U.S. Government Money Market Fund............................... 15
Municipal Money Market Fund..................................... 16
U.S. Government Select Money Market Fund........................ 27
California Municipal Money Market Fund.......................... 28
Notes to the Financial Statements..................................... 31
Report of Independent Public Accountants...............................33
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 an independent third party, Sunstone
Distribution Services, LLC, and sold by The Northern Trust Company and its bank
affiliates.
(LOGO)
MAY 1997
DEAR SHAREHOLDER:
We are pleased to provide you with this Northern Funds Annual Report for your
money market fund investment for the year ended March 31, 1997. In it, you'll
find information about your investment, enabling you to better monitor its
management and performance.
This report includes an economic and market overview, a commentary by each of
the Northern Funds money market funds portfolio managers, a listing of
securities held in each portfolio and each Fund's operating results.
Please read this document carefully and retain it in your files for future
reference.
To avoid duplication, we have sent only one copy of each report per mailing
address. If you would like to receive duplicate copies, please call the Northern
Funds Center at 1-800-595-9111. We will send additional copies and adjust our
records accordingly for future mailings.
Thank you for your continued confidence in Northern Funds. Please let us know if
there is anything we can do to serve you better.
NORTHERN FUNDS
NORTHERN FUNDS
POST OFFICE BOX 75986
CHICAGO, IL 60690-6319
PHONE (800) 595-9111
FAX (312) 557-0411
SUNSTONE DISTRIBUTION SERVICES, LLC, DISTRIBUTOR
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
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
TOB Tender Option Bond
TOCR Tender Option Custodial Receipt
TRAN Tax and Revenue
Anticipation Note
TVA Tennessee Valley Authority
VRDN Variable Rate Demand Note
ECONOMIC AND MARKET OVERVIEW
REVIEW AND OUTLOOK OF THE ECONOMY - GROWTH SHOULD CONTINUE IN 1997
A number of factors lead us to conclude that the U.S. economy should continue to
grow throughout 1997. Domestic economic demand appears to have strengthened from
the fourth quarter of 1996. Business inventories are low and material prices are
starting to rise. This creates the potential for stronger voluntary accumulation
of inventories in the first half of 1997.
In light of the stronger-than-expected economic growth and the potential for an
even tighter labor market, the Federal Open Market Committee tightened
monetary policy a notch toward the end of March. Given that current monetary
policy does not appear to be excessively accommodative, and inflation
psychology is all but absent in the economy, the tightening by the Federal
Reserve is interpreted as fine-tuning. We anticipate the Fed's actions are meant
to slow economic growth marginally below its potential, rather than to act as
major counter-cyclical tightening, which often results in a recession.
Labor markets remain tight. We could see further tightening as labor force
growth slows in accordance with demographic trends. While welfare reform could
push labor force participation rates higher, there is a question about how
employable these new workers may be, especially in light of the higher minimum
wage. So far, the tight labor market has yet to manifest itself in higher core
inflation, although further tightening could affect it.
Food prices may not moderate as much as some had expected. Livestock prices are
rising as a result of last year's hard culling. Grain and oilseed prices are
increasing again due to continued strong demand, low inventories and concerns
that this year's harvests could be restrained by spring flooding.
As the peak driving season approaches, gasoline inventories are lower than they
were last year, with little excess refinery capacity available. As a result,
gasoline prices could rise more than usual this summer.
Although domestic economic demand is strong, net exports could be a drag on
growth, at least in the first quarter. The reasons for this are the lagged
effects of last year's strengthening in the U.S. dollar and continued economic
softness in the industrialized economies, especially those in continental
Europe. Countering this, however, is strengthening domestic demand in Canada --
our largest single-country export market -- and continued economic strength in
Mexico and the U.K. -- our third- and fourth-largest export markets,
respectively.
After Japan, our largest bilateral trade deficit is now with the People's
Republic of China. Allegations that the Chinese government has tried to
influence federal government decisions through campaign contributions have
heightened the political sensitivity of our large Chinese trade deficit.
Because China wants to remain in "most favored nation" trade status and wants to
be admitted to the World Trade Organization, the Chinese government might take
steps to increase imports from the U.S. Thus, despite the past rise in the U.S.
dollar, our trade deficit position could improve.
PORTFOLIO COMMENTARIES
MONEY MARKET FUND
During the latter part of 1996 and the first quarter of 1997, the maturity
structure of the Fund anticipated higher interest rates in the short-term money
market. The portfolio is heavily weighted in Tier-One commercial paper (issues
rate in the highest rating category by at least two nationally
recognized statistical rating organizations (NRSROs)) where yields are
presently most attractive. The remainder is invested in certificates of
deposit, repurchase agreements, variable rate notes, Treasury bills and other
high-quality securities. Quality remains the primary factor in selecting issues
for the portfolio with yield being a secondary factor. During the upcoming
year, the Fund will be managed to take advantage of the Federal Reserve's
increasing interest rates. The barbell strategy will also be used to take
advantage of any backup in the market on the longer end. As always, we will
continue to focus on providing our shareholders with the quality, liquidity and
yield they are seeking in a money market fund.
Mary Ann Flynn
Portfolio Manager
U.S. GOVERNMENT
MONEY MARKET FUND
U.S. GOVERNMENT SELECT
MONEY MARKET FUND
Although the Federal Reserve raised interest rates only once last year,
interest rates were volatile and had a major effect on both Funds'
performance. During the year, we maintained our heavy weighting in securities
issued by agencies of the U.S. government. For the remainder of this year, we
anticipate positioning both Funds to maintain our emphasis on quality and to
protect liquidity. We will focus closely on the direction of the economy and
Federal Funds interest rates and extend the portfolios' average maturities when
conditions warrant.
Edward Kyritz, III
Portfolio Manager
MUNICIPAL MONEY
MARKET FUND
Last year we maintained a longer average maturity and invested in more
fixed-rate bonds and Alternative Minimum Tax (AMT) securities. As a result, we
outperformed our benchmark (IBC's Money Fund Average/TM/All Tax-Free). We plan
to closely watch the supply of short-term securities and the actions of the
Federal Reserve. In order to take advantage of rising interest rates, we
anticipate keeping the average maturity of the portfolio relatively short.
Brad Snyder
Portfolio Manager
CALIFORNIA MUNICIPAL
MONEY MARKET FUND
The supply of short-term, tax-exempt California securities was very limited last
year, causing lower than normal yields. By maintaining a longer average maturity
than our peer group, however, we were able to outperform our benchmark (IBC's
Money Fund Average/TM/California State-Specific Stock Broker & General Purpose).
During the coming year, we will closely monitor the actions of the Federal
Reserve. We plan to keep the portfolio's average maturity relatively short to
take advantage of the expected higher interest rates.
Brad Snyder
Portfolio Manager
MONEY MARKET FUNDS 7-DAY YIELDS<F1>
PERIOD ENDED MAY 15, 1997
U.S. U.S. GOVERNMENT CALIFORNIA
MONEY GOVERNMENT MUNICIPAL SELECT MUNICIPAL
MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND FUND FUND
----- ----- ----- ----- -----
Current 5.18% 5.02% 3.58% 5.12% 3.64%
Effective 5.31% 5.14% 3.64% 5.25% 3.71%
<F1> Yield calculations reflect fee waivers in effect, represent past
performance and will fluctuate. In the absence of fee waivers, current 7-day
yields for the Money Market, U.S. Government Money Market, Municipal Money
Market, U.S. Government Select Money Market and California Municipal Money
Market Funds would have been 5.11%, 4.93%, 3.49%, 5.01% and 3.56%, respectively.
An investment in any one of the money market funds is neither insured nor
guaranteed by the U.S. government nor is there any assurance the Funds will be
able to maintain a stable net asset value of $1.00 per share.
<TABLE>
MONEY MARKET FUNDS YIELD<F2> COMPARISONS
AVERAGE MONTHLY RATES
<CAPTION>
IBC'S
MONEY FUND
AVERAGE/TM/
CALIFORNIA
STATE-
U.S. GOV'T. IBC'S CALIFORNIA SPECIFIC
IBC'S U.S. GOV'T. IBC'S MUNICIPAL IBC'S SELECT MONEY FUND MUNICIPAL STOCK
MONEY MONEY FUND MONEY MONEY FUND MONEY MONEY FUND MONEY AVERAGE/TM/ MONEY BROKER &
MARKET AVERAGE/TM/ MARKET AVERAGE/TM/ MARKET AVERAGE/TM/ MARKET 100% U.S. MARKET GENERAL
FUND ALL TAXABLE FUND GOVERNMENT FUND ALL TAX-FREE FUND TREASURIES FUND PURPOSE
----- ----------- ---- ---------- ---- ------------ ----- ----------- ----- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997
March 4.96% 4.84% 4.86% 4.68% 2.85% 2.76% 4.96% 4.61% 2.95% 2.60%
February 4.93% 4.82% 4.81% 4.64% 2.93% 2.87% 4.94% 4.57% 3.13% 2.74%
January 5.01% 4.84% 4.84% 4.66% 3.04% 2.90% 4.96% 4.56% 3.16% 2.78%
1996
December 5.00% 4.85% 4.86% 4.67% 3.22% 3.07% 4.97% 4.58% 3.34% 2.99%
November 4.94% 4.84% 4.86% 4.68% 3.15% 2.98% 4.94% 4.61% 3.21% 2.90%
October 4.93% 4.82% 4.83% 4.65% 3.16% 2.96% 4.96% 4.61% 3.20% 2.88%
September 4.95% 4.83% 4.82% 4.66% 3.18% 3.00% 4.94% 4.63% 3.22% 2.87%
August 4.92% 4.82% 4.82% 4.65% 3.22% 2.98% 4.96% 4.60% 3.21% 2.89%
July 4.93% 4.81% 4.82% 4.64% 2.85% 2.67% 4.98% 4.56% 2.73% 2.57%
June 4.87% 4.77% 4.80% 4.60% 3.09% 2.88% 4.96% 4.53% 3.05% 2.79%
May 4.88% 4.74% 4.78% 4.57% 3.34% 3.16% 4.93% 4.50% 3.38% 3.08%
April 4.89% 4.75% 4.75% 4.58% 3.12% 2.97% 4.92% 4.52% 3.19% 2.87%
<FN>
<F2> Yield calculations for Northern Funds reflect fee waivers in effect,
represent past performance and will fluctuate; in the absence of fee waivers,
performance would be reduced. An investment in any one of the money market funds
is neither insured nor guaranteed by the U.S. government nor is there any
assurance the Funds will be able to maintain a stable net asset value of $1.00
per share.
We compare our Funds to the IBC's Money Fund Averages/TM which are composites of
professionally managed money market investments with similar investment
objectives.
</TABLE>
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 1997
MONEY MARKET FUNDS
<CAPTION>
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, EXCEPT PER SHARE DATA FUND FUND FUND FUND FUND
- -------------------------------------------- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at amortized cost $1,517,144 $226,181 $1,412,986 $174,156 $200,951
Repurchase agreements, at cost which
approximates market value 101,000 88,981 _ _ _
Cash _ _ _ _ 87
Income receivable 7,283 496 10,460 66 1,669
Receivable for fund shares sold 33,886 4,031 43,895 1,659 2,455
Receivable from Adviser 37 10 30 9 14
Deferred organization costs, net of accumulated
amortization 55 21 62 10 10
Prepaid and other assets 21 11 20 9 2
---------- ---------- ---------- ---------- ----------
Total Assets 1,659,426 319,731 1,467,453 175,909 205,188
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Dividends payable 6,632 1,283 3,441 702 463
Payable for fund shares redeemed 45,168 4,091 42,424 1,048 3,680
Payable for securities purchased _ _ 1,198 5,964 _
Accrued investment advisory fees 106 21 94 7 10
Accrued administration fees 107 15 69 15 6
Accrued transfer agent fees 27 5 24 3 3
Accrued custody and accounting fees 8 2 10 1 1
Accrued registration fees and other liabilities 191 55 152 41 36
---------- ---------- ---------- ---------- ----------
Total Liabilities 52,239 5,472 47,412 7,781 4,199
---------- ---------- ---------- ---------- ----------
Net Assets $1,607,187 $314,259 $1,420,041 $168,128 $200,989
========== ========== ========== ========== ==========
ANALYSIS OF NET ASSETS:
Capital stock $1,607,109 $314,238 $1,419,997 $168,119 $200,980
Accumulated undistributed net investment income 77 21 153 10 9
Accumulated undistributed net realized gains
(losses) 1 _ (109) (1) _
---------- ---------- ---------- ---------- ----------
Net Assets $1,607,187 $314,259 $1,420,041 $168,128 $200,989
---------- ---------- ---------- ---------- ----------
SHARES OUTSTANDING ($.0001 PAR VALUE, UNLIMITED
AUTHORIZATION) 1,607,182 314,259 1,420,080 168,128 200,989
NET ASSET VALUE, REDEMPTION AND OFFERING PRICE
PER SHARE $1.00 $1.00 $1.00 $1.00 $1.00
</TABLE>
See Notes to the Financial Statements.
STATEMENTS OF OPERATIONS YEAR ENDED MARCH 31, 1997
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 $71,471 $13,162 $43,646 $6,400 $5,919
------- ------- ------- ------- -------
EXPENSES:
Investment advisory fees 7,819 1,470 7,214 718 992
Administration fees 1,955 367 1,803 179 247
Transfer agent fees 1,299 244 1,199 119 165
Custody and accounting fees 320 90 280 61 72
Registration fees 130 41 118 37 20
Professional fees 40 21 38 19 19
Amortization of organization
costs 27 10 31 4 4
Trustees' fees and expenses 25 7 24 4 6
Other 139 96 133 17 24
------- ------- ------- ------- -------
Total Expenses 11,754 2,346 10,840 1,158 1,549
Less voluntary waivers of:
Investment advisory fees (2,622) (493) (2,417) (420) (497)
Administration fees (790) (149) (728) (155) (166)
Less: Reimbursement of
expenses by Adviser (1,196) (361) (1,097) (107) (144)
------- ------- ------- ------- -------
Net Expenses 7,146 1,343 6,598 476 742
------- ------- ------- ------- -------
NET INVESTMENT INCOME 64,325 11,819 37,048 5,924 5,177
------- ------- ------- ------- -------
NET REALIZED GAINS (LOSSES) ON:
Investments 1 _ (109) (1) _
------- ------- ------- ------- -------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $64,326 $11,819 $36,939 $5,923 $5,177
======= ======= ======= ====== ======
See Notes to the Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUNDS
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
------------------- ------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997 1996
- --------------------- ----- ----- ----- -----
OPERATIONS:
Net investment income $ 64,325 $ 53,544 $ 11,819 $ 12,700
Net realized gains (losses)
on investments 1 _ _ _
---------- --------- --------- ---------
Net Increase in Net
Assets Resulting
from Operations 64,326 53,544 11,819 12,700
---------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Shares sold 7,318,021 4,176,187 1,755,453 1,141,048
Shares from reinvestment
of dividends 6,771 3,537 2,684 979
Shares redeemed (6,779,419) (4,012,194) (1,650,983) (1,162,463)
---------- --------- --------- ---------
Net Increase (Decrease)
in Net Assets Resulting
from Capital Share
Transactions 545,373 167,530 107,154 (20,436)
---------- --------- --------- ---------
DISTRIBUTIONS PAID:
From net investment income (64,325) (53,540) (11,819) (12,702)
---------- --------- --------- ---------
Total Distributions Paid (64,325) (53,540) (11,819) (12,702)
---------- --------- --------- ---------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 545,374 167,534 107,154 (20,438)
NET ASSETS:
Beginning of year 1,061,813 894,279 207,105 227,543
---------- --------- --------- ---------
End of year $1,607,187 $1,061,813 $314,259 $207,105
========== ========= ========= =========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $77 $53 $21 $15
========== ========= ========= =========
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
MUNICIPAL SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
--------------------- -------------------- -------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997 1996 1997 1996
- ---------------------------------- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 37,048 $ 34,519 $ 5,924 $ 5,207 $ 5,177 $ 5,021
Net realized gains (losses)
on investments (109) _ (1) _ _ _
----------- ------------ ----------- ----------- ---------- -----------
Net Increase in Net Assets
Resulting from Operations 36,939 34,519 5,923 5,207 5,177 5,021
----------- ------------ ----------- ----------- ---------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold 6,319,359 4,716,758 483,126 522,583 1,517,961 585,989
Shares from reinvestment of dividends 2,651 1,505 2,092 1,579 337 85
Shares redeemed (6,004,649) (4,543,236) (402,489) (520,924) (1,482,396) (582,282)
----------- ------------ ----------- ----------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting from Capital
Share Transactions 317,361 175,027 82,729 3,238 35,902 3,792
----------- ------------ ----------- ----------- ---------- -----------
DISTRIBUTIONS PAID:
From net investment income (37,048) (34,504) (5,924) (5,207) (5,177) (5,042)
----------- ------------ ----------- ----------- ---------- -----------
Total Distributions Paid (37,048) (34,504) (5,924) (5,207) (5,177) (5,042)
----------- ------------ ----------- ----------- ---------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 317,252 175,042 82,728 3,238 35,902 3,771
NET ASSETS:
Beginning of year 1,102,789 927,747 85,400 82,162 165,087 161,316
----------- ------------ ----------- ----------- ---------- -----------
End of year $1,420,041 $1,102,789 $168,128 $85,400 $200,989 $165,087
=========== ============ =========== =========== =========== ===========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $153 $106 $10 $6 $9 $6
=========== ============ =========== =========== =========== ===========
</TABLE>
See Notes to the Financial Statements.
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
------------------------------ -------------------------------
YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995<F1> 1997 1996 1995<F1>
----- ----- ------ ----- ----- -------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
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 0.05 0.05 0.04 0.05 0.05 0.04
---------- --------- --------- -------- --------- --------
LESS DISTRIBUTIONS PAID:
From net investment income (0.05) (0.05) (0.04) (0.05) (0.05) (0.04)
---------- --------- --------- -------- --------- --------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
========== ========= ========= ======== ========= ========
TOTAL RETURN 5.05% 5.57% 4.55% 4.93% 5.46% 4.47%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end
of period $1,607,187 $1,061,813 $894,279 $314,259 $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% 0.96% 0.94% 1.01%
Net investment income, net of
waivers and reimbursements 4.94% 5.42% 4.94% 4.82% 5.33% 4.93%
Net investment income,
before waivers and
reimbursements 4.59% 5.00% 4.43% 4.41% 4.88% 4.37%
FINANCIAL HIGHLIGHTS (CONTINUED)
MONEY MARKET FUNDS
U.S. GOVERNMENT CALIFORNIA
MUNICIPAL SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
----------------------------- ---------------------------- --------------------------
YEAR YEAR PERIOD YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995 1997 1996 1995 1997 1996 1995
<F1> <F2> <F3>
----- ----- ----- ----- ----- ----- ----- ----- -----
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF
PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.03 0.03 0.05 0.05 0.02 0.03 0.04 0.01
---------- ---------- ---------- -------- ------- ------- -------- ------- --------
LESS DISTRIBUTIONS PAID:
From net investment income (0.03) (0.03) (0.03) (0.05) (0.05) (0.02) (0.03) (0.04) (0.01)
---------- ---------- ---------- -------- ------- ------- -------- ------- --------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
========== ========== ========== ======== ======= ======= ======== ======= ========
TOTAL RETURN 3.14% 3.54% 2.90% 5.07% 5.55% 1.75% 3.19% 3.63% 1.27%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $1,420,041 $1,102,789 $927,747 $168,128 $85,400 $82,162 $200,989 $165,087 $161,316
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% 0.45% 0.39% 0.35%
Expenses, before waivers
and reimbursements 0.90% 0.91% 0.95% 0.97% 1.00% 1.32% 0.94% 0.94% 1.07%
Net investment income, net
of waivers and
reimbursements 3.08% 3.46% 3.10% 4.95% 5.43% 5.84% 3.13% 3.55% 3.78%
Net investment income,
before waivers and
reimbursements 2.73% 3.04% 2.60% 4.38% 4.76% 4.82% 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.
</TABLE>
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
CERTIFICATES OF DEPOSIT - 19.6%
DOMESTIC CERTIFICATES OF DEPOSIT - 3.5%
$18,000 Bankers Trust, New York Corp.,
5.30%, 5/29/97 $18,000
10,000 First Alabama Bank,
5.48%, 7/8/97 10,000
First Tennessee Bank
14,000 5.40%, 4/29/97 14,000
15,000 5.42%, 6/5/97 15,000
--------
57,000
--------
FOREIGN CERTIFICATES OF DEPOSIT - 16.1%
25,000 ABN-Amro Bank,
New York Branch, 5.66%, 4/17/97 25,000
32,000 Abbey National PLC, London Branch,
5.48%, 4/15/97 32,000
30,000 Bank of Scotland, London Branch,
5.42%, 6/5/97 30,000
5,000 Bank of Tokyo-Mitsubishi, London Branch,
5.46%, 4/7/97 5,000
13,000 Bank of Tokyo-Mitsubishi, New York
Branch, 5.80%, 6/24/97 12,997
9,000 Barclays Bank, New York Branch,
5.70%, 4/10/97 8,999
20,000 Cariplo, London Branch, 5.36%, 4/1/97 20,000
20,000 Deutsche Bank, New York Branch,
5.37%, 5/12/97 19,999
Landesbank Hessen - Thueringen
Girozentrale
5,000 6.06%, 6/13/97 4,999
7,000 5.62%, 9/11/97 7,013
20,000 Norinchukin Bank, New York Branch,
5.47%, 4/14/97 20,000
Sanwa Bank, London Branch
10,000 5.59%, 4/30/97 10,000
10,000 5.56%, 5/12/97 10,000
Societe Generale, New York Branch
4,000 5.66%, 4/14/97 4,000
6,000 5.90%, 1/13/98 5,996
10,000 5.91%, 3/3/98 9,997
22,000 Sumitomo Bank, Los Angeles Branch,
5.49%, 5/28/97 22,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
FOREIGN CERTIFICATES OF DEPOSIT -
16.1% (CONT'D.)
Sumitomo Bank, New York Branch
$ 5,000 5.56%, 5/6/97 $ 5,000
5,000 5.54%, 5/14/97 5,000
--------
258,000
--------
Total Certificates of Deposit
(cost $315,000) 315,000
--------
COMMERCIAL PAPER - 49.7%
ASSET BACKED SECURITIES - 11.5%
12,400 Cooperative Association of Tractor
Dealers, Inc., 5.455%, 4/23/97 12,359
10,000 Galicia Funding Corp.,
5.423%, 5/30/97 9,912
8,526 GE Engine Receivables 1995-1 Trust,
5.735%, 4/14/97 8,526
6,000 Lexington Parker Capital Company LLC,
5.458%, 4/22/97 5,981
ROSE, Inc.
59,490 5.394%, 4/28/97 59,251
5,000 5.414%, 5/28/97 4,958
10,000 5.706%, 5/28/97 9,911
15,000 SALTS (II) Cayman Islands Corp.,
5.613%, 6/19/97 15,000
30,000 SALTS (III) Cayman Islands Corp.,
5.788%, 7/23/97 30,000
3,300 Sheffield Receivables Corp.,
5.473%, 4/2/97 3,300
10,000 Special Purpose Accounts Receivable
Cooperative Corp.,
5.803%, 4/25/97 9,961
15,000 Variable Funding Capital,
5.828%, 4/30/97 14,930
--------
184,089
--------
BROKERAGE SERVICES - 5.7%
Morgan Stanley Group, Inc.
14,000 6.751%, 4/1/97 14,000
8,000 5.41%, 5/5/97 7,960
25,000 5.416%, 5/23/97 24,806
45,000 Smith Barney, Inc.,
5.374%, 4/3/97 44,987
--------
91,753
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
BUSINESS SERVICES - 1.9%
$30,000 Sanwa Business Credit Corp.,
5.429%, 4/7/97 $29,973
--------
COMMUNICATIONS - 3.9%
GTE Corp.
10,000 5.364%, 4/3/97 9,997
15,000 5.365%, 4/4/97 14,993
5,535 5.363%, 4/10/97 5,528
NYNEX Corp.
5,000 5.696%, 4/25/97 4,981
5,000 5.68%, 4/29/97 4,978
18,000 5.397%, 5/9/97 17,898
5,000 5.693%, 5/13/97 4,967
--------
63,342
--------
DOMESTIC DEPOSITORY INSTITUTIONS - 1.3%
20,000 NationsBank Corp.,
5.425%, 4/9/97 19,976
--------
FOOD AND BEVERAGES - 1.9%
Cofco Capital Corp.
20,000 5.39%, 4/29/97 19,917
10,000 5.388%, 5/9/97 9,944
--------
29,861
--------
FOREIGN DEPOSITORY INSTITUTIONS - 4.3%
15,000 BCI Funding Corp.,
5.412%, 5/21/97 14,889
HSBC Americas, Inc.
15,000 5.507%, 5/2/97 14,930
10,000 5.475%, 5/30/97 9,912
10,000 Indosuez North America, Inc.,
5.399%, 5/6/97 9,948
5,000 Nacional Financiera, S.N.C.,
5.413%, 5/2/97 4,977
5,000 Spintab-Swedmortgage AB,
5.402%, 5/12/97 4,970
10,000 Swedbank, Inc.,
5.441%, 4/18/97 9,975
--------
69,601
--------
HEALTH SERVICES - 1.2%
20,000 Columbia/HCA Healthcare Corp.,
5.446%, 4/24/97 19,931
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
NONDEPOSITORY BUSINESS
CREDIT INSTITUTIONS - 5.9%
$38,867 American Express Credit,
6.501%, 4/1/97 $ 38,867
Finova Capital Corp.
10,000 5.421%, 5/28/97 9,915
5,000 5.413%, 5/29/97 4,957
7,605 5.472%, 6/25/97 7,508
15,000 Heller Financial,
5.661%, 6/17/97 14,821
18,700 Vehicle Services America Ltd.,
5.383%, 5/28/97 18,543
--------
94,611
--------
NONDEPOSITORY PERSONAL
CREDIT INSTITUTIONS - 1.1%
17,974 Nationwide Building Society,
5.489%, 4/24/97 17,913
--------
TRANSPORTATION PARTS AND
EQUIPMENT - 10.4%
Chrysler Financial Corp.
2,100 5.428%, 4/4/97 2,099
7,500 5.376%, 4/8/97 7,492
20,000 5.38%, 4/29/97 19,917
15,000 5.662%, 5/1/97 14,930
15,000 5.402%, 5/19/97 14,893
15,000 5.687%, 6/10/97 14,831
Ford Credit Canada Ltd.
10,000 5.378%, 4/16/97 9,978
20,000 5.40%, 5/5/97 19,899
19,000 5.407%, 5/15/97 18,876
General Motors Acceptance Corp.
10,000 5.467%, 5/1/97 9,956
15,000 5.552%, 7/1/97 14,795
10,000 Mitsubishi Motors Credit of America, Inc.,
5.494%, 4/10/97 9,986
10,000 PHH Corp.,
5.396%, 4/8/97 9,990
--------
167,642
--------
WHOLESALE TRADE - DURABLE GOODS - 0.6%
10,000 Sinochem American Holdings, Inc.,
5.572%, 4/16/97 9,977
--------
Total Commercial Paper
(cost $798,669) 798,669
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
CORPORATE BONDS - 9.8%
$25,000 Associates Corporation N.A.,
5.57%, 3/2/98 $ 24,983
25,000 Boatmen's National Bank of
St. Louis, FMTN, 5.43%, 6/17/97 25,000
7,250 Chapel Oaks, Inc., 5.75%, 4/1/97 7,250
15,000 Fifth Third Bank, Cincinnati, Ohio,
5.43%, 6/10/97 15,000
25,000 Huntington National Bank, Columbus,
6.116%, 7/8/97 25,000
11,000 John Deere Capital Corp.,
5.488%, 6/30/97 11,010
30,000 Key Bank N.A.,
5.363%, 3/19/98 29,987
19,000 Physicians Plus Medical Group,
5.90%, 4/1/97 19,000
--------
Total Corporate Bonds
(cost $157,230) 157,230
--------
EURODOLLAR TIME DEPOSITS - 7.8%
25,000 Banque Brussels Lambert, Grand
Cayman Islands, 7.00%, 4/1/97 25,000
30,000 Banque Paribas Lambert, Grand
Cayman Islands, 6.50%, 4/1/97 30,000
10,000 Credit Agricole, Grand Cayman Islands,
6.50%, 4/1/97 10,000
40,000 Republic National Bank of New York,
7.00%, 4/1/97 40,000
20,000 Societe Generale, Grand Cayman Islands,
7.00%, 4/1/97 20,000
--------
Total Eurodollar Time Deposits
(cost $125,000) 125,000
--------
GUARANTEED INVESTMENT
CONTRACTS - 3.1%
25,000 General American Life Insurance Co.,
5.58%, 4/23/97 25,000
10,000 Integrity Life Insurance Co.,
5.76%, 4/1/97 10,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
GUARANTEED INVESTMENT
CONTRACTS - 3.1% (CONT'D.)
$ 15,000 Transamerica Life Insurance
and Annuity Co., 5.438%, 3/20/98 $ 15,000
--------
Total Guaranteed Investment Contracts
(cost $50,000) 50,000
--------
MUNICIPAL INVESTMENTS - 4.4%
14,000 Flint, Michigan Hospital Building Authority,
5.721%, 4/1/97 14,000
3,900 Health Insurance Plan of Greater
New York, 5.60%, 4/1/97 3,900
8,930 Minneapolis-St. Paul Metro Airport
Taxable G.O. Bonds, 5.538%, 7/1/97 8,930
12,500 New Jersey Economic Development
Authority, 5.688%, 5/1/97 12,500
8,500 Seattle, Washington Ltd. Tax G.O.,
5.60%, 4/2/97 8,500
20,215 State of Texas-Veterans Land Bond,
5.538%, 6/1/97 20,215
3,200 Waukesha, Wisconsin Health Systems,
Inc., 5.80%, 4/1/97 3,200
--------
Total Municipal Investments
(cost $71,245) 71,245
--------
REPURCHASE AGREEMENT - 6.3%
101,000 SBC Capital Markets, dated 3/31/97,
repurchase price $101,018 (Colld. by U.S.
Government Securities), 6.50%, 4/1/97
(cost $101,000) 101,000
--------
Total Investments - 100.7%
(cost $1,618,144) 1,618,144
Liabilities less Other Assets - (0.7)% (10,957)
--------
NET ASSETS - 100.0% $1,607,187
==========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
U.S. GOVERNMENT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
U.S. GOVERNMENT AGENCIES - 72.0%
FEDERAL FARM CREDIT BANK - 1.3%
$ 4,000 FFCB Discount Note,
5.285%, 5/23/97 $ 3,970
--------
FEDERAL HOME LOAN BANK - 18.7%
FHLB Discount Notes
20,000 5.407%, 4/9/97 19,977
12,000 5.284%, 5/8/97 11,936
9,000 5.537%, 5/22/97 8,930
2,160 5.32%, 5/29/97 2,142
10,000 5.297%, 8/26/97 9,789
6,000 5.446%, 9/2/97 5,866
--------
58,640
--------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 27.6%
FHLMC Discount Notes
10,000 5.525%, 4/30/97 9,904
27,478 5.303%, 5/6/97 27,338
20,000 5.338%, 5/23/97 19,848
5,000 5.331%, 5/30/97 4,957
10,000 5.368%, 6/5/97 9,956
10,000 5.348%, 6/6/97 9,904
5,000 5.418%, 6/13/97 4,946
--------
86,853
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 15.7%
FNMA Discount Notes - 11.5%
6,500 5.379%, 4/4/97 6,497
10,000 5.32%, 4/16/97 9,978
5,000 5.32%, 4/23/97 4,984
5,000 5.344%, 6/13/97 4,947
10,000 5.413%, 7/30/97 9,824
--------
36,230
--------
FNMA FRN - 1.6%
5,000 5.338%, 2/13/98 4,997
--------
FNMA MTN - 2.6%
7,000 5.281%, 4/22/97 7,005
990 5.679%, 8/8/97 990
--------
7,995
--------
49,222
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
OVERSEAS PRIVATE INVESTMENT CO. - 5.7%
$18,000 FRN, 5.68%, 4/7/97 $ 18,000
--------
STUDENT LOAN MARKETING
ASSOCIATION - 3.0%
7,500 SLMA Discount Note,
5.521%, 2/25/98 7,496
2,000 SLMA FRN, 5.51%, 9/3/97 1,999
--------
9,495
--------
Total U.S. Government Agencies
(cost $226,180) 226,180
--------
NUMBER
OF SHARES
(000S)
----------
OTHER - 0.0%
1 Dreyfus Prime Money Market Fund
(cost $1) 1
--------
PRINCIPAL
AMOUNT
(000S)
----------
REPURCHASE AGREEMENTS - 28.3%
$ 9,981 J.P. Morgan Securities, Inc.,
dated 3/31/97, repurchase price $10,043
(Colld. by U.S. Government Securities),
5.75%, 4/1/97 9,981
79,000 SBC Capital Markets, dated 3/31/97,
repurchase price $79,783
(Colld. by U.S. Government Securities),
6.50%, 4/1/97 79,000
--------
Total Repurchase Agreements
(cost $88,981) 88,981
--------
Total Investments - 100.3%
(cost $315,162) 315,162
Liabilities less Other Assets - (0.3)% (903)
--------
NET ASSETS - 100.0% $314,259
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
MUNICIPAL INVESTMENTS - 99.1%
ALABAMA - 1.1%
$ 700 City of Greenville IDR VRDN,
Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 3.65%, 4/7/97 $ 700
2,800 City of Selma IDR VRDN,
Series: 1996 A, Meadowcraft, Inc.
(NationsBank LOC), 3.70%, 4/7/97 2,800
2,800 City of Stevenson Environment
Improvment IDR VRDN,
Series: 1996 (AMT), Mead Corp. Project
(Soc Gen LOC), 3.90%, 4/1/97 2,800
9,300 County of Phenix Environment
Improvement IDR VRDN,
Series: 1990 A (AMT), Mead Corp. Project
(Sumitomo Bank Ltd. LOC),
3.95%, 4/1/97 9,300
--------
15,600
--------
ALASKA - 1.1%
5,000 Alaska Industrial Development and
Export Authority, Series: 1996 B (AMT)
(Seafirst Bank LOC), 3.50%, 4/7/97 5,000
11,000 Valdez Marine Terminal Revenue VRDN,
Series: 1994 B, ARCO Transportation
Project (Atlantic Richfield Co. Gtd.),
3.55%, 4/7/97 11,000
--------
16,000
--------
ARIZONA - 0.7%
1,400 County of Apache IDR VRDN,
Imperial Components, Inc. Project
(Harris Trust & Savings Bank LOC),
3.65%, 4/7/97 1,400
7,000 County of Maricopa PCR VRDN,
Series: A, El Paso Electric Project
(Westpac Banking Corp. LOC),
3.60%, 4/7/97 7,000
2,200 Special Fund of the Industrial
Commission of Arizona CP,
3.50%, 5/22/97 2,200
--------
10,600
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
ARKANSAS - 0.4%
$ 3,250 City of Lowell IDR VRDN, Series: 1996,
Little Rock Newspapers, Inc. Project
(Bank of New York LOC), 3.55%, 4/7/97 $ 3,250
2,200 City of West Memphis IDR VRDN,
Proform Co. LLC Project
(First Bank LOC), 3.65%, 4/7/97 2,200
--------
5,450
--------
CALIFORNIA - 4.7%
7,500 California School Cash Reserve Program
Authority TRAN, Series: 1996 A
(MBIA Insured), 4.75%, 7/2/97 7,513
10,000 California Statewide Community
Development Authority TRAN, Series: A
(Colld. by FSA Insurance Policy),
4.75%, 6/30/97 10,017
2,500 City and County of San Francisco VRDN,
Series: C-6, 3.51%, 4/7/97 2,500
2,746 City of Los Angeles IDR VRDN,
Series: BTP-129 (Colld. by U.S. Government
Securities), 3.62%, 6/9/97 2,746
3,000 City of Santa Rosa High School District
TRAN, Series: 1996-1997, 4.50%, 7/3/97 3,003
9,100 County of Irvine Ranch Water District
VRDN, Series: 1993 B, Districts 2, 102, 103,
106, 3(203) & 206 (Morgan Guaranty Trust
Co. LOC), 3.70%, 4/1/97 9,100
1,500 County of Los Angeles Metropolitan
Transportation Authority VRDN,
Union Station Project, Soc Gen Trust SGB-2
(FSA Insured), 3.40%, 4/7/97 1,500
3,800 County of Orange VRDN, Aliso Creek
Project B (First Interstate Bancorp LOC),
3.55%, 4/7/97 3,800
5,400 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Park
Apartments Project (Fuji Bank LOC),
4.16%, 4/7/97 5,400
400 County of Sacramento VRDN,
Multifamily Housing, Series: 1985 C
(Dai-Ichi Kangyo Bank LOC),
3.45%, 4/15/97 400
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 4.7% (CONT'D.)
State of California G.O. Bond
(FGIC Insured)
$ 1,700 Series: CR-152, 3.51%, 4/7/97 $ 1,700
2,000 Series: CR-153, 3.51%, 4/7/97 2,000
5,500 State of California G.O. Bond,
Series: A3 (First Chicago Bank LOC),
3.75%, 4/7/97 5,500
State of California RAN
6,500 Series: A, 4.50%, 6/30/97 6,508
5,200 Series: B, 3.49%, 6/30/97 5,200
--------
66,887
--------
COLORADO - 1.7%
City and County of Denver Transportation
Community Paperies Airport System
VRDN (Sanwa Bank LOC)
2,675 Series: 1990 D, 3.65%, 4/4/97 2,675
7,325 Series: 1990 E, 3.65%, 4/4/97 7,325
5,000 Colorado HFA VRDN, Metal Sales
Manufacturing Corp. Project,
3.70%, 4/7/97 5,000
9,900 Colorado HFA SFM VRDN,
Series: 1996 C-1, 3.71%, 4/7/97 9,900
--------
24,900
--------
DELAWARE - 0.5%
1,325 State of Delaware Economic Development
Authority PCR VRDN, Allied-Signal Corp.
Project (FMC Corp. Gtd.), 3.65%, 4/7/97 1,325
5,500 State of Delaware Economic Development
Authority, Series: 1996-A, Ciba Geigy
Corp. Project, 4.25%, 4/1/97 5,500
--------
6,825
--------
DISTRICT OF COLUMBIA - 1.4%
District of Columbia Metro Airport
Authority, Passenger Facility CP
15,000 3.65%, 5/20/97 15,000
5,000 3.70%, 8/18/97 5,000
--------
20,000
--------
FLORIDA - 5.5%
2,700 County of Broward HFA,
Landings Inverrary Apartment Project
(Colld. by Westinghouse Credit Corp.),
3.55%, 4/1/97 2,700
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
FLORIDA - 5.5% (CONT'D.)
$ 2,350 County of Dade Resource Recovery Facility
Refunding Revenue Bond, Series: 1996
(AMT) (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, 3.46%, 4/7/97 4,950
24,900 County of Highlands Health Facilities
VRDN, Series: 1996 B, Adventist Health
System, 3.50%, 4/7/97 24,900
8,860 Florida State Board of Education Capital
Outlay VRDN, BTP-52 ADP Class B,
3.60%, 4/7/97 8,860
13,000 Florida State Board of Education G.O. Bond,
Series: 1989 A, Eagle Trust, 3.65%, 6/1/97 13,000
1,400 Florida State Board of Education VRDN,
Series: 1994 E, Eagle Trust, 3.61%, 4/7/97 1,400
13,120 IBM Tax-Exempt Grantor Trust,
Merrill P-Floats, Series: 1996 PL-3A,
3.65%, 4/7/97 13,120
7,585 State of Florida Department of
Environmental Protection VRDN, Series:
1994 A BTP-64 (MBIA Insured),
3.60%, 4/7/97 7,585
--------
78,865
--------
GEORGIA - 2.5%
2,550 County of Burke Development Authority
PCR VRDN, Georgia Power Co., Plant
Vogtle Project, 3.80%, 4/1/97 2,550
5,300 County of Clayton Development Authority
IDR, Blue Circle Aggregates, Inc. Project
(Denmark Danske Bank LOC),
3.65%, 4/7/97 5,300
4,300 County of DeKalb Development
Authority PCR VRDN, General Motors
Corp., 3.60%, 4/7/97 4,300
5,200 County of DeKalb Housing Authority
Revenue VRDN, Series: 1995, Cedar Creek
Apartment Project (General Electric Capital
Corp. LOC), 3.55%, 4/7/97 <F1> 5,200
1,400 County of Elbvert Development Authority
IDR VRDN, Series: 1992, Allied-Signal
Project (FMC Corp. Gtd.), 3.65%, 4/7/97 1,400
2,200 Georgia HFA Mortgage TOB (AMT),
Conventional Mortgage, Various Programs,
3.65%, 6/1/97 2,200
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
GEORGIA - 2.5% (CONT'D.)
$15,100 Georgia Municipal Gas Authority,
Series: A, Gas Portfolio II Project
(Morgan Guaranty Trust LOC),
3.45%, 4/7/97 $15,100
--------
36,050
--------
IDAHO - 0.4%
5,700 Idaho Health Facilities Authority VRDN,
Series: 1995, St. Luke's Medical Center
Project, 3.85%, 4/1/97 5,700
--------
ILLINOIS - 8.9%
3,000 City of Chicago Board of Education
FRN, School Reform Equipment
Acquisition, 4.10%, 12/1/97 3,007
2,700 City of Chicago IDR, Series: B,
Guernsey Bel, Inc. Project (Harris Trust
& Savings Bank LOC), 3.65%, 4/7/97 2,700
4,000 City of Chicago Midway Airport
Revenue VRDN, Series: 1995 (AMT),
American Trans Air, Inc. Project (National
Bank of Detroit LOC), 3.65%, 4/7/97 4,000
17,420 City of Chicago O'Hare International
Airport Revenue VRDN, Series: A,
General Airport Lien, 3.50%, 4/1/97 17,420
2,500 City of Chicago O'Hare International
Airport Revenue VRDN, Series: 1988 A
(AMT) (Bayerische Landesbank LOC),
3.55%, 4/7/97 2,500
2,000 City of Des Plaines IDR VRDN,
Series: 1996, Finzer Roller, Inc. Project
(Harris Trust & Savings Bank LOC),
3.65%, 4/7/97 2,000
4,050 City of Frankfort IDR, Series: 1996 (AMT),
Bimba Manufacturing Co. Project
(Harris Trust & Savings Bank LOC),
3.65%, 4/7/97 4,050
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
1,195 City of Joliet G.O. Bond, 3.95%, 10/1/97 1,198
6,000 City of Savanna IDR VRDN, Series: 1994
(AMT), Metform Corp. Project (First
National Bank of Chicago LOC),
3.65%, 4/7/97 6,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
ILLINOIS - 8.9% (CONT'D.)
$ 1,850 Illinois Development Finance Authority
IDR VRDN (AMT), Bimba Manufacturing
Co. Project (Harris Trust & Savings Bank
LOC), 3.65%, 4/7/97 $ 1,850
3,950 Illinois Development Finance Authority
IDR VRDN, Enterprise Office Campus
(FNMA LOC), 3.65%, 12/1/97 3,950
1,400 Illinois Development Finance Authority
VRDN, Series: 1990 (AMT), Solar Press, Inc.
Project (First National Bank of Chicago
LOC), 3.65%, 4/7/97 1,400
1,000 Illinois Development Finance Authority
VRDN, WBEZ Alliance, Inc. Project
(LaSalle National Bank LOC), 3.50%, 4/7/97 1,000
7,000 Illinois Health Facilities Authority VRDN,
Series: 1985 B, Evanston Hospital Corp.
Project (First National Bank of Chicago
LOC), 3.75%, 1/31/98 7,000
1,900 Illinois Health Facilities Authority VRDN,
Series: 1996, Park Plaza Retirement Center
Project (LaSalle National Bank LOC),
3.50%, 4/7/97 1,900
2,000 Illinois Health Facilities Authority VRDN,
Series: 1996, Proctor Hospital Project
(Bank One LOC), 3.50%, 4/7/97 2,000
5,285 Illinois Health Facilities Authority VRDN,
Series: 1997, Glenkirk Project (Harris Trust
& Savings Bank LOC), 3.50%, 4/7/97 5,285
4,000 Illinois Health Facilities Authority VRDN,
Series: 1997, West Suburban Medical Center
Project (First National Bank of Chicago
LOC), 3.50%, 4/7/97 4,000
Illinois Housing Development Authority
(AMT), Residential Mortgage Program
6,000 Series: 1987-C, 3.70%, 8/1/97 6,000
3,660 Series: 1987-D, 3.75%, 8/1/97 3,660
1,940 Series: 1987-E, 3.70%, 8/1/97 1,940
10,300 Illinois Housing Development Authority,
Series: 1996 F-2 (AMT), Homeowner
Mortgage, 3.70%, 12/18/97 10,300
15,806 Illinois Metropolitan Pier and Exposition
Authority, Dedicated Sales Tax Revenue,
Series: BTP-230-A, 3.82%, 1/28/98 15,806
4,000 State of Illinois G.O., 4.50%, 8/1/97 4,013
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
ILLINOIS - 8.9% (CONT'D.)
$ 7,500 Village of Ladd IDR VRDN, Series: 1996
(AMT), O'Neal Metals, Inc. Project
(NationsBank South LOC),
3.70%, 4/7/97 $ 7,500
3,250 Village of Niles IDR VRDN, Series: 1996
(AMT), Lewis Spring & Manufacturing
Co. Project (Harris Trust & Savings Bank
LOC), 3.65%, 4/7/97 3,250
--------
126,429
--------
INDIANA - 2.8%
2,790 City of Anderson Economic Development
VRDN, Series: 1996 (AMT), Gateway
Village Project (FHLB LOC),
3.60%, 4/7/97 2,790
1,500 City of Greencastle IDR VRDN, Series:
1996 (AMT), Crown Equipment Corp.
Project (Mellon Bank LOC), 3.75%, 4/7/97 1,500
2,840 City of Hammond Economic Development
VRDN, Series: 1996 A (AMT), Annex at
Douglas Point Project (FHLB LOC),
3.60%, 4/7/97 2,840
60,000 City of Indianapolis Local Public
Improvement Revenue Bond, Series: D,
Capital Appreciation, Prerefunded,
0.00%, 2/1/98 11,109
4,000 City of Rushville Economic Development
VRDN, Fujitsu Ten Corp. of America
Project, 3.55%, 4/7/97 4,000
3,100 City of Shelbyville Economic Development
VRDN, Series: DTC 2794 (AMT),
Nippisun Indiana Corp. Project
(Industrial Bank of Japan LOC),
4.20%, 4/7/97 3,100
Indiana Development Finance Authority
IDR VRDN (AMT), Red Gold, Inc. Project
(Harris Trust and Savings Bank LOC)
4,200 Series: 1994 A, 3.65%, 4/7/97 4,200
3,400 Series: 1994 B, 3.65%, 4/7/97 3,400
6,900 Indiana Development Finance Authority,
Series: 1994 B, Indiana Historical Society,
Inc. Project (NBD Bank LOC),
3.50%, 4/7/97 6,900
--------
39,839
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
IOWA - 0.6%
Iowa Finance Authority Waste Disposal
Revenue VRDN, Cedar River Paper Co.
Project (Swiss Bank Corp. LOC)
$ 4,100 Series: 1994 A, 4.25%, 4/1/97 $ 4,100
4,600 Series: 1995 A, 4.25%, 4/1/97 4,600
--------
8,700
--------
KANSAS - 0.9%
City of LaCygne Enviromental Revenue
VRDN, Kansas City Power and Light Project
2,000 Series: 1994 A, 3.55%, 4/7/97 2,000
9,000 Series: 1994 B, 3.55%, 4/7/97 9,000
1,500 County of Johnson G.O. School District
No. 512, Series: B, Shawnee Mission
Project, 6.75%, 10/1/97 1,522
--------
12,522
--------
KENTUCKY - 3.3%
1,000 City of Greenville IDR VRDN, Wetterau,
Inc. Project, 3.60%, 4/7/97 1,000
1,000 City of Hopkinsville Industrial Building
VRDN, Series: A (AMT), CoPar, Inc. Project
(Dai-Ichi Kangyo Bank LOC),
4.00%, 4/7/97 1,000
2,000 City of Mayfield Lease Revenue VRDN,
Series: 1996, Kentucky League of Cities
Pooled Project (PNC Bank LOC),
3.55%, 4/7/97 2,000
3,500 County of Clark Industrial Building IDR
VRDN, Series: 1996 (AMT), Bluegrass Art
Cast Project (Bank One LOC),
3.65%, 4/7/97 3,500
County of Daviess Waste Disposal Facility
IDR VRDN (AMT), Scott Paper Co. Project
(Kimberly-Clark Corp. Gtd.)
12,500 Series: 1993 A, 3.90%, 4/1/97 12,500
11,200 Series: 1993 B, 3.90%, 4/1/97 11,200
10,500 Series: 1994 A, 3.90%, 4/1/97 10,500
5,000 Counties of Louisville and Jefferson VRDN,
Series: 1997 A-1, Regional Airport
Authority System, 3.45%, 4/7/97 5,000
--------
46,700
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
LOUISIANA - 3.0%
$ 3,400 Ascension Parish PCR VRDN, Allied-Signal
Project (FMC Corp. Gtd.), 3.65%, 4/7/97 $ 3,400
6,000 Ascension Parish VRDN, Series: 1995
(AMT), BASF Corp. Project, 4.25%, 4/1/97 6,000
Louisiana HFA Mortgage Revenue Bond
(AMT) (Colld. by U.S. Government Securities)
5,800 Series: CR-85, 3.80%, 5/1/97 5,800
3,140 Series: CR-86, 3.80%, 5/1/97 3,140
7,915 Louisiana Public Facilities Authority PCR
VRDN, Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 3.65%, 4/7/97 7,915
2,200 Parish of Caddo IDR VRDN, General Motors
Corp. Project (General Motors Corp. Gtd.),
3.60%, 4/7/97 2,200
4,000 Plaquemines Port Harbor and Terminal CP,
Series: D, Electro-Coal Transfer Co. Project
(Tampa Electric Co. Gtd.), 3.50%, 5/14/97 4,000
4,000 South Louisiana Port Commission, Series:
1997 (AMT), Holnam, Inc. Project,
3.55%, 4/7/97 4,000
West Feliciana Parish PCR IDR VRDN,
Gulf States Utilities Project (Canadian
Imperial Bank LOC)
4,200 Series: 1985 D, 3.90%, 4/1/97 4,200
2,300 Series: 1986, 3.90%, 4/1/97 2,300
--------
42,955
--------
MAINE - 0.3%
5,000 Maine Public Utility Finance Bank
Revenue VRDN, Series: 1996 (AMT),
Maine Public Service Co. Project (Bank of
New York LOC), 3.35%, 4/7/97 5,000
--------
MARYLAND - 2.0%
3,300 City of Baltimore IDR VRDN, Series: 1986,
Capital Acquisition Program (Dai-Ichi
Kangyo Bank LOC), 3.65%, 4/7/97 3,300
10,335 IBM Tax-Exempt Grantor Trust Asset-Backed
Lease VRDN, Series: 1996 A, Certificate
Merrill P-Floats (Credit Suisse Gtd.),
3.65%, 4/7/97 <F1> 10,335
4,655 Maryland Health and Higher Education
Facilities Authority VRDN, Series: D,
Pooled Loan Progam (NationsBank LOC),
3.50%, 4/7/97 4,655
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
MARYLAND - 2.0% (CONT'D.)
$ 8,510 Maryland State Community
Development Administration, Series:
PT-12, Merrill P-Floats (Commerzbank
LOC), 3.45%, 4/1/97 $ 8,510
1,500 Maryland State IDA, Townsend Culinary,
Inc. Project (Suntrust Bank LOC),
3.60%, 4/7/97 1,500
--------
28,300
--------
MASSACHUSETTS - 0.7%
2,744 City of Glouchester G.O. BAN,
4.20%, 8/8/97 2,745
4,440 Massachusetts State HFA VRDN, Series:
1996-5A, Clipper Trust Certificate
(AMBAC Insured), 3.46%, 4/7/97 4,440
2,200 Massachusetts State HFA VRDN, Series:
PA-132, Harbor Point Project,
3.65%, 4/7/97 2,200
--------
9,385
--------
MICHIGAN - 4.1%
4,000 City of Detroit School District State School
Aid Notes, Series: 1996, 4.50%, 5/1/97 4,002
5,900 Michigan Strategic Fund Ltd. VRDN, Series:
1992 (AMT), Dow Chemical Co. Project
(Dow Chemical Gtd.), 3.95%, 4/1/97 5,900
4,000 Michigan Strategic Fund Ltd. PCR,
ATS-Dow Chemical Co. Project,
3.45%, 5/2/97 4,000
Michigan Strategic Fund Ltd. PCR
(Dow Chemical Gtd.)
6,800 Series: 1987 A, 3.45%, 5/2/97 6,800
6,500 Series: 1987 B, 3.55%, 5/17/97 6,500
2,500 Michigan Strategic Fund VRDN (AMT),
Kruger Commodities, Inc. Project (Harris
Trust and Savings Bank LOC),
3.65%, 4/7/97 2,500
2,860 Michigan Strategic Fund VRDN, Four D
Investment Co. Project (Comerica Bank
LOC), 3.65%, 4/7/97 2,860
25,300 Midland County Economic Development
Corp. IDR VRDN, Series: 1993 A (AMT),
Dow Chemical Corp. Project
(Dow Chemical Gtd.), 4.25%, 4/1/97 25,300
--------
57,862
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
MINNESOTA - 0.5%
$ 3,500 City of Minnetonka Multifamily
Housing, Series: 1995, Cliffs at Ridgedale
Project (Colld. by FNMA), 3.30%, 4/7/97 $ 3,500
3,060 County of Stearns Housing &
Redevelopment Authority VRDN
(AMT), Cold Spring Granite Co. Project
(First Bank LOC), 3.65%, 4/7/97 3,060
--------
6,560
--------
MISSOURI - 3.4%
5,000 City of St. Louis TRAN, Series: 1996,
4.75%, 6/30/97 5,008
7,000 County of Perry IDR VRDN, Series: 1996
(AMT), T.G. (USA) Corp. Project
(Bank of Tokyo-Mitsubishi LOC),
3.55%, 4/7/97 7,000
6,700 Missouri Higher Education Loan Authority
VRDN (National Westminster LOC),
Series: 1990 A, 3.50%, 4/7/97 6,700
14,000 Missouri Higher Education Loan Authority
VRDN (MBIA Insured), Series: 1991 B,
3.30%, 4/7/97 14,000
6,500 Missouri Housing Development VRDN,
Series: 1994 A (AMT), Merrill P-Floats
PA-116 (Colld. by U.S. Government
Securities), 3.65%, 4/7/97 6,500
8,860 Missouri State TOCR G.O. VRDN, Series: A,
3.80%, 4/7/97 8,860
--------
48,068
--------
MONTANA - 3.5%
2,000 City of Forsyth PCR VRDN, Portland
General Electric Co. Project,
4.00%, 4/1/97 2,000
3,920 Montana Board of Housing SFM VRDN,
Series: 1996-A-2, Merrill P-Floats PT-87,
3.65%, 4/7/97 3,920
43,950 Montana Board of Investment Resources
Recovery Revenue VRDN (AMT), Colstrip
Energy L.P. Project (Credit Locale de
France LOC), 3.55%, 4/7/97 43,950
--------
49,870
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
NEBRASKA - 0.3%
$ 4,000 Nebraska Investment Finance Authority
IDA IDR VRDN, Series: 1989 (AMT),
Fremont Beef Project (Sanwa Bank LOC),
4.00%, 4/7/97 $ 4,000
--------
NEW YORK - 3.4%
7,000 City of New York G.O. RAN, Series: B
(Bank of Nova Scotia LOC), 4.50%, 6/30/97 7,012
City of New York Municipal Water Finance
Authority VRDN
6,300 Series: A1, 3.51%, 4/7/97 6,300
9,345 Series: A2, 3.51%, 4/7/97 9,345
4,400 City of New York VRDN, Series: 1994 A,
Subseries H-2, 3.50%, 4/9/97 4,400
Marine Midland Premium Loan Trust VRDN
COP (Hong Kong and Shanghai Banking Corp.
LOC)<F1>
7,300 Series: 1991 A, 3.55%, 4/7/97 7,300
756 Series: 1991 B, 3.65%, 4/7/97 756
10,000 New York State Environmental Facilities
Corp. PCR VRDN, Series: No. 94302,
Eagle Trust-Weekly (CGIC Insured),
3.56%, 4/7/97 10,000
2,695 Pooled P-Floats VRDN, Series: PPT2,
3.40%, 7/1/97 2,695
--------
47,808
--------
NORTH CAROLINA - 2.1%
6,000 Capital Regional Airport Commission
Passenger Facility Charge Revenue VRDN
(AMT) (First Union National Bank of
Charlotte LOC), 3.65%, 4/7/97 6,000
2,500 County of Brunswick PCR IDR VRDN,
Series: 1996 (AMT), Armada Project
(NationsBank LOC), 3.65%, 4/7/97 2,500
9,800 County of Catawba PCR IDR, Series: 1996
(AMT), Hooker Furniture Corp. Project
(NationsBank LOC), 3.65%, 4/7/97 9,800
2,500 County of Mecklenburg PCR IDR VRDN,
Series: 1996 (AMT), SteriGenics International
Project (Comerica Bank LOC),
3.70%, 4/7/97 2,500
3,900 North Carolina State Ports Authority VRDN,
Series: 1996 (AMT), Morehead City Terminals,
Inc. (NationsBank LOC), 3.65%, 4/7/97 3,900
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
NORTH CAROLINA - 2.1% (CONT'D.)
$4,700 State of North Carolina Medical Care
Commission, Series: 1991 A, Pooled
Financing Project (NationsBank LOC),
3.90%, 4/1/97 $ 4,700
--------
29,400
--------
OHIO - 2.7%
6,935 Dublin Inn Tax-Exempt Mortgage IDR,
Series: 1987, Adjustable Rate Certificate
(Huntington National Bank LOC),
4.57%, 9/1/97 6,935
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
5,355 State of Ohio HFA VRDN, Series: 1989 A
(AMT), 3.55%, 4/7/97 5,355
1,940 State of Ohio Higher Education Facility
Revenue TOB, Series: BTP-29 ADP, Class: B
(MBIA Insured), 3.60%, 4/7/97(2) 1,940
5,875 State of Ohio Infrastructure Improvement
VRDN, Series: 1994, BTP-170,
3.80%, 1/14/98 5,875
State of Ohio Water Development Authority
PCR VRDN (AMT), Ohio Edison Co. Project
(Union Bank of Switzerland LOC)
5,000 Series: A, 3.80%, 5/1/97 5,000
4,000 Series: B, 4.40%, 9/1/97 4,011
5,400 State of Ohio Water Development
Authority PCR VRDN, Series: B, General
Motors Corp. (General Motors Corp. Gtd.),
3.60%, 4/7/97 5,400
--------
38,516
--------
OKLAHOMA - 0.5%
7,245 City of Tulsa Airport Improvement VRDN,
Series: B-1, 3.61%, 4/7/97 7,245
--------
OREGON - 1.5%
5,000 City of Portland Multifamily Revenue
VRDN, Series: 1996 (AMT), Union Station
Project - Phase B (US National Bank LOC),
3.75%, 4/7/97 5,000
4,820 County of Multnomah School District
G.O. Bond, Series: 1996, BTP-208,
3.75%, 10/21/97 4,820
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
OREGON - 1.5% (CONT'D.)
$ 1,100 Metropolitan Service District VRDN
(AMT), Riedel Oregon Compost Waste
Disposal (US National Bank LOC),
3.65%, 4/7/97 $ 1,100
3,900 Oregon State Economic Development
Revenue, Series: 176 (AMT), Cascade Steel
Rolling Mills Project (Commerzbank LOC),
3.65%, 4/7/97 3,900
1,800 Oregon State Economic Development
Revenue, Series: 75 (AMT), Stagg Foods, Inc.
Project (Security Pacific National Bank LOC),
3.50%, 4/7/97 1,800
Oregon State Housing and 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
--------
21,320
--------
PENNSYLVANIA - 8.9%
1,800 City of Philadelphia Hospital and Higher
Education Facilities Authority VRDN,
Series: 1996 A, Childrens Hospital
Project (Morgan Guaranty LOC),
3.85%, 4/1/97 1,800
City of Philadelphia School District TRAN
30,900 Series: 1996, 4.50%, 6/30/97 30,936
16,000 Series: 1996 A, 4.50%, 6/30/97 16,021
1,100 County of Allegheny Hospital Development
Authority VRDN, Series: B, Presbyterian
Health Center (MBIA Insured),
3.50%, 4/1/97 1,100
County of Washington Lease Revenue,
Series: B-1, Eye and Ear Hospital Project
(PNC Bank LOC)
1,000 Subseries: C, 3.50%, 4/1/97 1,000
1,350 Subseries: E, 3.50%, 4/1/97 1,350
Delaware Valley Regional Finance
Authority Local Government Revenue
VRDN (Midland Bank PLC LOC)
2,000 Series: 1985 A, 3.50%, 4/7/97 2,000
1,000 Series: 1985 C, 3.50%, 4/7/97 1,000
2,000 Series: 1985 D, 3.50%, 4/7/97 2,000
24,000 Series: 1986 A, 3.50%, 4/7/97 24,000
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
PENNSYLVANIA - 8.9% (CONT'D.)
$ 3,900 Pennsylvania Economic Development
Finance Authority IDR VRDN, Series:
1996 A1-8 (PNC Bank LOC),
3.75%, 4/7/97 $ 3,900
Pennsylvania Higher Education Assistance
Agency VRDN (AMT), Student Loan
Program (SLMA LOC)
14,300 Series: 1994 A, 3.50%, 4/7/97 14,300
19,500 Series: 1995 A, 3.50%, 4/7/97 19,500
7,500 Series: 1997 A, 3.50%, 4/7/97 7,500
--------
126,407
--------
PUERTO RICO - 0.7%
9,800 Puerto Rico Government Development
Bank CP, 3.60%, 4/3/97 9,800
--------
RHODE ISLAND - 0.4%
3,000 Rhode Island Housing and Mortgage
Finance Corp., Series: 22-B (AMT),
Homeownerhip Opportunity Project
(FGIC Insured), 3.70%, 12/2/97 3,000
2,500 State of Rhode Island TAN, Series:
1996 A, 4.50%, 6/30/97 2,503
--------
5,503
--------
SOUTH CAROLINA - 0.8%
5,800 County of Cherokee IDR VRDN,
Series: 1989 (AMT), Oshkosh Truck Corp.
Project (NationsBank LOC),
3.65%, 4/7/97 5,800
County of Lexington IDR VRDN,
Allied-Signal Project (FMC Corp. Gtd.)
200 Series: 1992, 3.65%, 4/7/97 200
900 Series: 1992 A, 3.65%, 4/7/97 900
4,500 University of South Carolina Athletic
Facilities Revenue BAN, 4.00%, 2/26/98 4,515
--------
11,415
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
SOUTH DAKOTA - 1.7%
8,410 South Dakota Economic Development
Finance Authority VRDN, Series: 1996
(AMT), Hastings Filters, Inc. Project
(Harris Trust and Savings Bank LOC),
3.65%, 4/7/97 8,410
South Dakota - 1.7% (cont'd.)
South Dakota Housing Development
Authority Homeowner Mortgage VRDN
(AMT), Merrill P-Floats
$12,755 Series: PT-73-A, 3.55%, 4/7/97 $12,755
2,880 Series: PA-119, 3.65%, 4/7/97 2,880
--------
24,045
--------
TENNESSEE - 2.9%
1,500 County of Dickson IDR VRDN, Series:
1996 (AMT), Tennessee Bun Co. LLC
Project (PNC Bank LOC), 3.75%, 4/7/97 1,500
2,200 City of Greeneville IDR VRDN, Series:
1993, Pet, Inc. Project (Credit Suisse LOC),
3.45%, 4/7/97 2,200
6,000 City of Jackson Waste Facility IDR VRDN,
Series: 1995 (AMT), Florida Steel Corp.
Project (NationsBank LOC), 3.65%, 4/7/97 6,000
1,000 City of Morristown IDR VRDN, Series: 1997,
BOS Automotive Products, Inc. (Bayerische
Vereinsbank LOC), 3.55%, 4/7/97 1,000
1,400 County of Hamilton IDR VRDN, Series: 1995,
Tennessee Aquarium Project (Bank of New
York LOC), 3.50%, 4/7/97 1,400
5,760 County of Montgomery Public Building
Authority, Series: 1996, Adjustable Loan
Pool (NationsBank LOC), 3.50%, 4/7/97 5,760
5,000 Counties of Nashville and Davidson Housing
VRDN (AMT), Old Hickory Towers Project
(FHLB LOC), 3.65%, 4/7/97 5,000
2,000 County of Shelby G.O. Bond, Series: 1996 B,
3.50%, 4/7/97 2,000
4,890 County of Shelby G.O. FRN, BTP, Series: B,
3.70%, 11/6/97 4,890
1,000 County of Shelby Health and Education
Authority, Arbor Lake Project (PNC Bank
LOC), 3.70%, 4/7/97 1,000
1,000 State of Tennessee BAN, Series: E, Tennessee
Retirement System, 3.45%, 4/7/97 1,000
10,000 State of Tennessee Housing Development
Agency, Series: 1996-5 (AMT), Homeowner
Program, 4.00%, 8/21/97 9,994
--------
41,744
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
TEXAS - 9.0%
$ 1,600 Angelina and Neches River Authority IDR,
Series: 1984 D, TEEC, Inc. Project
(Credit Suisse LOC), 4.00%, 4/1/97 $ 1,600
Brazos River Harbor Navigation District
PCR VRDN, Dow Chemical Co. Project
2,000 Series: 1988, 3.50%, 5/8/97 2,000
4,950 Series: 1990, 3.50%, 5/22/97 4,950
2,000 Brazos River Authority, Series: 1997 (AMT),
Houston Light and Power Co. Project
(AMBAC Insured), 4.25%, 4/1/97 2,000
5,700 Brazos River Harbor Navigation District
VRDN, Series: 1996 (AMT), BASF Corp.
Project (BASF Corporation Gtd.),
4.25%, 7/1/97 5,700
2,525 City of Austin Independent School District
Building VRDN, Series: 1996 SG-68 (PSF of
Texas Gtd.), 3.50%, 4/7/97 2,525
3,500 City of El Paso Housing Finance Corp. VRDN,
Series: 1993 (AMT), Viva Apartments Project
(General Electric Corp. LOC), 3.65%, 4/7/97 3,500
3,455 City of Houston Water & Sewer System TOB,
Series: 1992 C BTP-54 (MBIA Insured),
3.60%, 4/7/97<F2> 3,455
7,000 City of Mansfield Independent School District,
Series: 1996, School Building (PSF of Texas
Gtd.), 4.14%, 7/1/97 7,000
5,000 County of Calhoun Navigation IDR VRDN
(AMT), Formosa Plastics Corp. U.S.A.
(Bank of America LOC), 3.50%, 4/7/97 5,000
11,600 County of Denton Independent School
District G.O., Series: B (PSF of Texas Gtd.),
3.98%, 8/15/97 11,601
County of Harris Health Facilities
Development Corp. VRDN, St. Luke's Episcopal
Hospital Project
1,300 Series: 1985 C, 3.85%, 4/1/97 1,300
1,300 Series: 1985 D, 3.85%, 4/1/97 1,300
8,000 County of Harris Toll Road Unlimited VRDN,
Series: 1994 A, Citicorp Eagle Trust,
No. 954302, 3.61%, 4/7/97<F2> 8,000
1,800 Gulf Coast Waste Disposal Authority VRDN,
Series: 1994 (AMT), Amoco Oil Co. Project
(Amoco Oil Company Gtd.), 3.90%, 4/1/97 1,800
1,000 North Central Health Facilities Development
Corp. VRDN, Presbyterian Medical Center
Project (MBIA Insured), 3.80%, 4/1/97 1,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
TEXAS - 9.0% (CONT'D.)
$10,000 North Texas Higher Education Authority
VRDN, Series: 1993 A (AMT), Student Loan
Program (SLMA LOC), 3.50%, 4/7/97 $ 10,000
Port Development of Corpus Christi,
Mitsui and Co. USA, Inc. Project (Fuji Bank
Ltd. LOC)
15,100 Series: 1985 A, 3.55%, 4/3/97 15,100
1,450 Series: 1985 B, 3.65%, 5/13/97 1,450
13,000 Port Development of Corpus Christi,
Union Pacific Corp. Project, 3.85%, 4/4/97 13,000
Sabine River Authority PCR VRDN,
Texas Utilities Electric Co. Project
(Union Bank of Switzerland LOC)
900 Series: 1995 B, 3.80%, 4/1/97 900
4,300 Series: 1995 C, 3.85%, 4/1/97 4,300
1,600 Sherman Independent School District G.O.,
Series: 1985 A, 3.50%, 4/7/97 1,600
6,635 Texas Department of Housing and
Community Affairs, Series: PA-128,
SFM, Merrill P-Floats, 3.65%, 4/7/97 6,635
5,049 Texas Turnpike Authority Dallas Toll
Revenue VRDN, Series: BTP-60 ADP,
Class B (AMBAC Insured), 3.60%, 4/7/97 5,049
6,580 Texas Veterans Housing Program VRDN,
Series: 1994 D PT-83 (AMT), Merrill P-
Floats, 3.85%, 4/7/97 6,580
--------
127,345
--------
UTAH - 2.1%
30,600 Utah State Board of Regents VRDN, Series:
1996 Q (AMT), Student Loan Program
(AMBAC Insured), 3.50%, 4/7/97 30,600
--------
VIRGINIA - 1.7%
3,200 City of Norfolk G.O. VRDN, Eagle Trust
No. 944601, 3.61%, 4/7/97 <F1> 3,200
3,300 City of Roanoke IDR VRDN, Series: 1994,
Cooper Industries Project (Cooper Industries
Gtd.), 3.65%, 4/7/97 3,300
1,500 County of Bedford IDR, Nekoosa Packaging
Project (Canadian Imperial Bank LOC),
3.55%, 4/7/97 1,500
2,200 County of Botetourt IDR VRDN, Valley Forge
Company Project (Harris Trust and Savings
Bank LOC), 3.65%, 4/7/97 2,200
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
VIRGINIA - 1.7% (CONT'D.)
$2,000 County of Charles Solid Waste Disposal
Facility IDR, Chambers Development, Inc.
Project (Morgan Guaranty LOC),
3.65%, 4/7/97 $ 2,000
9,500 County of Grant Waste Disposal, Series:
1996 (AMT), Virginia Electric Power Co.
Project, 3.65%, 7/24/97 9,500
1,900 State of Virginia G.O. VRDN, Series: 1994,
Citicorp Eagle Trust, No. 954601,
3.61%, 4/7/97<F2> 1,900
--------
23,600
--------
WASHINGTON - 2.1%
3,000 City of Grandview Public Corp. IDR, Series:
1989, Shonan USA Project (Bank of America
LOC), 3.50%, 4/7/97 3,000
2,000 City of Kent Economic Development Corp.
IDR VRDN, Associated Grocers Project
(Seattle-First National Bank LOC),
3.72%, 4/7/97 2,000
2,000 Washington Housing Finance Commission,
Series: 4A-S (AMT), Single Family Program
(Colld. by FNMA), 3.75%, 11/1/97 2,000
Washington Public Power Supply System
Revenue, Nuclear Project No. 2
12,521 Series: 1990 B (Prerefunded),
3.80%, 1/14/98 12,521
9,665 Series: 1996 A (AMBAC Insured),
4.00%, 8/21/97 9,665
--------
29,186
--------
WEST VIRGINIA - 0.4%
3,100 County of Marion Waste Disposal IDR
VRDN, Series: 1990 B, Granttown Project
(National Westminster Bank LOC),
3.50%, 4/7/97 3,100
2,000 County of Ritchie IDR VRDN, Simonton
Building Products, Inc. Project
(PNC Bank LOC), 3.75%, 4/7/97 2,000
--------
5,100
--------
WISCONSIN - 3.7%
3,905 City of Milwaukee G.O. Bond, Series: B7,
4.00%, 2/15/98 3,917
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
Wisconsin - 3.7% (cont'd.)
$ 9,000 City of Milwaukee RAN, Series: A,
4.25%, 2/19/98 $ 9,048
3,475 City of Milwaukee Redevelopment VRDN,
Series: 1996 (AMT), Starline Manufacturing,
Inc. (Harris Trust and Savings Bank LOC),
3.65%, 4/7/97 3,475
4,290 City of Pewaukee IDR VRDN, Series: 1992
(AMT), HUSCO International, Inc. Project
(Bank One LOC), 3.65%, 4/7/97 4,290
3,000 City of Wauwatosa Housing Authority Bond,
Series: 1995 B, San Camillo, Inc. Project
(Firstar Bank LOC), 3.50%, 4/7/97 3,000
8,210 State of Wisconsin G.O. Bond,
Series: 1996 A, 3.75%, 10/21/97 8,210
1,300 Wisconsin Health and Education Revenue
Bond, Series: 1994 A, Sinai Samaritan
Medical Center Project (M&I Bank LOC),
3.50%, 4/7/97 1,300
Wisconsin Housing and Economic Development
Authority Revenue VRDN, Home Ownership
Revenue Program
9,305 Series: 1989 C39, 4.00%, 9/1/97 9,305
10,390 Series: 1991 B, 3.65%, 9/1/97 10,390
--------
52,935
--------
WYOMING - 0.2%
2,735 Wyoming Community Development
Authority Housing Revenue, Series: 3,
4.50%, 6/25/97 2,735
--------
Total Municipal Investments
(cost $1,407,771) 1,407,771
----------
NUMBER
OF SHARES
(000S)
----------
OTHER - 0.4%
130 AIM Tax-Free Money Market Fund 130
800 Dreyfus Tax Exempt Cash Management
Fund 800
500 Federated Tax Free Trust Money Market
Fund No. 15 500
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
NUMBER
OF SHARES VALUE
(000S) (000S)
---------- -------
OTHER - 0.4% (CONT'D.)
468 Federated Tax Free Trust
Money Market Fund No. 73 $ 468
1,978 Provident Municipal Cash Fund 1,978
1,339 Provident Municipal Fund 1,339
---------
Total Other
(cost $5,215) 5,215
---------
Total Investments - 99.5%
(cost $1,412,986) 1,412,986
Other Assets less Liabilities - 0.5% 7,055
---------
NET ASSETS - 100.0% $1,420,041
=========
<F1> 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 March 31, 1997, the value of these
securities amounted to approximately $26,791,000 or 1.9% of net assets.
<F2> Securities exempt from registration under Rule 144A of the Securities
Exchange Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
March 31, 1997, the value of these securities amounted to approximately
$15,295,000 or 1.1% of net assets.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
U.S. GOVERNMENT SELECT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
U.S. GOVERNMENT AGENCIES - 102.4%
FEDERAL FARM CREDIT BANK - 14.6%
FFCB Discount Notes
$10,000 5.268%, 4/3/97 $ 9,997
5,000 5.58%, 6/16/97 4,903
3,000 5.674%, 8/1/97 3,001
1,700 5.351%, 8/13/97 1,667
5,000 5.375%, 8/14/97 4,942
--------
24,510
--------
FEDERAL HOME LOAN BANK - 68.5%
FHLB Discount Notes
2,000 5.401%, 4/1/97 2,000
30,000 6.451%, 4/1/97 30,000
12,500 5.231%, 4/3/97 12,496
5,000 5.237%, 4/9/97 4,994
10,000 5.315%, 4/24/97 9,967
1,890 5.40%, 4/30/97 1,882
7,000 5.284%, 5/8/97 6,962
10,000 5.295%, 5/8/97 9,947
12,000 5.224%, 5/22/97 11,912
6,000 5.537%, 5/22/97 5,953
5,000 5.337%, 6/5/97 4,952
3,295 5.377%, 6/12/97 3,260
2,055 5.393%, 6/17/97 2,032
2,000 5.297%, 8/26/97 1,958
7,000 5.451%, 9/8/97 6,838
--------
115,153
--------
STUDENT LOAN MARKETING
ASSOCIATION - 2.1%
1,500 SLMA Discount Note,
5.521%, 2/25/98 1,499
2,000 SLMA FRN, 5.523%, 9/3/97 1,999
--------
3,498
--------
TENNESSEE VALLEY AUTHORITY - 17.2%
TVA Discount Note
3,000 5.50%, 4/24/97 2,990
8,100 5.272%, 5/5/97 8,060
15,000 5.309%, 5/20/97 14,893
3,000 5.50%, 5/27/97 2,975
--------
28,918
--------
Total U.S. Government Agencies
(cost $172,079) 172,079
NUMBER
OF SHARES VALUE
(000S) (000S)
---------- --------
OTHER - 1.2%
2,077 Dreyfus Prime Money Market Fund
(cost $2,077) $ 2,077
--------
Total Investments - 103.6%
(cost $174,156) 174,156
Liabilities less Other Assets - (3.6)% (6,028)
--------
NET ASSETS - 100.0% $168,128
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
CALIFORNIA MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
MUNICIPAL INVESTMENTS - 98.7%
CALIFORNIA - 94.4%
$ 2,475 City and County of San Francisco Variable
Rate Certificates, Series: C-6,
3.51%, 6/15/97 $ 2,475
1,500 City of Irvine Special Assessment Bond,
Series: 89-10 (National Westminster LOC),
3.70%, 4/1/97 1,500
1,800 City of Irvine Special Assessment Bond,
Series: A (Kredietbank N.V. LOC),
3.70%, 4/1/97 1,800
2,500 City of Los Angeles Community
Redevelopment Agency Tender Option
Certificates, Series: BTP-129,
3.20%, 6/1/97 2,500
1,925 City of Los Angeles Convention and
Exhibition Center VRDN, Merrill P-Floats
PA-88 (MBIA Insured), 3.55%, 8/15/97 1,925
2,500 City of Los Angeles Housing Revenue
Bond, Clipper Trust Certificates,
Series: 1996 A, 3.62%, 6/1/97 2,500
3,955 City of San Diego Public Facility Water and
Sewer VRDN, Merrill Soc Gen Muni
Trust, Series: SG-14 (AMBAC Insured),
3.25%, 5/15/97 3,955
12,961 City of San Marcos Public Facility
Authority Revenue Bond, Series:
BTP-188, Civic Center Project
(Colld. by U.S. Government Securities),
3.56%, 9/1/97 12,961
1,600 City of Tustin Improvement VRDN,
Series: A, District 95-2 (Kredietbank
N.V. LOC), 3.70%, 4/1/97 1,600
2,350 County of Campbell Union Elementary
School District TRAN, Series: 1996-1997,
4.50%, 7/2/97 2,353
700 County of Irvine Ranch Water District
VRDN, Districts 102, 103, 105 & 106
(Commerzbank LOC), 3.70%, 4/1/97 700
1,100 County of Irvine Ranch Water District
VRDN, Districts 105, 140, 240 & 250
(Commerzbank LOC), 3.70%, 4/1/97 1,100
7,200 County of Irvine Ranch Consolidated
Water District VRDN, Series: 1993 B, Districts
2, 102, 103, 106, 3(203) & 206 (Morgan
Guaranty Trust Co. LOC), 3.70%, 4/1/97 7,200
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 94.4% (CONT'D.)
$ 2,000 County of Los Angeles COP, Series: A,
California Equipment Program F
(Canadian Imperial Bank LOC),
4.00%, 6/1/97 $ 2,000
5,000 County of Los Angeles Municipal Trust
Receipts, Soc Gen Trust SGB-2, Union
Station Project, 3.40%, 7/1/97 5,000
1,500 County of Moreno Valley Unified School
District TRAN, Series: 1996-1997,
4.50%, 6/30/97 1,502
10,750 County of Orange Apartment Development
Authority No. 19 VRDN, Parkplace Irvine
County Phase 1B Project (New England
Mutual Gtd.), 3.30%, 4/1/97 10,750
1,900 County of Orange Apartment Development
Authority VRDN, Series: 1988 A, Vista Verde
Apartments (Wells Fargo Bank LOC),
3.45%, 4/1/97 1,900
1,000 County of Orange Multifamily VRDN,
Series: 1985 T, Monarch Laguna
Association/Monarch Bay (Bank of Tokyo-
Mitsubishi LOC), 3.35%, 4/1/97 1,000
2,100 County of Orange Sanitation Districts COP,
Districts 1-3, 5-7, 11, 13 & 14 (National
Westminster LOC), 3.70%, 4/1/97 2,100
1,290 County of Orange Sanitation G.O.
COP, Series: 1993 A, Districts 1-3, 5-7 & 11
(Soc Gen LOC), 3.70%, 4/1/97 1,290
2,000 County of Oxnard Unified High School
District TRAN, Series: 1996, 4.50%, 8/7/97 2,003
2,000 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Parks
Apartments Project (Fuji Bank LOC),
4.16%, 4/1/97 2,000
County of Riverside Transportation Sales
Commission Tax Revenue CP (Industrial
Bank of Japan LOC)
6,000 3.45%, 5/8/97 6,000
4,000 3.40%, 5/12/97 4,000
County of Sacramento VRDN, Multifamily
Housing (Dai-Ichi Kangyo Bank LOC)
1,500 Series: 1985 B, 3.45%, 4/15/97 1,500
500 Series: 1985 C, 3.45%, 4/15/97 500
SCHEDULES OF INVESTMENTS MARCH 31, 1997
CALIFORNIA MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 94.4% (CONT'D.)
$3,600 County of Sacramento VRDN, Multifamily
Housing, Series: 1985 E, River Oaks
(Dai-Ichi Kangyo Bank LOC),
3.45%, 4/15/97 $3,600
8,000 County of San Bernadino Housing Authority
Revenue VRDN, Series: A, Brookside
Meadows (Bank of Tokyo Mitsibushi LOC),
3.30%, 4/2/97 8,000
1,045 County of Santa Clara Housing Authority
VRDN, Series: A, Multifamily Avenida
Espana Gardens (Union Bank LOC),
3.25%, 4/1/97 1,045
2,900 Eagle Tax Exempt Trust Certificates,
Series: 1997A-C05Q2,
3.50%, 8/1/16 2,900
4,250 Paramount Housing Authority Multifamily
VRDN, Century Place, Series: 1989 A
(Heller Financial, Inc. LOC), 3.96%, 4/1/97 4,250
2,260 Pleasant Hill Redevelopment Agency
Housing Revenue Bonds VRDN, Series:
1996 A, Chateau III Project (Commerzbank
LOC), 3.55%, 4/1/97 2,260
9,000 State School Cash Reserve Program Authority
TRAN, Pool Bonds, Series: 1996 A,
4.75%, 7/2/97 9,016
3,400 State Community Development Authority
Housing Revenue, Series: 1995 B (AMT),
Kimberly Woods Apartments (Colld. by
FNMA), 3.30%, 4/15/97 3,400
1,300 State Department of Water Resources
Water and Sewer VRDN, CVP Merrill Soc
Gen Muni Trust, Series: SG-5,
3.25%, 6/1/97 1,300
3,055 State Department of Water Resources
Revenue Bonds, Central Valley Project,
Series: M, 3.45%, 6/1/97 3,055
3,500 State Economic Development VRDN,
Volk Enterprises Project (Harris Trust &
Savings Bank LOC), 3.25%, 4/1/97 3,500
4,950 State G.O. Bond (MBIA Insured),
3.26%, 4/1/97 4,950
7,000 State G.O. CP, Series: A,
3.05%, 4/21/97 7,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 94.4% (CONT'D.)
$ 4,100 State G.O. VRDN TOB, Series: CR-152,
Citibank (FGIC Insured), 3.51%, 5/1/97 $ 4,100
1,100 State G.O. VRDN TOCR,
Series: A3 (MBIA Insured),
3.75%, 4/1/97 1,100
2,300 State G.O. VRDN, Series: 1995, Bear
Stearns/Soc Gen Trust (FSA Insured),
3.20%, 9/1/97 2,300
2,000 State Health Facility Authority Revenue
VRDN, Episcopal Home Project
(Union Bank LOC), 3.95%, 4/1/97 2,000
5,000 State HFA Home Mortgage
Revenue Bond, Series: 1996 J,
4.00%, 7/24/97 5,000
2,400 State HFA VRDN,
Merrill P-Floats PT-14, 3.45%, 8/1/97 2,400
2,260 State HFA VRDN, Series: 1991 G,
Merrill P-Floats PT-40D, 3.60%, 8/1/97 2,260
860 State HFA VRDN, Series: 1995 B,
Merrill P-Floats PT-56, 3.60%, 8/1/97 860
State PCR, Southern California
Edison
1,100 Series: A (Credit Lyonnais), 3.55%, 4/1/97 1,100
2,000 Series: B, 3.55%, 4/1/97 2,000
2,980 Series: C, 3.55%, 4/1/97 2,980
200 Series: D, 3.30%, 4/1/97 200
4,000 State RAN, Series: 1996 A, 4.50%, 6/30/97 4,005
10,600 State RAN VRDN, Series: 1996-1997 B,
63% of 3-mo LIBOR, Late Day Daily Put,
3.49%, 4/1/97 10,600
2,200 Statewide Community Development
Authority COP, Sutter Health Obligation
Group (AMBAC Insured), 3.70%, 4/1/97 2,200
4,000 Statewide Community Development
Authority TRAN, Series: A (FSA Insurance
Policy), 4.75%, 6/30/97 4,008
4,290 University of California Regents VRDN,
Series: C, Merrill Soc Gen Muni Trust,
Series: SG-24 (AMBAC Insured),
3.25%, 9/1/97 4,290
--------
189,793
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
CALIFORNIA MUNICIPAL MONEY MARKET FUND (CONTINUED)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
PUERTO RICO - 4.3%
$2,400 Puerto Rico Government Development
Bank, 3.35%, 4/3/97 $ 2,400
6,240 Puerto Rico Industrial Medical and
Environmental PCR, Merck & Co. Inc.,
Series: 1983 A, 6.10%, 12/1/18 6,240
--------
8,640
--------
Total Municipal Investments
(cost $198,433) 198,433
--------
NUMBER
OF SHARES
(000S)
----------
OTHER - 1.3%
391 Federated Tax Exempt Money Market
Fund No. 80 391
2,127 Provident Institutional California
Money Fund 2,127
--------
Total Other
(cost $2,518) 2,518
--------
Total Investments - 100.0%
(cost $200,951) 200,951
Other Assets less Liabilities - 0.0% 38
--------
NET ASSETS - 100.0% $200,989
========
See Notes to the Financial Statements.
NOTES TO THE
FINANCIAL STATEMENTS
MARCH 31, 1997
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.
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. Guaranteed investment
contracts are valued at cost plus accrued interest, which approximates market
value. 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. ORGANIZATION 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 daily and paid monthly.
Distributions of net realized capital gains, if any, are declared at least
annually. Distributions to shareholders are recorded on the ex-dividend
date.
The timing and character of distributions determined in accordance with
federal income tax regulations may differ from financial statement amounts
determined in accordance with generally accepted accounting principles due to
differences in the treatment and recognition of investment income and
realized gains (losses). These differences are primarily related to capital
loss carryforwards. Certain differences in treatment of income and capital
gains for distributions, which are permanent, may result in periodic
reclassifications in the Funds' capital accounts.
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.
At March 31, 1997, the Funds' most recent fiscal year end, the approximate
capital loss carryforwards for U.S. federal income tax purposes were
approximately $109,000 and $1,000 for the Municipal Money Market and the U.S.
Government Select Money Market Funds, respectively. These capital loss
carryforwards, due to expire March 31, 2005, are available to offset future
capital gains.
H. RECLASSIFICATIONS - At March 31, 1997, 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 UNDISTRIBUTED
NET NET PAID
AMOUNTS INVESTMENT CAPITAL IN
IN THOUSANDS INCOME GAINS CAPITAL
- -------------------- ---------- ------- ------
Money Market $24 $ _ $(24)
U.S. Government
Money Market 6 _ (6)
Municipal Money
Market 47 _ (47)
U.S. Government Select
Money Market 4 _ (4)
California Municipal
Money Market 3 _ (3)
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.
3. INVESTMENT 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 year ended
March 31, 1997, the Adviser voluntarily agreed to waive a portion of its
advisory fees as applied to each Fund's daily net assets as shown on the
accompanying Statements of Operations. Northern Trust had 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%
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 year ended March 31, 1997, 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 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.
As of March 31, 1997, there were no outstanding borrowings.
REPORT OF INDEPENDENT
PUBLIC ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES:
NORTHERN FUNDS MONEY MARKET FUND, U.S. GOVERNMENT MONEY MARKET FUND, MUNICIPAL
MONEY MARKET FUND, U.S. GOVERNMENT SELECT MONEY MARKET FUND, CALIFORNIA
MUNICIPAL MONEY MARKET FUND
We have audited the accompanying statements of assets and liabilities of
Northern Funds (a Massachusetts business trust consisting of the Money Market
Fund, U.S. Government Money Market Fund, Municipal Money Market Fund, U.S.
Government Select Money Market Fund and California Municipal Money Market Fund),
including the schedules of investments, as of March 31, 1997, and the related
statements of operations, changes in net assets, and the financial highlights
for the periods indicated thereon. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1997, by physical examination of the securities held by the custodian
and by correspondence with outside depositories and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Northern Funds as of March 31, 1997,
the results of their operations, changes in their net assets, and financial
highlights for the periods indicated thereon, in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Chicago, Illinois
May 16, 1997
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 Funds 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.
(LOGO)
P.O. Box 75986
Chicago, IL 60690-6319
1-800-595-9111
c 1997 Sunstone Distribution Services, LLC,
Distributor
