<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL MONEY FUND
<TABLE>
<CAPTION>
PRINCIPAL
MUNICIPAL AMOUNT VALUE
OBLIGATIONS -- 95.1% ----------- -----------
<S> <C> <C>
ALABAMA -- 4.5%
Montgomery, AL CP
(LOC: General Electric Co.)
3.550%, 11/02/99................. $ 2,000,000 $ 2,000,000
-----------
ALASKA -- 4.5%
City of Valdez, AK Marine Air
Terminal CP (LOC: NationsBank)
3.450%, 11/05/99................. 1,000,000 1,000,000
City of Valdez, AK Marine Air
Terminal (LOC: Exxon Corp.)
VRDN 3.500%'D'................... 1,000,000 1,000,000
-----------
2,000,000
-----------
ARIZONA -- 2.3%
Maricopa County, AZ PCR
(Arizona Public Service Co.)
VRDN 3.500%'D'................... 1,000,000 1,000,000
-----------
COLORADO -- 4.5%
City & County of Denver, CO Airport
System CP
(LOC: Bayerische Landesbank)
3.700%, 02/09/00................. 2,000,000 2,000,000
-----------
FLORIDA -- 4.5%
Gulf Coast University, FL
(LOC: First Union National Bank
of Florida) VRDN 3.600%'D'....... 1,000,000 1,000,000
Florida Local Government Assistance
CP (LOC: First Union National
Bank of Florida) 3.550%,
02/08/00......................... 1,000,000 1,000,000
-----------
2,000,000
-----------
IDAHO -- 2.3%
Idaho State TANS
4.250%, 06/30/00................. 1,000,000 1,005,430
-----------
ILLINOIS -- 2.3%
Southwestern, IL Development
Authority SWDR
(LOC: Shell Oil Co. Wood River
Project) VRDN 3.600%'D''DD'...... 1,000,000 1,000,000
-----------
INDIANA -- 0.2%
Indianapolis, IN Local Public
Improvement Ser. A
7.400%, 01/01/20 (prerefunded
07/01/00)(a)..................... 100,000 104,495
-----------
KENTUCKY -- 5.2%
Pendleton County, KY CP
(LOC: Commonwealth Bank of
Australia) 3.650%, 11/05/99...... 2,300,000 2,300,000
-----------
LOUISIANA -- 7.0%
Calcasieu Parish, LA Public Trust
Authority SWDR (WPT Corp.
Project) (LOC: Morgan Guaranty
Trust Co.) VRDN 3.650%'D''DD'.... $ 100,000 $ 100,000
Lake Charles Harbor & Terminal
Distribution Port Revenue (LOC:
Credit Local de France)
VRDN 3.550%'D''D'................ 1,000,000 1,000,000
Louisiana State Offshore Terminal
Authority (Deep Water Port
Revenue) (LOC: LOOP, Inc.) VRDN
3.500%'D'........................ 1,000,000 1,000,000
St. Charles Parish, LA PCR (Norco
Project) (LOC: Shell Oil Co.)
VRDN 3.600%'D''DD'............... 1,000,000 1,000,000
-----------
3,100,000
-----------
MARYLAND -- 3.6%
Baltimore County, MD PCR CP
(LOC: Baltimore Gas & Electric
Co.) 3.500%, 11/05/99............ 1,000,000 1,000,000
Prince Georges County, MD SWMS
7.000%, 06/30/08 (prerefunded
06/30/00)(a)..................... 570,000 593,474
-----------
1,593,474
-----------
MICHIGAN -- 7.0%
Detroit, MI Water Supply System
(LIQ: FGIC) VRDN 3.450%'D'....... 800,000 800,000
Michigan State HDA (Pine Ridge)
(LOC: Wachovia Bank)
VRDN 3.500%'D'................... 1,300,000 1,300,000
Michigan State HDA (Harbortown,
Ltd.) (LOC: Bankers Trust Co.)
VRDN 3.675%'D'................... 1,000,000 1,000,000
-----------
3,100,000
-----------
NEBRASKA -- 3.3%
Nebraska Higher Education Loan
Program Ser. C (LOC: SLMA) VRDN
3.550%'D''DD'.................... 1,500,000 1,500,000
-----------
NEVADA -- 5.0%
Clark County, NV IDR (Nevada
Cogeneration I Project 90)
(LOC: Canadian Imperial Bank)
VRDN 3.550%'D''DD'............... 1,000,000 1,000,000
Washoe County, NV Water Facility
Revenue (Sierra Pacific Power Co.
Project) (LOC: Union Bank of
Switzerland AG) VRDN
3.600%'D''DD'.................... 1,200,000 1,200,000
-----------
2,200,000
-----------
NORTH CAROLINA -- 2.9%
Winston-Salem, NC CP
(LOC: Wachovia Bank & Trust)
3.650%, 02/10/00................. 1,300,000 1,300,000
-----------
OHIO -- 2.3%
Ohio State Air Quality Development
Authority (LOC: Societe Generale)
VRDN 3.450%'D''DD'............... 1,000,000 1,000,000
-----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL MONEY FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- -----------
<S> <C> <C>
PENNSYLVANIA -- 4.0%
Pennsylvania State Higher
Educational Facilities Authority
(LOC: MBIA) 7.25%, 05/01/10
(prerefunded 05/01/00)(a)........ $ 350,000 $ 356,718
Pennsylvania State Turnpike
Commission Ser. K 7.625%,
12/01/09 (prerefunded
12/01/99)(a)..................... 1,375,000 1,407,279
-----------
1,763,997
-----------
SOUTH CAROLINA -- 4.5%
Berkeley County, SC IDR (LOC: Nucor
Corp.) VRDN 3.550%'D''DD'........ 1,000,000 1,000,000
Berkeley County, SC IDR (LOC: Nucor
Corp.) VRDN 3.550%'D''DD'........ 1,000,000 1,000,000
-----------
2,000,000
-----------
TEXAS -- 16.9%
Fort Worth City, TX CP (LOC:
WestDeutsche Landesbank) 3.350%,
11/09/99......................... 2,200,000 2,200,000
Gulf Coast Waste Disposal Authority
of Texas (Amoco Oil Company
Project) (LOC: Amoco Corp.) VRDN
3.600%'D''DD'.................... 900,000 900,000
Lower Neches Valley Authority
(Mobil Oil Refining Corp.
Project) (LOC: Mobil Oil Corp.)
VRDN 3.600%'D''DD'............... 1,000,000 1,000,000
Texas State TRANS Ser. A
4.500%, 08/31/00................. 2,300,000 2,314,769
Trinity River Authority, TX PCR
(Texas Utilities Electric Company
Project) (LOC: AMBAC) VRDN
3.600%'D''DD'.................... 1,100,000 1,100,000
-----------
7,514,769
-----------
UTAH -- 2.7%
Carbon County, UT PCR (Pacificorp
Project) (LOC: AMBAC) VRDN
3.500%'D'........................ $ 1,200,000 $ 1,200,000
-----------
WISCONSIN -- 5.6%
Carlton, WI PCR (LOC: Wisconsin
Power & Light) VRDN
3.550%'D''DD'.................... 2,500,000 2,500,000
-----------
TOTAL MUNICIPAL OBLIGATIONS
(amortized cost $42,182,165)..... 42,182,165
-----------
<CAPTION>
REGISTERED INVESTMENT
COMPANIES -- 4.7%
(amortized cost $2,070,964)
SHARES
-----------
<S> <C> <C>
Federated Tax-Free Obligations
Fund............................. 2,070,964 2,070,964
-----------
TOTAL INVESTMENTS -- 99.8%
(amortized cost $44,253,129)....... 44,253,129
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.2%......... 93,759
-----------
NET ASSETS -- 100.0%................. $44,346,888
-----------
-----------
</TABLE>
'DD' Subject to Alternative Minimum Tax.
'D' Securities payable on demand. Rate shown is rate in effect at October 31,
1999. This rate is subject to change and is based on bank prime rates or an
index of market interest rates.
(a) Bonds which are prerefunded are collateralized by U.S. government
securities which are held in escrow and can be used to pay principal
and interest on the municipal issue and to retire the bonds in full at
the earliest refunding date.
ABBREVIATIONS USED IN THE PORTFOLIO
<TABLE>
<S> <C> <C> <C>
AMBAC American Municipal Bond Assurance Corporation PCR Pollution Control Revenue Bond
CP Commercial Paper SLMA Student Loan Marketing Association
FGIC Financial Guaranty Insurance Corporation SWDR Solid Waste Disposal Revenue
HDA Housing Development Authority SWMS Solid Waste Management System
IDR Industrial Development Revenue Bond TANS Tax Anticipation Notes
LIQ Liquidity Agreement TRANS Tax and Revenue Anticipation Notes
LOC Letter of Credit VRDN Variable Rate Demand Note
MBIA Municipal Bond Investors Assurance Insurance
Corporation
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
DLJ WINTHROP U.S. GOVERNMENT MONEY FUND
<TABLE>
<CAPTION>
U.S. GOVERNMENT PRINCIPAL
AGENCIES -- 83.2% AMOUNT VALUE
------------ -----------
<S> <C> <C>
Federal Home Loan Bank
5.709%, 11/18/99........... $ 1,000,000 $ 1,000,147
5.835%, 12/16/99........... 1,000,000 1,000,546
4.718%, 01/13/00........... 3,655,000 3,645,423
8.600%, 01/25/00........... 315,000 316,822
4.790%, 02/04/00........... 1,000,000 999,675
4.950%, 02/17/00........... 1,800,000 1,795,443
5.465%, 03/20/00........... 1,000,000 998,987
5.845%, 03/22/00........... 3,000,000 3,000,000
5.415%, 06/14/00........... 2,600,000 2,593,906
5.480%, 06/21/00........... 1,000,000 1,000,104
Federal Home Loan Bank
Discount Notes
5.160%*, 03/08/00.......... 1,000,000 997,884
Federal Home Loan
Mortgage Corp.
6.550%, 01/04/00........... 150,000 150,124
5.550%, 07/14/00........... 1,000,000 1,000,014
Federal National Mortgage
Association
8.350%, 11/10/99........... 365,000 365,285
5.600%, 01/12/00........... 250,000 249,783
5.430%, 01/27/00........... 120,000 119,831
5.180%, 03/10/00........... 643,000 642,799
5.530%, 03/23/00........... 2,797,000 2,794,060
5.040%, 04/06/00........... 1,000,000 998,019
5.650%, 04/28/00........... 1,000,000 999,561
6.410%, 05/22/00........... 100,000 100,381
Federal National Mortgage
Association Discount Notes
5.350%*, 11/15/99.......... 805,000 803,324
5.350%*, 11/18/99.......... 245,000 244,381
5.200%*, 06/09/00.......... 1,000,000 968,078
Student Loan Marketing
Association
4.900%, 02/10/00........... $ 1,000,000 $ 999,853
FRN'D' 5.415%, 12/16/99.... 5,000,000 5,000,000
FRN'D' 5.575%, 01/20/00.... 5,000,000 5,000,000
FRN'D' 5.775%, 02/17/00.... 5,000,000 5,000,000
FRN'D' 5.796%, 04/20/00.... 5,000,000 5,000,000
Student Loan Marketing
Association Discount Note
5.160%*, 11/01/99.......... 2,000,000 2,000,000
-----------
TOTAL U.S. GOVERNMENT AGENCIES
(amortized cost $49,784,430). 49,784,430
-----------
REPURCHASE AGREEMENTS --17.3%
Morgan Stanley Dean Witter
5.300%, dated 10/29/99 due
11/01/99 in the amount of
$10,378,582 (fully
collateralized by
$11,996,000 Federal
National Mortgage
Association 6.500%,
01/01/29, value
$10,633,781)............... 10,374,000 10,374,000
-----------
TOTAL INVESTMENTS -- 100.5%
(amortized cost $60,158,430). 60,158,430
-----------
LIABILITIES NET OF CASH AND
OTHER ASSETS -- (0.5)%..... (281,236)
-----------
NET ASSETS -- 100.0%......... $59,877,194
-----------
-----------
</TABLE>
* Securities purchased on a discount basis. The rate shown represents the
annualized yield to maturity at the time of purchase.
'D' Floating Rate Note. The interest rate shown is the rate in effect at October
31, 1999.
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF ASSETS AND LIABILITIES October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
---------- ----------
<S> <C> <C>
ASSETS:
Investments in securities, at value (cost $44,253,129 and
$60,158,430, respectively) (including repurchase
agreements of $10,374,000 for the U.S. Government Money
Fund).................................................. $44,253,129 $60,158,430
Cash...................................................... -- 373
Interest receivable....................................... 231,191 656,981
Deferred organization costs (Note A)...................... 32,745 32,745
----------- -----------
Total assets.............................................. 44,517,065 60,848,529
----------- -----------
LIABILITIES:
Payable to investment advisor............................. 69,996 95,735
Payable to distributor.................................... 10,036 12,952
Payable for capital stock redeemed........................ -- 687,886
Dividends payable......................................... 45,575 105,210
Accrued expenses and other liabilities.................... 44,570 69,552
----------- -----------
Total liabilities......................................... 170,177 971,335
----------- -----------
NET ASSETS.................................................. $44,346,888 $59,877,194
----------- -----------
----------- -----------
NET ASSETS CONSIST OF:
Capital paid-in........................................... $44,346,817 $59,874,355
Undistributed net investment income....................... 71 3,626
Accumulated net realized loss on investments.............. -- (787)
----------- -----------
$44,346,888 $59,877,194
----------- -----------
----------- -----------
Shares outstanding........................................ 44,346,817 59,876,702
----------- -----------
----------- -----------
Net asset value and redemption value per share............ $1.00 $1.00
----- -----
----- -----
</TABLE>
STATEMENT OF OPERATIONS for the year ended October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
---------- ----------
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $1,721,582 $2,980,656
---------- ----------
EXPENSES:
Investment advisory fees (Note B)......................... 212,914 234,429
Distribution fees (Note B)................................ 133,071 146,518
Registration fees......................................... 44,000 55,000
Transfer agent fees....................................... 28,000 35,000
Custodian fees............................................ 42,000 48,000
Auditing fees............................................. 20,000 23,000
Printing fees............................................. 13,000 17,000
Trustees' fees (Note B)................................... 8,000 11,000
Legal fees................................................ 20,000 23,000
Miscellaneous............................................. 19,791 30,974
Amortization of organization costs (Note A)............... 14,129 14,129
---------- ----------
Total expenses......................................... 554,905 638,050
Less expenses reimbursed by investment advisor
Note B)............................................... (75,849) (110,585)
---------- ----------
Net expenses........................................... 479,056 527,465
---------- ----------
NET INVESTMENT INCOME....................................... 1,242,526 2,453,191
---------- ----------
NET REALIZED GAIN/(LOSS) ON INVESTMENTS..................... 71 (787)
---------- ----------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $1,242,597 $2,452,404
---------- ----------
---------- ----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL MONEY FUND U.S. GOVERNMENT MONEY FUND
-------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/99 10/31/98 10/31/99 10/31/98
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income................................. $ 1,242,526 $ 1,652,952 $ 2,453,191 $ 1,998,168
Net realized gain/(loss) on investments............... 71 -- (787) 1,289
------------ ----------- ----------- -----------
Increase in net assets from operations.................. 1,242,597 1,652,952 2,452,404 1,999,457
------------ ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income..................................... (1,242,526) (1,652,952) (2,453,191) (1,998,168)
------------ ----------- ----------- -----------
CAPITAL STOCK TRANSACTIONS -- (NET) Note C.............. (13,430,946) 19,096,408 3,181,019 21,521,599
------------ ----------- ----------- -----------
Total increase/(decrease) in net assets................. (13,430,875) 19,096,408 3,180,232 21,522,888
NET ASSETS:
Beginning of period................................... 57,777,763 38,681,355 56,696,962 35,174,074
------------ ----------- ----------- -----------
End of period......................................... $ 44,346,888 $57,777,763 $59,877,194 $56,696,962
------------ ----------- ----------- -----------
------------ ----------- ----------- -----------
Undistributed net investment income..................... $ 71 -- $ 3,626 --
------------ ----------- ----------- -----------
------------ ----------- ----------- -----------
</TABLE>
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS October 31, 1999
- --------------------------------------------------------------------------------
NOTE (A) SIGNIFICANT ACCOUNTING POLICIES. DLJ Winthrop Money Funds ('Fund' or
'Funds') consists of two portfolios (the 'Portfolios'), the DLJ Winthrop
Municipal Money Fund and the DLJ Winthrop U.S. Government Money Fund (together
the 'Money Funds'), each a separate diversified series of the DLJ Winthrop
Opportunity Funds (the 'Trust'). In addition, the Trust consists of the DLJ
Winthrop International Equity Fund, the DLJ Winthrop Developing Markets Fund and
the DLJ Winthrop High Income Fund. The Trust was organized as a Delaware
business trust under the laws of Delaware on May 31, 1995 and is registered
under the Investment Company Act of 1940 (the 'Act'), as amended, as an open-end
management investment company. The Money Funds commenced operations on February
24, 1997.
The Municipal Money Fund seeks maximum current income, consistent with liquidity
and safety of principal, that is exempt from federal income taxes by investing
principally in a diversified portfolio of municipal securities. The investment
objective of the U.S. Government Money Fund is maximum current income,
consistent with liquidity and safety of principal, by investing in a portfolio
of U.S. Government securities.
Each Portfolio is considered to be a separate entity for financial reporting and
tax purposes. It is the Funds' policy to maintain a continuous net asset value
of $1.00 per share for each Portfolio. The Fund has adopted certain investment,
portfolio valuation and dividend and distribution policies to enable it to do
so. There is no assurance, however, that each Portfolio will be able to maintain
a stable net asset value of $1.00 per share.
The Funds account separately for the assets, liabilities and operations of each
Portfolio. Expenses directly attributable to each Portfolio are charged to that
Portfolio's operations; expenses which are applicable to all portfolios are
allocated among them on a pro rata basis. The Funds' financial statements are
prepared in accordance with generally accepted accounting principles which may
require the use of management estimates and assumptions. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies consistently followed by the Funds.
(1) SECURITY VALUATION: Securities are valued at amortized cost, which has
been determined by the Funds' Board of Trustees to represent the fair value of
the Funds' investments. This involves initially valuing a security at its
original cost and thereafter assuming a constant amortization to maturity of
any discount or premium.
(2) REPURCHASE AGREEMENTS: The Funds may enter into repurchase agreements with
financial institutions, deemed to be creditworthy by the Funds' Advisor,
subject to the seller's agreement to repurchase and the Funds' agreement to
resell such securities at a mutually agreed-upon price. Securities purchased
subject to repurchase agreements are deposited with the Funds' custodian or
custodians authorized in accordance with guidelines approved by the Funds'
Trustees. Pursuant to the terms of the repurchase agreement, such securities
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued
interest, the Funds will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the Funds maintain the
right to sell the underlying securities at market value and may claim any
resulting loss against the seller.
(3) FEDERAL INCOME TAXES: The Funds intend to be treated as 'regulated
investment companies' under Sub-chapter M of the Internal Revenue Code and to
distribute substantially all of their net taxable income. Accordingly, no
provisions for Federal income taxes have been made in the accompanying
financial statements. For Federal income tax purposes, the cost of securities
owned at October 31, 1999 was substantially the same as the cost of securities
for financial statement purposes.
<PAGE>
NOTES TO FINANCIAL STATEMENTS October 31, 1999 (continued)
- --------------------------------------------------------------------------------
The U.S. Government Money Fund has an unused capital loss carryover of $787
available for Federal income tax purposes to be applied against future net
securities profits, if any, realized subsequent to October 31, 1999. If not
applied, the carryover expires in fiscal 2007.
(4) INVESTMENT INCOME AND SECURITIES TRANSACTIONS: Interest income is accrued
daily. Security transactions are accounted for on the date securities are
purchased or sold. Discounts and premiums on securities purchased are
amortized in accordance with income tax regulations which approximate
generally accepted accounting principles. Security gains and losses are
determined on the identified cost basis.
(5) DIVIDENDS AND DISTRIBUTIONS: It is the policy of the Funds to declare
dividends daily from net investment income. Such dividends are paid monthly.
Dividends from net realized capital gain, if any, are normally declared and
paid annually, but the Funds may make distributions on a more frequent basis
to comply with the distribution requirements of the Internal Revenue Code. To
the extent that net realized capital gain can be offset by capital loss
carryovers, it is the policy of the Funds not to distribute such gain.
(6) DEFERRED ORGANIZATION COSTS: Costs incurred in connection with the Funds'
organization are being amortized on a straight-line basis over sixty months
commencing February 24, 1997.
(7) RECLASSIFICATION OF COMPONENTS OF NET ASSETS: At October 31, 1999, the
following reclassifications were recorded to reflect permanent book/tax
differences: U.S. Government Money Fund reduced capital paid-in $2,347,
reduced accumulated net realized gain on investments $1,279 and increased
undistributed net investment income $3,626; and Municipal Money Fund reduced
accumulated net realized gain on investments $71 and increased undistributed
net investment income $71. These reclassifications had no effect on net assets
or net asset value per share.
NOTE (B) ADVISORY AND DISTRIBUTION SERVICES AGREEMENT: DLJ Investment Management
Corp. (the 'Advisor') is a wholly-owned subsidiary of Donaldson, Lufkin &
Jenrette Securities Corporation, which is a wholly-owned subsidiary of
Donaldson, Lufkin and Jenrette, Inc. ('DLJ'). DLJ is an independently operated,
indirect subsidiary of AXA Financial, Inc., a holding company controlled by AXA,
a member of a large French insurance group. AXA is indirectly controlled by a
group of four French mutual insurance companies. Under its Advisory Agreement
with the Funds, the Advisor will provide investment advisory services and order
placement facilities for the Funds and pay all compensation of Trustees of the
Funds who are affiliated persons of the Advisor. The Advisor or its affiliates
will also furnish the Funds, without charge, management supervision and
assistance and office facilities. The Funds will pay the Advisor at the
following annual percentage rates of the average daily net assets of each
Portfolio: .40 of 1% of each Portfolio's first $1 billion and .35 of 1% of the
balance. Such fees will be accrued daily and paid monthly.
For the year ended October 31, 1999, the Advisor reduced its management fees and
reimbursed operating expenses by the amount that total fund operating expenses
exceeded 0.90% of the average daily net assets of each Fund. The Advisor has
agreed to a contractual expense limitation to continue this practice through
October 31, 2000. After October 31, 2000, the Advisor may, in its sole
discretion, determine to discontinue this practice with respect to either Fund.
As a result of the waiver, the management fees paid by the Municipal Money Fund
and U.S. Government Money Fund were reduced by $75,849 and $110,585,
respectively, during the year ended October 31, 1999.
Pursuant to Rule 12b-1 under the Act, the Fund has entered into a Distribution
Services Agreement (the 'Agreement') with Donaldson, Lufkin & Jenrette
Securities Corporation, the Fund's Distributor, under which the Fund pays a
distribution services fee to the Distributor at an annual rate of up to .25 of
1% of its average daily net assets. Under the Agreement, each Fund is obligated
to pay distribution and/or service fees to the Distributor for its distribution
and service activities as reimbursement for specific expenses incurred. In
addition, the Agreement provides that the Advisor may use its own resources
including fees from investment companies (including the Fund) to finance the
distribution of the Fund's shares.
Each Trustee who is not an affiliated person receives an attendance fee of
$2,000 per meeting. In addition, each unaffiliated Trustee receives an
attendance fee of $1,000 per audit committee meeting. Attendance fees are
charged to all series of the Trust and are allocated on a pro rata basis.
NOTE (C) SHARES OF BENEFICIAL INTEREST: There is an unlimited number of shares
($0.001 par value) authorized. Transactions in shares of beneficial interest
were as follows ($1.00 per share):
<TABLE>
<CAPTION>
MUNICIPAL MONEY FUND U.S. GOVERNMENT MONEY FUND
------------------------------------- -------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1999 OCTOBER 31, 1998
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold.................................... $ 326,607,226 $ 334,233,077 $ 301,133,167 $ 211,453,991
Shares issued through reinvestment of
dividends.................................... 1,240,945 1,635,577 2,370,091 1,942,413
------------- ------------- ------------- -------------
327,848,171 335,868,654 303,503,258 213,396,404
------------- ------------- ------------- -------------
Shares redeemed................................ (341,279,117) (316,772,246) (300,322,239) (191,874,805)
------------- ------------- ------------- -------------
Net increase (decrease)........................ $ (13,430,946) $ 19,096,408 $ 3,181,019 $ 21,521,599
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for a share of capital stock
outstanding throughout each period presented. This information has been derived
from information provided in the financial statements.
<TABLE>
<CAPTION>
MUNICIPAL MONEY FUND
----------------------------------------------------------------
YEAR ENDED YEAR ENDED PERIOD ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1997'D'
---------------- ---------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period..................... $ 1.00 $ 1.00 $ 1.00
Net investment income........ 0.023 0.027 0.020
Dividends from net investment
income..................... (0.023) (0.027) (0.020)
------- ------- -------
Net asset value, end of
period..................... $ 1.00 $ 1.00 $ 1.00
------- ------- -------
------- ------- -------
Total return'D''D'........... 2.37% 2.72% 2.90%(1)
Ratio of expenses to average
net assets (2)............. 0.90% 0.90% 0.90%(1)
Ratio of net investment
income to average net
assets (2)................. 2.33% 2.68% 2.87%(1)
Net assets, end of period
(000's omitted)............ $44,347 $57,778 $38,681
<CAPTION>
U.S. GOVERNMENT MONEY FUND
-----------------------------------------------------------------
YEAR ENDED YEAR ENDED PERIOD ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1997'D'
---------------- ---------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of
period..................... $ 1.00 $ 1.00 $ 1.00
Net investment income........ 0.042 0.047 0.032
Dividends from net investment
income..................... (0.042) (0.047) (0.032)
------- ------- -------
Net asset value, end of
period..................... $ 1.00 $ 1.00 $ 1.00
------- ------- -------
------- ------- -------
Total return'D''D'........... 4.26% 4.79% 4.68%(1)
Ratio of expenses to average
net assets (2)............. 0.90% 0.90% 0.90%(1)
Ratio of net investment
income to average net
assets (2)................. 4.19% 4.68% 4.65%(1)
Net assets, end of period
(000's omitted)............ $59,877 $56,697 $35,174
</TABLE>
'D' Commencement of operations was February 24, 1997.
'D''D' Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividends
and distributions at net asset value during the period, and redemption on
the last day of the period.
(1) Annualized
(2) Net of voluntary assumption by Advisor of expenses, expressed as a
percentage of average net assets as follows: Municipal Money Fund, .14%,
.15% and .40% (annualized) for the periods ended 10/31/99, 98 and 97,
respectively; and U.S. Government Money Fund, .19%, .25% and .45%
(annualized) for the periods ended 10/31/99, 98 and 97, respectively.
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
Shareholders and Board of Trustees
DLJ Winthrop Municipal Money Fund and
DLJ Winthrop U.S. Government Money Fund
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of DLJ Winthrop Municipal Money Fund and DLJ
Winthrop U.S. Government Money Fund (two of the Funds constituting DLJ Winthrop
Opportunity Funds) as of October 31, 1999, and the related statement of
operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended and financial highlights for each
of the periods indicated therein. These financial statements and financial
highlights are the responsibility of the Fund's 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 and financial highlights. Our procedures included confirmation of
securities owned as of October 31, 1999 by correspondence with the custodian 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 DLJ
Winthrop Municipal Money Fund and DLJ Winthrop U.S. Government Money Fund at
October 31, 1999, the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended
and the financial highlights for each of the indicated periods, in conformity
with generally accepted accounting principles.
ERNST & YOUNG LLP
New York, New York
December 27, 1999
<PAGE>
TRUSTEES
G. Moffett Cochran
Robert E. Fischer
Wilmot H. Kidd, III
Martin Jaffe
John W. Waller, III
OFFICERS
G. Moffett Cochran, Chairman and President
James A. Engle, Vice President
Martin Jaffe, Vice President, Secretary and Treasurer
Brian A. Kammerer, Vice President
Michael A. Snyder, Vice President
INVESTMENT ADVISER
DLJ Investment Management Corp.
277 Park Avenue, New York, NY 10172
CUSTODIAN
Citibank, N.A.
111 Wall Street, New York, NY 10043
TRANSFER AGENT
PFPC, Inc.
P.O. Box 61787 (211 South Gulph Road)
King of Prussia, PA 19406-0903
DISTRIBUTOR
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, NY 10172
INDEPENDENT AUDITORS
Ernst & Young LLP
787 Seventh Avenue, New York, NY 10019
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom
919 Third Avenue, New York, NY 10022
This report is submitted for the general information of the stockholders
of the Fund. It is not authorized for distribution to prospective investors
in the Fund unless preceded or accompanied by an effective prospectus,
which should be read carefully before investing.
[DLJ Logo]
277 Park Avenue, New York, NY 10172
800-225-8011
ANNUAL-MONEY99
ANNUAL REPORT
[DLJ Logo]
Leadership through
Experience
DLJ Winthrop
Municipal Money Fund
DLJ Winthrop
U.S. Government
Money Fund
October 31, 1999
STATEMENT OF DIFFERENCES
------------------------
The dagger symbol shall be expressed as .............................. 'D'
The double dagger symbol shall be expressed as ....................... 'DD'
