<PAGE>
SEMI-ANNUAL REPORT
DLJ WINTHROP FUNDS
LEADERSHIP THROUGH
EXPERIENCE
DLJ WINTHROP
MUNICIPAL MONEY FUND
DLJ WINTHROP
U.S. GOVERNMENT
MONEY FUND
APRIL 30, 1999
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
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
First Data Investor Services Group, Inc.
P.O. Box 61787 (211 South Gulph Road)
King of Prussia, PA 19406
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 WINTHROP FUNDS
277 Park Avenue, New York, NY 10172
800-225-8011
SEMI-MONEY99
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS April 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL MONEY FUND
<TABLE>
<CAPTION>
MUNICIPAL PRINCIPAL
OBLIGATIONS -- 92.4% AMOUNT VALUE
---------- -----------
<S> <C> <C>
ALASKA -- 1.7%
City of Valdez, Alaska Marine Air
Terminal CP (LOC: Atlantic
Richfield Co.) 3.150%,
06/09/99......................... $1,000,000 $ 1,000,000
-----------
CALIFORNIA -- 4.8%
California Statewide SWDR
(LOC: Chevron)
VRDN 4.250%'D'DD'................ 2,800,000 2,800,000
-----------
COLORADO -- 3.5%
City & County of Denver, CO Airport
System CP (LOC: Bayerische
Landesbank)
3.050%, 08/10/99................. 2,000,000 2,000,000
-----------
FLORIDA -- 5.2%
Florida Local Government Assistance
CP (LOC: First Union National
Bank of Florida)
2.750%, 06/18/99................. 2,000,000 2,000,000
2.800%, 06/18/99................. 1,000,000 1,000,000
-----------
3,000,000
-----------
GEORGIA -- 1.6%
Municipal Gas Authority of
Georgia Revenue Ser. C
(LOC: Wachovia Bank, Bank of
America, Morgan Guaranty Trust
Co., Bayerische Landesbank)
VRDN 4.100%'D'DD'................ 900,000 900,000
-----------
ILLINOIS -- 2.6%
Illinois Development Finance
Authority PCR (LOC: Amoco Oil)
VRDN 4.200%'D'................... 600,000 600,000
Southwestern, IL Development
Authority SWDR (LOC: Shell Oil
Co. Wood River Project)
VRDN 4.300%'D'DD'................ 900,000 900,000
-----------
1,500,000
-----------
IDAHO -- 5.2%
Idaho State TANS
4.500%, 06/30/99................. 3,000,000 3,004,282
-----------
LOUISIANA -- 5.5%
Calcasieu Parish, LA Public Trust
Authority SWDR (WPT Corp.
Project) (LOC: Morgan
Guaranty Trust Co.)
VRDN 4.150%'D'DD'................ 100,000 100,000
Lake Charles Harbor & Terminal
Distribution Port Revenue (LOC:
National Westminster Bank) VRDN
4.050%'D'........................ 1,000,000 1,000,000
Plaquemines Parish, LA
Environmental Revenue (British
Petroleum Exploration & Oil,
Inc.) (LOC: British Petroleum)
VRDN 4.300%'D'DD'................ 2,100,000 2,100,000
-----------
3,200,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------- -----------
<S> <C> <C>
MARYLAND -- 1.7%
Baltimore County, MD PCR CP (LOC:
Baltimore Gas & Electric Co.)
3.000%, 09/09/99................. $1,000,000 $ 1,000,000
-----------
MICHIGAN -- 7.5%
East China Township, MI School
District Prerefunded 6.850%,
05/01/99......................... 1,200,000 1,224,000
Detroit, MI Water Supply System
(LIQ: FGIC) VRDN 4.000%'D'....... 800,000 800,000
Michigan State HDA (Pine Ridge)
(LOC: Wachovia Bank)
VRDN 4.395%'D'................... 1,300,000 1,300,000
Michigan State HDA (Harbortown,
Ltd.) (LOC: Bankers Trust Co.)
VRDN 4.125%'D'................... 1,000,000 1,000,000
-----------
4,324,000
-----------
NEBRASKA -- 2.6%
Nebraska Higher Education Loan
Program Ser. C (LOC: SLMA) VRDN
4.100%'D'........................ 1,500,000 1,500,000
-----------
NEVADA -- 7.3%
Clark County, NV IDR (Nevada
Cogeneration I Project '90) (LOC:
Nevada Cogeneration Assoc.) VRDN
4.350%'D'DD'..................... 1,000,000 1,000,000
Clark County, NV IDR (Nevada
Cogeneration I Project '91) (LOC:
Nevada Cogeneration Assoc.) VRDN
4.350%'D'DD'..................... 2,000,000 2,000,000
Washoe County, NV Water Facility
Revenue (Sierra Pacific Power Co.
Project) (LOC: Union Bank of
Switzerland) VRDN 4.300%'D'DD'... 1,200,000 1,200,000
-----------
4,200,000
-----------
NEW YORK -- 3.5%
New York State Local Assistance
Corp. (LOC: Bank of Nova Scotia)
VRDN 3.850%'D'................... 2,000,000 1,999,960
-----------
NORTH CAROLINA -- 2.2%
Winston-Salem, NC CP (LOC: Wachovia
Bank & Trust)
3.000%, 06/18/99................. 1,300,000 1,300,000
-----------
OHIO -- 3.5%
Ohio State Air Quality Development
Authority (LOC: Societe Generale)
VRDN 4.000%'D'................... 1,000,000 1,000,000
Ohio State Public Facilities
Commission (LOC: AMBAC) 6.250%,
05/01/99......................... 1,000,000 1,000,000
-----------
2,000,000
-----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS April 30, 1999 (continued)
- --------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL MONEY FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------- -----------
<S> <C> <C>
PENNSYLVANIA -- 6.7%
Indiana County, PA IDA PCR
(Conemaugh Project) (LOC: Union
Bank of Switzerland) VRDN
4.000%'D'........................ $1,400,000 $ 1,400,000
Philadelphia, PA School District
TRANS (LOC: PNC Bank) 4.250%,
06/30/99......................... 2,500,000 2,502,459
-----------
3,902,459
-----------
SOUTH CAROLINA -- 8.6%
Berkeley County, SC IDR (LOC: Nucor
Corp.) VRDN 4.050%'D'............ 1,000,000 1,000,000
Berkeley County, SC IDR (LOC: Nucor
Corp.) VRDN 4.050%'D'............ 1,000,000 1,000,000
South Carolina Public Power CP
3.050%, 06/11/99................. 3,000,000 3,000,000
-----------
5,000,000
-----------
TEXAS -- 9.0%
Austin, TX Ser. A Prerefunded
6.000%, 09/01/99................. 100,000 101,021
Gulf Coast Waste Disposal Authority
of Texas (Amoco Oil Company
Project) (LOC: Amoco Corp.) VRDN
4.300%'D'DD'..................... 900,000 900,000
Gulf Coast Waste Disposal Authority
of Texas PCR (Exxon Project)
(LOC: Exxon) VRDN 4.200%'D'...... 1,100,000 1,100,000
Harris County, TX Health Facilities
Development Corp. (TIRR Project)
(LOC: Texas Commerce Bank N.A.)
VRDN 4.350%'D'DD'................ 2,000,000 2,000,000
Trinity River Authority, TX PCR
(LOC: AMBAC) VRDN 4.300%'D'DD'... 1,100,000 1,100,000
-----------
5,201,021
-----------
UTAH -- 0.7%
Salt Lake City, UT Airport Revenue
Ser. A (LOC: Union Bank of
Switzerland) VRDN 4.050%'D'...... 400,000 400,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- -----------
<S> <C> <C>
WISCONSIN -- 7.8%
Carlton, WI PCR (LOC: Wisconsin
Power & Light) VRDN 4.050%'D'...... $2,500,000 $ 2,500,000
Wisconsin State Ser. A (LOC: Credit
Suisse First Boston Corp.) 5.750%,
05/01/99........................... 2,000,000 2,000,000
-----------
4,500,000
-----------
WYOMING -- 1.2%
Lincoln County, WY PCR (LOC:
Exxon Corp.) VRDN 4.350%'D'DD'..... 700,000 700,000
-----------
TOTAL MUNICIPAL OBLIGATIONS
(amortized cost $53,431,722).......................... 53,431,722
-----------
</TABLE>
REGISTERED INVESTMENT COMPANIES -- 4.6%
(amortized cost $2,663,772)
<TABLE>
<CAPTION>
SHARES
-----------
<S> <C> <C>
Federated Tax-Free Obligations
Fund..................................... 2,663,772 2,663,772
-----------
TOTAL INVESTMENTS -- 97.0%
(amortized cost $56,095,494)....................... 56,095,494
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 3.0%........................... 1,740,108
-----------
NET ASSETS -- 100.0%................................... $57,835,602
-----------
-----------
</TABLE>
'DD' Subject to Alternative Minimum Tax.
'D' Securities payable on demand. Rate shown is rate in effect at April 30,
1999. This rate is subject to change and is based on bank prime rates or an
index of market interest rates.
ABBREVIATIONS USED IN THE PORTFOLIO
<TABLE>
<S> <C>
AMBAC American Municipal Bond Assurance Corporation
CP Commercial Paper
FGIC Financial Guaranty Insurance Corporation
HDA Housing Development Authority
IDA Industrial Development Authority
IDR Industrial Development Revenue Bond
LIQ Liquidity Agreement
LOC Letter of Credit
PCR Pollution Control Revenue Bond
SLMA Student Loan Marketing Association
SWDR Solid Waste Disposal Revenue
TANS Tax Anticipation Notes
TRANS Tax and Revenue Anticipation Notes
VRDN Variable Rate Demand Note
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS April 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
DLJ WINTHROP U.S. GOVERNMENT MONEY FUND
<TABLE>
<CAPTION>
<S> <C> <C>
PRINCIPAL
U.S. GOVERNMENT AGENCIES -- 57.2% AMOUNT VALUE
------------ -----------
Federal Farm Credit Bank
5.600%, 05/03/99............... $ 195,000 $ 195,003
6.470%, 06/28/99............... 900,000 901,809
5.500%, 08/03/99............... 1,200,000 1,201,633
5.830%, 09/01/99............... 190,000 190,480
Federal Farm Credit Bank
Discount Notes
4.750%*, 07/01/99.............. 150,000 149,897
4.620%*, 08/02/99.............. 1,827,000 1,825,461
4.870%*, 09/01/99.............. 2,000,000 1,999,091
Federal Home Loan Bank
5.630%, 05/05/99............... 250,000 250,013
6.020%, 06/10/99............... 1,000,000 1,001,034
5.605%, 06/11/99............... 100,000 100,044
5.630%, 06/15/99............... 395,000 395,216
5.585%, 06/23/99............... 350,000 350,225
5.540%, 07/13/99............... 675,000 675,997
6.445%, 08/09/99............... 2,000,000 2,008,708
5.524%, 08/12/99............... 250,000 250,292
Federal Home Loan Bank
Discount Notes
4.790%*, 02/04/00.............. 1,000,000 999,045
Federal Home Loan Mortgage Corp.
7.125%, 07/21/99............... 1,170,000 1,175,871
6.130%, 08/19/99............... 580,000 581,685
Federal Home Loan Mortgage Corp.
Discount Notes
4.700%*, 05/05/99.............. 1,500,000 1,499,217
7.125%*, 07/21/99.............. 590,000 588,070
4.780%*, 09/08/99.............. 1,438,000 1,413,179
Federal National Mortgage
Association
5.630%, 05/05/99............... 250,000 250,013
5.650%, 05/26/99............... 1,450,000 1,450,396
8.700%, 06/10/99............... 275,000 276,026
6.060%, 06/21/99............... 1,000,000 1,001,399
8.450%, 07/12/99............... 500,000 503,176
5.960%, 07/23/99............... 250,000 250,454
8.550%, 08/30/99............... 1,350,000 1,365,638
5.080%, 09/24/99............... 900,000 900,100
5.830%, 09/27/99............... 150,000 150,411
8.350%, 11/10/99............... 365,000 371,112
Federal National Mortgage
Association
Discount Notes
4.850%*, 05/10/99.............. 2,000,000 1,997,575
4.770%*, 06/18/99.............. 3,623,000 3,599,958
5.180%*, 03/10/00.............. 500,000 499,678
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------------ -----------
<S> <C> <C>
Student Loan Marketing
Association
5.630%, 06/02/99............... $ 730,000 $ 730,315
5.530%, 07/16/99............... 690,000 690,591
VRN'D' 4.887%, 08/19/99........ 5,000,000 5,000,000
Student Loan Marketing
Association Discount Notes
4.900%*, 02/10/00.............. 1,000,000 999,586
Tennessee Valley Authority
8.375%, 10/01/99............... 120,000 121,585
-----------
TOTAL U.S. GOVERNMENT AGENCIES
(amortized cost $37,909,983)................. 37,909,983
-----------
REPURCHASE AGREEMENTS -- 42.4%
JP Morgan 4.900%, dated 04/30/99
due 05/03/99 in the amount of
$15,151,184 (fully
collateralized by $15,398,000
U.S. Treasury Notes 4.500%,
01/31/01 - 12/31/01, value
$15,448,555)................... 15,145,000 15,145,000
Morgan Stanley Dean Witter
4.770%, dated 04/29/99 due
05/05/99 in the amount of
$8,006,360..................... 8,000,000 8,000,000
4.920%, dated 04/30/99 due
05/03/99 in the amount of
$5,002,050..................... 5,000,000 5,000,000
-----------
(fully collateralized by
$11,336,000 Federal National
Mortgage Association 6.315%,
11/01/27, value $8,151,438 and
$8,391,000 Federal National
Mortgage Association 6.951%,
01/01/30, value $5,119,138)
TOTAL REPURCHASE AGREEMENTS
(amortized cost $28,145,000)................. 28,145,000
-----------
TOTAL INVESTMENTS -- 99.6%
(amortized cost $66,054,983)................. 66,054,983
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.4%................... 255,473
-----------
NET ASSETS -- 100.0%........................... $66,310,456
-----------
-----------
</TABLE>
* Securities purchased on a discount basis. The rate shown represents the
annualized yield to maturity at the time of purchase.
'D' Variable Rate Note.
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF ASSETS AND LIABILITIES April 30, 1999
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
----------- ---------------
<S> <C> <C>
ASSETS:
Investments in securities, at value (cost $56,095,494 and $66,054,983, respectively)
(including repurchase agreements of $28,145,000 for the U.S. Government Money
Fund)............................................................................ $56,095,494 $66,054,983
Cash................................................................................ 1,403,953 647
Receivable for capital stock sold................................................... 29,713 20,882
Interest receivable................................................................. 466,144 441,231
Deferred organization costs (Note A)................................................ 39,867 39,867
----------- -------------
Total assets........................................................................ 58,035,171 66,557,610
----------- -------------
LIABILITIES:
Payable to investment advisor....................................................... 53,198 49,202
Payable to distributor.............................................................. 10,728 11,623
Dividends payable................................................................... 54,533 90,041
Accrued expenses and other liabilities.............................................. 81,110 96,288
----------- -------------
Total liabilities................................................................... 199,569 247,154
----------- -------------
NET ASSETS............................................................................ $57,835,602 $66,310,456
----------- -------------
----------- -------------
NET ASSETS CONSIST OF:
Capital paid-in..................................................................... $57,835,602 $66,308,999
Accumulated net realized gain on investments........................................ -- 1,457
----------- -------------
$57,835,602 $66,310,456
----------- -------------
----------- -------------
Shares outstanding.................................................................. 57,835,602 66,308,999
----------- -------------
----------- -------------
Net asset value and redemption value per share...................................... $1.00 $1.00
</TABLE>
STATEMENT OF OPERATIONS for the period ended April 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
---------- ---------------
<S> <C> <C>
INVESTMENT INCOME:
Interest............................................................................. $903,606 $ 1,472,408
---------- -------------
EXPENSES:
Investment advisory fees (Note B).................................................... 114,482 117,866
Distribution fees (Note B)........................................................... 71,552 73,666
Registration fees.................................................................... 30,900 33,500
Transfer agent fees.................................................................. 14,400 16,700
Custodian fees....................................................................... 23,900 30,700
Auditing fees........................................................................ 11,000 12,500
Printing fees........................................................................ 9,000 11,500
Trustees' fees (Note B).............................................................. 5,000 3,500
Legal fees........................................................................... 10,000 12,500
Miscellaneous........................................................................ 15,160 19,425
Amortization of organization costs (Note A).......................................... 7,007 7,007
---------- -------------
Total expenses.................................................................... 312,401 338,864
Less expenses reimbursed by investment advisor (Note B)........................... (54,815) (73,666)
---------- -------------
Net expenses...................................................................... 257,586 265,198
---------- -------------
NET INVESTMENT INCOME.................................................................. 646,020 1,207,210
---------- -------------
NET REALIZED GAIN ON INVESTMENTS....................................................... -- 178
---------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS................................................. $646,020 $ 1,207,388
---------- -------------
---------- -------------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
-------------------------- --------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
04/30/99'D' 10/31/98 04/30/99'D' 10/31/98
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income...................................... $ 646,020 $ 1,652,952 $ 1,207,210 $ 1,998,168
Net realized gain on investments........................... -- -- 178 1,289
----------- ----------- ----------- -----------
Increase in net assets from operations..................... 646,020 1,652,952 1,207,388 1,999,457
----------- ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income.......................................... (646,020) (1,652,952) (1,207,210) (1,998,168)
----------- ----------- ----------- -----------
CAPITAL STOCK TRANSACTIONS -- (NET) Note C................... 57,839 19,096,408 9,613,316 21,521,599
----------- ----------- ----------- -----------
Total increase in net assets............................... 57,839 19,096,408 9,613,494 21,522,888
NET ASSETS:
Beginning of period........................................ 57,777,763 38,681,355 56,696,962 35,174,074
----------- ----------- ----------- -----------
End of period.............................................. $57,835,602 $57,777,763 $66,310,456 $56,696,962
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
'D' Unaudited
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS April 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
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
<PAGE>
DLJ WINTHROP MONEY FUNDS -- NOTES TO FINANCIAL STATEMENTS April 30, 1999
(continued)
- --------------------------------------------------------------------------------
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 April 30, 1998 was substantially the same as the cost of securities
for financial statement purposes.
(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.
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 The Equitable Companies, Incorporated, a holding company
controlled by AXA-UAP ('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.
Through October 31, 1999, the Advisor has agreed to a contractual expense
limitation to reduce its management fees or reimburse operating expenses by the
amount that total fund operating expenses exceed 0.90% of the average daily net
assets of each Fund. After October 31, 1999, the Advisor may, in its sole
discretion, determine to discontinue this practice with respect to either Fund.
As a result of the assumption of expenses, the Municipal Money Fund and U.S.
Government Money Fund were reimbursed $54,815 and $73,666, respectively, during
the six months ended April 30, 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.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- NOTES TO FINANCIAL STATEMENTS April 30, 1999
(continued)
- --------------------------------------------------------------------------------
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
------------------------------------ ------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, YEAR ENDED APRIL 30, YEAR ENDED
1999'D' OCTOBER 31, 1998 1999'D' OCTOBER 31, 1998
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold............................... $ 178,202,394 $ 334,233,077 $ 135,587,288 $ 211,453,991
Shares issued through reinvestment of
dividends............................... 653,906 1,635,577 1,214,939 1,942,413
---------------- ---------------- ---------------- ----------------
178,856,300 335,868,654 136,802,227 213,396,404
---------------- ---------------- ---------------- ----------------
Shares redeemed........................... (178,798,461) (316,772,246) (127,188,911) (191,874,805)
---------------- ---------------- ---------------- ----------------
Net increase.............................. $ 57,839 $ 19,096,408 $ 9,613,316 $ 21,521,599
---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ----------------
</TABLE>
'D' Unaudited
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 U.S. GOVERNMENT MONEY FUND
------------------------------------------------------------- ----------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED PERIOD ENDED ENDED YEAR ENDED
APRIL 30, 1999* OCTOBER 31, 1998 OCTOBER 31, 1997'D' APRIL 30, 1999* OCTOBER 31, 1998
---------------- ---------------- ------------------------ ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of
period.............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment
income.............. 0.011 0.027 0.020 0.020 0.047
Dividends from net
investment income... (0.011) (0.027) (0.020) (0.020) (0.047)
------- ------- ------- ------- -------
Net asset value, end
of period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
------- ------- ------- ------- -------
Total return'D'D'..... 3.63%(1) 2.72% 2.90%(1) 3.42%(1) 4.79%
Ratio of expenses to
average net
assets(2)........... 0.90%(1) 0.90% 0.90%(1) 0.90%(1) 0.90%
Ratio of net
investment income to
average net
assets(2)........... 2.27%(1) 2.68% 2.87%(1) 4.14%(1) 4.72%
Net assets, end of
period (000's
omitted)............ $ 57,836 $ 57,778 $ 38,681 $ 66,310 $ 56,697
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY FUND
---------------------------
PERIOD ENDED
OCTOBER 31, 1997'D'
------------------------
<S> <C>
Net asset value,
beginning of
period.............. $ 1.00
Net investment
income.............. 0.032
Dividends from net
investment income... (0.032)
-------
Net asset value, end
of period........... $ 1.00
-------
-------
Total return'D'D'..... 4.68%(1)
Ratio of expenses to
average net
assets(2)........... 0.90%(1)
Ratio of net
investment income to
average net
assets(2)........... 4.65%(1)
Net assets, end of
period (000's
omitted)............ $ 35,174
</TABLE>
* Unaudited
'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, .19%
(annualized) for the six months ended 04/30/99 and .15% and .40%
(annualized) for the periods ended 10/31/98 and 97, respectively; and U.S.
Government Money Fund, .25% (annualized) for the six months ended 04/30/99
and .25% and .45% (annualized) for the periods ended 10/31/98 and 97,
respectively.
STATEMENT OF DIFFERENCES
The dagger symbol shall be expressed as ......................'D'
The double dagger symbol shall be expressed as ...............'DD'
