<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL MONEY FUND
<TABLE>
<CAPTION>
PRINCIPAL
MUNICIPAL AMOUNT VALUE
OBLIGATIONS -- 94.5% ----------- -----------
<S> <C> <C>
ALASKA -- 2.3%
City of Valdez, AK Marine CP Arco
Transmission Project
(LOC: Atlantic Richfield Co.)
3.950%, 05/11/00.................. $ 1,000,000 $ 1,000,000
City of Valdez, AK Marine Air
Terminal (LOC: Exxon Corp.) VRDN
6.050%'D'......................... 200,000 200,000
-----------
1,200,000
-----------
ARIZONA -- 0.6%
Maricopa County, AZ PCR
(LOC: Morgan Guaranty Trust Co.)
VRDN 6.050%'D'.................... 300,000 300,000
-----------
COLORADO -- 3.9%
City & County of Denver, CO Airport
System CP
(LOC: Bayerische Landesbank)
3.850%, 05/10/00.................. 2,000,000 2,000,000
-----------
FLORIDA -- 6.8%
Florida Local Government Financial
Commission CP
(LOC: First Union National Bank of
Florida)
3.750%, 05/18/00.................. 1,000,000 1,000,000
4.000%, 06/12/00.................. 1,540,000 1,540,000
Gulf Coast University, FL
(LOC: First Union National Bank of
Florida) VRDN 5.350%'D'........... 1,000,000 1,000,000
-----------
3,540,000
-----------
IDAHO -- 1.9%
Idaho State TANS
4.250%, 06/30/00.................. 1,000,000 1,001,346
-----------
ILLINOIS -- 5.4%
Southwestern, IL Development
Authority SWDR (Wood River
Project)
(LOC: Shell Oil Co.) VRDN
6.200%............................ 2,800,000 2,800,000
-----------
INDIANA -- 0.2%
Indianapolis, IN Local Public
Improvement Ser. A
7.400%, 01/01/20 (prerefunded
07/01/00)(a)...................... 100,000 102,631
-----------
KENTUCKY -- 6.6%
Kentucky State Turnpike Authority
7.250%, 05/15/00.................. 1,035,000 1,051,826
Louisville & Jefferson County, KY
Airport Authority
(LOC: UPS, Inc.)
VRDN 6.100%'D''DD'................ 1,600,000 1,600,000
VRDN 5.750%'D''DD'................ 800,000 800,000
-----------
3,451,826
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- -----------
<S> <C> <C>
LOUISIANA -- 2.1%
Calcasieu Parish, LA Public Trust
Authority SWDR
(WPT Corp. Project) (LOC: Morgan
Guaranty Trust Co.) VRDN
5.200%'D''DD'..................... $ 100,000 $ 100,000
Lake Charles Harbor & Terminal
Distribution Port
Revenue (LOC: Credit Local de
France) VRDN 5.200%'D''DD'........ 1,000,000 1,000,000
-----------
1,100,000
-----------
MARYLAND -- 3.0%
Baltimore County, MD PCR CP (LOC:
Westdeutsche Landesbank) 4.050%,
06/09/00.......................... 1,000,000 1,000,000
Prince Georges County, MD SWMS
7.000%, 06/30/08 (prerefunded
06/30/00)(a)...................... 570,000 584,409
-----------
1,584,409
-----------
MICHIGAN -- 13.3%
Detroit, MI Water Supply System
(LIQ: FGIC) VRDN 5.050%'D'........ 800,000 800,000
Michigan State HDA (Laurel Valley)
(LOC: Bank One Co.) VRDN
5.000%'D'......................... 2,800,000 2,800,000
Michigan State HDA (Harbortown,
Ltd.) (LOC: Bankers Trust Co.)
VRDN 5.225%'D'.................... 1,000,000 1,000,000
Michigan State HDA (Pine Ridge)
(LOC: Wachovia Bank) VRDN
5.000%'D'......................... 1,300,000 1,300,000
Michigan State Strategic PCR (LOC:
AMBAC) 6.050%, 04/15/18........... 1,000,000 1,000,000
-----------
6,900,000
-----------
NEBRASKA -- 2.9%
Nebraska Higher Education Loan
Program Ser. C (LOC: SLMA) VRDN
5.100%'D''DD'..................... 1,500,000 1,500,000
-----------
NEVADA -- 5.9%
Clark County, NV School District
7.650%, 05/01/10.................. 1,850,000 1,887,000
Washoe County, NV Water Facility
Revenue (Sierra Pacific Power Co.
Project) (LOC: Union Bank of
Switzerland AG) VRDN
6.250%'D''DD'..................... 1,200,000 1,200,000
-----------
3,087,000
-----------
NEW YORK -- 0.2%
New York, NY Medical Care Facilities
Financial Agency
7.875%, 08/15/20.................. 100,000 103,128
-----------
NORTH CAROLINA -- 2.5%
Winston-Salem, NC CP (LOC: Wachovia
Bank & Trust)
4.000%, 07/13/00.................. 1,300,000 1,300,000
-----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS April 30, 2000 (continued)
--------------------------------------------------------------------------------
DLJ WINTHROP MUNICIPAL MONEY FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- -----------
<S> <C> <C>
OHIO -- 1.9%
Ohio State Air Quality Development
Authority (LOC: Societe Generale)
VRDN 5.050%'D''DD'................ $ 1,000,000 $ 1,000,000
-----------
PENNSYLVANIA -- 0.7%
Pennsylvania State Higher
Educational Facilities Authority
7.25%, 05/01/10................... 350,000 350,000
-----------
SOUTH CAROLINA -- 3.8%
Berkeley County, SC IDR (LOC: Nucor
Corp.) VRDN 5.150%'D''DD'......... 1,000,000 2,000,000
-----------
TEXAS -- 17.9%
Austin, TX Utility System
6.000%, 05/15/10.................. 2,000,000 2,001,443
Gulf Coast Waste Disposal Authority
of Texas (Amoco Oil Company
Project) (LOC: Amoco Corp.) VRDN
6.200%'D''DD'..................... 2,900,000 2,900,000
Lower Neches Valley Authority (Mobil
Oil Refining Corp. Project) (LOC:
Mobil Oil Corp.) VRDN
6.100%'D''DD'..................... 1,000,000 1,000,000
Texas State TRANS Ser. A
4.500%, 08/31/00.................. 2,300,000 2,305,927
Trinity River Authority, TX PCR
(Texas Utilities Electric Company
Project) (LOC: AMBAC) VRDN
6.250%'D''DD'..................... 1,100,000 1,100,000
-----------
9,307,370
-----------
WASHINGTON -- 2.0%
Washington State Public Power Supply
7.000%, 07/01/12.................. 1,000,000 1,024,932
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------- -----------
<S> <C> <C>
WISCONSIN -- 10.6%
Carlton, WI PCR (LOC: Wisconsin
Power & Light Co.) VRDN
5.150%'D''DD'.................... $ 2,500,000 $ 2,500,000
Wisconsin State Health and
Educational Facility
7.000%, 06/01/20 (prerefunded
06/01/00)(a)..................... 1,000,000 1,022,256
Wisconsin State Transportation
Revenue CP (LOC: Westdeutsche
Landesbank) 4.500%,
05/05/00'D''DD'.................. 2,000,000 2,000,000
-----------
5,522,256
-----------
TOTAL MUNICIPAL OBLIGATIONS
(amortized cost $49,174,898)...... 49,174,898
-----------
<S> <C> <C>
<CAPTION>
REGISTERED INVESTMENT
COMPANIES -- 4.8%
(amortized cost $2,500,310)
SHARES
-----------
Federated Tax-Free Obligations
<S> <C> <C>
Fund.............................. 2,500,310 2,500,310
-----------
TOTAL INVESTMENTS -- 99.3%
(amortized cost $51,675,208)........ 51,675,208
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.7%.......... 343,229
-----------
NET ASSETS -- 100.0%................. $52,018,437
===========
</TABLE>
'DD' Subject to Alternative Minimum Tax.
'D' Securities payable on demand. Rate shown is rate in effect at April 30,
2000. 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
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF INVESTMENTS April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
DLJ WINTHROP U.S. GOVERNMENT MONEY FUND
<TABLE>
<CAPTION>
U.S. GOVERNMENT PRINCIPAL
AGENCIES -- 64.3% AMOUNT VALUE
------------ -----------
<S> <C> <C>
Federal Farm Credit Bank
5.650%, 12/29/00............ $ 1,000,000 $ 994,671
Federal Home Loan Bank
5.670%, 06/12/00............ 1,240,000 1,239,357
5.415%, 06/14/00............ 100,000 99,912
5.480%, 06/21/00............ 1,000,000 1,000,023
6.040%, 06/21/00............ 2,000,000 1,999,867
5.500%, 07/14/00............ 2,685,000 2,682,590
5.000%, 09/20/00............ 1,000,000 994,007
6.500%, 01/26/01............ 1,000,000 1,000,000
Federal Home Loan Bank
Discount Notes
5.965%*, 05/01/00........... 4,000,000 4,000,000
6.135%*, 06/30/00........... 1,156,000 1,144,478
6.082%*, 10/12/00........... 5,000,000 5,000,000
Federal Home Loan
Mortgage Corp.
6.016%, 05/23/00............ 5,000,000 4,981,957
5.550%, 07/14/00............ 1,000,000 1,000,004
Federal National Mortgage
Association
5.120%, 05/12/00............ 2,500,000 2,499,345
6.410%, 05/22/00............ 100,000 100,040
8.900%, 06/12/00............ 4,700,000 4,714,918
6.570%, 02/22/01............ 1,000,000 999,609
Federal National Mortgage
Association Discount Notes
5.487%*, 06/09/00........... 1,000,000 994,367
6.166%*, 06/29/00........... 2,500,000 2,475,376
-----------
TOTAL U.S. GOVERNMENT AGENCIES
(amortized cost
$37,920,521)................ 37,920,521
-----------
<CAPTION>
REPURCHASE PRINCIPAL
AGREEMENTS -- 35.3% AMOUNT VALUE
------------ -----------
<S> <C> <C>
J.P. Morgan & Co., Inc.
5.800%, dated 04/28/00 due
05/01/00 in the amount of
$10,854,244 (fully
collateralized by $8,791,000
U.S. Treasury Bonds 8.500%,
02/15/20, value
$11,066,152)................ $ 10,849,000 $10,849,000
Morgan Stanley Dean Witter &
Co., Inc. 5.910%, dated
04/25/00 due 05/02/00 in the
amount of $10,011,492 (fully
collateralized by
$11,781,900 U.S. Government
Agency Securities, 6.500%,
due 05/01/13 - 09/01/29,
value $10,203,529).......... 10,000,000 10,000,000
-----------
TOTAL REPURCHASE AGREEMENTS
(amortized cost
$20,849,000)................ 20,849,000
-----------
TOTAL INVESTMENTS -- 99.6%
(amortized cost
$58,769,521)................ 58,769,521
-----------
CASH AND OTHER ASSETS
NET OF
LIABILITIES -- 0.4%......... 235,794
-----------
NET ASSETS -- 100.0%........ $59,005,315
===========
</TABLE>
* Securities purchased on a discount basis. The rate shown represents the
annualized yield to maturity at the time of purchase
See notes to financial statements.
<PAGE>
DLJ WINTHROP MONEY FUNDS -- STATEMENT OF ASSETS AND LIABILITIES April 30, 2000
(unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
---------- ----------
<S> <C> <C>
ASSETS:
Investments in securities, at value (cost $51,675,208 and
$58,769,521, respectively) (including repurchase
agreements of $20,849,000 for the U.S. Government
Money Fund)............................................. $51,675,208 $58,769,521
Cash...................................................... -- 504
Interest receivable....................................... 485,632 462,176
Deferred organization costs (Note A)...................... 25,700 25,700
----------- -----------
Total assets.............................................. 52,186,540 59,257,901
----------- -----------
LIABILITIES:
Payable to advisor........................................ 47,289 37,411
Payable to distributor.................................... 11,197 12,679
Dividends payable......................................... 62,432 109,469
Accrued expenses and other liabilities.................... 47,185 93,027
----------- -----------
Total liabilities......................................... 168,103 252,586
----------- -----------
NET ASSETS.................................................. $52,018,437 $59,005,315
=========== ===========
NET ASSETS CONSIST OF:
Capital paid-in........................................... $52,018,368 $59,002,383
Undistributed net investment income....................... 71 3,626
Accumulated net realized loss on investments.............. (2) (694)
----------- -----------
$52,018,437 $59,005,315
=========== ===========
Shares outstanding........................................ 52,018,368 59,004,730
=========== ===========
Net asset value and redemption value per share............ $1.00 $1.00
===== =====
</TABLE>
STATEMENT OF OPERATIONS for the six months ended April 30, 2000 (unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL U.S. GOVERNMENT
MONEY FUND MONEY FUND
---------- ----------
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $992,112 $1,893,602
-------- ----------
EXPENSES:
Investment advisory fees (Note B)......................... 105,921 130,329
Distribution fees (Note B)................................ 66,200 81,456
Registration fees......................................... 20,000 27,000
Transfer agent fees....................................... 14,000 20,000
Custodian fees............................................ 22,500 22,000
Auditing fees............................................. 9,000 14,000
Printing fees............................................. 6,000 8,000
Trustees' fees (Note B)................................... 4,000 5,000
Legal fees................................................ 14,000 15,000
Miscellaneous............................................. 4,591 5,958
Amortization of organization costs (Note A)............... 7,045 7,045
-------- ----------
Total expenses.......................................... 273,257 335,788
Less expenses reimbursed by advisor (Note B)............ (34,936) (42,548)
-------- ----------
Net expenses............................................ 238,321 293,240
-------- ----------
NET INVESTMENT INCOME....................................... 753,791 1,600,362
-------- ----------
NET REALIZED GAIN (LOSS) ON INVESTMENTS..................... (2) 93
-------- ----------
INCREASE IN NET ASSETS FROM OPERATIONS...................... $753,789 $1,600,455
======== ==========
</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
------------------------------ ------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
04/30/00'D' 10/31/99 04/30/00'D' 10/31/99
---------------- ----------- ---------------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income............................ $ 753,791 $ 1,242,526 $ 1,600,362 $ 2,453,191
Net realized gain (loss) on investments.......... (2) 71 93 (787)
----------- ----------- ----------- -----------
Increase in net assets from operations........... 753,789 1,242,597 1,600,455 2,452,404
----------- ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income................................ (753,791) (1,242,526) (1,600,362) (2,453,191)
----------- ----------- ----------- -----------
CAPITAL STOCK TRANSACTIONS -- (NET) (Note C)...... 7,671,551 (13,430,946) (871,972) 3,181,019
----------- ----------- ----------- -----------
Total increase (decrease) in net assets.......... 7,671,549 (13,430,875) (871,879) 3,180,232
NET ASSETS:
Beginning of period.............................. 44,346,888 57,777,763 59,877,194 56,696,962
----------- ----------- ----------- -----------
End of period.................................... $52,018,437 $44,346,888 $59,005,315 $59,877,194
=========== =========== =========== ===========
</TABLE>
'D'Unaudited
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS April 30, 2000 (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 interest at all times. If the value of the underlying
securities falls below the value of the repurchase price
<PAGE>
NOTES TO FINANCIAL STATEMENTS April 30, 2000 (continued)
--------------------------------------------------------------------------------
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, 2000 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: The Funds will reimburse the Advisor for
costs incurred in connection with their organization. The costs were amortized
on a straight-line basis over sixty months commencing February 24, 1997.
NOTE (B) ADVISORY AND DISTRIBUTION SERVICES AGREEMENT: DLJ Asset Management
Group (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.
The Advisor has undertaken, in writing, to limit total expenses to 0.90% of the
average daily net assets of each Fund. This arrangement will remain in place at
least until October 31, 2000 as long as the Advisor continues to act as advisor
to the Funds and may be extended thereafter at the discretion of the Advisor and
may only be terminated by the Board of Trustees. As a result of the limitation
of expenses, the Advisor reimbursed the Municipal Money Fund and the U.S.
Government Money Fund $34,936 and $42,548, respectively, during the six months
ended April 30, 2000.
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.
Effective May 16, 2000, each Trustee who is not an affiliated person will be
paid a fee of $1,500 for each board meeting attended, a $500 fee for each
special meeting attended, a $250 fee for each audit committee meeting and an
annual retainer of $500. Prior to May 16, 2000, each Trustee who is not an
affiliated person received an attendance fee of $2,000 per board meeting and 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>
NOTES TO FINANCIAL STATEMENTS April 30, 2000 (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 YEAR ENDED SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2000'D' OCTOBER 31, 1999 APRIL 30, 2000'D' OCTOBER 31, 1999
----------------- ---------------- ----------------- ----------------
<S> <C> <C> <C> <C>
Shares sold....................................... $ 221,659,097 $ 326,607,226 $ 204,245,888 $ 301,133,167
Shares issued through reinvestment of dividends... 675,190 1,240,945 1,441,198 2,370,091
------------- ------------- ------------- -------------
222,334,287 327,848,171 205,687,086 303,503,258
------------- ------------- ------------- -------------
Shares redeemed................................... (214,662,736) (341,279,117) (206,559,058) (300,322,239)
------------- ------------- ------------- -------------
Net increase (decrease)........................... $ 7,671,551 $ (13,430,946) $ (871,972) $ 3,181,019
============= ============= ============= =============
</TABLE>
'D' Unaudited
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
The table below sets forth financial data for a share of beneficial interest
outstanding throughout each period presented. This information has been derived
from information provided in the financial statements.
<TABLE>
<CAPTION>
MUNICIPAL MONEY FUND
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
APRIL 30, 2000* OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1997'D'
--------------- ---------------- ---------------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of
period.............. $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment
income.............. 0.014 0.023 0.027 0.020
Dividends from net
investment income... (0.014) (0.023) (0.027) (0.020)
------- ------- ------- -------
Net asset value, end
of period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= =======
Total return'DD'..... 2.88%(1) 2.37% 1.96% 2.90%(1)
Ratio of expenses to
average net
assets(2)........... 0.90%(1) 0.90% 0.90% 0.90%(1)
Ratio of net
investment income to
average net assets
(2)................. 2.85%(1) 2.33% 2.68% 2.87%(1)
Net assets, end of
period (000's
omitted)............ $52,018 $44,347 $57,778 $38,681
<CAPTION>
U.S. GOVERNMENT MONEY FUND
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
APRIL 30, 2000* OCTOBER 31, 1999 OCTOBER 31, 1998 OCTOBER 31, 1997'D'
--------------- ---------------- ---------------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of
period.............. $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment
income.............. 0.024 0.042 0.047 0.032
Dividends from net
investment income... (0.024) (0.042) (0.047) (0.032)
------- ------- ------- -------
Net asset value, end
of period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= =======
Total return'DD'..... 4.97%(1) 4.26% 3.42% 4.68%(1)
Ratio of expenses to
average net
assets(2)........... 0.90%(1) 0.90% 0.90% 0.90%(1)
Ratio of net
investment income to
average net assets
(2)................. 4.91%(1) 4.19% 4.68% 4.65%(1)
Net assets, end of
period (000's
omitted)............ $59,005 $59,877 $56,697 $35,174
</TABLE>
* Unaudited
'D' Commencement of operations was February 24, 1997.
'DD' 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, .13%
(annualized) for the six months ended 04/30/00, .14%, .15% and .40%
(annualized) for the periods ended 10/31/99, 98 and 97, respectively; and
U.S. Government Money Fund, .13% (annualized) for the six months ended
04/30/00, .19%, .25% and .45% (annualized) for the periods ended 10/31/99,
98 and 97, respectively.
<PAGE>
TRUSTEES
G. Moffett Cochran
Robert E. Fischer
Martin Jaffe
Wilmot H. Kidd, III
John W. Waller, III
OFFICERS
G. Moffett Cochran, Chairman and President
Martin Jaffe, Vice President, Secretary and Treasurer
Brian A. Kammerer, Vice President
Michael A. Snyder, Vice President
INVESTMENT ADVISER
DLJ Asset Management Group, Inc.
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
Sullivan & Cromwell
125 Broad Street, New York, NY 10004
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.
[GRAPHIC]
277 Park Avenue, New York, NY 10172
800-225-8011
SEMI-ANNUAL-MONEY00
Semi-Annual Report
[GRAPHIC]
Leadership through
Experience
DLJ Winthrop
Municipal Money Fund
DLJ Winthrop
U.S. Government
Money Fund
April 30, 2000
STATEMENT OF DIFFERENCES
------------------------
The dagger symbol shall be expressed as................................'D'
The double dagger symbol shall be expressed as.........................'DD'
