<PAGE> 1
[GRAPHIC]
AMBAC TREASURERS TRUST
U.S.TREASURY MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
[LOGO]
SEMI ANNUAL REPORT
FOR THE PERIOD ENDED APRIL 30, 1996
<PAGE> 2
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U. S. TREASURY MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
APRIL 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
--------- --------
<S> <C>
U.S. GOVERNMENT OBLIGATION - 40.13%
U.S. TREASURY BILL - 40.13%
$9,254,000 4.80%, 05/02/96 ................................... $ 9,252,766
-------------
TOTAL U.S. GOVERNMENT OBLIGATION
(Cost $9,252,766) ................................. 9,252,766
-------------
REPURCHASE AGREEMENTS - 29.94%
1,150,000 J P Morgan
5.30%, 05/01/96, Dated 04/30/96
Repurchase Price $1,150,169
(Collateralized by U.S. Treasury Note 6.00%,
Due 11/30/97
Total Par Value $1,143,000;
Market Value $1,173,004) .......................... 1,150,000
5,753,000 Barclays Bank
5.31%, 05/1/96, Dated 04/30/96
Repurchase Price $5,753,849
(Collateralized by U.S. Treasury Note 7.25%,
Due 08/31/96
Total Par Value $5,770,000;
Market Value $5,870,975) .......................... 5,753,000
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,903,000) ................................. 6,903,000
-------------
TOTAL INVESTMENTS - 70.07%
(Cost $16,155,766)** ...................................................... 16,155,766
-------------
NET OTHER ASSETS AND LIABILITIES - 29.93% ................................. 6,899,170
-------------
NET ASSETS - 100.00% ...................................................... $ 23,054,936
=============
</TABLE>
- --------------------
** Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
1
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U. S. Government Money Market Fund
PORTFOLIO OF INVESTMENTS
April 30, 1996 (unaudited)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
--------- --------
<S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 75.05%
FEDERAL HOME LOAN MORTGAGE CORP. - 27.92%
$5,000,000 5.30%, 05/01/96* .................................... $ 5,000,000
2,000,000 5.19%, 05/13/96* .................................... 1,996,547
-------------
6,996,547
-------------
FEDERAL HOME LOAN BANK - 19.12%
4,790,000 5.30%, 05/01/96* .................................... 4,790,000
-------------
FEDERAL FARM CREDIT BANK - 14.04%
3,520,000 5.17%, 05/03/96* .................................... 3,518,989
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 13.97%
3,500,000 5.16%, 05/03/96* .................................... 3,498,999
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $18,804,535) .................................. 18,804,535
-------------
REPURCHASE AGREEMENT - 24.95%
6,253,000 Barclays Bank
5.33%, 05/01/96, Dated 04/30/96
Repurchase Price $6,253,926
(Collateralized by Student Loan
Marketing Association,
Series 3TB, Due 09/23/96
Total Par Value $6,350,000;
Market Value $6,378,060) ............................ 6,253,000
-------------
TOTAL REPURCHASE AGREEMENT
(Cost $6,253,000) ................................... 6,253,000
-------------
TOTAL INVESTMENTS - 100.00%
(Cost $25,057,535)** ..................................................... 25,057,535
-------------
NET OTHER ASSETS AND LIABILITIES - (0.00)% 150
-------------
NET ASSETS - 100.00% ...................................................... $ 25,057,685
=============
</TABLE>
- --------------------
* Annualized yield at time of purchase.
** Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
2
<PAGE> 4
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STATEMENTS OF ASSETS AND LIABILITIES
April 30, 1996 (unaudited)
<TABLE>
<CAPTION>
U. S. TREASURY U. S. GOVERNMENT
MONEY MARKET FUND MONEY MARKET FUND
----------------- -----------------
<S> <C> <C>
ASSETS:
Investments (Note 2):
Investments at value ........................ $ 9,252,766 $18,804,535
Repurchase agreements ....................... 6,903,000 6,253,000
----------- -----------
Total investments at value ............. 16,155,766 25,057,535
Cash ................................................. 347 182
Interest receivable .................................. 1,018 926
Receivable for investments sold ...................... 6,899,070 --
Receivable from investment adviser ................... 15,671 14,083
Deferred organizational expense (Note 2) ............. 68,027 68,027
Prepaid expenses ..................................... 12,093 12,093
----------- -----------
Total Assets ................................ $23,151,992 $25,152,846
----------- -----------
LIABILITIES:
Dividends payable ............................... 383 --
Advisory fee payable (Note 3) ................... 88 98
Accrued organizational cost (Note 2) ............ 80,311 80,311
Payable to FDISG (Note 3) ....................... 11,136 11,423
Trustees' fees and expenses payable (Note 3) .... 191 191
Accrued expenses and other payables ............. 4,947 3,138
----------- -----------
Total Liabilities ........................... 97,056 95,161
----------- -----------
NET ASSETS .......................................... $23,054,936 $25,057,685
=========== ===========
NET ASSETS CONSIST OF:
Par value (Note 5) .............................. $ 23,055 $ 25,058
Paid-in capital in excess of par value .......... 23,031,868 25,032,627
Accumulated net realized gain on investments sold 13 --
----------- -----------
TOTAL NET ASSETS ..................................... $23,054,936 $25,057,685
=========== ===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING ............ 23,054,923 25,057,685
NET ASSET VALUE,
offering and redemption price per share
(Net Assets / Shares Outstanding) ............... $ 1.00 $ 1.00
=========== ===========
</TABLE>
See Notes to Financial Statements.
3
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STATEMENTS OF OPERATIONS
For the period ended
April 30, 1996 (unaudited)
<TABLE>
<CAPTION>
U. S. TREASURY U. S. GOVERNMENT
MONEY MARKET FUND* MONEY MARKET FUND*
------------------ ------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest (Note 2) .............................. $ 22,853 $ 25,308
-------- --------
EXPENSES:
Investment advisory fees (Note 3) .............. 661 718
Administration fees (Note 3) ................... 4,918 4,918
Custodian fees ................................. 2,459 738
Fund accounting fees (Note 3) .................. 3,279 3,279
Legal fees (Note 3) ............................ 306 306
Audit fees ..................................... 230 230
Transfer agent fees (Note 3) ................... 2,939 3,226
Trustees' fees and expenses (Note 3) ........... 191 191
Amortization of organization costs (Note 2) .... 191 191
Reports to shareholders ........................ 717 698
Registration fees .............................. 659 660
Insurance ...................................... 250 200
Miscellaneous .................................. 325 306
-------- --------
Total Expenses ............................. 17,125 15,661
Less: Expense reimbursement/waiver (Note 4) (16,244) (14,703)
-------- --------
Total Expenses net of reimbursement/waiver . 881 958
-------- --------
NET INVESTMENT INCOME .............................. 21,972 24,350
-------- --------
NET REALIZED GAIN ON INVESTMENTS SOLD (NOTE 2) ..... 13 --
-------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 21,985 $ 24,350
======== ========
</TABLE>
-------------------------------------------
* The Funds commenced operations on April 24, 1996.
See Notes to Financial Statements.
4
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<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
For the period ended April 30, 1996
(unaudited)
<CAPTION>
U. S. TREASURY U. S. GOVERNMENT
MONEY MARKET FUND* MONEY MARKET FUND*
----------------- -----------------
<S> <C> <C>
NET ASSETS AT BEGINNING OF PERIOD ........................... $ -- $ --
------------ ------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income .................................. 21,972 24,350
Net realized gain on investments sold .................. 13 --
------------ ------------
Net increase in net assets resulting from operations 21,985 24,350
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income .................................. (21,972) (24,350)
------------ ------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares ...................... 23,033,335 25,033,335
Issued to shareholders in reinvestment of dividends .... 21,588 24,350
------------ ------------
Net increase from share transactions ............... 23,054,923 25,057,685
------------ ------------
Net increase in net assets .................... 23,054,936 25,057,685
------------ ------------
NET ASSETS AT END OF PERIOD ................................. $ 23,054,936 $ 25,057,685
============ ============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold ................................................... 23,033,335 25,033,335
Issued to shareholders in reinvestment of dividends .... 21,588 24,350
------------ ------------
Net increase in shares outstanding ................. 23,054,923 25,057,685
============ ============
- --------------
<FN>
* The Funds commenced operations on April 24, 1996.
</TABLE>
See Notes to Financial Statements.
5
<PAGE> 7
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<TABLE>
FINANCIAL HIGHLIGHTS
For a share outstanding throughout the period
<CAPTION>
U. S. TREASURY U. S. GOVERNMENT
MONEY MARKET FUND MONEY MARKET FUND
----------------- -----------------
PERIOD ENDED APRIL 30, 1996(1)
---------------------------------------
<S> <C> <C>
Net Asset Value, Beginning of period ...... $ 1.000 $ 1.000
----------- -----------
Income from Investment Operations:
Net investment income (A) ............ 0.001 0.001
----------- -----------
Less Dividends:
Dividends from net investment income . (0.001) (0.001)
----------- -----------
Net increase in net asset value ...... -- --
----------- -----------
Net Asset Value, End of period ........... $ 1.000 $ 1.000
=========== ===========
Total Return ............................. 0.09%** 0.10%**
=========== ===========
Ratios/Supplemental Data:
Net Assets, End of period (000's) ........ $ 23,055 $ 25,058
Ratios to average net assets:
Net investment income including waiver 4.99%* 5.09%*
Operating expenses including waiver .. 0.20%* 0.20%*
Operating expenses excluding waiver .. 3.89%* 3.27%*
- -----------------------
<FN>
* Annualized
** Not Annualized
(1) The Funds commenced operations on April 24, 1996.
(A) Net investment income per share before waiver of fees by the Investment
Adviser for the period ended April 30, 1996 for the U.S. Treasury Money
Market Fund and the U.S. Government Money Market Fund were $0.000, and
$0.000, respectively.
</TABLE>
See Notes to Financial Statements.
6
<PAGE> 8
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NOTES TO FINANCIAL STATEMENTS (unaudited)
1. ORGANIZATION
AMBAC Treasurers Trust (the "Trust") was organized on June 27, 1995, as a
Delaware business trust and is registered under the Investment Company Act of
1940, as amended, as an open-end management investment company. As of the date
of this report, the Trust offered two managed diversified investment portfolios.
The accompanying financial statements and financial highlights are those of
AMBAC U.S. Treasury Money Market Fund and AMBAC U.S. Government Money Market
Fund (individually, a "Fund," collectively, the "Funds").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies in conformity with
generally accepted accounting principles consistently followed by the Funds in
the preparation of the financial statements.
PORTFOLIO VALUATION: Securities in the Funds are valued utilizing the
amortized cost valuation method permitted in accordance with Rule 2a-7 under the
1940 Act. This method involves valuing a portfolio security initially at its
cost and thereafter assuming a constant amortization to maturity of any discount
or premium.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
accounted for on a trade date basis. Net realized gains or losses on sales of
securities are determined by the identified cost method. Interest income is
recorded on the accrual basis. Dividend income is recorded on the ex-dividend
date.
DIVIDENDS TO SHAREHOLDERS: Dividends from net investment income are
declared and accrued daily and paid monthly. Net realized capital gains, if any,
are distributed at least annually.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles.
FEDERAL INCOME TAXES: The Trust treats each Fund as a separate entity for
Federal income tax purposes. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Fund will not be subject to Federal
income taxes to the extent that it distributes substantially all of its taxable
or tax-exempt income, if any, for its tax year ending October 31. In addition,
by distributing in each calendar year substantially all of its net investment
income, capital gains, and certain other amounts, if any, each Fund will not be
subject to a Federal excise tax. Therefore, no Federal income tax provision is
required.
REPURCHASE AGREEMENTS: Each Fund may engage in repurchase agreement
transactions with institutions that the Trust's Investment Adviser has
determined are creditworthy pursuant to guidelines established by the Trust's
Board of Trustees. Each repurchase agreement transaction is recorded at cost.
Each Fund requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian (or sub-custodian) in a
manner that is intended to enable the Fund to obtain those securities in the
event of a counterparty default. The Investment Adviser monitors the value of
the securities, including accrued interest, daily to ensure that the value of
the collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon a Fund's ability to dispose of the underlying securities, and a possible
decline in the value of the underlying securities during the period while the
Fund seeks to assert its rights.
EXPENSES: The Trust accounts separately for the assets, liabilities and
operations of each Fund. Expenses directly attributable to a Fund are charged to
the Fund, while expenses which are attributable to more than one fund of the
Trust are allocated among the respective funds.
ORGANIZATION COSTS: Each Fund bears all costs in connection with its
organization, including the fees and expenses of registering and qualifying its
initial shares for distribution under Federal and state securities laws. All
such costs are amortized using the straight-line method over a period of five
years beginning with each Fund's commencement of operations. In the event that
any of the initial shares purchased by any shareholder of a Fund are redeemed
during the period of amortization of organization costs, the redemption proceeds
will be reduced by the pro-rata amount of unamortized organization costs based
on the number of initial shares being redeemed to the number of
7
<PAGE> 9
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NOTES TO FINANCIAL STATEMENTS (continued)
(unaudited)
initial shares outstanding at the time of the redemption. These costs were paid
by AMBAC Investment Manage-ment, Inc. and will be reimbursed by the respective
Funds.
3. INVESTMENT ADVISORY, ADMINISTRATION, AND OTHER FEES
The Trust and AMBAC Investment Management, Inc. (the "Adviser"), a
wholly-owned subsidiary of AMBAC Capital Corporation which, in turn, is a
wholly-owned subsidiary of AMBAC Inc. ("AMBAC"), are parties to an investment
advisory agreement under which the Adviser provides services for a fee, computed
daily and paid monthly, at the annual rates of 0.15% of the average daily net
assets with respect to AMBAC U.S. Treasury Money Market and AMBAC U.S.
Government Money Market Funds. The Adviser has voluntarily agreed to waive its
fee or absorb Fund expenses to the extent necessary to assure that the ordinary
operating expenses do not exceed 0.20% of the average daily net assets. The
Adviser reserves the right to modify or terminate at any time its agreements to
waive fees and absorb expenses.
The Trust and First Data Investor Services Group, Inc. ("FDISG"), a
wholly-owned subsidiary of First Data Corporation, are parties to an
administration agreement under which FDISG (the "Administrator") provides
services for a monthly fee calculated at an annual rate of 0.05% of the Fund's
average daily net assets on the first $500 million of net assets of the Trust,
0.04% on the next $500 million of net assets of the Trust and 0.03% on net
assets of the Trust in excess of $1 billion, subject to a minimum monthly fee
paid by the Trust to the Administrator of $10,000. In addition, FDISG also
provides certain fund accounting, custody administration and transfer agency
services pursuant to certain fee arrangements.
440 Financial Distributors, Inc. (the "Distributor"), a wholly-owned
subsidiary of FDISG and an indirect wholly-owned subsidiary of First Data
Corporation, acts as the exclusive distributor of the Trust's shares.
Certain officers of the Trust may be officers of the Administrator and/or
Distributor. Such officers receive no compensation from the Trust for serving in
their respective roles. Trustees who are not employees of the Adviser, or its
affiliated companies, are each paid an annual retainer of $5,000 and receive an
attendance fee of $750 for each meeting of the Board of Trustees they attend.
Members of the Audit Committee, of which each of the Independent Trustees is a
member, receive an attendance fee of $750 for each Audit Committee meeting they
attend. The Chairman of the Audit Committee receives an additional $1,000 annual
fee. Officers of the Trust receive no compensation from the Trust.
4. WAIVER OF FEES
The Adviser voluntarily agreed to waive its fees or absorb expenses so that
total expenses would not exceed certain expense limitations established for each
series. The Adviser, at its discretion, may revise or discontinue the voluntary
fee waivers. For the period ended April 30, 1996, the Adviser waived fees in the
amount of $16,244 for AMBAC U.S. Treasury Money Market Fund and $14,703 for
AMBAC U.S. Government Money Market Fund.
5. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an
unlimited number of shares of beneficial interest in the Funds, each with a par
value of $0.001.
6. SUBSEQUENT EVENT
As of May 8, 1996, the Adviser revised the voluntary waivers of ordinary
operating expenses of the AMBAC U. S. Treasury Money Market Fund to not exceed
0.28% of its average daily net assets. Concurrent with the revision to the
voluntary waiver, the Adviser lowered the minimum initial investment and has
provided investors in the Fund with the ability to redeem shares by writing
checks.
8
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See Notes to Financial Statements.
9
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See Notes to Financial Statements.
10
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4400 Computer Drive -------------------
Box 5108 | BULK RATE |
Westboro, MA 01581-5108 | U. S. POSTAGE |
| PAID |
| PERMIT NO. 54201|
| BOSTON, MA |
-------------------
<PAGE> 13
TRUSTEES
AND OFFICERS
W. Dayle Nattress
Trustee, President
and Chief Executive Officer
David E. A. Carson
Trustee
Donald W. Green
Trustee
C. Roderick O'Neil
Trustee
Thomas J. Gandolfo
Treasurer
Richard B. Gross
Secretary
Anne G. Gill
Assistant Secretary
Patricia L. Bickimer
Assistant Secretary
Gail A. Hanson
Assistant Secretary
Therese M. Hogan
Assistant Secretary
INVESTMENT ADVISER
AMBAC Investment
Management, Inc.
300 Nyala Farms Road
Westport, Connecticut 06880
ADMINISTRATOR AND TRANSFER AGENT
First Data Investor Services Group, Inc.
One Exchange Place
Boston, Massachusetts 02109
DISTRIBUTOR
440 Financial Distributors, Inc.
4400 Computer Drive
Westboro, Massachusetts 01581
CUSTODIAN
Bankers Trust Company
130 Liberty Street
New York, New York 10006
INDEPENDENT PUBLIC ACCOUNTANTS
KPMG Peat Marwick LLP
99 High Street
Boston, Massachusetts 02110
LEGAL COUNSEL
Cadwalader, Wickersham & Taft
100 Maiden Lane
New York, New York 10038
<PAGE> 14
This report is submitted for the general information of shareholders of AMBAC
Treasurers Trust. It is not authorized for distribution to prospective investors
unless accompanied or preceded by an effective prospectus for the Trust, which
contains more information concerning the Trust's investment policies, as well as
fees and expenses and other pertinent information. Read the prospectus carefully
before you invest.
An investment in the Funds is neither insured nor guaranteed by the U.S.
Government and there can be no assurance that the Funds will be able to maintain
a stable net asset value of $1.00 per share. Investment return and principal
value will vary as a result of market conditions or other factors so that shares
of the funds, when redeemed, may be worth more or less than their original cost.
An investment in the Funds involves investment risks, including the possible
loss of principal.
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This report was printed on recycled paper.
