-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, USH5l67Gns/JXicFSntWK6ecdpC4/rFaUvw/Iw+f0DCKBjw9751dWLax6secqH0H VgYZ2rN+p4mhftrbhRXN9Q== 0000891554-00-000649.txt : 20000309 0000891554-00-000649.hdr.sgml : 20000309 ACCESSION NUMBER: 0000891554-00-000649 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000308 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NVEST CASH MANAGEMENT TRUST CENTRAL INDEX KEY: 0000317947 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 046447044 STATE OF INCORPORATION: MA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-02819 FILM NUMBER: 563274 BUSINESS ADDRESS: STREET 1: 501 BOYLSTON ST CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 8002831155 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: NEW ENGLAND CASH MANAGEMENT TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: NEL CASH MANAGEMENT TRUST DATE OF NAME CHANGE: 19860901 N-30D 1 SEMIANNUAL SEMIANNUAL REPORT ================================================================================ [LOGO] Nvest Funds(SM) Where The Best Minds Meets (R) - -------------------------------------------------------------------------------- Nvest Money Market Funds Where The Best Minds Meet (R) - ----------------- December 31, 1999 - ----------------- ================================================================================ February 2000 - -------------------------------------------------------------------------------- [PHOTO] John T. Hailer President and Chief Executive Officer Nvest Funds "We expect 2000 to be a year of innovation, as we work on new investment options for you, our shareholders, and your financial advisers." After serving as Executive Vice President for Sales and Marketing since 1998, I became President of Nvest Funds late last year. Bruce Speca, my predecessor, has moved on to head up a new Internet venture affiliated with the parent company of our funds. It's especially exciting for me to be assuming my new responsibilities as we begin a new century and introduce a new identity for our fund family. We expect 2000 to be a year of innovation, as we work on new investment options for you, our shareholders, and your financial advisers. At the same time, our commitment to bringing you funds led by some of the Best Minds in the industry remains our core business principle. A new name, the same Best Minds On February 1, New England Funds became Nvest Funds. We chose this new name primarily to emphasize our affiliation with Nvest Companies, L.P., our corporate parent and a major financial organization with over $133 billion in assets under management (as of 12/31/99) through 18 affiliated companies. The companies that comprise Nvest represent a breadth of investment resources and experience that is difficult to match. As an Nvest affiliate, we call on an impressive roster of Best Minds to manage our funds. The recent addition of the Kobrick Funds to our fund family extends that tradition. 1999 in review Last year, the market focused on technology companies and large-capitalization growth stocks. Value-oriented equity investors are still waiting for a shift in investor sentiment, and bond investors felt the negative price impact of rising interest rates. The following pages discuss how your fund's managers addressed those challenges. Short-term results notwithstanding, I believe most investors would do well to own an array of investment types in a well thought-out asset allocation plan. I look forward to working with you and your financial adviser as you invest toward your personal goals. For our part, we are committed to supporting you with quality investment products and outstanding customer service. /s/ John T. Hailer - -------------------------------------------------------------------------------- NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE - -------------------------------------------------------------------------------- ================================================================================ Annualized Seven-Day Yields -- 12/31/99 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Class A,B & C Class Y Cash Management Trust -- Money Market Series 5.58% 5.17% - -------------------------------------------------------------------------------- Class A & B Tax Exempt Money Market Trust 3.67% -- - -------------------------------------------------------------------------------- Yields will fluctuate with changes in market conditions. The seven day money market yield reflects the Funds' current earnings more closely than total returns. Average Annual Total Returns -- 12/31/99 Cash Management Trust -- Money Market Series - -------------------------------------------------------------------------------- Class A (Inception 7/10/78) 6 Months 1 Year 5 Years 10 Years Net Asset Value(1) 2.36% 4.51% 4.88% 4.75% - -------------------------------------------------------------------------------- Class B (Inception 9/13/93) 6 Months 1 Year 5 Years Since Inception Net Asset Value(1) 2.36% 4.51% 4.88% 4.54% - -------------------------------------------------------------------------------- Class C (Inception 3/1/98) 6 Months 1 Year 5 Years Since Inception Net Asset Value(1) 2.36% 4.51% -- 4.70% - -------------------------------------------------------------------------------- Class Y (Inception 2/27/98) 6 Months 1 Year 5 Years Since Inception Net Asset Value(1) 2.29% 4.40% -- 4.63% - -------------------------------------------------------------------------------- Tax Exempt Money Market Trust - -------------------------------------------------------------------------------- Class A (Inception 4/21/83) 6 Months 1 Year 5 Years 10 Years Net Asset Value(1) 1.44% 2.77% 3.17% 3.25% - -------------------------------------------------------------------------------- Class B (Inception 9/13/93) 6 Months 1 Year 5 Years Since Inception Net Asset Value(1) 1.44% 2.77% 3.17% 3.05% - -------------------------------------------------------------------------------- (1) Investment results in this table represent annual returns including reinvestment of distributions. Figures quoted above represent past performance and are not a guarantee of future results. 1 NVEST MONEY MARKET FUNDS ================================================================================ Interview with Your Portfolio Manager - -------------------------------------------------------------------------------- Robust economic growth and rising interest rates were the main stories in the money markets in the second half of 1999. The strength of the economy was evidenced by solid retail and vehicle sales, a vibrant housing market and fervent industrial activity. In addition, employment and income posted solid growth throughout the year. The Federal Reserve Board, faced with this evidence demonstrating growth above the level at which inflation pressures are usually expected to surface, embarked on a steady program of tightening monetary policy by raising short-term interest rates. While most inflationary measures remained relatively benign, the Fed hoped to slow the economy just enough to soften growth and head off any chance that inflation would appear. To do so, the Fed raised key short-term interest rates a total of three times, in June just before the beginning of the period covered by this report, in August and again in November. As we closed 1999, the market's somewhat volatile performance belied two conflicting sentiments. On the one hand, there was comfort: We had reached a plateau when the Fed brought back rates to where they had been before the three rate cuts of 1998. On the other hand, growth remained strong enough to convince most market observers that the Fed would probably continue implementing rate hikes in the first part of the year 2000. Cash Management Trust [PHOTO] John Maloney Back Bay Advisors, L.P. Q. How did Cash Management Trust perform during the six months ending December 31, 1999? Cash Management Trust maintained a constant $1.00(1) share price throughout the period and was able to provide a total return of 2.36% (based on the net asset value of Class A shares) for the six months ending December 31, 1999. The Fund's return included the reinvestment of $0.0221 per share in income distributions during the past six months. As of December 31, 1999, Cash Management Trust's seven-day yield was 5.58%. 2 NVEST MONEY MARKET FUNDS ================================================================================ - -------------------------------------------------------------------------------- Q. What was your strategy? We extended the Fund's average maturity whenever market rates increased in order to take advantage of emerging attractive yields. The money market typically experiences year-end selling pressure, with corresponding increases in yields to attract buyers. As this transpired, we took the opportunity to pick up additional yield by investing more of the Fund's assets in securities maturing in the year 2000. Q. What is your outlook? The Federal Reserve Board has sent clear signals it remains concerned that continued strong economic growth could result in a build-up in inflationary pressures. As a result, we believe the Fed could raise rates again early in 2000. Therefore, we will look to invest in securities that will mature in the first quarter of 2000 with the intent of reinvesting those assets at higher rates if the Fed decides to continue to hike rates further. [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL] Portfolio Mix -- 12/31/99 Commericial Paper 72.3% Certicates of Deposit 25.5% Bankers Note & Other 2.2% Portfolio holdings and asset allocation will vary. (1) An investment in the Fund is not insured or guaranteed by the FDIC or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. 3 NVEST MONEY MARKET FUNDS ================================================================================ - -------------------------------------------------------------------------------- Tax Exempt Money Market Trust Q. How did Tax Exempt Money Market Trust perform during the six months that ended December 31, 1999? Tax Exempt Money Market Trust maintained its $1.00(1) share price throughout the period and was able to provide a total return of 1.44% (based on the net asset value of Class A shares) for the six months ending December 31, 1999. The Fund's return included the reinvestment of $0.0136 per share in income distributions over the past six months. As of December 31, 1999, the Fund's seven-day yield was 3.67%, which translates into a taxable equivalent yield of 6.07% for investors in the highest federal tax bracket of 39.6%.(2) Q. What was your strategy? Seasonal supply and demand factors affect the short-term tax-exempt market. In June most issuers come to market with new securities to meet their funding needs. At that time, we took the opportunity to purchase one-year, fixed-rate securities that enabled us to lock in attractive yields. In December, variable rate securities typically experience increases in yields because of mutual fund redemptions and increased pressure on securities dealers to eliminate inventory from their books by the end of the year. As a result, the Fund looked for yield opportunities in variable-rate securities toward the end of the year. Q. What is your outlook? Apparently, the Federal Reserve Board remains concerned that the economy is still growing at a rate that normally spurs inflation. Therefore, we expect to see additional Fed rate hikes early in 2000. We plan to take advantage of any and all rate increases, as well as the seasonal factors that reveal opportunities in our market. (1) An investment in the Fund is not insured or guaranteed by the FDIC or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. (2) A portion of income may be subject to state, federal and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax. The portfolio manager's commentary reflects the conditions and actions taken during the reporting period, which are subject to change. A shift in opinion many result in strategic and other portfolio changes. 4 CASH MANAGEMENT TRUST MONEY MARKET SERIES ================================================================================ Investments as of December 31, 1999 (unaudited) Investments--99.0% of Total Net Assets
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ BANK NOTE--1.2% $ 10,000,000 Travelers Insurance Co., 6.476%, 1/01/2000 (b) .................................. $ 10,000,000 ------------ Total Bank Note (Cost $10,000,000) .............................................. 10,000,000 ------------ CERTIFICATES OF DEPOSIT--22.7% 5,000,000 Deutsche Bank AG New York, 5.000%, 1/06/2000 .................................... 4,998,897 8,000,000 Toronto Dominion Bank, 4.990%, 1/07/2000 ........................................ 7,999,962 17,000,000 Commerzbank AG New York, 5.010%, 1/10/2000 ...................................... 16,999,823 6,200,000 Svenska Handelsbanken, 6.060%, 1/14/2000 ........................................ 6,199,192 10,000,000 Dresdner Bank AG, 6.120%, 1/19/2000 ............................................. 10,000,093 9,000,000 Royal Bank of Canada, 4.980%, 1/24/2000 ......................................... 8,994,767 5,000,000 Svenska Handelsbanken, 6.060%, 1/24/2000 ........................................ 5,000,190 9,000,000 Canadian Imperial Bank of Commerce, 5.000%, 1/27/2000 ........................... 8,996,866 3,000,000 Commerzbank AG New York, 4.975%, 2/01/2000 ...................................... 2,996,567 1,000,000 Deutsche Bank AG New York, 4.970%, 2/02/2000 .................................... 998,938 8,000,000 Canadian Imperial Bank of Commerce, 5.010%, 2/07/2000 ........................... 7,999,687 18,000,000 Deutsche Bank AG New York, 5.050%, 2/09/2000 .................................... 17,997,631 10,000,000 Toronto Dominion Bank, 5.050%, 2/14/2000 ........................................ 9,996,920 3,000,000 Commerzbank AG New York, 5.085%, 2/16/2000 ...................................... 2,999,872 10,000,000 Rabobank Nederland NV, 5.125%, 2/18/2000 ........................................ 9,999,900 2,000,000 Toronto Dominion Bank, 5.270%, 3/02/2000 ........................................ 1,999,637 8,000,000 Canadian Imperial Bank of Commerce, 5.270%, 3/03/2000 ........................... 8,000,719 3,000,000 Societe Generale, 6.000%, 3/14/2000 ............................................. 2,998,757 10,000,000 Bank of Montreal Chicago, 5.170%, 3/15/2000 ..................................... 9,999,414 10,000,000 Societe Generale, 5.200%, 3/15/2000 ............................................. 10,000,001 1,000,000 Commerzbank AG New York, 5.230%, 5/11/2000 ...................................... 999,926 5,000,000 Bank of Montreal Chicago, 5.200%, 5/12/2000 ..................................... 4,999,130 6,000,000 Commerzbank AG New York, 5.295%, 5/19/2000 ...................................... 5,998,792 5,000,000 UBS AG Stamford, 5.700%, 7/27/2000 .............................................. 4,998,635 15,000,000 UBS AG Stamford, 6.240%, 12/06/2000 ............................................. 14,992,012 ------------ Total Certificates of Deposit (Cost $187,166,328) ............................... 187,166,328 ------------ CERTIFICATES OF DEPOSIT (EURODOLLARS)--2.8% 20,000,000 Barclays Bank PLC, 5.030%, 1/04/2000 ............................................ 19,997,867 3,000,000 ABN Amro Bank NV London, 5.790%, 1/18/2000 ...................................... 2,999,759 ------------ Total Certificates of Deposit (Eurodollars) (Cost $22,997,626) .................. 22,997,626 ------------ COMMERCIAL PAPER--72.3% Agriculture--1.2% 5,000,000 Monsanto Co., 5.750%, 1/24/2000 ................................................. 4,981,632 5,000,000 Monsanto Co., 6.000%, 3/21/2000 ................................................. 4,933,333 ------------ 9,914,965 ------------ Asset Backed--1.3% 3,000,000 Clipper Receivables Corp., 6.550%, 1/14/2000 .................................... 2,992,904 8,100,000 Clipper Receivables Corp., 6.120%, 2/10/2000 .................................... 8,044,920 ------------ 11,037,824 ------------
See accompanying notes to financial statements. 5 CASH MANAGEMENT TRUST MONEY MARKET SERIES -- continued ================================================================================ Investments as of December 31, 1999 (unaudited) Investments--continued
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ Automotive--8.2% $ 15,000,000 Ford Motor Credit Corp. Canada, 5.940%, 1/12/2000 ............................... $ 14,972,775 22,000,000 General Motors Acceptance Corp., 5.410%, with various maturities to 2000(c) ..... 21,940,791 2,000,000 General Motors Acceptance Corp., 5.780%, 1/25/2000 .............................. 1,992,293 10,000,000 General Motors Acceptance Corp., 5.220%, 1/28/2000 .............................. 9,960,850 5,000,000 General Motors Acceptance Corp., 5.990%, 1/28/2000 .............................. 4,977,538 5,200,000 Ford Motor Credit Corp. Canada, 5.750%, 2/11/2000 ............................... 5,165,947 1,000,000 General Motors Acceptance Corp., 6.280%, 2/14/2000 .............................. 992,324 4,000,000 American Honda Finance Corp., 5.850%, 2/15/2000 ................................. 3,970,750 3,400,000 American Honda Finance Corp., 5.850%, 2/18/2000 ................................. 3,373,480 ------------ 67,346,748 ------------ Banks--16.2% 10,000,000 UBS Finance Delaware, Inc., 4.000%, 1/03/2000 ................................... 9,997,778 10,000,000 Dresdner Bank AG, 5.890%, 1/06/2000 ............................................. 9,991,819 7,000,000 Bank of Nova Scotia, 5.720%, 1/07/2000 .......................................... 6,993,327 4,000,000 Dresdner Bank AG, 6.270%, 1/07/2000 ............................................. 3,995,820 5,000,000 Societe Generale Canada, 6.100%, 1/07/2000 ...................................... 4,994,917 11,000,000 Bank of Nova Scotia, 5.960%, 1/14/2000 .......................................... 10,976,325 10,000,000 Dresdner Bank AG, 5.820%, 1/18/2000 ............................................. 9,972,517 6,705,000 Dresdner Bank AG, 5.850%, 1/18/2000 ............................................. 6,686,477 6,000,000 Citicorp, 5.750%, 1/19/2000 ..................................................... 5,982,750 10,000,000 Commerzbank AG, 5.780%, 1/21/2000 ............................................... 9,967,889 15,000,000 Svenska Handelsbanken, 6.000%, 2/03/2000 ........................................ 14,917,500 10,000,000 Wells Fargo & Co., 5.990%, 2/08/2000 ............................................ 9,936,772 20,000,000 Wells Fargo & Co., 6.000%, 2/10/2000 ............................................ 19,866,667 5,000,000 Wells Fargo & Co., 5.760%, 2/22/2000 ............................................ 4,958,400 5,000,000 Wells Fargo & Co., 6.000%, 3/17/2000 ............................................ 4,936,667 ------------ 134,175,625 ------------ Diversified Conglomerates--1.8% 10,000,000 USAA Capital Corp., 5.750%, 1/18/2000 ........................................... 9,972,847 5,000,000 USAA Capital Corp., 6.200%, 2/09/2000 ........................................... 4,966,417 ------------ 14,939,264 ------------ Finance--21.0% 2,500,000 Household Finance Corp., 6.000%, 1/13/2000 ...................................... 2,495,000 10,000,000 Household Finance Corp., 6.000%, 1/14/2000 ...................................... 9,978,333 10,000,000 Household Finance Corp., 6.050%, 1/20/2000 ...................................... 9,968,069 7,000,000 Household Finance Corp., Ltd. Canada, 5.920%, 1/20/2000 ......................... 6,978,129 10,000,000 CIT Group Holdings, Inc., 6.010%, 1/21/2000 ..................................... 9,966,611 5,000,000 Associates Corp. Canada, 6.000%, 1/24/2000 ...................................... 4,980,833 12,000,000 Transamerica Finance Corp. Canada, 6.050%, 1/24/2000 ............................ 11,953,617 5,000,000 General Electric Capital Corp., 5.970%, 1/25/2000 ............................... 4,980,100 1,814,000 Transamerica Financial Group, 6.000%, 1/26/2000 ................................. 1,806,442 5,000,000 General Electric Capital Corp., 5.980%, 1/27/2000 ............................... 4,978,406 5,000,000 General Electric Capital Corp., 5.970%, 1/28/2000 ............................... 4,977,613
See accompanying notes to financial statements. 6 CASH MANAGEMENT TRUST MONEY MARKET SERIES -- continued ================================================================================ Investments as of December 31, 1999 (unaudited) Investments--continued
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ Finance--continued $ 5,000,000 General Electric Capital Corp., 5.780%, 1/31/2000 ............................... $ 4,975,917 5,000,000 American Express Credit Corp., 5.970%, 2/01/2000 ................................ 4,974,296 10,000,000 Associates Corp. Canada, 6.000%, 2/04/2000 ...................................... 9,943,333 2,400,000 General Electric Capital Corp., 5.820%, 2/07/2000 ............................... 2,385,644 5,000,000 Household Finance Corp., Ltd. Canada, 5.950%, 2/08/2000 ......................... 4,968,597 5,000,000 CIT Group Holdings, Inc., 5.850%, 2/10/2000 ..................................... 4,967,500 11,000,000 American Express Credit Corp., 5.850%, 2/11/2000 ................................ 10,926,713 15,000,000 CIT Group Holdings, Inc., 5.850%, 2/11/2000 ..................................... 14,900,062 5,000,000 Household Finance Corp., Ltd. Canada, 5.940%, 2/11/2000 ......................... 4,966,175 1,900,000 General Electric Capital Corp., 6.370%, 2/14/2000 ............................... 1,885,207 1,500,000 General Electric Capital Corp., 6.280%, 2/17/2000 ............................... 1,487,702 10,000,000 Transamerica Financial Group, 5.850%, 2/17/2000 ................................. 9,923,625 3,100,000 Transamerica Financial Group, 5.850%, 2/18/2000 ................................. 3,075,820 7,000,000 General Electric Capital Corp., 5.780%, 2/23/2000 ............................... 6,940,434 6,600,000 American Express Credit Corp., 5.790%, 2/24/2000 ................................ 6,542,679 8,000,000 General Electric Capital Corp., 5.850%, 2/25/2000 ............................... 7,928,500 ------------ 173,855,357 ------------ Insurance--8.2% 5,000,000 Prudential Funding Corp., 5.760%, 1/10/2000 ..................................... 4,992,800 4,000,000 Prudential Funding Corp., 6.030%, 1/21/2000 ..................................... 3,986,600 7,000,000 Prudential Funding Corp., 5.730%, 1/24/2000 ..................................... 6,974,374 10,000,000 Prudential Funding Corp., 6.000%, 1/25/2000 ..................................... 9,960,000 5,000,000 Prudential Funding Corp., 6.020%, 1/25/2000 ..................................... 4,979,934 5,000,000 Prudential Funding Corp., 6.020%, 1/27/2000 ..................................... 4,978,261 2,000,000 Prudential Funding Corp., 5.790%, 2/01/2000 ..................................... 1,990,028 25,000,000 American General Corp., 5.900%, 2/15/2000 ....................................... 24,815,625 5,000,000 American General Corp., 5.900%, 2/17/2000 ....................................... 4,961,486 ------------ 67,639,108 ------------ Pharmaceutical--1.1% 5,000,000 American Home Products Corp., 5.980%, 1/28/2000 ................................. 4,977,575 3,815,000 American Home Products Corp., 5.720%, 1/31/2000 ................................. 3,796,815 ------------ 8,774,390 ------------ Securities--13.3% 5,000,000 J.P. Morgan & Co., 6.000%, 1/14/2000 ............................................ 4,989,167 8,000,000 J.P. Morgan & Co., 5.400%, 1/18/2000 ............................................ 7,979,600 5,000,000 J.P. Morgan & Co., 5.970%, 1/19/2000 ............................................ 4,985,075 10,000,000 J.P. Morgan & Co., 5.950%, 1/20/2000 ............................................ 9,968,597 10,000,000 J.P. Morgan & Co., 5.950%, 1/21/2000 ............................................ 9,966,944 10,000,000 Goldman Sachs Group, Inc., 5.760%, 1/26/2000 .................................... 9,960,000 10,000,000 Goldman Sachs Group, Inc., 5.990%, 1/27/2000 .................................... 9,956,739 5,000,000 Goldman Sachs Group, Inc., 6.000%, 1/28/2000 .................................... 4,977,500 3,000,000 Goldman Sachs Group, Inc., 6.400%, 1/31/2000 .................................... 2,984,000 7,000,000 Goldman Sachs Group, Inc., 6.430%, 1/31/2000 .................................... 6,962,492
See accompanying notes to financial statements. 7 CASH MANAGEMENT TRUST MONEY MARKET SERIES -- continued ================================================================================ Investments as of December 31, 1999 (unaudited) Investments--continued
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ Securities--continued $ 5,000,000 Merrill Lynch & Co., Inc., 5.060%, 2/01/2000 .................................... $ 4,978,214 10,000,000 Merrill Lynch & Co., Inc., 6.150%, 2/02/2000 .................................... 9,945,333 3,000,000 Merrill Lynch & Co., Inc., 6.270%, 2/03/2000 .................................... 2,982,758 5,000,000 Goldman Sachs Group, Inc., 6.000%, 2/04/2000 .................................... 4,971,667 7,000,000 Merrill Lynch & Co., Inc., 5.930%, 2/04/2000 .................................... 6,960,796 6,000,000 Merrill Lynch & Co., Inc., 6.150%, 2/04/2000 .................................... 5,965,150 1,500,000 Goldman Sachs Group, Inc., 6.130%, 3/29/2000 .................................... 1,477,523 ------------ 110,011,555 ------------ Total Commercial Paper (Cost $597,694,836) ...................................... 597,694,836 ------------ Total Investments--99.0% (Identified Cost $817,858,790) (d) ..................... 817,858,790 Other assets less liabilities ................................................... 8,409,404 ------------ Total Net Assets--100% .......................................................... $826,268,194 ============
(a) See Note 1a of Notes to Financial Statements. (b) Variable rate interest certificates are instruments whose interest rates vary with changes in a designated base rate on a specific date. This certificate resets interest daily based on the prime interest rate. The maturity date shown is the next interest reset date. (c) The Funds investments in General Motors Acceptance Corp., which have the same coupon rate, have been aggregated for the purpose of presentation in the schedule of investments. (d) The aggregate cost for federal income tax purposes was $817,858,790. Percentage of net assets invested in obligations of foreign banks or foreign branches of U.S. banks at December 31, 1999: Germany 12.7% Sweden 3.2% Canada 10.5% England 2.4% United States 5.5% France 2.2% Switzerland 3.6% Netherlands 1.6% See accompanying notes to financial statements. 8 TAX EXEMPT MONEY MARKET TRUST ================================================================================ Investments as of December 31, 1999 (unaudited) Tax Exempt Obligations-- 104.2%
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ Alabama--1.3% $ 1,000,000 City Medical, 3.800%, 2/01/2000 ................................................. $ 1,000,000 ------------ Alaska--9.0% 2,400,000 North Slope Borough, 4.600%, 1/01/2000 .......................................... 2,400,000 500,000 Matanuska Susitna Borough, 4.000%, 3/01/2000 .................................... 500,315 3,850,000 Alaska Industrial Development & Export Authority, 5.550%, (b) ................... 3,850,000 ------------ 6,750,315 ------------ Arizona--6.5% 1,000,000 Meza Industrial Development Authority Revenue, 4.000%, 1/01/2000 ................ 1,000,000 1,150,000 Mesa Municipal Development Corp. Series 1985, 3.850%, 2/07/2000 ................. 1,150,000 1,700,000 Mesa Municipal Development Corp. Series 1985, 3.950%, 2/17/2000 ................. 1,700,000 1,000,000 Tempe Excise Tax Revenue, 3.750%, 7/01/2000 ..................................... 1,001,810 ------------ 4,851,810 ------------ Colorado--1.6% 1,195,000 Douglas County School District Number 1, 4.500%, 6/30/2000 ...................... 1,200,159 ------------ District of Columbia--3.2% 400,000 District of Columbia, 7.250%, 6/01/2000 ......................................... 413,955 2,000,000 District of Columbia, 4.500%, (b) ............................................... 2,000,000 ------------ 2,413,955 ------------ Florida--3.3% 300,000 Florida State Board of Regents University Improvements, 5.000%, 7/01/2000 ....... 302,323 400,000 Orlando & Orange County Expressway, 7.000%, 7/01/2000 ........................... 414,943 740,000 Palm Beach County Industrial Development, 5.900%, (b) ........................... 740,000 1,000,000 Collier County Industrial Development Authority, 5.500%, (b) .................... 1,000,000 ------------ 2,457,266 ------------ Hawaii--1.3% 1,000,000 Honolulu City & County, 5.100%, 1/01/2000 ....................................... 1,000,000 ------------ Illinois--11.9% 500,000 Illinois State, 4.250%, 6/01/2000 ............................................... 501,817 1,500,000 Chicago, Illinois, 3.900%, 12/07/2000 ........................................... 1,500,000 3,600,000 Illinois Educational Facilities Authority Revenues, 5.700%, (b) ................. 3,600,000 3,300,000 McCook Revenue, 5.450%, (b) ..................................................... 3,300,000 ------------ 8,901,817 ------------ Iowa--5.0% 3,700,000 Iowa Finance Authority Revenue, 5.600%, (b) ..................................... 3,700,000 ------------ Kentucky--2.2% 1,615,000 Mayfield Multi City Lease, 5.600%, (b) .......................................... 1,615,000 ------------ Louisiana--4.6% 3,400,000 Caddo Parish Industrial Development Board, 5.550%, (b) .......................... 3,400,000 ------------ Maryland--0.7% 500,000 Montgomery County, 6.900%, 4/01/2000 ............................................ 514,225 ------------
See accompanying notes to financial statements. 9 TAX EXEMPT MONEY MARKET TRUST -- continued ================================================================================ Investments as of December 31, 1999 (unaudited) Tax Exempt Obligations -- continued
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ Massachusetts--5.4% $ 1,000,000 Massachusetts Bay State Transportation Authority, 5.000%, 3/01/2000 ............. $ 1,003,170 1,000,000 Massachusetts State Housing Finance Agency, 6.000%, 5/15/2000 ................... 1,006,522 2,000,000 New England Education Loan Marketing Student Loan, 6.200%, 9/01/2000 ............ 2,028,443 ------------ 4,038,135 ------------ Michigan--0.7% 510,000 Saginaw Hospital Finance Authority Revenue, 4.000%, 7/01/2000 ................... 510,737 ------------ Nebraska--3.7% 500,000 American Public Energy Agency Gas, 4.000%, 6/01/2000 ............................ 501,008 2,265,000 American Public Energy Agency Gas, 3.600%, 9/01/2000 ............................ 2,259,120 ------------ 2,760,128 ------------ Nevada--2.5% 1,000,000 Nevada State, 5.800%, 5/01/2000 ................................................. 1,008,071 860,000 Las Vegas Convention & Visitors Authority, 4.500%, 7/01/2000 .................... 863,742 ------------ 1,871,813 ------------ New York--1.3% 1,000,000 Nassau County, 4.250%, 3/15/2000 ................................................ 1,001,283 ------------ North Carolina--1.1% 800,000 North Carolina Medical Care Hospital, 4.700%, (b) ............................... 800,000 ------------ Ohio--2.7% 2,000,000 County of Montgomery, Series 1998B, 3.550%, 1/14/2000 ........................... 2,000,000 ------------ Pennsylvania--7.0% 1,500,000 Washington County Authority Lease, 7.450%, 6/15/2000 ............................ 1,569,087 3,700,000 Washington County Authority Lease, 5.550%, (b) .................................. 3,700,000 ------------ 5,269,087 ------------ South Carolina--3.3% 2,500,000 Florence County Hospital Revenue, 5.450%, (b) ................................... 2,500,000 ------------ Tennessee--11.2% 1,000,000 Memphis, 4.200%, 5/01/2000 ...................................................... 1,003,057 2,900,000 Metro Government Nashville Electric, 5.200%, 5/15/2000 .......................... 2,919,541 555,000 Maury County Health and Educational, 4.200%, (b) ................................ 555,000 3,900,000 Blount County Industrial Development Board, 5.750%, (b) ......................... 3,900,000 ------------ 8,377,598 ------------ Texas--11.3% 675,000 West Texas Municipal Power Agency Revenue, 4.050%, 2/15/2000 .................... 675,646 3,000,000 Texas, 4.500%, 8/31/2000 ........................................................ 3,015,399 500,000 Grapevine Industrial Development Corporation Revenue, 4.800%, (b) ............... 500,000 1,725,000 Nueces County Health Facilities, 5.550%, (b) .................................... 1,725,000 2,500,000 San Antonio Airport Systems Revenue, 5.550%, (b) ................................ 2,500,000 ------------ 8,416,045 ------------
See accompanying notes to financial statements. 10 TAX EXEMPT MONEY MARKET TRUST -- continued ================================================================================ Investments as of December 31, 1999 (unaudited) Tax Exempt Obligations -- continued
Principal Amount Description Value (a) - ------------------------------------------------------------------------------------------------------------------------ Washington--1.3% $ 1,000,000 Clark County Public Utility District, 6.000%, 1/01/2000 ......................... $ 1,000,000 ------------ Wisconsin--2.1% 1,600,000 Wisconsin Health & Educational Facilities, 5.500%, (b) .......................... 1,600,000 ------------ Total Investments--104.2% (Identified Cost $77,949,373) (c) ..................... 77,949,373 Other assets less liabilities ................................................... (3,154,997) ------------ Total Net Assets--100% .......................................................... $ 74,794,376 ============
(a) See Note 1a of Notes to Financial Statements. (b) Floating rate notes are instruments whose interest rates vary with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). These instruments are payable on demand and are secured by letters of credit or other credit support agreements from major banks. (c) The aggregate cost for federal income tax purposes was $77,949,373. See accompanying notes to financial statements. 11 STATEMENTS OF ASSETS & LIABILITIES ================================================================================ December 31, 1999 (unaudited)
Cash Management Trust Tax Exempt Money Market Money Market Series Trust --------------------- ------------- ASSETS Investments at value ...................................................... $ 817,858,790 $ 77,949,373 Cash ...................................................................... 148,977 0 Receivable for: Shares sold ............................................................ 9,555,141 59,071 Interest ............................................................... 8,003,942 639,607 ------------- ------------- 835,566,850 78,648,051 LIABILITIES Payable for: Securities purchased ................................................... 0 1,500,000 Shares redeemed ........................................................ 7,638,638 2,141,816 Dividends declared ..................................................... 963,817 57,939 Custodial bank ......................................................... 0 21,410 Accrued expenses: Management fees ........................................................ 294,256 41,495 Deferred trustees' fees ................................................ 79,588 36,539 Accounting and administrative .......................................... 34,018 6,296 Other expenses ......................................................... 288,339 48,180 ------------- ------------- 9,298,656 3,853,675 ------------- ------------- NET ASSETS ................................................................... $ 826,268,194 $ 74,794,376 ============= ============= Net assets consist of: Capital paid in Class A shares ......................................... $ 630,827,114 $ 74,502,908 Capital paid in Class B shares ......................................... 25,873,074 291,468 Capital paid in Class C shares ......................................... 2,681,473 0 Capital paid in Class Y shares ......................................... 166,724,230 0 Undistributed net investment income .................................... 165,857 0 Accumulated net realized gains (losses) ................................ (3,554) 0 ------------- ------------- NET ASSETS ................................................................... $ 826,268,194 $ 74,794,376 ============= ============= Shares of beneficial interest outstanding, no par value Class A shares ......................................................... 630,827,114 74,502,908 Class B shares ......................................................... 25,873,074 291,468 Class C shares ......................................................... 2,681,473 0 Class Y shares ......................................................... 166,724,230 0 ------------- ------------- Shares of beneficial interest outstanding .................................... 826,105,891 74,794,376 ============= ============= Net asset value per share Class A, Class B, Class C and Class Y shares* $ 1.00 $ 1.00 ============= ============= Cost of investments .......................................................... $ 817,858,790 $ 77,949,373 ============= =============
* Shares of the series are sold and redeemed at net asset value (net assets / shares of beneficial interest outstanding). See accompanying notes to financial statements. 12 STATEMENTS OF OPERATIONS ================================================================================ Six Months Ended December 31, 1999 (unaudited)
Cash Management Trust Tax Exempt Money Market Money Market Series Trust --------------------- ------------- INVESTMENT INCOME Interest .................................................................. $ 23,190,327 $ 1,480,880 ------------ ------------ Expenses Management fees ........................................................ 1,763,023 168,728 Trustees' fees ......................................................... 19,093 5,635 Accounting and administrative .......................................... 112,479 16,297 Custodian .............................................................. 81,697 23,698 Transfer agent ......................................................... 1,186,855 64,839 Service Fees - Class Y ................................................. 196,270 0 Audit and tax services ................................................. 12,230 12,600 Legal .................................................................. 15,530 2,087 Printing ............................................................... 39,770 4,927 Registration ........................................................... 35,622 30,021 Miscellaneous .......................................................... 65,812 4,834 ------------ ------------ Total expenses ............................................................ 3,528,381 333,666 ------------ ------------ Less - waiver of fee by investment adviser and distributor ................ 0 (59,611) ------------ ------------ Net expenses .............................................................. 3,528,381 274,055 ------------ ------------ Net investment income ..................................................... 19,661,946 1,206,825 REALIZED GAIN (LOSS) on INVESTMENTS Realized gain (loss) on investments - net ................................. (1,111) (7,746) ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ........................ $ 19,660,835 $ 1,199,079 ============ ============
See accompanying notes to financial statements. 13 STATEMENTS OF CHANGES IN NET ASSETS ================================================================================
Cash Management Trust Tax Exempt Money Market Series Money Market Trust ----------------------------------- ------------------------------------ Six Months Six Months Ended Ended Year Ended December 31, Year Ended December 31, June 30, 1999 June 30, 1999 1999 (unaudited) 1999 (unaudited) --------------- --------------- --------------- --------------- FROM OPERATIONS Net investment income ........................... $ 34,641,250 $ 19,661,946 $ 2,145,371 $ 1,206,825 Net realized gain (loss) on investments ......... 2,470 (1,111) 0 (7,746) --------------- --------------- --------------- --------------- Increase (decrease) in net assets from operations ............................. 34,643,720 19,660,835 2,145,371 1,199,079 --------------- --------------- --------------- --------------- FROM DISTRIBUTIONS TO SHAREHOLDERS Net investment income (a) Class A ..................................... (27,834,505) (15,474,360) (2,145,371) (1,199,079) Class B ..................................... (723,507) (529,567) 0 0 Class C ..................................... (67,961) (59,528) 0 0 Class Y ..................................... (6,017,747) (3,550,457) 0 0 --------------- --------------- --------------- --------------- (34,643,720) (19,613,912) (2,145,371) (1,199,079) --------------- --------------- --------------- --------------- FROM CAPITAL SHARE TRANSACTIONS Proceeds from the sale of shares ................ 2,516,699,035 1,153,250,361 120,150,365 57,579,443 Net asset value of shares issued in connection with the reinvestment of dividends from net investment income and distributions from net realized gains ........................... 33,335,258 18,000,676 2,119,382 1,118,773 Cost of shares redeemed ......................... (2,449,436,758) (1,156,893,309) (111,188,492) (68,782,620) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets derived from capital share transactions ......... 100,597,535 14,357,728 11,081,255 (10,084,404) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets ......... 100,597,535 14,404,651 11,081,255 (10,084,404) NET ASSETS Beginning of the period ...................... 711,266,008 811,863,543 73,797,525 84,878,780 --------------- --------------- --------------- --------------- End of the period (b) ........................ $ 811,863,543 $ 826,268,194 $ 84,878,780 $ 74,794,376 =============== =============== =============== ===============
(a) Amounts distributed include a net realized gain (loss) of $2,470 and ($1,111) for the Cash Management Trust Money Market Series for the year ended June 30, 1999 and the six months ended December 31, 1999, respectively, and ($7,746) for the Tax Exempt Money Market Trust for the six months ended December 31, 1999. (b) Including undistributed (overdistributed) net investment income of $116,821 and $119,034 for the Cash Mnanagement Trust Money Market Series for the year ended June 30, 1999 and the six months ended December 31, 1999, respectively. See accompanying notes to financial statements. 14 FINANCIAL HIGHLIGHTS ================================================================================
Cash Management Trust Money Market Series -- Classes A, B, C --------------------------------------------------------------------------------- Six Months Ended Year Ended June 30, December 31, ------------------------------------------------------------------ 1999 1995 1996 1997 1998(a) 1999 (unaudited) ------------------------------------------------------------------ --------- Net Asset Value, Beginning of Period ........ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 --------- --------- --------- --------- --------- --------- Income From Investment Operations Net Investment Income (Loss) ................ 0.0469 0.0482 0.0467 0.0488 0.0445 0.0221 Net Realized and Unrealized Gain (Loss) on Investments ..................... 0.0000 0.0002 0.0000 0.0000 0.0000 0.0000 --------- --------- --------- --------- --------- --------- Total From Investment Operations ............ 0.0469 0.0484 0.0467 0.0488 0.0445 0.0221 --------- --------- --------- --------- --------- --------- Less Distributions Dividends From Net Investment Income ........ (0.0469) (0.0484)(b) (0.0465)(b) (0.0488) (0.0445)(b) (0.0221)(b) Distributions From Net Realized Capital Gains 0.0000 0.0000 (0.0002) 0.0000 0.0000 0.0000 --------- --------- --------- --------- --------- --------- Total Distributions ......................... (0.0469) (0.0484) (0.0467) (0.0488) (0.0445) (0.0221) --------- --------- --------- --------- --------- --------- Net Asset Value, End of the Period .......... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 ========= ========= ========= ========= ========= ========= Total Return (%) ............................ 4.8 5.0 4.8 5.0 4.6 2.4 Ratio of Operating Expenses to Average Net Assets (%) .................... 0.88 0.90 0.88 0.84 0.84 0.83(c) Ratio of Net Investment Income to Average Net Assets (%) .................... 4.67 4.85 4.66 4.88 4.46 4.66(c) Net Assets, End of the Period (000) ......... $ 649,808 $ 663,621 $ 698,659 $ 607,406 $ 664,609 $ 659,511
(a) Class C shares commenced operations March 1, 1998. (b) Including net realized gain (loss) on investments. (c) Computed on an annualized basis.
Cash Management Trust Money Market Series -- Class Y ----------------------------------------------------- Six Months February 27(a) Year Ended through Ended December 31, 1999 June 30, 1998 June 30,1999 (unaudited) ------------- ------------ ----------------- Net Asset Value, Beginning of Period .......................... $ 1.0000 $ 1.0000 $ 1.0000 --------- --------- --------- Income From Investment Operations Net Investment Income (Loss) .................................. 0.0169 0.0448 0.0216 Net Realized and Unrealized Gain (Loss) on Investments ....................................... 0.0000 0.0000 0.0000 --------- --------- --------- Total From Investment Operations .............................. 0.0169 0.0448 0.0216 --------- --------- --------- Less Distributions Dividends From Net Investment Income .......................... (0.0169) (0.0448)(b) (0.0216)(b) Distributions From Net Realized Capital Gains ................. 0.0000 0.0000 0.0000 --------- --------- --------- Total Distributions ........................................... (0.0169) (0.0448) (0.0216) --------- --------- --------- Net Asset Value, End of the Period ............................ $ 1.0000 $ 1.0000 $ 1.0000 ========= ========= ========= Total Return (%) .............................................. 1.7 4.6 2.3 Ratio of Operating Expenses to Average Net Assets (%) ......... 0.74(c) 0.82 0.82(c) Ratio of Net Investment Income to Average Net Assets (%) ...... 4.98(c) 4.44 4.66(c) Net Assets, End of the Period (000) ........................... $ 103,860 $ 147,254 $ 166,757
(a) Commencement of operations. (b) Including net realized gain (loss) on investments. (c) Computed on an annualized basis. See accompanying notes to financial statements. 15 FINANCIAL HIGHLIGHTS ================================================================================
Tax Exempt Money Market Trust -- Classes A & B ----------------------------------------------------------------------------- Six Months Ended Year Ended June 30, December 31, ---------------------------------------------------------------- 1999 1995 1996 1997 1998 1999 (unaudited) --------- --------- --------- --------- --------- --------- Net Asset Value, Beginning of Period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 --------- --------- --------- --------- --------- --------- Income From Investment Operations Net Investment Income (Loss) ....... 0.0314 0.0327 0.0314 0.0323 0.0276 0.0136 Net Realized and Unrealized Gain (Loss) on Investments ............ 0.0000 0.0000 0.0001 0.0000 0.0000 0.0000 --------- --------- --------- --------- --------- --------- Total From Investment Operations ... 0.0314 0.0327 0.0315 0.0323 0.0276 0.0136 --------- --------- --------- --------- --------- --------- Less Distributions Dividends From Net Investment Income (0.0314) (0.0327) (0.0315)(a) (0.0323) (0.0276) (0.0136)(a) --------- --------- --------- --------- --------- --------- Total Distributions ................ (0.0314) (0.0327) (0.0315) (0.0323) (0.0276) (0.0136) --------- --------- --------- --------- --------- --------- Net Asset Value, End of the Period . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 ========= ========= ========= ========= ========= ========= Total Return (%) ................... 3.2 3.3 3.2 3.3 2.8 1.4 Ratio of Operating Expenses to Average Net Assets (%) (b) ....... 0.56 0.56 0.56 0.60 0.65 0.65(c) Ratio of Net Investment Income to Average Net Assets (%) ........... 3.15 3.29 3.17 3.23 2.76 4.45(c) Net Assets, End of the Period (000) $ 67,797 $ 64,897 $ 67,736 $ 73,798 $ 84,879 $ 74,794 (a) Including net realized gain (loss) on investments. (b) The Ratio of operating expenses to average net assets without giving effect to the voluntary expense limitation and voluntary fee waiver described in Note 3 to the financial statements would have been: 0.85 0.90 0.85 0.85 0.80 0.80(c) (c) Computed on an annualized basis.
See accompanying notes to financial statements. 16 NOTES TO FINANCIAL STATEMENTS ================================================================================ For the Six Months Ended December 31, 1999 (unaudited) 1. Significant Accounting Policies. Nvest Funds (formerly known as New England Funds) Cash Management Trust Money Market Series and Nvest Funds Tax Exempt Money Market Trust (the "Trusts") are registered under the Investment Company Act of 1940, as amended, as diversified, open-end investment companies. The Cash Management Trust Money Market Series seeks maximum current income consistent with the preservation of capital and liquidity. The Tax Exempt Money Market Trust seeks current income exempt from federal income taxes consistent with preservation of capital and liquidity. Nvest Cash Management Trust Money Market Series -- The Trust's Agreement and Declaration of Trust permits the issuance of an unlimited number of shares of beneficial interest, no par value. The Trust commenced its public offering of Class B shares on September 13, 1993, Class C shares on March 1, 1998 and Class Y shares on February 27, 1998. Class A, B and C shares were offered to enable investors in each class of the Nvest Stock or Bond Funds to invest in money market shares. Class A, B and C shares are identical and may be subject to a contingent deferred sales charge upon redemption if the shares were acquired by exchange of Class A, Class B or C shares of a stock or bond fund. Class Y shares are intended for institutional investors with a minimum of $1 million to invest. Nvest Tax Exempt Money Market Trust -- The Trust's Agreement and Declaration of Trust permits the issuance of an unlimited number of shares of beneficial interest, no par value. Effective September 13, 1993, the Trust began offering two classes of shares, Class A and Class B, in order to enable investors in either class of the Nvest Stock or Bond Funds to invest in money market shares. Class A and B shares are identical and may be subject to a contingent deferred sales charge upon redemption if the shares were acquired by exchange of Class A or Class B shares of a stock or bond fund. The following is a summary of significant accounting policies followed by the Trusts in the preparation of the financial statements. The policies are in conformity with accounting principles generally accepted in the United States for investment companies. The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. a. Security Valuation. The Trusts employ the amortized cost method of security valuation as set forth in Rule 2a-7 under the Investment Company Act of 1940 which, in the opinion of the trustees of each Trust, represents the fair value of the particular security. The amortized cost of a security is determined by valuing it at original cost and thereafter accreting any discount or amortizing any premium on a straight-line basis. b. Repurchase Agreements. The Trusts, through their custodian, receive delivery of the underlying securities collateralizing repurchase agreements. It is the Trusts' policy that the market value of the collateral be at least equal to 100% of the repurchase price. The subadviser is responsible for determining that the value of the collateral is at all times at least equal to the repurchase price. Repurchase agreements could involve certain risks in the event of default or insolvency of the other party, including possible delays or restrictions upon the portfolio's ability to dispose of the underlying security. 17 NOTES TO FINANCIAL STATEMENTS -- continued ================================================================================ For the Six Months Ended December 31, 1999 (unaudited) c. Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed) and interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of the securities is determined on the identified cost basis. d. Federal Income Taxes. The Cash Management Trust Money Market Series and the Tax Exempt Money Market Trust intend to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to their shareholders all of their taxable and tax exempt income. Accordingly, no provision for federal income tax has been made. The Tax Exempt Money Market Trust has designated 100% of dividends paid from net investment income during the six months ended December 31, 1999, as tax exempt for federal income tax purposes. e. Dividends and Distributions to Shareholders. Dividends are declared daily to shareholders of record at the time and are paid monthly. Long term gain distributions, if any, will be made annually. f. Other. Each of the Trusts invests primarily in a portfolio of money market instruments maturing in 397 days or less whose ratings are within the two highest ratings categories of a nationally recognized rating agency or, if not rated, are believed to be of comparable quality. The ability of the issuers of the securities held by the Trusts to meet their obligations may be affected by foreign economic, political and legal developments in the case of foreign banks or foreign branches or subsidiaries of U.S. banks, or domestic economic developments in a specific industry, state or region. 2. Investment Transactions. Nvest Cash Management Trust Money Market Series -- Purchases and sales or maturities of short-term obligations, including securities purchased subject to repurchase agreements, aggregated $3,578,680,333 and $3,593,036,547, respectively. Nvest Tax Exempt Money Market Trust -- Purchases and sales or maturities of short-term obligations aggregated $119,184,560 and $128,405,600, respectively. 3. Investment Advisory Fees and Other Transactions with Affiliates. a. Management Fees and Other Transactions with Affiliates. During the six months ended December 31, 1999, the Trusts incurred management fees payable to the Trusts' investment adviser, Nvest Funds Management L.P. ("Nvest Management") and subadviser, Back Bay Advisors L.P. ("Back Bay"). Certain officers and directors of Nvest Management are also officers and trustees of the Trusts. Nvest Management and Back Bay are wholly-owned subsidiaries of Nvest Companies, L.P. ("Nvest"), which is a subsidiary of Metropolitan Life Insurance Company. Nvest Cash Management Trust Money Market Series -- Under the management agreement, the Trust pays 18 NOTES TO FINANCIAL STATEMENTS -- continued ================================================================================ For the Six Months Ended December 31, 1999 (unaudited) to its investment adviser, Nvest Management, a monthly fee based on the annual percentage rates of its corresponding average daily net asset values set forth below. The management fee is reduced by the amount of subadvisory fees paid by the Trust directly to the subadviser as described below. Under the same management agreement, Nvest Management pays to its investment subadviser, Back Bay, a monthly fee based on the annual percentage rates of its corresponding average daily net asset values set forth below:
Annual Percentage Annual Percentage Rate of Rate of Advisory Fees Advisory Fees Paid by Nvest Management Paid to Nvest Management to the Subadviser, Back Bay ------------------------ --------------------------- the first $500 million 0.425% 0.205% the next $500 million 0.400% 0.180% the next $500 million 0.350% 0.160% the next $500 million 0.300% 0.140% amounts in excess of $2 billion 0.250% 0.120%
Fees Earned ----------- Nvest Management $ 935,099 Back Bay $ 827,924 The effective annualized management fee for the six months ended December 31, 1999 was 0.41%. Nvest Tax Exempt Money Market Trust -- The Trust pays management fees to its investment adviser, Nvest Management, at the annual rate of 0.40% of the first $100 million of the Trust's average daily net assets and 0.30% of such assets in excess of $100 million. Nvest Management pays management fees to its investment subadviser, Back Bay, at the rate of 0.20% of the first $100 million of the Trust's average daily net assets and 0.15% of such assets in excess of $100 million. Fees earned by Nvest Management and Back Bay under the management agreements in effect during the six months ended December 31, 1999 are as follows: Fees Earned (a) --------------- Nvest Management $ 84,364 Back Bay $ 84,364 (a) Before reduction pursuant to expense limitations. The effective annualized management fee for the six months ended December 31, 1999 was 0.40%. Effective January 1, 1998 Nvest Management and Back Bay voluntarily agreed, until further notice, to reduce the management fee and, if necessary, to assume Trust expenses in order to limit the expenses to 0.65 of 1% of average daily net assets. As a result of Trust expenses exceeding the expense limitation, for the six months ended December 31, 1999 Nvest Management and Back Bay reduced their fees by $29,806 and $29,805 respectively. 19 NOTES TO FINANCIAL STATEMENTS -- continued ================================================================================ For the Six Months Ended December 31, 1999 (unaudited) b. Accounting and Administrative Expense. Nvest Services Company, Inc. ("NSC") is a wholly owned subsidiary of Nvest and performs certain accounting and administrative services for the Trusts. Each Trust reimburses NSC for all or part of NSC's expenses of providing these services which include the following (i) expenses for personnel performing bookkeeping, accounting, and financial reporting functions and clerical functions relating to the Trusts, and (ii) expenses for services required in connection with the preparation of registration statements and prospectuses, registration of shares in various states, shareholder reports and notices, proxy solicitation material furnished to shareholders of the Trusts or regulatory authorities and reports and questionnaires for SEC compliance. For the six months ended December 31, 1999, these expenses amounted to $ 112,479 for the Cash Management Trust Money Market Series and $16,297 for the Tax Exempt Money Market Trust. c. Transfer Agent Fees. NSC is the transfer and shareholder servicing agent for the Trusts and Boston Financial Data Services serves as the sub-transfer agent for the Trusts. For the six months ended December 31, 1999, the Cash Management Trust Money Market Series and Tax Exempt Money Market Trust paid $736,875 and $32,928 respectively, to NSC as compensation for its services in that capacity. Class Y shares of Cash Management Trust Money Market Series bear a sub-transfer agent fee of 0.10% of average daily net assets charged by National Financial Services Corporation. d. Service Fee. The Cash Management Trust Money Market Series Class Y shares bear a service charge of 0.25% annually of the Class Y average daily net assets which will be paid by the Fund to such investment advisers, financial planners and broker-dealers, including New England Securities Corporation, for services provided by them to service accounts on behalf of Class Y shares of the Fund under a service agreement. For the six months ended December 31, 1999 the Fund paid $196,270 in service fees. e. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to its officers or trustees who are directors, officers or employees of Nvest Management, Nvest Funds, L.P., Nvest, NSC or their affiliates, other than registered investment companies. Each other Trustee receives a retainer fee at the annual rate of $40,000 and meeting attendance fees of $3,500 for each meeting of the Board of Trustees attended. Each committee member receives an additional retainer fee at the annual rate of $6,000 while each committee chairman receives a retainer fee (beyond the $6,000 fee) at the annual rate of $4,000. These fees are allocated to the various Nvest Funds based on a formula that takes into account, among other factors, the relative net assets of each Trust. A deferred compensation plan is available to the Trustees on a voluntary basis. Each participating Trustee will receive an amount equal to the value that such deferred compensation would have been, had it been invested in the Trusts or certain other Nvest Funds on the normal payment date. Deferred amounts remain in the Fund until distributed in accordance with the Plan. 4. Concentration of Credit. The Tax Exempt Money Market Trust had the following industry concentrations in excess of 10% on December 31, 1999 as a percentage of the Trust's total net assets: General Obligations (15.6%) and Hospitals (27.9%). The Trust also had more than 10% of its total net assets backed by letters of credit with American Municipal Bond Assurance Corp. (11.4%) and Municipal Bond Investors Assurance Corp. (10.9%). 20 NVEST FUNDS ================================================================================ LARGE-CAP EQUITY FUNDS GLOBAL/INTERNATIONAL EQUITY Capital Growth Fund Star Worldwide Fund Kobrick Growth Fund International Equity Fund Growth Fund Growth and Income Fund CORPORATE INCOME FUNDS Balanced Fund Short Term Corporate Income Fund Value Fund Bond Income Fund High Income Fund Strategic Income Fund ALL-CAP EQUITY FUNDS Star Advisers Fund GOVERNMENT INCOME FUNDS Kobrick Capital Fund Limited Term U.S. Government Fund Bullseye Fund Government Securities Fund Equity Income Fund MONEY MARKET FUNDS* SMALL-CAP EQUITY FUNDS Cash Management Trust Star Small Cap Fund Tax Exempt Money Market Trust Kobrick Emerging Growth Fund *An investment in the Fund is not insured or guaranteed by the FDIC or any other government agency TAX-FREE INCOME FUNDS Municipal Income Fund Intermediate Term Tax Free Fund of California Massachusetts Tax Free Income Fund To learn more, and for a free prospectus, contact your financial representative. Visit our Web site at www.nvestfunds.com Nvest Funds Distributor, L.P. 399 Boylston Street Boston, MA 02116 Toll Free 800-225-5478 This material is authorized for distribution to prospective investors when it is preceded or accompanied by the Fund's current prospectus, which contains information about distribution charges, management and other items of interest. Investors are advised to read the prospectus carefully before investing. Nvest Funds Distributor, L.P., and other firms selling shares of Nvest Funds are members of the National Association of Securities Dealers, Inc. (NASD). As a service to investors, the NASD has asked that we inform you of the availability of a brochure on its Public Disclosure Program. The program provides access to information about securities firms and their representatives. Investors may obtain a copy by contacting the NASD at 800-289-9999 or by visiting their Web site at www.NASDR.com. 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