-----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, OlqPMb+j+zO3In6qJW/SNITt11EUxHdTHorxDCwceM4vGtaiIJFFJtD5Fh9wJ7ES EV5Q0OiE+G9mvJjqUmQ0Rw== 0000950156-97-000292.txt : 19970307 0000950156-97-000292.hdr.sgml : 19970307 ACCESSION NUMBER: 0000950156-97-000292 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19961231 FILED AS OF DATE: 19970306 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: NEW ENGLAND 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: 1940 Act SEC FILE NUMBER: 811-02819 FILM NUMBER: 97551368 BUSINESS ADDRESS: STREET 1: 399 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: NEL CASH MANAGEMENT TRUST DATE OF NAME CHANGE: 19860901 N-30D 1 N.E. CASH MANAGEMENT TRUST - ------------------------------------------------------------------------------- SEMIANNUAL REPORT AND PERFORMANCE UPDATE - ------------------------------------------------------------------------------- [LOGO] NEW ENGLAND FUNDS Where The Best Minds Meet(TM) New England Money Market Funds [GRAPHIC OMITTED] - ------------------ DECEMBER 31, 1996 - ------------------ FEBRUARY 1997 - ------------------------------------------------------------------------------- [Photo of Henry L.P. Schmelzer] Dear New England Funds Shareholder, Taken together, 1995 and 1996 constituted the sixth strongest back-to-back years for the U.S. stock market since 1915, as measured by percentage gain in the Dow Jones Industrial Average (according to Bloomberg Business News). Most New England Funds portfolio managers believe that the forces behind this rally -- low inflation, relatively stable interest rates and strong corporate profits -- will persist, at least for a time. Nevertheless, bull markets can suddenly turn quiet; they can decline modestly; or they can reverse course sharply. No one can predict what is ahead, nor can anyone guarantee whether the market's strength will extend even further in 1997 and beyond. Maintain a Long-Term Perspective Whatever the market's direction, you should be prepared to consider any short-term trends in the broader context of your long-term personal goals, including the accumulation of financial assets. One way to manage this important process is by diversifying your investments. While U.S. stocks have historically been the strongest performers, you may, depending on your financial goals and needs, also benefit from investing in various types of bond funds, and by participating in growing overseas markets. Remember that each investment has its own unique risks. What's more, no strategy can assure a profit or protect against a loss. However, one time-tested approach is to invest regularly and stay invested -- in good times and bad -- to avoid the pitfall of guessing what the market might do in the short run. Our Multiple-Adviser Approach Sets Us Apart Many financial representatives recommend New England Funds to their clients because of our distinctive multiple-adviser approach. For each fund, we hand-pick a specific subadviser or subadvisers with significant experience and demonstrated skill in selecting investments that are in tune with that fund's stated objective. We call it matching the talent to the task. Finally, it may interest you to learn that you are part of a major national trend. In 1996, nearly 37 million U.S. households owned mutual funds, according to the Investment Company Institute, an industry trade organization. Mutual funds are now a cornerstone of retirement, college and other investment plans for millions of Americans. New England Funds has grown with the industry and is now over $6 billion in size. We thank you for helping us reach this important milestone, and look forward to serving your investment needs well into the future. Sincerely, /s/ Henry L.P. Schmelzer Henry L.P. Schmelzer, President For more information, including a prospectus for any New England Fund, please contact your financial representative or call the Investor Services and Marketing Group at 800-225-5478. Please read the prospectus carefully, including the information on charges and expenses, before you invest. - ------------------------------------------------------------------------------- NEW ENGLAND MONEY MARKET FUNDS - ------------------------------------------------------------------------------- AWARD WINNING SERVICE -- TWO YEARS RUNNING - ------------------------------------------------------------------------------- [graphic omitted] For two years running we're proud to announce that DALBAR, an independent evaluator of mutual fund service, has awarded New England Funds its Quality Tested Service Seal for "providing the highest tier of service excellence in the mutual fund industry." New England Funds is one of just three mutual fund companies to earn this distinction in each of the last two years -- another reason why we are becoming known as the mutual fund company Where The Best Minds Meet(TM). - ------------------------------------------------------------------------------- NEW ENGLAND MONEY MARKET FUNDS - ------------------------------------------------------------------------------- QUESTIONS & ANSWERS WITH YOUR PORTFOLIO MANAGERS - ------------------------------------------------------------------------------- [PHOTO OF SCOTT NICHOLSON, BACK BAY ADVISORS, L.P.] Q. How did New England Money Market Funds perform during the second half of 1996? The Funds continued to provide shareholders a stable cash reserve, maintaining a constant share price of $1.00* while delivering competitive money market yields. As was the case in the first half of the year, short-term interest rates remained volatile as the markets debated the strength of the economy and the outlook for inflation. Although short rates ended the year moderately below their early July highs, the Funds' dividend distributions remained fairly stable throughout the period. For the six-month period ended December 31, 1996, the Money Market Series and the U.S. Government Series generated total returns of 4.73% and 4.49%, respectively. The Funds' seven-day effective yields on December 31, 1996, were 4.65% and 4.49% respectively. Q. How did you manage the Funds during the period? Although interest rates were volatile during the period, the actual indicator of the direction of short-term interest rates -- the overnight Federal Funds level -- remained unchanged. In this environment, we attempted to extend the portfolio's average days to maturity when interest rates rose and, conversely, to shorten that figure when rates reversed direction. * Money market funds are neither insured nor guaranteed by the U.S. government. These funds seek but cannot assure a stable net asset value of $1.00. Q. What is your investment outlook for the months ahead? After a weak third quarter, Gross Domestic Product appears to have rebounded significantly in the last three months of the year. Despite few signs of rising inflation, fixed income investors continue to be concerned from time to time about the economy overheating. At this juncture, however, we do not foresee a significant sustained rise in short-term rates, and thus our recent investment strategy remains in place. Q. How did New England Tax Exempt Money Market Trust perform during the second half of 1996? [Photo of John Maloney, Back Bay Advisors, L.P.] New England Tax Exempt Money Market Trust posted strong performance for the six months ending December 31, 1996. The Fund's tax exempt seven-day yield on December 31, 1996 was 3.52%, which matches a taxable yield of 5.83% for an investor in the maximum federal income tax bracket of 39.6%. The seven-day effective SEC yield of 3.58% was equivalent to a taxable yield of 5.93%, for investors in the same tax bracket. The Fund continued to provide shareholders a stable cash reserve, maintaining a constant share price of $1.00*. * Money market funds are neither insured nor guaranteed by the U.S. government. These funds seek but cannot assure a fixed share price of $1.00. Some shareholders may be subject to the Alternative Minimum Tax (AMT). Q. What was the investment backdrop for the Fund during the past six months? Moderate economic growth and well-contained inflation provided the foundation for a steady interest rate environment, which worked to the Fund's advantage. This type of climate provides a favorable setting for fixed-income investments in general, but supply and demand characteristics tend to have a greater impact on tax exempt money market performance than on the performance of other fixed-income funds. Seasonal factors influence the market's supply. Issuance of new securities typically peaks in June and July, forcing tax exempt money market rates higher. In December and January, these rates often rise again for two reasons: Supply increases and sellers try to reduce their inventories before year-end by raising rates to attract buyers. Q. How did these factors affect your strategy? We sought to maximize the Fund's return by capitalizing on these seasonal occurrences. Going into June, we shortened the Fund's average maturity to 19 days and then extended it to 62 days by the end of July. Specifically, we invested in one-year notes while interest rates rose during these months. These are among the longest maturities in which the portfolio is permitted to invest. Instruments with longer maturities helped the Fund capture higher yields for the greatest length of time, while still maintaining its flexibility. In December, we increased the Fund's holdings in floating rate notes -- specifically, those with yields that adjust daily or weekly. The rates on these issues rose in comparison to alternative investments, again because of seasonal factors. In our opinion, they offered attractive relative value. Q. What's your outlook for the months ahead? We are cautiously optimistic as we head into 1997. We expect the economy will continue to grow at a moderate pace and inflation to stay under control. While we are watchful for signs of inflation, we do not anticipate a significant rise and look for interest rates to remain relatively stable. We will continue to seek opportunity to maximize your Fund's tax-free yield while investing only in high quality short-term municipal securities. New England Tax Exempt Money Market Trust is managed in an effort to provide shareholders a secure and liquid anchor to a well-rounded investment portfolio and a competitive level of income that is free from federal tax. - ------------------------------------------------------------------------------- NEW ENGLAND MONEY MARKET FUNDS - ------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 12/31/96* - ------------------------------------------------------------------------------- 6-MONTH 1-YEAR 5-YEAR (CLASS A&B) (CLASS A&B) (CLASS A) NEW ENGLAND CASH MANAGEMENT TRUST-- 4.73% 4.70% 3.90% MONEY MARKET SERIES NEW ENGLAND CASH MANAGEMENT TRUST-- 4.49 4.52 3.80 U.S. GOVERNMENT SERIES NEW ENGLAND TAX EXEMPT 3.17 3.17 2.76 MONEY MARKET TRUST * 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. Yields will fluctuate with changes in market conditions. The Trust's annualized yields for Class A and B for the 7-day period ended December 31, 1996 were 4.65% (Money Market Series), 4.49% (U.S. Government Series) and 3.52% (Tax Exempt Money Market Trust). - ------------------------------------------------------------------------------- CASH MANAGEMENT TRUST -- MONEY MARKET SERIES - ------------------------------------------------------------------------------- Investments as of December 31, 1996 (Unaudited) INVESTMENTS--99.5% OF TOTAL NET ASSETS
FACE AMOUNT DESCRIPTION VALUE (a) - ------------------------------------------------------------------------------------------------- BANK NOTE--1.5% $ 10,000,000 First Union National Bank of North Carolina 4.89% 1/02/97 (b) $ 10,000,000 ------------ Total Bank Note (Cost $10,000,000) ......................... 10,000,000 ------------ BANKERS ACCEPTANCE--1.5% 10,000,000 Dai-Ichi Kangyo Bank, Ltd. 5.660%, 2/18/97 ................. 9,924,533 ------------ Total Bankers Acceptance (Cost $9,924,533) ................. 9,924,533 ------------ CERTIFICATES OF DEPOSIT--11.3% 5,000,000 Sumitomo Bank, Ltd. New York 5.640%, 1/06/97 ............... 4,999,884 4,000,000 Bank of Montreal Chicago 5.420%, 1/10/97 ................... 3,999,364 5,000,000 Commerzbank AG New York 5.470%, 1/10/97 .................... 5,000,012 10,000,000 Sumitomo Bank, Ltd. New York 5.670%, 1/13/97 ............... 9,999,997 5,000,000 Deutsche Bank AG New York 5.620%, 1/15/97 .................. 5,000,066 6,000,000 Canadian Imperial 5.390%, 2/03/97 .......................... 5,999,766 5,000,000 Deutsche Bank AG New York 5.570%, 2/03/97 .................. 4,999,394 5,000,000 Sumitomo Bank, Ltd. New York 5.580%, 2/10/97 ............... 4,999,025 5,000,000 Swiss Bank New York 5.300%, 3/04/97 ........................ 4,996,274 7,000,000 ABN Amro 5.500%, 4/15/97 ................................... 6,999,983 5,000,000 Commerzbank AG New York 5.660%, 4/24/97 .................... 4,998,744 7,000,000 Societe Generale New York 5.730%, 10/15/97 ................. 7,007,459 7,000,000 Deutsche Bank AG New York 5.550%, 11/10/97 ................. 6,996,921 ------------ Total Certificates Of Deposit (Cost $75,996,889) ........... 75,996,889 ------------ CERTIFICATES OF DEPOSIT (EURODOLLARS)--5.7% 10,000,000 Sanwa Bank 5.490%, 1/21/97 ................................. 9,997,858 10,000,000 National Westminster Bank PLC 5.395%, 4/02/97 .............. 9,999,197 8,000,000 Commerzbank AG London 5.540%, 4/04/97 ...................... 7,996,375 10,000,000 Deutsche Bank 6.065%, 9/12/97 .............................. 10,031,781 ------------ Total Certificates Of Deposit (Eurodollars) (Cost $38,025,211) 38,025,211 ------------ COMMERCIAL PAPER--81.0% AIRLINES--0.7% 5,000,000 International Lease Finance Corp. 5.330%, 2/03/97 .......... 4,975,571 ------------ AUTOMOTIVE & RELATED--9.3% 5,000,000 General Motors Acceptance Corp. 5.650%, 1/02/97 ............ 4,999,215 2,000,000 General Motors Acceptance Corp. 5.830%, 1/07/97 ............ 1,998,057 5,000,000 General Motors Acceptance Corp. 5.340%, 1/16/97 ............ 4,988,875 5,000,000 American Honda Finance 5.700%, 1/23/97 ..................... 4,982,583 4,500,000 General Motors Acceptance Corp. 5.400%, 1/27/97 ............ 4,482,645 5,000,000 Ford Motor Credit Co. 5.520%, 1/28/97 ...................... 4,979,300 3,500,000 American Honda Finance 5.700%, 1/30/97 ..................... 3,483,929 6,000,000 General Motors Acceptance Corp. 5.340%, 1/30/97 ............ 5,974,190 5,000,000 General Motors Acceptance Corp. 5.340%, 1/31/97 ............ 4,977,750 5,000,000 General Motors Acceptance Corp. 5.380%, 2/06/97 ............ 4,973,100 5,000,000 Ford Motor Credit Co. 5.310%, 2/27/97 ...................... 4,957,963 5,000,000 Ford Motor Credit Co. 5.340%, 3/28/97 ...................... 4,936,217 7,000,000 Ford Motor Credit Co. 5.280%, 8/27/97 ...................... 6,755,653 ------------ 62,489,477 ------------ BANKS--20.9% 10,000,000 UBS Finance Delaware, Inc. 8.000%, 1/02/97 ................. 9,997,778 10,000,000 Barclays Bank PLC 5.440%, 1/03/97 .......................... 9,996,978 5,000,000 BNP Canada 5.400%, 1/06/97 ................................. 4,996,250 3,500,000 BNP Canada 5.450%, 1/09/97 ................................. 3,495,761 7,000,000 Societe Generale Canada 5.370%, 1/22/97 .................... 6,978,072 4,000,000 BNP Canada 5.620%, 1/31/97 ................................. 3,981,267 5,000,000 Norwest Corp. 5.300%, 2/07/97 .............................. 4,972,764 9,650,000 Svenska Handelsbanken, Inc. 5.340%, 2/12/97 ................ 9,589,880 5,000,000 Commerzbank AG New York 5.400%, 3/03/97 .................... 4,954,250 13,000,000 Societe Generale Canada 5.420%, 3/05/97 .................... 12,876,695 4,000,000 BNP Canada 5.440%, 3/18/97 ................................. 3,954,062 4,700,000 Svenska Handelsbanken 5.450%, 3/24/97 ...................... 4,641,655 10,000,000 National Westminster Bank PLC 5.420%, 3/26/97 .............. 9,873,533 5,000,000 Svenska Handelsbanken, Inc. 5.330%, 3/26/97 ................ 4,937,817 10,000,000 National Westminster Bank PLC 5.460%, 4/01/97 .............. 9,863,500 3,000,000 Societe Generale Canada 5.400%, 4/07/97 .................... 2,956,800 5,000,000 Svenska Handelsbanken 5.330%, 4/30/97 ...................... 4,911,907 8,000,000 BNP Canada 5.320%, 5/01/97 ................................. 7,858,133 5,000,000 ABN Amro 5.420%, 5/30/97 ................................... 4,887,836 8,000,000 BNP Canada 5.350%, 6/10/97 ................................. 7,809,778 7,000,000 ABN Amro Bank NV New York 5.410%, 9/19/97 .................. 6,725,444 ------------ 140,260,160 ------------ DIVERSIFIED CONGLOMERATES--2.5% 3,000,000 USAA Capital Corp. 5.320%, 2/03/97 ......................... 2,985,370 7,000,000 USAA Capital Corp. 5.450%, 2/21/97 ......................... 6,945,954 6,500,000 USAA Capital Corp. 5.320%, 2/25/97 ......................... 6,447,170 ------------ 16,378,494 ------------ DRUGS--1.6% 6,000,000 American Home Products Corp. 5.330%, 1/28/97 ............... 5,976,015 5,000,000 American Home Products Corp. 5.320%, 2/10/97 ............... 4,970,445 ------------ 10,946,460 ------------ FINANCE--22.1% 5,000,000 Household Finance Corp. 5.430%, 1/07/97 .................... 4,995,475 5,000,000 Heller Financial, Inc. 5.400%, 1/09/97 ..................... 4,994,000 6,000,000 General Electric Capital Corp. 5.390%, 1/10/97 ............. 5,991,915 8,000,000 Transamerica Financial Group 5.410%, 1/14/97 ............... 7,984,371 5,000,000 General Electric Capital Corp. 5.580%, 1/16/97 ............. 4,988,375 5,000,000 Avco Financial Services, Inc. 5.330%, 1/17/97 .............. 4,988,156 10,000,000 Barclays Bank PLC New York 5.620%, 1/21/97 ................. 10,000,040 5,000,000 Household Finance Corp. 5.370%, 1/21/97 .................... 4,985,083 6,525,000 Transamerica Financial Group 5.550%, 1/22/97 ............... 6,503,875 5,000,000 Heller Financial, Inc. 5.430%, 1/24/97 ..................... 4,982,654 7,000,000 Household Finance Corp. 5.320%, 1/24/97 .................... 6,976,208 5,000,000 Household Finance Corp. 5.320%, 1/27/97 .................... 4,980,789 6,000,000 Heller Financial, Inc. 5.530%, 1/29/97 ..................... 5,974,193 5,000,000 Household Finance Corp. 5.350%, 2/06/97 .................... 4,973,250 5,000,000 General Electric Capital Corp. 5.600%, 2/10/97 ............. 4,968,889 5,000,000 Beneficial Corporation 5.470%, 2/24/97 ..................... 4,958,975 4,000,000 General Electric Capital Corp. 5.600%, 2/24/97 ............. 3,966,400 5,000,000 Avco Financial Services, Inc. 5.310%, 2/28/97 .............. 4,957,225 8,000,000 Heller Financial, Inc. 5.440%, 2/28/97 ..................... 7,929,885 8,000,000 Avco Financial Services, Inc. 5.290%, 3/24/97 .............. 7,903,604 5,000,000 Beneficial Corporation 5.300%, 3/31/97 ..................... 4,934,486 5,000,000 American Express Credit Corp. 5.280%, 4/11/97 .............. 4,926,667 8,000,000 American Express Credit Corp. 5.280%, 6/16/97 .............. 7,805,227 7,000,000 General Electric Capital Corp. 5.360%, 6/16/97 ............. 6,826,991 6,000,000 American Express Credit Corp. 5.280%, 6/24/97 .............. 5,846,880 ------------ 148,343,613 ------------ FOOD-AGRIBUSINESS--1.5% 10,000,000 Canadian Wheat Board 5.430%, 3/13/97 ....................... 9,892,907 ------------ GAS EXPLORATION--0.9% 6,000,000 BP America, Inc. 6.750%, 1/02/97 ........................... 5,998,875 ------------ INSURANCE--1.5% 5,000,000 Prudential Funding Corp. 5.430%, 1/15/97 ................... 4,989,441 5,000,000 American General Corp. 5.410%, 1/17/97 ..................... 4,987,978 ------------ 9,977,419 ------------ SECURITIES--15.1% 5,000,000 Merrill Lynch & Co. 5.600%, 1/06/97 ........................ 4,996,111 5,000,000 Lehman Brothers Holdings, Inc. 5.500%, 1/13/97 ............. 4,990,833 7,000,000 Lehman Brothers Holdings, Inc. 5.500%, 1/14/97 ............. 6,986,097 7,000,000 Merrill Lynch & Co. 5.440%, 1/23/97 ........................ 6,976,729 5,000,000 Merrill Lynch & Co. 5.450%, 1/23/97 ........................ 4,983,347 6,000,000 Merrill Lynch & Co. 5.440%, 1/24/97 ........................ 5,979,147 5,000,000 Lehman Brothers Holdings, Inc. 5.700%, 1/27/97 ............. 4,979,417 4,500,000 Merrill Lynch & Co. 5.350%, 1/29/97 ........................ 4,481,275 5,000,000 Lehman Brothers Holdings, Inc. 5.700%, 1/30/97 ............. 4,977,042 10,000,000 Morgan Stanley Group, Inc. 5.320%, 2/05/97 ................. 9,948,278 10,000,000 Goldman Sachs Group 5.420%, 2/07/97 ........................ 9,944,294 5,000,000 Goldman Sachs Group 5.330%, 2/14/97 ........................ 4,967,428 5,383,000 Lehman Brothers Holdings, Inc. 5.700%, 2/14/97 ............. 5,345,498 5,000,000 Merrill Lynch & Co. 5.300%, 3/19/97 ........................ 4,943,319 7,000,000 Goldman Sachs Group 5.300%, 5/05/97 ........................ 6,872,211 10,000,000 Goldman Sachs Group 5.320%, 7/07/97 ........................ 9,723,656 ------------ 101,094,682 ------------ TRUCKING & FREIGHT FORWARDING--1.5% 5,000,000 Paccar Financial Corp. 5.430%, 2/24/97 ..................... 4,959,275 5,000,000 Paccar Financial Corp. 5.400%, 6/13/97 ..................... 4,877,750 ------------ 9,837,025 ------------ UTILITIES--1.9% 5,500,000 Bell Atlantic Financial Services 5.850%, 1/08/97 ........... 5,493,744 7,000,000 Southern California Edison Co. 5.330%, 1/13/97 ............. 6,987,563 ------------ 12,481,307 ------------ Total Commercial Paper (Cost $532,675,990) ................. 532,675,990 ------------ Total Investments-99.5% (Cost $666,622,623) (b) ............. 666,622,623 Other assets less liabilities .............................. 3,477,677 ------------ Total Net Assets-100% ....................................... $670,100,300 ============ (a) See Note 1a. (b) The aggregate cost for federal income tax purposes was $666,622,623.
Percentage of Net Assets invested in obligations of foreign banks or foreign branches of U.S. Banks at December 31, 1996: Canada 1.49% Japan 5.96% France 9.24% Netherlands 2.78% Germany 7.46% Sweden 3.59% Great Britain 7.24% Switzerland 2.24% See accompanying notes to financial statements. - ------------------------------------------------------------------------------- CASH MANAGEMENT TRUST -- U.S. GOVERNMENT SERIES - ------------------------------------------------------------------------------- Investments as of December 31, 1996 (Unaudited) INVESTMENTS--100.6% OF TOTAL NET ASSETS
FACE AMOUNT DESCRIPTION VALUE (A) - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT--52.2% $ 9,000,000 United States Treasury Bills 5.265%, 1/09/97 ............... $ 8,989,470 2,500,000 United States Treasury Bills 4.980%, 1/16/97 ............... 2,494,813 5,000,000 United States Treasury Bills 5.295%, 3/20/97 ............... 4,942,637 3,000,000 United States Treasury Bills 5.445%, 5/29/97 ............... 2,932,845 4,000,000 United States Treasury Bills 5.090%, 7/24/97 ............... 3,884,627 3,000,000 United States Treasury Bills 5.145%, 10/16/97 .............. 2,876,520 4,000,000 United States Treasury Bills 5.140%, 11/13/97 .............. 3,819,529 3,000,000 United States Treasury Bills 5.190%, 11/13/97 .............. 2,863,330 ----------- 32,803,771 ------------ REPURCHASE AGREEMENTS--48.4% 15,400,000 Repurchase agreement with Goldman Sachs dated 12/31/96 at 6.450% to be repurchased at $15,405,518 on 1/02/97. Collateralized by $14,120,000 U.S. Treasury Bonds 4.625% due 11/15/22 valued at $15,728,000 ....................... 15,400,000 15,000,000 Repurchase agreement with Merrill Lynch dated 12/31/96 at 6.400% to be repurchased at $15,005,333 on 1/02/97. Collateralized by $15,075,000 U.S. Treasury Note 5.875% due 3/31/99 valued at $15,308,000 ............................ 15,000,000 ----------- 30,400,000 ----------- Total Investments--100.6% (Identified Cost $63,203,771) (b) 63,203,771 Other assets less liabilities .............................. (360,131) ----------- Total Net Assets--100% ...................................... $62,843,640 =========== (a) See Note 1a. (b) The aggregate cost for federal income tax purposes was $63,203,771.
See accompanying notes to financial statements. - ------------------------------------------------------------------------------- TAX EXEMPT MONEY MARKET TRUST - ------------------------------------------------------------------------------- Investments as of December 31, 1996 (Unaudited) TAX EXEMPT OBLIGATIONS -- 99.2% OF TOTAL NET ASSETS
FACE AMOUNT DESCRIPTION VALUE (a) - --------------------------------------------------------------------------------------------- ALABAMA--1.1% $ 800,000 Athens Industrial Development Board Revenue, Floating Rate 4.300% (b) ............................................... $ 800,000 ----------- CALIFORNIA--8.1% 1,200,000 San Bernadino Multifamily, Floating Rate 4.250% (b) ........ 1,200,000 2,000,000 California State, 4.500%, 6/30/97 .......................... 2,005,027 2,500,000 Contra Costa Community College, 4.500%, 6/30/97 ............ 2,508,308 ----------- 5,713,335 ----------- DISTRICT OF COLUMBIA--4.4% 3,100,000 District of Columbia, Floating Rate 5.100% (b) ............. 3,100,000 ----------- FLORIDA--13.1% 3,100,000 Broward County Multi Family Housing, Floating Rate 4.300% (b) 3,100,000 2,500,000 Dade County Special Obligation, Floating Rate 4.450% (b) ... 2,500,000 500,000 Alachua County Health Facilities Authority, 3.900%, 1/06/97 500,000 500,000 Florida Municipal Power Agency, 3.700%, 1/08/97 ............ 500,000 600,000 Alachua County Health Facilities Authority, 3.600%, 2/10/97 600,000 600,000 Alachua County Health Facilities Authority, 3.700%, 3/07/97 600,000 500,000 Alachua County Health Facilities Authority, 3.550%, 4/04/97 500,000 1,000,000 Alachua County Health Facilities Authority, 3.600%, 4/07/97 1,000,000 ----------- 9,300,000 ----------- HAWAII--8.2% 2,410,000 Hawaii State Department of Budget & Finance, Floating Rate 4.750% (b) ............................................... 2,410,000 3,400,000 Hawaii State Housing Finance & Development Corp., Floating Rate 4.200% (b) .......................................... 3,400,000 ----------- 5,810,000 ----------- ILLINOIS--13.4% 600,000 Elmhurst Revenue, Floating Rate 4.300% (b) ................. 600,000 3,000,000 Illinois Health Facilities Authority Revenue, Floating Rate 4.750% (b) ............................................... 3,000,000 1,000,000 Illinois Health Facilities Authority Revenue Series D, Floating Rate 4.150% (b) ................................. 1,000,000 1,900,000 Jackson/Union Counties, Floating Rate 4.150% (b) ........... 1,900,000 3,000,000 Saint Charles Industrial Development Revenue, Floating Rate 4.150% (b) ............................................... 3,000,000 ----------- 9,500,000 ----------- INDIANA--5.4% 1,300,000 Fort Wayne Hospital Authority Revenue, Floating Rate 4.150%(b) 1,300,000 1,500,000 Fort Wayne Hospital Authority Revenue Series B, Floating Rate 4.150% (b) ............................................... 1,500,000 1,035,000 Rockport Pollution Control Revenue, Floating Rate 4.150% (b) 1,035,000 ----------- 3,835,000 ----------- IOWA--7.6% 3,000,000 Iowa School Corps Warrant Certificates, 4.750%, 6/27/97 .... 3,011,187 2,365,000 Iowa Municipalities Workers Bond Anticipation Notes, 4.100%, 7/01/97 .................................................. 2,365,000 ----------- 5,376,187 ----------- KENTUCKY--1.4% 1,000,000 Mayfield Multi City Lease, Floating Rate 4.300% (b) ........ 1,000,000 ----------- LOUISIANA--4.4% 3,100,000 Louisiana Public Facilities Hospital Authority, Floating Rate 4.450% (b) ............................................... 3,100,000 ----------- MARYLAND--3.5% 2,500,000 Maryland State Health & Higher Educational Facilities, Floating Rate 4.000% (b) ................................. 2,500,000 ----------- MINNESOTA--6.6% 1,770,000 Mendota Heights, Floating Rate 4.350% (b) .................. 1,770,000 1,185,000 Mendota Heights Housing Mortgage Revenue, Floating Rate 4.350% (b) ............................................... 1,185,000 1,700,000 St. Paul Housing & Redevelopment Authority, Floating Rate 4.350% (b) ............................................... 1,700,000 ----------- 4,655,000 ----------- MISSISSIPI--1.5% 1,015,000 Tupelo Mississippi Water & Sewer Revenue, 6.250%, 8/01/97 .. 1,029,847 ----------- MONTANA--1.7% 1,200,000 Forsyth Pollution Control Revenue, Floating Rate 4.700% (b) 1,200,000 ----------- NEW YORK--0.9% 600,000 New York City, Floating Rate 4.500% (b) .................... 600,000 ----------- OHIO--3.5% 2,500,000 Montgomery County Hospital Revenue, Floating Rate 3.550% (b) 2,500,000 ----------- OKLAHOMA--0.8% 570,000 Norman Regional Hospital Authority Hospital, 3.850%, 9/01/97 570,000 ----------- PENNSYLVANIA--4.2% 3,000,000 Emmaus General Authority Revenue, Floating Rate 4.150% (b) . 3,000,000 ----------- SOUTH CAROLINA--0.8% 600,000 Charleston County Industrial Revenue, Floating Rate 5.000%(b) 600,000 ----------- TEXAS--4.7% 1,325,000 Nueces County Health Facilities, Floating Rate 4.150% (b) .. 1,325,000 2,000,000 Texas State, 4.750%, 8/29/97 ............................... 2,010,114 ----------- 3,335,114 ----------- WASHINGTON--2.1% 1,500,000 Snohomish County Public Utilities, 4.450%, 1/01/97 ......... 1,500,000 ----------- WEST VIRGINIA--0.4% 295,000 West Virginia State, 5.000%, 11/01/97 ...................... 297,616 ----------- WISCONSIN--1.4% 1,000,000 Wisconsin State Health & Educational Facilities, 4.250%, 6/01/97 .................................................. 1,001,602 ----------- Total Investments--99.2% (Cost $70,323,701) (c) ............. $70,323,701 Other assets less liabilities ............................... 547,464 ----------- Total Net Assets-100% ....................................... $70,871,165 =========== (a) See Note 1a. (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 $70,323,701.
See accompanying notes to financial statements. - ------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES - ------------------------------------------------------------------------------- December 31, 1996 (unaudited)
CASH MANAGEMENT TRUST ------------------------------------- TAX EXEMPT MONEY MARKET U.S. GOVERNMENT MONEY MARKET SERIES SERIES TRUST ---------------- ------------------- --------------- ASSETS Investments at value Securities .............................. $666,622,623 $32,803,771 $70,323,701 Repurchase agreements ................... -- 30,400,000 -- ------------ ----------- ----------- Total investments ......................... 666,622,623 63,203,771 70,323,701 Cash ...................................... 839,942 48,430 39,992 Receivable for: Shares of the Trust sold ................ 8,012,418 82,346 314,395 Accrued Interest ........................ 1,957,081 5,425 497,684 Prepaid registration ...................... 2,000 2,000 7,000 ------------ ----------- ----------- 677,434,064 63,341,972 71,182,772 ------------ ----------- ----------- LIABILITIES Payable for: Shares of the Trust redeemed ............ 6,440,242 394,016 184,686 Dividends declared ...................... 342,909 31,992 27,101 Accrued expenses: Management fees ......................... 237,784 22,294 -- Deferred trustees' fees ................. 32,538 29,931 34,729 Accounting and administrative fees ...... 7,773 -- 1,944 Other expenses .......................... 272,518 20,099 63,147 ------------ ----------- ----------- 7,333,764 498,332 311,607 ------------ ----------- ----------- NET ASSETS .................................. $670,100,300 $62,843,640 $70,871,165 ============ =========== =========== Net Assets consist of: Capital paid in Class A shares .......... $660,424,931 $61,819,215 $70,407,169 Capital paid in Class B shares .......... 9,560,463 963,484 463,996 Undistributed realized gain ............. 114,906 60,941 -- ------------ ----------- ----------- NET ASSETS .................................. $670,100,300 $62,843,640 $70,871,165 ============ =========== =========== Shares of beneficial interest outstanding, no par value Class A shares ............................ 660,424,770 61,819,215 70,407,168 Class B shares ............................ 9,560,463 963,484 463,996 ------------ ----------- ----------- Shares of beneficial interest outstanding ... 669,985,233 62,782,699 70,871,164 ============ =========== =========== Net asset value per share Class A and Class B shares* $1.00 $1.00 $1.00 ===== ===== ===== Cost of investments ......................... $666,622,623 $63,203,771 $70,323,701 ============ =========== =========== * 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. - ------------------------------------------------------------------------------- STATEMENT OF OPERATIONS - ------------------------------------------------------------------------------- Year Ended December 31, 1996 (unaudited)
CASH MANAGEMENT TRUST ------------------------------------- TAX EXEMPT MONEY MARKET U.S. GOVERNMENT MONEY MARKET SERIES SERIES TRUST ---------------- ------------------- --------------- INVESTMENT INCOME Interest .................................. $18,612,793 $1,470,587 $1,239,370 ----------- ---------- ---------- Expenses Management fees ......................... $ 1,413,071 $ 117,372 $ 135,361 Trustees' fees .......................... 12,143 8,424 8,345 Accounting and Administrative ........... 80,338 21,804 1,656 Custodian ............................... 57,415 11,525 17,753 Transfer agent .......................... 1,291,119 56,401 60,576 Audit and tax services .................. 13,500 13,500 14,500 Legal ................................... 12,863 12,171 12,863 Printing ................................ 116,292 5,572 5,034 Registration ............................ 32,241 33,346 23,864 Insurance ............................... 4,169 375 439 Miscellaneous ........................... 65,389 5,653 2,554 ----------- ---------- ---------- Total Expenses .......................... 3,098,540 286,143 282,945 Less -- waiver of fee by investment adviser or distributor -- (21,804) (92,589) ----------- ---------- ---------- REALIZED LOSS ON INVESTMENTS - NET .......... (158) 0 0 ----------- ---------- ---------- NET INCREASE IN NET ASSETS FROM OPERATIONS .. $15,514,095 $1,206,248 $1,049,014 =========== ========== ==========
See accompanying notes to financial statements. - ------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------- (unaudited)
CASH MANAGEMENT TRUST ------------------------------------------------------------------- TAX EXEMPT MONEY MARKET SERIES U.S. GOVERNMENT MONEY MARKET TRUST ---------------------------------- ------------------------------- ----------------------------- SIX MONTHS SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1996 1996 1996 1996 1996 1996 ----------------- -------------- -------------- ------------- -------------- ------------- FROM OPERATIONS Net investment income .... $ 32,127,993 $ 15,514,253 $ 2,750,073 $ 1,206,248 $ 2,186,497 $ 1,049,014 Net realized gain (loss) from investments ....... 118,639 (158) 60,941 0 (44) 0 --------------- ------------- ------------- ------------ ------------- ------------ Increase in net assets from operations ........ 32,246,632 15,514,095 2,811,014 1,206,248 2,186,453 1,049,014 --------------- ------------- ------------- ------------ ------------- ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS Net investment income .. (32,127,993) (15,514,092) (2,750,073) (1,206,248) (2,186,453) (1,049,013) Realized loss on investments .......... (3,574) 0 0 0 0 0 --------------- ------------- ------------- ------------ ------------- ------------ (32,131,567) (15,514,092) (2,750,073) (1,206,248) (2,186,453) (1,049,013) --------------- ------------- ------------- ------------ ------------- ------------ FROM CAPITAL SHARE TRANSACTIONS Proceeds from the sale of shares ................. 1,049,919,978 526,902,746 96,446,537 52,011,200 96,882,833 46,948,771 Net asset value of shares issued in connection with the reinvestment of dividends from net investment income ...... 31,392,637 14,818,593 2,691,937 1,148,763 2,152,160 1,007,591 Cost of shares redeemed .. (1,067,615,550) (535,241,628) (106,394,965) (42,863,266) (101,935,023) (41,982,481) --------------- ------------- ------------- ------------ ------------- ------------ Increase (decrease) in net assets derived from capital share transactions ........... 13,697,065 6,479,711 (7,256,491) 10,296,697 (2,900,030) 5,973,881 --------------- ------------- ------------- ------------ ------------- ------------ Total increase (decrease) in net assets .......... 13,812,130 6,479,714 (7,195,550) 10,296,697 (2,900,030) 5,973,882 NET ASSETS Beginning of the period .. 649,808,456 663,620,586 59,742,493 52,546,943 67,797,313 64,897,283 --------------- ------------- ------------- ------------ ------------- ------------ End of the period ........ $ 663,620,586 $ 670,100,300 $ 52,546,943 $ 62,843,640 $ 64,897,283 $ 70,871,165 =============== ============= ============= ============ ============= ============
See accompanying notes to financial statements. - ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------
FROM INVESTMENT OPERATIONS ---------------------------------- NET NET ASSET REALIZED AND TOTAL VALUE AT NET UNREALIZED FROM BEGINNING INVESTMENT GAIN ON INVESTMENT OF YEAR INCOME INVESTMENTS OPERATIONS ------------- -------------- ------------------ -------------- CASH MANAGEMENT TRUST--MONEY MARKET SERIES Year Ended June 30, 1992 .............................. $1.00 $0.0450 -- $0.0450 1993 .............................. 1.00 0.0275 -- 0.0275 1994 .............................. 1.00 0.0264 -- 0.0264 1995 .............................. 1.00 0.0469 -- 0.0469 1996 .............................. 1.00 0.0482 $0.0002 0.0484 Six Months Ended December 31, 1996 1.00 0.0226 -- 0.0226 CASH MANAGEMENT TRUST--U.S. GOVERNMENT SERIES Year Ended June 30, 1992 .............................. 1.00 0.0449 -- 0.0449 1993 .............................. 1.00 0.0271 -- 0.0271 1994 .............................. 1.00 0.0257 -- 0.0257 1995 .............................. 1.00 0.0454 -- 0.0454 1996 .............................. 1.00 0.0465 0.001 0.0475 Six Months Ended December 31, 1996 1.00 0.0215 -- 0.0215 TAX EXEMPT MONEY MARKET TRUST Year Ended June 30, 1992 .............................. 1.00 0.0337 -- 0.0337 1993 .............................. 1.00 0.0214 -- 0.0214 1994 .............................. 1.00 0.0208 -- 0.0208 1995 .............................. 1.00 0.0314 -- 0.0314 1996 .............................. 1.00 0.0327 -- 0.0327 Six Months Ended December 31, 1996 1.00 0.0152 -- 0.0152 (a) Including net realized gain on investments. (b) In the case of the Tax Exempt Money Market Trust 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 0.76%, 0.83%, 0.89%, 0.85% and 0.90% for the years ended June 30, 1992, 1993, 1994, 1995, 1996 and 0.84% for the six months ended December 31, 1996. (c) Computed on an annualized basis.
See accompanying notes to financial statements. - ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS -- continued - -------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA ---------------------------------------------- LESS DISTRIBUTIONS RATIO OF RATIO OF - ------------------------------------------- NET NET OPERATING NET DIVIDENDS ASSET ASSETS EXPENSES TO INCOME TO FROM NET VALUE AT TOTAL END OF AVERAGE AVERAGE INVESTMENT TOTAL END OF RETURN YEAR NET ASSETS NET ASSETS INCOME DISTRIBUTIONS YEAR (%) (000) (%)(B) (%) - ------------------------ ----------------- ------------ ---------- ------------- --------------- -------------- $(0.0450) $(0.0450) $1.00 4.58 $925,077 0.73 4.56 (0.0275) (0.0275) 1.00 2.84 775,914 0.79 2.78 (0.0264) (0.0264) 1.00 2.68 699,369 0.84 2.65 (0.0469) (0.0469) 1.00 4.79 649,808 0.88 4.67 (0.0484)(a) (0.0484) 1.00 4.95 663,621 0.90 4.85 (0.0226) (0.0226) 1.00 4.73(c) 670,100 0.92(c) 4.67(c) (0.0449) (0.0449) 1.00 4.57 79,218 0.73 4.50 (0.0271) (0.0271) 1.00 2.80 64,595 0.78 2.73 (0.0257) (0.0257) 1.00 2.60 58,963 0.84 2.54 (0.0454) (0.0454) 1.00 4.64 59,742 0.92 4.53 (0.0475) (0.0475) 1.00 4.86 52,547 0.93 4.80 (0.0215) (0.0215) 1.00 4.49(c) 62,844 0.96(c) 4.63(c) (0.0337) (0.0337) 1.00 3.41 65,753 0.56 3.38 (0.0214) (0.0214) 1.00 2.20 56,555 0.56 2.14 (0.0208) (0.0208) 1.00 2.10 66,620 0.56 2.08 (0.0314) (0.0314) 1.00 3.18 67,797 0.56 3.15 (0.0327) (0.0327) 1.00 3.32 64,897 0.56 3.29 (0.0152) (0.0152) 1.00 3.17(c) 70,781 0.56(c) 3.13(c)
See accompanying notes to financial statements. - ------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - ------------------------------------------------------------------------------- December 31, 1996 (unaudited) 1. SIGNIFICANT ACCOUNTING POLICIES. New England Cash Management Trust and New England Tax Exempt Money Market Trust (the "Trusts") are registered under the Investment Company Act of 1940, as amended, as diversified, open-end investment companies. NEW ENGLAND CASH MANAGEMENT TRUST -- The Trust's Agreement and Declaration of Trust permits the issuance of an unlimited number of shares of beneficial interest, no par value, in separate Series, with shares of each Series representing interests in a separate portfolio of assets. Effective September 13, 1993, each Series began offering two classes of shares, Class A and Class B, in order to enable investors in either class of the New England Stock or Bond Funds to invest in money market shares. Class A and B shares are identical except that Class B shares may be subject to a contingent deferred sales charge upon redemption if the shares were acquired by exchange of Class B shares of a stock or bond fund. Each Series is separately managed and has its own objectives and policies. The Trust is comprised of the Money Market Series and the U.S. Government Series. NEW ENGLAND 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 New England Stock or Bond Funds to invest in money market shares. Class A and B shares are identical except that Class B shares may be subject to a contingent deferred sales charge upon redemption if the shares were acquired by exchange of 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 generally accepted accounting principles 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 amortizing any discount or 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. Back Bay Advisors, L.P. ("Back Bay Advisors") is responsible for determining that the value of the collateral is at all times at least equal to the repurchase price. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters an insolvency proceeding, realization of the collateral by the Trusts may be delayed or limited. 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 securities is determined on the identified cost basis. D. WHEN-ISSUED SECURITIES. Delivery and payment for securities purchased on a when-issued or delayed delivery basis can take place one month or more after the date of the transaction. The securities so purchased are subject to market fluctuation during this period. At December 31, 1996, there were no when issued securities. E. FEDERAL INCOME TAXES. Each Series of the Cash Management Trust and the Tax Exempt Money Market Trust intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders all of its 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 fiscal year as tax exempt for federal income tax purposes. The Form 1099 you receive in January 1997 shows the tax status of all distributions paid to your account in calendar year 1996. F. DIVIDENDS 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. G. 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 For the six months ended December 31, 1996: NEW ENGLAND CASH MANAGEMENT TRUST -- Purchase and sales or maturities of short-term obligations, including securities purchased subject to repurchase agreements, aggregated $2,344,629,647 and $2,355,274,703, respectively, for the Money Market Series. Purchases and sales or maturities of United States government obligations, including securities purchased subject to repurchase agreements, aggregated $3,106,319,612 and $3,095,650,000, respectively, for the U.S. Government Series. NEW ENGLAND TAX EXEMPT MONEY MARKET TRUST -- Purchases and sales or maturities of short-term obligations aggregated $103,266,023 and $99,785,000, 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, 1996, the Trusts incurred management fees payable to the Trusts' investment adviser, New England Funds Management L.P. ("NEFM") and Subadviser, Back Bay Advisors. Certain officers and directors of NEFM are also officers and trustees of the Trusts. NEFM and Back Bay Advisors are wholly-owned subsidiaries of New England Investment Companies, L.P. ("NEIC") which is a subsidiary of Metropolitan Life Insurance Company ("MetLife"). NEW ENGLAND CASH MANAGEMENT TRUST Under the management agreements, each series pays to its investment adviser, NEFM, a monthly fee based on the annual percentage rates of the corresponding levels of that series' average daily net asset values set forth below: Under the same management agreements, NEFM pays to its investment subadviser, Back Bay Advisors, a monthly fee based on the annual percentage rates of the corresponding levels of that series' average daily net asset values set forth below:
ADVISORY FEES PAID BY NEFM TO THE SUBADVISER, BBA ADVISORY FEES PAID BY ---------------------------------------------------- THE SERIES TO NEFM CASH MANAGEMENT TRUST CASH MANAGEMENT TRUST ANNUAL PERCENTAGE RATE MONEY MARKET SERIES U.S. GOVERNMENT SERIES ---------------------- ------------------- ---------------------- the first $500 million ..... .4250% .2050% .2125% the next $500 million ...... .4000% .1800% .2000% the next $500 million ...... .3500% .1600% .1750% the next $500 million ...... .3000% .1400% .1500% amounts in excess of $2 billion ...... .2500% .1200% .1250%
FEES EARNED FROM MONEY MARKET SERIES $742,531 New England Funds Management, L.P. $670,540 Back Bay Advisors, L.P. FEES EARNED FROM U.S. GOVERNMENT SERIES $58,686 New England Funds Management, L.P. $58,686 Back Bay Advisors, L.P. NEW ENGLAND TAX EXEMPT MONEY MARKET TRUST The Trust pays management fees to its investment adviser, NEFM 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. NEFM pays the Trust's investment subadviser, Back Bay Advisors, 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 NEFM and Back Bay Advisors under the management agreements in effect during the six months ended December 31, 1996 are as follows: FEES EARNED - ----------- $67,680 New England Funds Management, L.P. $67,681 Back Bay Advisors, L.P. NEFM and Back Bay Advisors have voluntarily agreed, until further notice, to reduce the management fee and, if necessary, to assume Trust expenses in order to limit the expenses to 0.5625 of 1% of average net assets per year. As a result of exceeding the expense limitation, management fees for the six months ended December 31, 1996 were reduced by $46,295 and $46,294, respectively. B. ACCOUNTING AND ADMINISTRATIVE EXPENSE. New England Funds, L.P. ("New England Funds"), the Trusts' distributor, is a wholly owned subsidiary of NEIC and performs certain accounting and administrative services for the Trusts. Each Trust reimburses New England Funds for all or part of New England Funds' expenses of providing these services which include the following (i) expenses for personnel performing bookkeeping, accounting, internal auditing and financial reporting functions and clerical functions relating to the Trusts, (ii) expenses for services required in connection with the preparation of registration statements and prospectuses, shareholder reports and notices, proxy solicitation material furnished to shareholders of the Trusts or regulatory authorities and reports and questionnaires for SEC compliance, and (iii) registration, filing and other fees in connection with requirements of regulatory authorities. For the six months ended December 31, 1996, these expenses amounted to $80,338 for the Cash Management Trust Money Market, and $1,656 for the Tax Exempt Money Market Trust. New England Funds has voluntarily agreed to waive accounting and administrative fees for the Cash Management Trust U.S. Government Series until further notice. As a result of this voluntary waiver, New England Funds waived its entire fee of $21,804 for the six months ended December 31, 1996. C. TRANSFER AGENT FEES. New England Funds is the transfer and shareholder servicing agent for the Trusts. For the six months ended December 31, 1996, the New England Cash Management Trust Money Market Series, U.S. Government Series and Tax Exempt Money Market Trust paid $856,852, $41,249 and $37,158, respectively, to New England Funds as compensation for its services in that capacity. 4. TRUSTEES FEES AND EXPENSES. The Trusts do not pay any compensation to officers or trustees who are directors, officers, or employees of NEFM, NEIC, New England Funds or their affiliates, other than registered investment companies. Each disinterested trustee is compensated by each series of the Cash Management Trust and by the Tax Exempt Money Market Trust as follows:
U.S. GOV'T TAX EXEMPT MONEY MONEY MARKET SERIES SERIES MARKET TRUST ------------------- ------ ------------ Annual Retainer .................... $2,412 $1,451 $1,455 Meeting Fee ........................ $114/meeting $114/meeting $114/meeting Committee Meeting Fee .............. $68/meeting $68/meeting $68/meeting Committee Chairman Annual Retainer .................. $314 $26 $31
A deferred compensation plan is available to members of the boards of trustees. A trustee's participation in the plan is voluntary. Each participating trustee will receive an amount equal to the value that such deferred compensation would have been, had it been invested in the relevant series or Trust on the normal payment date. 5. CONCENTRATION OF CREDIT. The Tax Exempt Money Market Trust had the following industry concentrations in excess of 10% on December 31, 1996 as a percentage of the Trust's total net assets: Education (12.69%), Government (14.61%), Hospitals (28.93%), and Housing (17.43%). The Trust also had more than 10% of its total net assets invested in Florida (13.1%), Illinois (13.4%) and had more than 10% of its net assets backed by letters of credit with Sumitomo Bank (15.18%). (Logo) NEW ENGLAND FUNDS Where The Best Minds Meet(TM) --------------------- 399 Boylston Street Boston, Massachusetts 02116 --------------------- - --------------------- --------------------- [Logo] [Logo] QUALITY QUALITY TESTED SERVICE TESTED SERVICE 1995 1996 - --------------------- --------------------- DALBAR DALBAR HONORS COMMITMENT TO: HONORS COMMITMENT TO: INVESTORS INVESTORS - --------------------- --------------------- MM56-1296 [recycle symbol] Printed On Recycled Paper -----END PRIVACY-ENHANCED MESSAGE-----