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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08816
-----------------------------------------
Millennium Income Trust
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
140 South Dearborn Drive, Suite 1620 Chicago, Illinois 60603
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
James A. Casselberry, Jr.
Trias Capital Management, Inc. 140 South Dearborn Street Chicago, Illinois 60603
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 223-9400
----------------
Date of fiscal year end: September 30, 2004
---------------------------
Date of reporting period: March 31, 2004
---------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
================================================================================
MILLENNIUM INCOME TRUST
-----------------------
TREASURERS' GOVERNMENT
----------------------
MONEY MARKET FUND
-----------------
SEMI-ANNUAL REPORT
MARCH 31, 2004
(UNAUDITED)
INVESTMENT ADVISOR ADMINISTRATOR
------------------ -------------
BWN ADVISORS LP ULTIMUS FUND SOLUTIONS, LLC
840 Terminal Tower P.O. Box 46707
50 Public Square Cincinnati, OH 45246-0707
Cleveland, OH 44113 1.888.744.2337
================================================================================
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES - MARCH 31, 2004 (UNAUDITED)
================================================================================
ASSETS
Investments in securities, at amortized cost (Note 2) $ 2,062,571
Cash 718
Receivable from Investment Manager (Note 3) 11,503
Interest receivable 53
----------
Total Assets 2,074,845
----------
LIABILITIES
Dividends payable 104
Payable to administrator (Note 3) 5,000
Other accrued expenses 19,008
----------
Total Liabilities 24,112
----------
NET ASSETS $ 2,050,733
==========
NET ASSETS CONSIST OF:
Paid-in capital $ 2,077,500
Accumulated net realized losses from security transactions (26,767)
----------
NET ASSETS $ 2,050,733
==========
SHARES OF BENEFICIAL INTEREST OUTSTANDING (UNLIMITED
NUMBER OF SHARES AUTHORIZED, NO PAR VALUE) 2,050,733
==========
NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE
PER SHARE (Note 2) $ 1.00
==========
See accompanying notes to financial statements.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
================================================================================
INVESTMENT INCOME
Interest income $ 11,537
----------
EXPENSES
Professional fees 39,439
Administration, fund accounting, shareholder services and
transfer agent fees (Note 3) 30,000
Insurance expense 25,370
Trustees' fees and expenses 15,961
Investment management fees (Note 3) 2,380
----------
Total expenses 113,150
Fees waived and expenses reimbursed by the investment
advisor (Note 3) (108,986)
----------
Net expenses 4,164
----------
NET INVESTMENT INCOME 7,373
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,373
==========
See accompanying notes to financial statements.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
=============================================================================================
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2004 SEPTEMBER 30,
(UNAUDITED) 2003
----------- -----------
FROM OPERATIONS
Net investment income $ 7,373 $ 108,613
Net realized gains from security transactions -- 887
----------- -----------
Net increase in net assets resulting from operations 7,373 109,500
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (7,373) (108,613)
----------- -----------
CAPITAL CONTRIBUTION BY INTERIM SUB-ADVISOR (NOTE 3) 12,367 14,400
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (a)
Proceeds from shares sold 64,449 8,507,376
Net asset value of shares issued in reinvestment
of distributions to shareholders 6,612 91,172
Payments for shares redeemed (600,459) (24,569,504)
----------- -----------
Net decrease in net assets from capital
share transactions (529,398) (15,970,956)
----------- -----------
TOTAL DECREASE IN NET ASSETS (517,031) (15,955,669)
NET ASSETS
Beginning of period 2,567,764 18,523,433
----------- -----------
End of period $ 2,050,733 $ 2,567,764
=========== ===========
(a) Capital share transactions are identical to the dollar values shown.
See accompanying notes to financial statements.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
================================================================================================================================
Selected Per Share Data and Ratios for a Share Outstanding Throughout Each Period
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MARCH 31, 2004 SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
(UNAUDITED) 2003 2002 2001 2000 1999
---------- ---------- ---------- ---------- ---------- ----------
PER SHARE DATA
- --------------
Net asset value at beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Capital contribution by Interim
Sub-Advisor (Note 3) 0.00(a) 0.00(a) -- -- -- --
Net investment income 0.003 0.010 0.019 0.050 0.057 0.049
Dividends from net investment income (0.003) (0.010) (0.019) (0.050) (0.057) (0.049)
-------- -------- -------- -------- -------- --------
Net asset value at end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
TOTAL RETURN 0.31%(b)(c) 0.97%(b) 1.92% 5.08% 5.89% 5.03%
======== ======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net assets at end of period (000's) $ 2,051 $ 2,568 $ 18,523 $ 20,433 $ 17,252 $ 65,541
Ratios net of fees waived and expenses
reimbursed by investment advisor (Note 3)
Ratio of net expenses to average net asset 0.35%(d) 0.31% 0.29% 0.29% 0.25% 0.25%
Ratio of net investment income to average
net assets 0.62%(d) 1.08% 2.00% 4.79% 5.67% 4.92%
Ratios assuming no fees waived and expenses
reimbursed by investment advisor (Note 3)
Ratio of expenses to average net assets 9.54%(d) 1.80% 0.89% 0.78% 0.77% 0.69%
Ratio of net investment income (loss) to
average net assets -8.57%(d) -0.41% 1.40% 4.30% 5.15% 4.48%
(a) Amount rounds to less than $0.01 per share.
(b) Had the Interim Sub-Advisor not contributed capital to the Fund, the total
return would have been -0.69% (c) and -0.03% for the periods ended March
31, 2004 and September 30, 2003, respectively (Note 3).
(c) Not annualized.
(d) Annualized.
See accompanying notes to financial statements.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS - MARCH 31, 2004 (UNAUDITED)
=============================================================================================
FACE AMOUNT VALUE
----------- -----------
REPURCHASE AGREEMENTS (a) - 100.6%
Lehman Brothers, Inc.,
0.92%, dated 03/31/2004, due 04/01/2004
repurchase proceeds of $2,062,624 $ 2,062,571 $ 2,062,571
----------
TOTAL INVESTMENTS AT VALUE (Amortized Cost $2,062,571) $ 2,062,571
OTHER LIABILITIES IN EXCESS OF ASSETS - (0.6%) (11,838)
----------
NET ASSETS - 100.0% $ 2,050,733
==========
(a) Repurchase agreements are fully collateralized by U.S. Government agency securities.
See accompanying notes to financial statements.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2004 (UNAUDITED)
================================================================================
1. ORGANIZATION
The Millennium Income Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, as an open-end diversified
management investment company. The Trust was established as a Massachusetts
business trust under a Declaration of Trust dated August 19, 1994. The
Trust consists of one series, the Treasurers' Government Money Market Fund
(the "Fund"). The Fund's investment objective is to seek high current
income consistent with stability of capital and liquidity by investing in a
portfolio of U.S. Government securities.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Fund's significant accounting policies:
SECURITY VALUATION - Securities are valued on an amortized cost basis,
which approximates market value. This involves initially valuing a security
at its original cost and thereafter assuming a constant amortization to
maturity of any discount or premium.
SHARE VALUATION - The net asset value per share of the Fund is calculated
daily by dividing the total value of the Fund's assets, less liabilities,
by the number of shares outstanding.
INVESTMENT INCOME - Interest income is accrued as earned and includes,
where applicable, the pro-rata amortization of premium or accretion of
discount.
DISTRIBUTIONS TO SHAREHOLDERS - Dividends from net investment income are
declared daily and paid on the last business day of each month. Net
realized short-term capital gains, if any, may be distributed throughout
the year and net realized long-term capital gains, if any, are distributed
at least once each year. Income distributions and capital gain
distributions are determined in accordance with income tax regulations
which may differ from accounting principles generally accepted in the
United States. For the periods ended March 31, 2004 and September 30, 2003,
there were no differences between the book basis and tax basis of
distributions.
SECURITY TRANSACTIONS - Investment transactions are accounted for on the
trade date. Securities sold are determined on a specific identification
basis.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2004 (UNAUDITED) (Continued)
================================================================================
REPURCHASE AGREEMENTS - Repurchase agreements are collateralized by U.S.
Government securities and are valued at cost, which, together with accrued
interest, approximates market. Collateral for repurchase agreements is held
in safekeeping in the Fund's custodian customer-only account at the Federal
Reserve Bank of Cleveland. At the time the Fund enters into a repurchase
agreement, the seller agrees that the value of the underlying securities,
including accrued interest, will be equal to or exceed the face amount of
the repurchase agreement. In the event of a bankruptcy or other default of
the seller of a repurchase agreement, the Fund could experience both delays
in liquidating the underlying security and losses. These losses would equal
the face amount of the repurchase agreement(s) and accrued interest, net of
any proceeds received in liquidation of the underlying securities. To
minimize the possibility of loss, the Fund enters into repurchase
agreements only with institutions deemed to be creditworthy under
guidelines established by the Board of Trustees.
ESTIMATES - The preparation of financial statements in conformity with
accounting principles generally accepted in the United States requires
management to make estimates and assumptions that affect the reported
amount of assets and liabilities at the date of the financial statements
and the reported amount of income and expenses during the reporting period.
Actual results could differ from these estimates.
FEDERAL INCOME TAX - It is the Fund's policy to comply with the special
provisions of Subchapter M of the Internal Revenue Code applicable to
regulated investment companies. As provided therein, in any fiscal year in
which a Fund so qualifies and distributes at least 90% of its taxable net
income, the Fund (but not the shareholders) will be relieved of federal
income tax on the income distributed. Accordingly, no provision for income
taxes has been made.
In order to avoid imposition of the excise tax applicable to regulated
investment companies, it is also the Fund's intention to declare and pay as
dividends in each calendar year at least 98% of its net investment income
(earned during the calendar year) and 98% of its net realized capital gains
(earned during the twelve months ended October 31) plus undistributed
amounts from prior years.
The following information is computed on a tax basis for each item as of
March 31, 2004:
Cost of portfolio investments $ 2,062,571
===================
Capital loss carryforwards $ (26,767)
-------------------
Accumulated deficit $ (26,767)
===================
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2004 (UNAUDITED) (Continued)
================================================================================
The capital loss carryforwards as of September 30, 2003 in the table above
expire as follows:
Amount Expires September 30,
--------- ---------------------
$ 19,379 2008
2,476 2009
3,986 2010
926 2011
---------
$ 26,767
=========
The capital loss carryforwards may be utilized in the current and future
years to offset net realized capital gains, if any, prior to distributing
such gains to shareholders.
3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
The President of the Trust is the chairman and controlling shareholder of
Trias Capital Management, Inc. ("Trias"), the Trust's interim sub-advisor.
Certain other officers of the Trust are officers of Ultimus Fund Solutions,
LLC ("Ultimus"), the Trust's administrator.
INTERIM ADVISORY AGREEMENT
Effective January 29, 2004, the Fund's investments are managed by BWN
Advisors LP ("BWN") pursuant to the terms of an Interim Advisory Agreement
("Agreement"). The terms of the Agreement include (i) a maximum term of 150
days, (ii) the Trustees or a majority of the Fund's outstanding shares may
terminate the agreement at any time, without penalty, on not more than 10
days' written notice and (iii) any compensation BWN earns under the
Agreement will be held in an interest-bearing account with the Trust's
custodian, which will be paid to BWN at the end of the interim period
should shareholders approve final arrangements between the Trust and BWN.
Additionally, Under the terms of the Agreement, the Fund pays BWN a fee,
which is computed and accrued daily and paid monthly at the annual rate of
.20% of its average daily net assets. Prior to January 29, 2004, the Fund's
investments were managed by Trias pursuant to the terms of a Management
Agreement. Under the terms of the Management Agreement, the Fund paid Trias
a fee, which was computed and accrued daily and paid monthly at the annual
rate of .20% of its average daily net assets.
INTERIM SUB-ADVISORY AGREEMENT
Effective January 29, 2004, an Interim Sub-Advisory Agreement was approved
by the Board of Trustees between BWN and Trias. Under the terms of the
Interim Sub-Advisory Agreement, BWN is responsible for compensating Trias
for its sub-advisory services. As a result of these interim arrangements,
the Fund's portfolio is managed on a day-to-day basis by Trias.
MILLENNIUM INCOME TRUST
TREASURERS' GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2004 (UNAUDITED) (Continued)
================================================================================
In order to reduce the Fund's operating expenses during the period ended
March 31, 2004, BWN and Trias, when respectively serving as the Fund's
investment advisors, voluntarily waived all of their investment management
fees and reimbursed the Fund for other operating expenses in order to limit
the Fund's total expense ratio to .35% of average daily net assets. During
the six months ended March 31, 2004, the total of such fee waivers and
expense reimbursements was $108,986. As of March 31, 2004, BWN owed the
Fund $11,503 for expense reimbursements.
Additionally, during the six months ended March 31, 2004, Trias made a
$12,367 capital contribution to the Fund to offset the effect of realized
losses incurred by the Fund. The effect of this contribution was to
increase the Fund's total return by 1.00% for the six months ended March
31, 2004.
MUTUAL FUND SERVICES AGREEMENT
Under the terms of a Mutual Fund Services Agreement, Ultimus provides
administrative, fund accounting and pricing, and transfer agent and
shareholder services to the Fund. For these services, Ultimus receives a
base fee of $5,000 per month, plus an asset-based fee equal to the annual
rate of 0.10% of the Fund's average net assets in excess of $50 million but
less than $250 million; 0.075% of such assets in excess of $250 million but
less than $500 million; and 0.05% of such assets in excess of $500 million.
During the six months ended March 31, 2004, Ultimus was paid $30,000 under
the Mutual Fund Services Agreement.
4. SUBSEQUENT EVENT
On April 29, 2004, the Board of Trustees of the Trust unanimously voted to
terminate the public offering of shares of the Fund. Effective April 30,
2004, all shares of the Fund had been liquidated and the Fund ceased
operations.
ITEM 2. CODE OF ETHICS.
Not required
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has no procedures by which shareholders may recommend nominees to
the registrant's board of trustees.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Based on his evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 301-2(c) under the Investment Company Act of
1940), the registrant's principal executive officer and principal financial
officer has concluded that such disclosure controls and procedures are
reasonably designed and are operating effectively to ensure that material
information relating to the registrant, including its consolidated subsidiaries,
is made known to him by others within those entities, particularly during the
period in which this report is being prepared, and that the information required
in filings on Form N-CSR is recorded, processed, summarized, and reported on a
timely basis.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's most recent fiscal
half-year (the registrant's second fiscal half-year in the case of an annual
report) that have
materially affected, or are reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not required
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2(a)): Attached hereto
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR
270.30a-2(b)): Attached hereto
Exhibit 99.CERT Certifications pursuant to Section 302 of the Sarbanes-
Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906 of the Sarbanes-
Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Millennium Income Trust
---------------------------------------------------------------
By (Signature and Title)* /s/ James A. Casselberry, Jr.
--------------------------------------------------
James A. Casselberry, Jr., President and Treasurer
Date May 28, 2004
---------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ James A. Casselberry, Jr.
--------------------------------------------------
James A. Casselberry, Jr., President and Treasurer
Date May 28, 2004
---------------------------------------